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The Spirit of Nicolas Darvas.
(81877382)

Created by: Danny Danny
Started: 07/2013
Stocks
Last trade: Yesterday

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $50.00 per month.

32.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(29.2%)
Max Drawdown
1315
Num Trades
36.9%
Win Trades
1.6 : 1
Profit Factor
57.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                          +11.4%(2.7%)+18.0%+7.5%+1.9%+1.6%+42.4%
2014+17.4%(2.1%)+0.8%(2.2%)+0.7%+6.0%(6.4%)+5.0%(7.7%)(3.2%)+3.3%+2.9%+13.0%
2015(4.3%)(0.1%)(9%)+2.3%+14.2%+14.2%+16.2%(6.9%)+7.4%(4.7%)(1.2%)+0.9%+28.1%
2016+2.1%(0.3%)(0.3%)(1.6%)(2.3%)(2.6%)+7.4%(2.2%)(2.2%)+2.0%+32.1%(7.6%)+21.5%
2017+4.8%+12.0%+2.1%+1.2%+6.6%(2.9%)+1.7%+9.4%+5.4%+3.9%+4.6%+5.3%+68.5%
2018+8.4%(0.1%)+0.9%(0.3%)+10.4%+3.4%(1.9%)+8.2%+2.6%(10.3%)(1.4%)+1.3%+21.3%
2019(0.4%)+4.1%(0.8%)(2.3%)(0.4%)                                          +0.1%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 2,517 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/9/19 9:30 MRCY MERCURY SYSTEMS LONG 567 65.94 5/22 9:30 70.14 n/a $2,376
Includes Typical Broker Commissions trade costs of $5.00
5/6/19 9:30 QCOM QUALCOMM LONG 371 86.33 5/20 9:30 77.69 0.65%
Trade id #123540031
Max drawdown($3,461)
Time5/20/19 5:23
Quant open371
Worst price77.00
Drawdown as % of equity-0.65%
($3,212)
Includes Typical Broker Commissions trade costs of $7.42
4/2/19 9:30 CLAR CLARUS CORP LONG 1,250 12.93 5/15 9:30 13.43 0.09%
Trade id #123165851
Max drawdown($500)
Time4/18/19 10:03
Quant open1,250
Worst price12.53
Drawdown as % of equity-0.09%
$620
Includes Typical Broker Commissions trade costs of $5.00
4/4/19 9:30 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 207 262.22 5/15 9:30 254.17 0.38%
Trade id #123198951
Max drawdown($1,993)
Time5/13/19 13:21
Quant open207
Worst price252.59
Drawdown as % of equity-0.38%
($1,670)
Includes Typical Broker Commissions trade costs of $4.14
5/6/19 9:30 SE SEA LTD ADS LONG 1,469 24.49 5/14 9:30 25.00 0.31%
Trade id #123540116
Max drawdown($1,599)
Time5/13/19 11:54
Quant open1,469
Worst price23.40
Drawdown as % of equity-0.31%
$742
Includes Typical Broker Commissions trade costs of $9.42
5/10/19 9:30 ARWR ARROWHEAD PHARMACEUTICALS INC. LONG 606 19.22 5/14 9:30 18.18 0.19%
Trade id #123615659
Max drawdown($1,008)
Time5/13/19 12:45
Quant open606
Worst price17.56
Drawdown as % of equity-0.19%
($634)
Includes Typical Broker Commissions trade costs of $5.00
4/15/19 9:31 LULU LULULEMON ATHLETICA LONG 239 170.02 5/14 9:30 168.54 0.18%
Trade id #123312753
Max drawdown($908)
Time5/13/19 11:52
Quant open239
Worst price166.22
Drawdown as % of equity-0.18%
($359)
Includes Typical Broker Commissions trade costs of $4.78
5/10/19 9:30 MDB MONGODB INC. CLASS A COMMON STOCK LONG 156 134.25 5/14 9:30 129.40 0.21%
Trade id #123615646
Max drawdown($1,083)
Time5/13/19 12:35
Quant open156
Worst price127.31
Drawdown as % of equity-0.21%
($760)
Includes Typical Broker Commissions trade costs of $3.12
5/7/19 9:30 TNDM TANDEM DIABETES CARE INC. COM LONG 243 66.57 5/14 9:30 62.69 0.25%
Trade id #123555817
Max drawdown($1,287)
Time5/13/19 11:52
Quant open243
Worst price61.27
Drawdown as % of equity-0.25%
($948)
Includes Typical Broker Commissions trade costs of $4.86
5/3/19 9:30 LSCC LATTICE SEMICONDUCTOR LONG 769 13.90 5/14 9:30 13.13 0.16%
Trade id #123519163
Max drawdown($853)
Time5/13/19 11:18
Quant open769
Worst price12.79
Drawdown as % of equity-0.16%
($597)
Includes Typical Broker Commissions trade costs of $5.00
5/1/19 9:30 TNET TRINET GROUP INC LONG 359 62.34 5/14 9:30 60.35 0.16%
Trade id #123489285
Max drawdown($800)
Time5/13/19 15:40
Quant open359
Worst price60.11
Drawdown as % of equity-0.16%
($721)
Includes Typical Broker Commissions trade costs of $7.18
3/29/19 9:30 CSX CSX LONG 433 74.91 5/14 9:30 76.94 n/a $870
Includes Typical Broker Commissions trade costs of $8.66
4/17/19 9:30 UGAZ VELOCITYSHARES 3X LONG NATURAL SHORT 331 24.85 5/13 9:30 26.39 0.1%
Trade id #123340609
Max drawdown($532)
Time5/10/19 12:22
Quant open-331
Worst price26.46
Drawdown as % of equity-0.10%
($517)
Includes Typical Broker Commissions trade costs of $6.62
4/4/19 9:30 FLWS 1-800 FLOWERS.COM LONG 2,096 18.84 5/10 9:30 19.23 0.51%
Trade id #123198904
Max drawdown($2,808)
Time4/22/19 16:45
Quant open2,096
Worst price17.50
Drawdown as % of equity-0.51%
$812
Includes Typical Broker Commissions trade costs of $5.00
3/1/19 9:30 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 123 206.91 5/10 9:30 191.01 0.62%
Trade id #122747445
Max drawdown($3,248)
Time5/9/19 11:28
Quant open123
Worst price180.50
Drawdown as % of equity-0.62%
($1,958)
Includes Typical Broker Commissions trade costs of $2.46
4/29/19 9:30 IWM ISHARES RUSSELL 2000 INDEX LONG 275 158.64 5/9 9:30 155.51 0.17%
Trade id #123461799
Max drawdown($915)
Time5/9/19 9:09
Quant open275
Worst price155.31
Drawdown as % of equity-0.17%
($867)
Includes Typical Broker Commissions trade costs of $5.50
2/25/19 9:30 RAMP LIVERAMP HOLDINGS INC LONG 343 54.66 5/8 9:30 55.72 0.05%
Trade id #122666297
Max drawdown($276)
Time4/8/19 9:48
Quant open343
Worst price53.85
Drawdown as % of equity-0.05%
$357
Includes Typical Broker Commissions trade costs of $6.86
5/7/19 9:30 ZS ZSCALER INC. COMMON STOCK LONG 335 68.89 5/8 9:30 66.33 0.26%
Trade id #123555782
Max drawdown($1,370)
Time5/7/19 11:05
Quant open335
Worst price64.80
Drawdown as % of equity-0.26%
($865)
Includes Typical Broker Commissions trade costs of $6.70
5/1/19 9:30 MAC MACERICH SHORT 533 40.16 5/7 9:30 41.63 0.25%
Trade id #123489245
Max drawdown($1,343)
Time5/6/19 19:49
Quant open-533
Worst price42.68
Drawdown as % of equity-0.25%
($789)
Includes Typical Broker Commissions trade costs of $5.00
5/3/19 9:30 LPSN LIVEPERSON LONG 656 30.14 5/6 9:30 27.59 0.33%
Trade id #123519145
Max drawdown($1,771)
Time5/6/19 4:17
Quant open656
Worst price27.44
Drawdown as % of equity-0.33%
($1,678)
Includes Typical Broker Commissions trade costs of $5.00
4/10/19 9:30 BAND BANDWIDTH INC. CLASS A COMMON STOCK LONG 580 69.90 5/6 9:30 66.85 0.56%
Trade id #123266134
Max drawdown($2,967)
Time5/3/19 9:41
Quant open580
Worst price64.78
Drawdown as % of equity-0.56%
($1,775)
Includes Typical Broker Commissions trade costs of $8.30
4/16/19 9:30 DPLO DIPLOMAT PHARMACY INC SHORT 1,586 5.73 5/3 9:31 5.72 0.01%
Trade id #123326296
Max drawdown($63)
Time4/16/19 9:35
Quant open-1,586
Worst price5.77
Drawdown as % of equity-0.01%
$9
Includes Typical Broker Commissions trade costs of $5.00
4/30/19 9:30 IRDM IRIDIUM COMMUNICATIONS LONG 1,004 27.14 5/3 9:30 26.58 0.2%
Trade id #123475131
Max drawdown($1,044)
Time5/3/19 8:12
Quant open1,004
Worst price26.10
Drawdown as % of equity-0.20%
($567)
Includes Typical Broker Commissions trade costs of $5.00
4/30/19 9:30 MDB MONGODB INC. CLASS A COMMON STOCK LONG 81 137.47 5/2 9:30 133.12 0.08%
Trade id #123475146
Max drawdown($430)
Time5/1/19 10:25
Quant open81
Worst price132.16
Drawdown as % of equity-0.08%
($354)
Includes Typical Broker Commissions trade costs of $1.62
3/18/19 9:30 FOXF FOX FACTORY HOLDING CORP. COMM LONG 553 73.10 5/2 9:30 70.30 0.29%
Trade id #122950288
Max drawdown($1,549)
Time5/2/19 9:30
Quant open0
Worst price70.30
Drawdown as % of equity-0.29%
($1,557)
Includes Typical Broker Commissions trade costs of $8.03
4/25/19 9:30 EOLS EVOLUS INC. COMMON STOCK LONG 329 26.63 5/1 9:30 25.71 0.16%
Trade id #123425551
Max drawdown($845)
Time4/30/19 11:21
Quant open329
Worst price24.06
Drawdown as % of equity-0.16%
($310)
Includes Typical Broker Commissions trade costs of $6.58
4/22/19 9:30 WRK WESTROCK CO SHORT 453 36.47 5/1 9:30 38.54 0.17%
Trade id #123384014
Max drawdown($938)
Time5/1/19 9:30
Quant open0
Worst price38.54
Drawdown as % of equity-0.17%
($947)
Includes Typical Broker Commissions trade costs of $9.06
2/4/19 9:30 PAYS PAYSIGN INC LONG 3,163 5.54 5/1 9:30 8.12 n/a $8,148
Includes Typical Broker Commissions trade costs of $7.50
4/26/19 9:30 ADM ARCHER-DANIELS MIDLAND SHORT 917 41.55 4/30 9:30 43.41 0.32%
Trade id #123440216
Max drawdown($1,733)
Time4/29/19 12:50
Quant open-917
Worst price43.44
Drawdown as % of equity-0.32%
($1,711)
Includes Typical Broker Commissions trade costs of $5.00
4/24/19 9:30 INTC INTEL LONG 543 58.52 4/29 9:30 52.17 0.7%
Trade id #123411490
Max drawdown($3,801)
Time4/26/19 12:36
Quant open543
Worst price51.52
Drawdown as % of equity-0.70%
($3,453)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2146.19
  • Age
    72 months ago
  • What it trades
    Stocks
  • # Trades
    1315
  • # Profitable
    485
  • % Profitable
    36.90%
  • Avg trade duration
    28.7 days
  • Max peak-to-valley drawdown
    29.2%
  • drawdown period
    Sept 08, 2014 - March 26, 2015
  • Annual Return (Compounded)
    32.0%
  • Avg win
    $2,528
  • Avg loss
    $988.16
  • Model Account Values (Raw)
  • Cash
    $366,941
  • Margin Used
    $352,241
  • Buying Power
    $66,540
  • Ratios
  • W:L ratio
    1.59:1
  • Sharpe Ratio
    0.98
  • Sortino Ratio
    1.47
  • Calmar Ratio
    1.525
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.14240
  • Return Statistics
  • Ann Return (w trading costs)
    32.0%
  • Ann Return (Compnd, No Fees)
    33.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.00%
  • Chance of 20% account loss
    17.00%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    2.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    837
  • Popularity (Last 6 weeks)
    976
  • C2 Score
    46.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $988
  • Avg Win
    $2,528
  • # Winners
    485
  • # Losers
    830
  • % Winners
    36.9%
  • Frequency
  • Avg Position Time (mins)
    41307.70
  • Avg Position Time (hrs)
    688.46
  • Avg Trade Length
    28.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.59
  • Daily leverage (max)
    4.08
  • Unknown
  • Alpha
    0.07
  • Beta
    0.27
  • Treynor Index
    0.30
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28937
  • SD
    0.21974
  • Sharpe ratio (Glass type estimate)
    1.31687
  • Sharpe ratio (Hedges UMVUE)
    1.30229
  • df
    68.00000
  • t
    3.15774
  • p
    0.00119
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46568
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45613
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14845
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93567
  • Upside Potential Ratio
    4.36869
  • Upside part of mean
    0.43063
  • Downside part of mean
    -0.14126
  • Upside SD
    0.21178
  • Downside SD
    0.09857
  • N nonnegative terms
    44.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    69.00000
  • Mean of predictor
    0.07915
  • Mean of criterion
    0.28937
  • SD of predictor
    0.11466
  • SD of criterion
    0.21974
  • Covariance
    0.00660
  • r
    0.26187
  • b (slope, estimate of beta)
    0.50190
  • a (intercept, estimate of alpha)
    0.24965
  • Mean Square Error
    0.04565
  • DF error
    67.00000
  • t(b)
    2.22104
  • p(b)
    0.01487
  • t(a)
    2.74713
  • p(a)
    0.00386
  • Lowerbound of 95% confidence interval for beta
    0.05085
  • Upperbound of 95% confidence interval for beta
    0.95294
  • Lowerbound of 95% confidence interval for alpha
    0.06826
  • Upperbound of 95% confidence interval for alpha
    0.43104
  • Treynor index (mean / b)
    0.57656
  • Jensen alpha (a)
    0.24965
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26311
  • SD
    0.21136
  • Sharpe ratio (Glass type estimate)
    1.24482
  • Sharpe ratio (Hedges UMVUE)
    1.23104
  • df
    68.00000
  • t
    2.98497
  • p
    0.00197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39691
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08415
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38790
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07418
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.54096
  • Upside Potential Ratio
    3.95198
  • Upside part of mean
    0.40921
  • Downside part of mean
    -0.14611
  • Upside SD
    0.19767
  • Downside SD
    0.10355
  • N nonnegative terms
    44.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    69.00000
  • Mean of predictor
    0.07222
  • Mean of criterion
    0.26311
  • SD of predictor
    0.11524
  • SD of criterion
    0.21136
  • Covariance
    0.00668
  • r
    0.27414
  • b (slope, estimate of beta)
    0.50283
  • a (intercept, estimate of alpha)
    0.22679
  • Mean Square Error
    0.04193
  • DF error
    67.00000
  • t(b)
    2.33335
  • p(b)
    0.01132
  • t(a)
    2.61267
  • p(a)
    0.00554
  • Lowerbound of 95% confidence interval for beta
    0.07270
  • Upperbound of 95% confidence interval for beta
    0.93297
  • Lowerbound of 95% confidence interval for alpha
    0.05353
  • Upperbound of 95% confidence interval for alpha
    0.40005
  • Treynor index (mean / b)
    0.52325
  • Jensen alpha (a)
    0.22679
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07544
  • Expected Shortfall on VaR
    0.09848
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02137
  • Expected Shortfall on VaR
    0.04720
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    69.00000
  • Minimum
    0.86117
  • Quartile 1
    0.99272
  • Median
    1.01800
  • Quartile 3
    1.05549
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95901
  • Mean of quarter 2
    1.00468
  • Mean of quarter 3
    1.03677
  • Mean of quarter 4
    1.10928
  • Inter Quartile Range
    0.06277
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01449
  • Mean of outliers low
    0.86117
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05797
  • Mean of outliers high
    1.18775
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12618
  • VaR(95%) (moments method)
    0.02636
  • Expected Shortfall (moments method)
    0.04147
  • Extreme Value Index (regression method)
    0.01899
  • VaR(95%) (regression method)
    0.04098
  • Expected Shortfall (regression method)
    0.06229
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00618
  • Quartile 1
    0.02030
  • Median
    0.03106
  • Quartile 3
    0.06891
  • Maximum
    0.19334
  • Mean of quarter 1
    0.00980
  • Mean of quarter 2
    0.02895
  • Mean of quarter 3
    0.05330
  • Mean of quarter 4
    0.12887
  • Inter Quartile Range
    0.04860
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.19334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.95293
  • VaR(95%) (moments method)
    0.14842
  • Expected Shortfall (moments method)
    0.15248
  • Extreme Value Index (regression method)
    0.08536
  • VaR(95%) (regression method)
    0.20113
  • Expected Shortfall (regression method)
    0.29051
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.75303
  • Compounded annual return (geometric extrapolation)
    0.33779
  • Calmar ratio (compounded annual return / max draw down)
    1.74708
  • Compounded annual return / average of 25% largest draw downs
    2.62106
  • Compounded annual return / Expected Shortfall lognormal
    3.42987
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28579
  • SD
    0.22073
  • Sharpe ratio (Glass type estimate)
    1.29477
  • Sharpe ratio (Hedges UMVUE)
    1.29413
  • df
    1520.00000
  • t
    3.11966
  • p
    0.46012
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10932
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47938
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10889
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91224
  • Upside Potential Ratio
    8.74204
  • Upside part of mean
    1.30654
  • Downside part of mean
    -1.02075
  • Upside SD
    0.16329
  • Downside SD
    0.14946
  • N nonnegative terms
    854.00000
  • N negative terms
    667.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1521.00000
  • Mean of predictor
    0.07404
  • Mean of criterion
    0.28579
  • SD of predictor
    0.13010
  • SD of criterion
    0.22073
  • Covariance
    0.00431
  • r
    0.15006
  • b (slope, estimate of beta)
    0.25460
  • a (intercept, estimate of alpha)
    0.26700
  • Mean Square Error
    0.04766
  • DF error
    1519.00000
  • t(b)
    5.91551
  • p(b)
    0.40483
  • t(a)
    2.94447
  • p(a)
    0.45209
  • Lowerbound of 95% confidence interval for beta
    0.17018
  • Upperbound of 95% confidence interval for beta
    0.33902
  • Lowerbound of 95% confidence interval for alpha
    0.08911
  • Upperbound of 95% confidence interval for alpha
    0.44477
  • Treynor index (mean / b)
    1.12253
  • Jensen alpha (a)
    0.26694
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26127
  • SD
    0.22081
  • Sharpe ratio (Glass type estimate)
    1.18324
  • Sharpe ratio (Hedges UMVUE)
    1.18266
  • df
    1520.00000
  • t
    2.85094
  • p
    0.46353
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36851
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99762
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36812
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99720
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71425
  • Upside Potential Ratio
    8.48598
  • Upside part of mean
    1.29337
  • Downside part of mean
    -1.03210
  • Upside SD
    0.16049
  • Downside SD
    0.15241
  • N nonnegative terms
    854.00000
  • N negative terms
    667.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1521.00000
  • Mean of predictor
    0.06555
  • Mean of criterion
    0.26127
  • SD of predictor
    0.13028
  • SD of criterion
    0.22081
  • Covariance
    0.00433
  • r
    0.15039
  • b (slope, estimate of beta)
    0.25490
  • a (intercept, estimate of alpha)
    0.24457
  • Mean Square Error
    0.04769
  • DF error
    1519.00000
  • t(b)
    5.92883
  • p(b)
    0.40462
  • t(a)
    2.69713
  • p(a)
    0.45608
  • Lowerbound of 95% confidence interval for beta
    0.17056
  • Upperbound of 95% confidence interval for beta
    0.33923
  • Lowerbound of 95% confidence interval for alpha
    0.06670
  • Upperbound of 95% confidence interval for alpha
    0.42243
  • Treynor index (mean / b)
    1.02502
  • Jensen alpha (a)
    0.24457
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02121
  • Expected Shortfall on VaR
    0.02676
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00811
  • Expected Shortfall on VaR
    0.01723
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1521.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99594
  • Median
    1.00101
  • Quartile 3
    1.00668
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98589
  • Mean of quarter 2
    0.99886
  • Mean of quarter 3
    1.00359
  • Mean of quarter 4
    1.01648
  • Inter Quartile Range
    0.01074
  • Number outliers low
    68.00000
  • Percentage of outliers low
    0.04471
  • Mean of outliers low
    0.96640
  • Number of outliers high
    75.00000
  • Percentage of outliers high
    0.04931
  • Mean of outliers high
    1.03372
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22494
  • VaR(95%) (moments method)
    0.01210
  • Expected Shortfall (moments method)
    0.01978
  • Extreme Value Index (regression method)
    0.16064
  • VaR(95%) (regression method)
    0.01273
  • Expected Shortfall (regression method)
    0.02001
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    55.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00808
  • Median
    0.03090
  • Quartile 3
    0.06871
  • Maximum
    0.21989
  • Mean of quarter 1
    0.00372
  • Mean of quarter 2
    0.01814
  • Mean of quarter 3
    0.04551
  • Mean of quarter 4
    0.10611
  • Inter Quartile Range
    0.06063
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01818
  • Mean of outliers high
    0.21989
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.11861
  • VaR(95%) (moments method)
    0.11634
  • Expected Shortfall (moments method)
    0.15341
  • Extreme Value Index (regression method)
    0.18845
  • VaR(95%) (regression method)
    0.10889
  • Expected Shortfall (regression method)
    0.14341
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.75088
  • Compounded annual return (geometric extrapolation)
    0.33533
  • Calmar ratio (compounded annual return / max draw down)
    1.52500
  • Compounded annual return / average of 25% largest draw downs
    3.16017
  • Compounded annual return / Expected Shortfall lognormal
    12.52910
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00178
  • SD
    0.09450
  • Sharpe ratio (Glass type estimate)
    0.01887
  • Sharpe ratio (Hedges UMVUE)
    0.01876
  • df
    130.00000
  • t
    0.01334
  • p
    0.49941
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.75294
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79067
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.75305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79056
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02507
  • Upside Potential Ratio
    7.63418
  • Upside part of mean
    0.54279
  • Downside part of mean
    -0.54100
  • Upside SD
    0.06170
  • Downside SD
    0.07110
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08208
  • Mean of criterion
    0.00178
  • SD of predictor
    0.17131
  • SD of criterion
    0.09450
  • Covariance
    0.00327
  • r
    0.20178
  • b (slope, estimate of beta)
    0.11131
  • a (intercept, estimate of alpha)
    -0.00735
  • Mean Square Error
    0.00863
  • DF error
    129.00000
  • t(b)
    2.33997
  • p(b)
    0.37242
  • t(a)
    -0.05594
  • p(a)
    0.50314
  • Lowerbound of 95% confidence interval for beta
    0.01719
  • Upperbound of 95% confidence interval for beta
    0.20543
  • Lowerbound of 95% confidence interval for alpha
    -0.26745
  • Upperbound of 95% confidence interval for alpha
    0.25274
  • Treynor index (mean / b)
    0.01602
  • Jensen alpha (a)
    -0.00735
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00266
  • SD
    0.09465
  • Sharpe ratio (Glass type estimate)
    -0.02808
  • Sharpe ratio (Hedges UMVUE)
    -0.02791
  • df
    130.00000
  • t
    -0.01985
  • p
    0.50087
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.79989
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74373
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.79972
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74389
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.03714
  • Upside Potential Ratio
    7.55916
  • Upside part of mean
    0.54084
  • Downside part of mean
    -0.54349
  • Upside SD
    0.06141
  • Downside SD
    0.07155
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06753
  • Mean of criterion
    -0.00266
  • SD of predictor
    0.17108
  • SD of criterion
    0.09465
  • Covariance
    0.00328
  • r
    0.20249
  • b (slope, estimate of beta)
    0.11203
  • a (intercept, estimate of alpha)
    -0.01022
  • Mean Square Error
    0.00866
  • DF error
    129.00000
  • t(b)
    2.34853
  • p(b)
    0.37198
  • t(a)
    -0.07766
  • p(a)
    0.50435
  • Lowerbound of 95% confidence interval for beta
    0.01765
  • Upperbound of 95% confidence interval for beta
    0.20641
  • Lowerbound of 95% confidence interval for alpha
    -0.27066
  • Upperbound of 95% confidence interval for alpha
    0.25021
  • Treynor index (mean / b)
    -0.02372
  • Jensen alpha (a)
    -0.01022
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00958
  • Expected Shortfall on VaR
    0.01200
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00443
  • Expected Shortfall on VaR
    0.00897
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97975
  • Quartile 1
    0.99787
  • Median
    1.00037
  • Quartile 3
    1.00320
  • Maximum
    1.01616
  • Mean of quarter 1
    0.99279
  • Mean of quarter 2
    0.99927
  • Mean of quarter 3
    1.00158
  • Mean of quarter 4
    1.00686
  • Inter Quartile Range
    0.00532
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98585
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.01292
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30159
  • VaR(95%) (moments method)
    0.00675
  • Expected Shortfall (moments method)
    0.01187
  • Extreme Value Index (regression method)
    0.18696
  • VaR(95%) (regression method)
    0.00689
  • Expected Shortfall (regression method)
    0.01101
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00067
  • Quartile 1
    0.00246
  • Median
    0.00529
  • Quartile 3
    0.02140
  • Maximum
    0.08583
  • Mean of quarter 1
    0.00168
  • Mean of quarter 2
    0.00494
  • Mean of quarter 3
    0.01647
  • Mean of quarter 4
    0.05492
  • Inter Quartile Range
    0.01895
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.08583
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55513
  • VaR(95%) (moments method)
    0.05877
  • Expected Shortfall (moments method)
    0.14157
  • Extreme Value Index (regression method)
    3.56764
  • VaR(95%) (regression method)
    0.22651
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02541
  • Compounded annual return (geometric extrapolation)
    0.02557
  • Calmar ratio (compounded annual return / max draw down)
    0.29792
  • Compounded annual return / average of 25% largest draw downs
    0.46559
  • Compounded annual return / Expected Shortfall lognormal
    2.13144

Strategy Description

Combines elements of breakout trading, trend following and turtle trading risk management.


What to expect:

Everyday, I run scans that comb through over 10,000 stocks to find just one or two that are ready to move immediately.

The systems buys strength, short sells weakness and cuts losses very quickly.

I also use a sophisticated risk management strategy that was developed in the 1980's by William Eckhardt, who taught a group of traders now known as The Turtles.


FAQ:

Does this system need to be auto-traded?

No. All signals will be sent out after the market has closed, mostly on the weekends, so you should have time to enter the trades manually in the evening or in the morning before the market opens.

Do you short stocks?

Yes.

Do you use leverage?

Rarely, but yes during strongly trending markets I do to a limited extent.

Do you use stops?

No, but positions are sold if they close below a pre-determined level the next day.

How has the system performed during backtesting?

My system is not an algorithm or black box. It is a rules based, discretionary strategy that I have developed through 10 years of intensive study.

Summary Statistics

Strategy began
2013-07-07
Suggested Minimum Capital
$35,000
# Trades
1315
# Profitable
485
% Profitable
36.9%
Net Dividends
Correlation S&P500
0.142
Sharpe Ratio
0.98
Sortino Ratio
1.47
Beta
0.27
Alpha
0.07
Leverage
1.59 Average
4.08 Maximum

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total nominal value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.