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These are hypothetical performance results that have certain inherent limitations. Learn more
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The Spirit of Nicolas Darvas.
(81877382)

Created by: Danny Danny
Started: 07/2013
Stocks
Last trade: 2 days ago
Trading style: Equity Trend-following Momentum

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.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
20.7%
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.

(29.4%)
Max Drawdown
3635
Num Trades
36.6%
Win Trades
1.4 : 1
Profit Factor
58.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                          +11.4%(2.8%)+18.0%+7.5%+1.9%+1.6%+42.2%
2014+17.4%(2.1%)+0.7%(2.2%)+0.7%+6.0%(6.4%)+5.0%(7.7%)(3.3%)+3.3%+2.9%+12.7%
2015(4.3%)(0.1%)(9.1%)+2.3%+14.3%+14.2%+16.3%(7%)+7.4%(4.7%)(1.2%)+0.9%+27.9%
2016+2.1%(0.3%)(0.3%)(1.6%)(2.3%)(2.6%)+7.5%(2.2%)(2.2%)+2.0%+32.3%(7.7%)+21.4%
2017+4.8%+12.1%+2.1%+1.2%+6.6%(2.9%)+1.7%+9.5%+5.5%+3.9%+4.6%+5.3%+68.7%
2018+8.5%(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%)+1.5%+0.9%+3.5%+3.8%(6.2%)(1.4%)(1.1%)+3.9%+5.0%
2020+0.6%(2.8%)+4.4%(4.9%)(1.9%)+5.5%+9.8%+9.5%(6.8%)(2.2%)+1.1%+18.4%+31.7%
2021  -  (0.5%)+0.2%+0.5%(1%)+3.0%(6.4%)(0.5%)+0.3%+1.2%(3.6%)+1.1%(5.8%)
2022(0.2%)+2.8%+0.2%+8.7%(1.1%)+7.1%(3.5%)(0.2%)+2.5%+0.3%(1.9%)+1.6%+16.7%
2023(0.8%)+1.2%+1.3%+1.4%(0.4%)+0.2%+0.8%+0.8%+3.7%+2.4%(0.7%)(2.8%)+7.2%
2024(2.2%)+1.2%+1.8%+1.8%(4.7%)+0.5%  -  (11.4%)+14.4%(3.1%)+7.4%(0.4%)+3.1%

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 8,409 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 12 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/18/24 11:45 FIAT YIELDMAX SHORT COIN OPTION INCOME STRATEGY ETF SHORT 2,496 8.57 12/2 10:30 8.86 0.16%
Trade id #150113050
Max drawdown($1,297)
Time11/26/24 0:00
Quant open2,496
Worst price9.09
Drawdown as % of equity-0.16%
 ($729)
Includes Typical Broker Commissions trade costs of $5.00
11/20/24 9:40 AMDL GRANITESHARES 2X LONG AMD DAILY ETF SHORT 4,392 10.00 12/2 10:29 10.65 0.35%
Trade id #150131315
Max drawdown($2,983)
Time12/2/24 9:54
Quant open4,392
Worst price10.68
Drawdown as % of equity-0.35%
 ($2,860)
Includes Typical Broker Commissions trade costs of $7.50
11/8/24 10:36 VST VISTRA CORP LONG 234 137.70 11/27 11:07 155.86 0.04%
Trade id #150039790
Max drawdown($294)
Time11/8/24 10:44
Quant open234
Worst price136.44
Drawdown as % of equity-0.04%
 $4,244
Includes Typical Broker Commissions trade costs of $4.68
11/18/24 11:46 LLYX DEFIANCE DAILY TARGET 2X LONG LLY ETF SHORT 2,186 16.23 11/27 10:09 19.29 1.02%
Trade id #150113790
Max drawdown($8,457)
Time11/26/24 0:00
Quant open2,186
Worst price20.10
Drawdown as % of equity-1.02%
 ($6,697)
Includes Typical Broker Commissions trade costs of $7.50
11/18/24 9:41 TFLO ISHARES TREASURY FLOATING RATE LONG 8,000 50.55 11/26 9:50 50.61 0.01%
Trade id #150111048
Max drawdown($80)
Time11/18/24 9:46
Quant open8,000
Worst price50.54
Drawdown as % of equity-0.01%
 $435
Includes Typical Broker Commissions trade costs of $10.00
11/5/24 10:07 TPR TAPESTRY INC LONG 627 48.86 11/19 10:26 55.27 0.02%
Trade id #149986127
Max drawdown($152)
Time11/5/24 10:33
Quant open627
Worst price48.62
Drawdown as % of equity-0.02%
 $4,012
Includes Typical Broker Commissions trade costs of $5.00
11/5/24 10:05 MNPR MONOPAR THERAPEUTICS INC. COMMON STOCK LONG 244 16.48 11/19 10:26 18.35 0.05%
Trade id #149986097
Max drawdown($389)
Time11/6/24 0:00
Quant open244
Worst price14.88
Drawdown as % of equity-0.05%
 $453
Includes Typical Broker Commissions trade costs of $4.88
11/8/24 10:34 ATMU ATMUS FILTRATION TECHNOLOGIES INC LONG 1,396 43.60 11/18 11:44 43.05 0.25%
Trade id #150039727
Max drawdown($2,062)
Time11/12/24 0:00
Quant open1,396
Worst price42.12
Drawdown as % of equity-0.25%
 ($769)
Includes Typical Broker Commissions trade costs of $5.00
11/14/24 10:03 VMC VULCAN MATERIALS LONG 276 287.20 11/18 11:42 278.92 0.33%
Trade id #150085836
Max drawdown($2,650)
Time11/15/24 0:00
Quant open276
Worst price277.60
Drawdown as % of equity-0.33%
 ($2,294)
Includes Typical Broker Commissions trade costs of $5.52
11/8/24 10:43 EXP EAGLE MATERIALS LONG 217 312.78 11/18 11:42 301.12 0.43%
Trade id #150039855
Max drawdown($3,391)
Time11/18/24 9:32
Quant open217
Worst price297.15
Drawdown as % of equity-0.43%
 ($2,534)
Includes Typical Broker Commissions trade costs of $4.34
11/7/24 9:53 NVD GRANITESHARES 1.5X SHORT NVDA DAILY ETF SHORT 2,716 27.86 11/18 9:43 31.89 1.51%
Trade id #150027872
Max drawdown($11,793)
Time11/18/24 9:36
Quant open2,716
Worst price32.20
Drawdown as % of equity-1.51%
 ($10,970)
Includes Typical Broker Commissions trade costs of $10.00
11/14/24 10:11 ASTS AST SPACEMOBILE INC LONG 333 27.88 11/18 9:35 24.64 0.26%
Trade id #150085956
Max drawdown($2,122)
Time11/15/24 0:00
Quant open333
Worst price21.51
Drawdown as % of equity-0.26%
 ($1,086)
Includes Typical Broker Commissions trade costs of $6.66
11/12/24 11:37 ATYR ATYR PHARMA INC. LONG 3,712 3.34 11/18 9:35 2.87 0.24%
Trade id #150065823
Max drawdown($1,955)
Time11/15/24 0:00
Quant open3,712
Worst price2.81
Drawdown as % of equity-0.24%
 ($1,737)
Includes Typical Broker Commissions trade costs of $5.00
11/7/24 11:50 JNK SPDR BLOOMBERG HIGH YIELD BOND LONG 5,044 96.80 11/18 9:34 96.60 0.21%
Trade id #150030287
Max drawdown($1,689)
Time11/12/24 0:00
Quant open5,044
Worst price96.47
Drawdown as % of equity-0.21%
 ($1,070)
Includes Typical Broker Commissions trade costs of $20.00
11/5/24 10:06 SHAK SHAKE SHACK INC LONG 380 129.77 11/18 9:33 121.32 0.44%
Trade id #149986117
Max drawdown($3,431)
Time11/18/24 9:33
Quant open380
Worst price120.74
Drawdown as % of equity-0.44%
 ($3,218)
Includes Typical Broker Commissions trade costs of $7.60
11/11/24 11:37 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 1,098 31.88 11/18 9:32 34.88 0.49%
Trade id #150056088
Max drawdown($3,953)
Time11/15/24 0:00
Quant open1,098
Worst price35.48
Drawdown as % of equity-0.49%
 ($3,313)
Includes Typical Broker Commissions trade costs of $13.48
11/7/24 9:58 TXRH TEXAS ROADHOUSE LONG 386 200.76 11/15 13:44 197.71 0.31%
Trade id #150028028
Max drawdown($2,529)
Time11/11/24 0:00
Quant open386
Worst price194.21
Drawdown as % of equity-0.31%
 ($1,187)
Includes Typical Broker Commissions trade costs of $7.72
11/13/24 11:55 RNA AVIDITY BIOSCIENCES INC. COMMON STOCK LONG 613 54.13 11/15 10:05 45.80 0.66%
Trade id #150077478
Max drawdown($5,289)
Time11/15/24 9:48
Quant open613
Worst price45.50
Drawdown as % of equity-0.66%
 ($5,109)
Includes Typical Broker Commissions trade costs of $5.00
11/7/24 9:58 SMR NUSCALE POWER CORPORATION LONG 1,890 21.54 11/14 13:00 24.61 0.35%
Trade id #150028022
Max drawdown($2,802)
Time11/8/24 0:00
Quant open1,890
Worst price20.06
Drawdown as % of equity-0.35%
 $5,799
Includes Typical Broker Commissions trade costs of $7.50
11/5/24 10:06 PRCT PROCEPT BIOROBOTICS CORPORATION LONG 336 97.96 11/14 10:04 88.77 0.42%
Trade id #149986111
Max drawdown($3,398)
Time11/14/24 9:40
Quant open336
Worst price87.85
Drawdown as % of equity-0.42%
 ($3,097)
Includes Typical Broker Commissions trade costs of $6.72
11/7/24 9:57 SMMT SUMMIT THERAPEUTICS PLC AMERIC LONG 509 21.25 11/14 10:02 19.73 0.11%
Trade id #150028012
Max drawdown($926)
Time11/13/24 0:00
Quant open509
Worst price19.43
Drawdown as % of equity-0.11%
 ($781)
Includes Typical Broker Commissions trade costs of $5.00
11/5/24 10:07 VERA VERA THERAPEUTICS INC. CLASS A LONG 1,212 48.90 11/13 15:56 49.27 0.02%
Trade id #149986137
Max drawdown($175)
Time11/5/24 10:16
Quant open303
Worst price45.22
Drawdown as % of equity-0.02%
 $427
Includes Typical Broker Commissions trade costs of $11.06
11/12/24 11:37 RSI RUSH STREET INTERACTIVE INC LONG 1,548 11.89 11/13 15:56 11.47 0.08%
Trade id #150065831
Max drawdown($657)
Time11/13/24 14:43
Quant open1,548
Worst price11.47
Drawdown as % of equity-0.08%
 ($655)
Includes Typical Broker Commissions trade costs of $5.00
11/5/24 10:11 YANG DIREXION DAILY FTSE CHINA BEAR 3X SHORT 507 63.61 11/13 9:30 74.48 0.61%
Trade id #149986213
Max drawdown($5,001)
Time11/12/24 0:00
Quant open307
Worst price79.90
Drawdown as % of equity-0.61%
 ($5,523)
Includes Typical Broker Commissions trade costs of $10.14
11/7/24 9:54 GLNG GOLAR LNG LONG 1,616 38.85 11/12 11:35 36.68 0.54%
Trade id #150027903
Max drawdown($4,468)
Time11/12/24 9:31
Quant open1,616
Worst price36.09
Drawdown as % of equity-0.54%
 ($3,516)
Includes Typical Broker Commissions trade costs of $5.00
11/11/24 11:33 RTX RAYTHEON TECHNOLOGIES CORP LONG 385 125.17 11/12 10:32 123.20 0.09%
Trade id #150056047
Max drawdown($762)
Time11/12/24 10:32
Quant open385
Worst price123.19
Drawdown as % of equity-0.09%
 ($766)
Includes Typical Broker Commissions trade costs of $7.70
11/7/24 9:56 ROOT ROOT INC. CLASS A COMMON STOCK LONG 202 77.17 11/12 10:32 77.83 0.03%
Trade id #150027948
Max drawdown($229)
Time11/12/24 10:03
Quant open202
Worst price76.03
Drawdown as % of equity-0.03%
 $130
Includes Typical Broker Commissions trade costs of $4.04
11/5/24 10:11 BOIL PROSHARES ULTRA BLOOMBERG NATU SHORT 1,889 36.69 11/11 11:32 41.44 1.27%
Trade id #149986224
Max drawdown($10,463)
Time11/11/24 10:09
Quant open1,889
Worst price42.23
Drawdown as % of equity-1.27%
 ($8,979)
Includes Typical Broker Commissions trade costs of $7.89
11/7/24 9:54 MO ALTRIA LONG 2,033 54.42 11/8 10:35 53.84 0.25%
Trade id #150027885
Max drawdown($2,022)
Time11/7/24 15:56
Quant open2,033
Worst price53.42
Drawdown as % of equity-0.25%
 ($1,194)
Includes Typical Broker Commissions trade costs of $5.00
10/31/24 10:48 USFR WISDOMTREE FLOATING RATE TREASURY FUND LONG 34,060 50.26 11/8 10:05 50.31 0.02%
Trade id #149916937
Max drawdown($205)
Time10/31/24 10:51
Quant open34,060
Worst price50.25
Drawdown as % of equity-0.02%
 $1,801
Includes Typical Broker Commissions trade costs of $31.20
Next

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    4167.62
  • Age
    139 months ago
  • What it trades
    Stocks
  • # Trades
    3635
  • # Profitable
    1331
  • % Profitable
    36.60%
  • Avg trade duration
    13.7 days
  • Max peak-to-valley drawdown
    29.38%
  • drawdown period
    Sept 08, 2014 - March 26, 2015
  • Annual Return (Compounded)
    20.7%
  • Avg win
    $2,555
  • Avg loss
    $1,199
  • Model Account Values (Raw)
  • Cash
    $1,414,290
  • Margin Used
    $1,503,370
  • Buying Power
    $18,728
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    0.75
  • Sortino Ratio
    1.11
  • Calmar Ratio
    0.999
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    485.38%
  • Correlation to SP500
    0.05630
  • Return Percent SP500 (cumu) during strategy life
    270.73%
  • Return Statistics
  • Ann Return (w trading costs)
    20.7%
  • Slump
  • Current Slump as Pcnt Equity
    1.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.207%
  • Instruments
  • Percent Trades Options
    0.07%
  • Percent Trades Stocks
    0.93%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    55.50%
  • Chance of 20% account loss
    38.50%
  • Chance of 30% account loss
    16.50%
  • Chance of 40% account loss
    7.00%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.00%
  • Popularity
  • Popularity (Today)
    568
  • Popularity (Last 6 weeks)
    916
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    461
  • Popularity (7 days, Percentile 1000 scale)
    834
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,200
  • Avg Win
    $2,555
  • Sum Trade PL (losers)
    $2,764,110.000
  • Age
  • Num Months filled monthly returns table
    138
  • Win / Loss
  • Sum Trade PL (winners)
    $3,400,860.000
  • # Winners
    1331
  • Num Months Winners
    81
  • Dividends
  • Dividends Received in Model Acct
    176440
  • Win / Loss
  • # Losers
    2303
  • % Winners
    36.6%
  • Frequency
  • Avg Position Time (mins)
    35208.90
  • Avg Position Time (hrs)
    586.82
  • Avg Trade Length
    24.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.88
  • Daily leverage (max)
    13.66
  • Regression
  • Alpha
    0.05
  • Beta
    0.07
  • Treynor Index
    0.75
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.36
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.72
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    6.28
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    80.305
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    8.432
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.267
  • Hold-and-Hope Ratio
    0.012
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18637
  • SD
    0.19215
  • Sharpe ratio (Glass type estimate)
    0.96993
  • Sharpe ratio (Hedges UMVUE)
    0.96441
  • df
    132.00000
  • t
    3.22906
  • p
    0.36472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36795
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56838
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56452
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04029
  • Upside Potential Ratio
    3.64070
  • Upside part of mean
    0.33256
  • Downside part of mean
    -0.14619
  • Upside SD
    0.17662
  • Downside SD
    0.09135
  • N nonnegative terms
    79.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    133.00000
  • Mean of predictor
    0.09971
  • Mean of criterion
    0.18637
  • SD of predictor
    0.14760
  • SD of criterion
    0.19215
  • Covariance
    0.00260
  • r
    0.09157
  • b (slope, estimate of beta)
    0.11921
  • a (intercept, estimate of alpha)
    0.17448
  • Mean Square Error
    0.03689
  • DF error
    131.00000
  • t(b)
    1.05253
  • p(b)
    0.44178
  • t(a)
    2.96801
  • p(a)
    0.34189
  • Lowerbound of 95% confidence interval for beta
    -0.10484
  • Upperbound of 95% confidence interval for beta
    0.34326
  • Lowerbound of 95% confidence interval for alpha
    0.05819
  • Upperbound of 95% confidence interval for alpha
    0.29078
  • Treynor index (mean / b)
    1.56341
  • Jensen alpha (a)
    0.17448
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16727
  • SD
    0.18534
  • Sharpe ratio (Glass type estimate)
    0.90250
  • Sharpe ratio (Hedges UMVUE)
    0.89736
  • df
    132.00000
  • t
    3.00458
  • p
    0.37350
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30217
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49955
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29877
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49596
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.75842
  • Upside Potential Ratio
    3.33787
  • Upside part of mean
    0.31752
  • Downside part of mean
    -0.15025
  • Upside SD
    0.16546
  • Downside SD
    0.09513
  • N nonnegative terms
    79.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    133.00000
  • Mean of predictor
    0.08833
  • Mean of criterion
    0.16727
  • SD of predictor
    0.14773
  • SD of criterion
    0.18534
  • Covariance
    0.00270
  • r
    0.09861
  • b (slope, estimate of beta)
    0.12372
  • a (intercept, estimate of alpha)
    0.15634
  • Mean Square Error
    0.03428
  • DF error
    131.00000
  • t(b)
    1.13418
  • p(b)
    0.43732
  • t(a)
    2.77007
  • p(a)
    0.35164
  • Lowerbound of 95% confidence interval for beta
    -0.09207
  • Upperbound of 95% confidence interval for beta
    0.33950
  • Lowerbound of 95% confidence interval for alpha
    0.04469
  • Upperbound of 95% confidence interval for alpha
    0.26800
  • Treynor index (mean / b)
    1.35206
  • Jensen alpha (a)
    0.15634
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07139
  • Expected Shortfall on VaR
    0.09174
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02433
  • Expected Shortfall on VaR
    0.05046
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    133.00000
  • Minimum
    0.86117
  • Quartile 1
    0.98843
  • Median
    1.01308
  • Quartile 3
    1.04059
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95869
  • Mean of quarter 2
    1.00031
  • Mean of quarter 3
    1.02479
  • Mean of quarter 4
    1.08944
  • Inter Quartile Range
    0.05216
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02256
  • Mean of outliers low
    0.88917
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    1.16733
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17839
  • VaR(95%) (moments method)
    0.03273
  • Expected Shortfall (moments method)
    0.04242
  • Extreme Value Index (regression method)
    -0.11258
  • VaR(95%) (regression method)
    0.04409
  • Expected Shortfall (regression method)
    0.06050
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00618
  • Quartile 1
    0.01871
  • Median
    0.04447
  • Quartile 3
    0.08990
  • Maximum
    0.19334
  • Mean of quarter 1
    0.01167
  • Mean of quarter 2
    0.03220
  • Mean of quarter 3
    0.06393
  • Mean of quarter 4
    0.12233
  • Inter Quartile Range
    0.07119
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.15914
  • VaR(95%) (moments method)
    0.13908
  • Expected Shortfall (moments method)
    0.17965
  • Extreme Value Index (regression method)
    0.73894
  • VaR(95%) (regression method)
    0.14489
  • Expected Shortfall (regression method)
    0.34948
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.69467
  • Compounded annual return (geometric extrapolation)
    0.21553
  • Calmar ratio (compounded annual return / max draw down)
    1.11475
  • Compounded annual return / average of 25% largest draw downs
    1.76184
  • Compounded annual return / Expected Shortfall lognormal
    2.34927
  • 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
    0.18798
  • SD
    0.18572
  • Sharpe ratio (Glass type estimate)
    1.01216
  • Sharpe ratio (Hedges UMVUE)
    1.01190
  • df
    2917.00000
  • t
    3.37785
  • p
    0.00037
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59994
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42403
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59977
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46998
  • Upside Potential Ratio
    8.19964
  • Upside part of mean
    1.04854
  • Downside part of mean
    -0.86056
  • Upside SD
    0.13514
  • Downside SD
    0.12788
  • N nonnegative terms
    1633.00000
  • N negative terms
    1285.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2918.00000
  • Mean of predictor
    0.10421
  • Mean of criterion
    0.18798
  • SD of predictor
    0.17236
  • SD of criterion
    0.18572
  • Covariance
    0.00181
  • r
    0.05652
  • b (slope, estimate of beta)
    0.06090
  • a (intercept, estimate of alpha)
    0.18200
  • Mean Square Error
    0.03439
  • DF error
    2916.00000
  • t(b)
    3.05689
  • p(b)
    0.00113
  • t(a)
    3.26620
  • p(a)
    0.00055
  • Lowerbound of 95% confidence interval for beta
    0.02184
  • Upperbound of 95% confidence interval for beta
    0.09996
  • Lowerbound of 95% confidence interval for alpha
    0.07259
  • Upperbound of 95% confidence interval for alpha
    0.29067
  • Treynor index (mean / b)
    3.08671
  • Jensen alpha (a)
    0.18163
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17064
  • SD
    0.18584
  • Sharpe ratio (Glass type estimate)
    0.91822
  • Sharpe ratio (Hedges UMVUE)
    0.91798
  • df
    2917.00000
  • t
    3.06434
  • p
    0.00110
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33038
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50592
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50575
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31116
  • Upside Potential Ratio
    7.98692
  • Upside part of mean
    1.03948
  • Downside part of mean
    -0.86884
  • Upside SD
    0.13304
  • Downside SD
    0.13015
  • N nonnegative terms
    1633.00000
  • N negative terms
    1285.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2918.00000
  • Mean of predictor
    0.08927
  • Mean of criterion
    0.17064
  • SD of predictor
    0.17293
  • SD of criterion
    0.18584
  • Covariance
    0.00183
  • r
    0.05702
  • b (slope, estimate of beta)
    0.06127
  • a (intercept, estimate of alpha)
    0.16517
  • Mean Square Error
    0.03444
  • DF error
    2916.00000
  • t(b)
    3.08391
  • p(b)
    0.00103
  • t(a)
    2.96892
  • p(a)
    0.00151
  • Lowerbound of 95% confidence interval for beta
    0.02232
  • Upperbound of 95% confidence interval for beta
    0.10023
  • Lowerbound of 95% confidence interval for alpha
    0.05609
  • Upperbound of 95% confidence interval for alpha
    0.27426
  • Treynor index (mean / b)
    2.78496
  • Jensen alpha (a)
    0.16517
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01807
  • Expected Shortfall on VaR
    0.02276
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00685
  • Expected Shortfall on VaR
    0.01461
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2918.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99663
  • Median
    1.00081
  • Quartile 3
    1.00535
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98807
  • Mean of quarter 2
    0.99910
  • Mean of quarter 3
    1.00277
  • Mean of quarter 4
    1.01336
  • Inter Quartile Range
    0.00872
  • Number outliers low
    137.00000
  • Percentage of outliers low
    0.04695
  • Mean of outliers low
    0.97196
  • Number of outliers high
    137.00000
  • Percentage of outliers high
    0.04695
  • Mean of outliers high
    1.02902
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24820
  • VaR(95%) (moments method)
    0.01025
  • Expected Shortfall (moments method)
    0.01714
  • Extreme Value Index (regression method)
    0.15637
  • VaR(95%) (regression method)
    0.01109
  • Expected Shortfall (regression method)
    0.01751
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    75.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00808
  • Median
    0.03090
  • Quartile 3
    0.07148
  • Maximum
    0.21989
  • Mean of quarter 1
    0.00346
  • Mean of quarter 2
    0.01856
  • Mean of quarter 3
    0.05071
  • Mean of quarter 4
    0.11223
  • Inter Quartile Range
    0.06340
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02667
  • Mean of outliers high
    0.20356
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00146
  • VaR(95%) (moments method)
    0.11900
  • Expected Shortfall (moments method)
    0.14841
  • Extreme Value Index (regression method)
    0.07888
  • VaR(95%) (regression method)
    0.10724
  • Expected Shortfall (regression method)
    0.13184
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.72980
  • Compounded annual return (geometric extrapolation)
    0.21963
  • Calmar ratio (compounded annual return / max draw down)
    0.99884
  • Compounded annual return / average of 25% largest draw downs
    1.95710
  • Compounded annual return / Expected Shortfall lognormal
    9.65022
  • 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
    0.12129
  • SD
    0.21236
  • Sharpe ratio (Glass type estimate)
    0.57115
  • Sharpe ratio (Hedges UMVUE)
    0.56785
  • df
    130.00000
  • t
    0.40387
  • p
    0.48230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20261
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.34274
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.20481
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.34052
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84663
  • Upside Potential Ratio
    8.43471
  • Upside part of mean
    1.20836
  • Downside part of mean
    -1.08707
  • Upside SD
    0.15584
  • Downside SD
    0.14326
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25831
  • Mean of criterion
    0.12129
  • SD of predictor
    0.13633
  • SD of criterion
    0.21236
  • Covariance
    0.01164
  • r
    0.40222
  • b (slope, estimate of beta)
    0.62655
  • a (intercept, estimate of alpha)
    -0.04056
  • Mean Square Error
    0.03809
  • DF error
    129.00000
  • t(b)
    4.98983
  • p(b)
    0.25102
  • t(a)
    -0.14593
  • p(a)
    0.50818
  • Lowerbound of 95% confidence interval for beta
    0.37811
  • Upperbound of 95% confidence interval for beta
    0.87498
  • Lowerbound of 95% confidence interval for alpha
    -0.59043
  • Upperbound of 95% confidence interval for alpha
    0.50931
  • Treynor index (mean / b)
    0.19358
  • Jensen alpha (a)
    -0.04056
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09897
  • SD
    0.21175
  • Sharpe ratio (Glass type estimate)
    0.46737
  • Sharpe ratio (Hedges UMVUE)
    0.46467
  • df
    130.00000
  • t
    0.33048
  • p
    0.48551
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.30586
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30771
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23705
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68215
  • Upside Potential Ratio
    8.24607
  • Upside part of mean
    1.19636
  • Downside part of mean
    -1.09739
  • Upside SD
    0.15325
  • Downside SD
    0.14508
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24893
  • Mean of criterion
    0.09897
  • SD of predictor
    0.13650
  • SD of criterion
    0.21175
  • Covariance
    0.01182
  • r
    0.40893
  • b (slope, estimate of beta)
    0.63440
  • a (intercept, estimate of alpha)
    -0.05895
  • Mean Square Error
    0.03763
  • DF error
    129.00000
  • t(b)
    5.08962
  • p(b)
    0.24711
  • t(a)
    -0.21353
  • p(a)
    0.51197
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.38778
  • Upperbound of 95% confidence interval for beta
    0.88101
  • Lowerbound of 95% confidence interval for alpha
    -0.60520
  • Upperbound of 95% confidence interval for alpha
    0.48729
  • Treynor index (mean / b)
    0.15600
  • Jensen alpha (a)
    -0.05895
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02092
  • Expected Shortfall on VaR
    0.02624
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00849
  • Expected Shortfall on VaR
    0.01740
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96329
  • Quartile 1
    0.99581
  • Median
    1.00107
  • Quartile 3
    1.00538
  • Maximum
    1.06152
  • Mean of quarter 1
    0.98511
  • Mean of quarter 2
    0.99883
  • Mean of quarter 3
    1.00291
  • Mean of quarter 4
    1.01550
  • Inter Quartile Range
    0.00958
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97137
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.03399
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.30999
  • VaR(95%) (moments method)
    0.01207
  • Expected Shortfall (moments method)
    0.01497
  • Extreme Value Index (regression method)
    -0.39692
  • VaR(95%) (regression method)
    0.01778
  • Expected Shortfall (regression method)
    0.02207
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00508
  • Quartile 1
    0.00875
  • Median
    0.02131
  • Quartile 3
    0.04289
  • Maximum
    0.16180
  • Mean of quarter 1
    0.00548
  • Mean of quarter 2
    0.01447
  • Mean of quarter 3
    0.02800
  • Mean of quarter 4
    0.11776
  • Inter Quartile Range
    0.03413
  • 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
    0.12500
  • Mean of outliers high
    0.16180
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -378608000
  • Max Equity Drawdown (num days)
    199
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13098
  • Compounded annual return (geometric extrapolation)
    0.13528
  • Calmar ratio (compounded annual return / max draw down)
    0.83604
  • Compounded annual return / average of 25% largest draw downs
    1.14875
  • Compounded annual return / Expected Shortfall lognormal
    5.15437

Strategy Description

Combines the art of trading the most explosive breakouts the market has to offer with the science of turtle trader position sizing and risk management.


What to expect:

Every day, I run stock scans that comb through 10,000 stocks to find just one or two that are ready to move right now.

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

The system buys strong, liquid US stocks and ETFs, and short sells the weakest. Losses are cut very short, which contributes to a lower win rate.


Frequently asked questions:

Where can I learn more about your strategy?

I send out a newsletter each Sunday that discusses Trend Following trading and my thoughts on the market. By joining my system, you will receive this newsletter at no extra cost.

Does this system need to be auto-traded?

No. Most signals will be sent out after the market has closed, 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. The portfolio of stocks held contains longs and shorts, potentially lowering the correlation to the S&P 500.


Do you use leverage?

Rarely, but yes during strongly trending markets.


Do you use stops?

No, trades are exited based on end of day closing prices.

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 17 years of intensive study.


What will happen during bear markets?

I can short stocks and ETFs, so the system is not dependant on a rising stock market. The system is more likely to struggle during a choppy, range bound market.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-07-07
Suggested Minimum Capital
$40,000
# Trades
3635
# Profitable
1331
% Profitable
36.6%
Net Dividends
$176,440
Correlation S&P500
0.056
Sharpe Ratio
0.75
Sortino Ratio
1.11
Beta
0.07
Alpha
0.05
Leverage
1.88 Average
13.66 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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 notional 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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Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

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Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.