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The Momentum of Now
(75800796)

Created by: Danny Danny
Started: 08/2012
Stocks
Last trade: 2 days ago

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.

26.3%
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.

(24.1%)
Max Drawdown
1394
Num Trades
35.7%
Win Trades
1.5 : 1
Profit Factor
56.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.9%+7.6%+1.0%+1.6%(0.4%)+14.1%
2013+13.8%+0.7%+9.1%(1.6%)+0.1%(5.4%)(2.6%)(2.3%)+22.0%+8.2%+20.9%(0.5%)+75.9%
2014+10.3%(2.2%)(2.2%)(3%)+1.4%(1.2%)(8.4%)+4.2%(0.6%)+2.8%+3.2%+2.5%+5.6%
2015(1.2%)+7.0%+4.6%(5.4%)+20.3%+2.7%+17.4%(4.1%)+3.6%(1.8%)+2.6%+1.8%+54.4%
2016(0.2%)(4.8%)(5.3%)+3.8%(3.9%)+3.4%(0.5%)+0.7%+1.8%+0.5%+9.2%(2.4%)+1.3%
2017(2%)+8.6%+1.0%+5.3%+10.4%(7.2%)+6.9%+6.6%+2.7%+2.6%(3%)(1.3%)+33.1%
2018+9.0%(1.4%)+1.2%(2.6%)+15.5%(2.2%)(5.6%)+7.9%(4.9%)(7.4%)(0.4%)+0.5%+7.4%
2019  -  +4.1%(3.9%)+1.2%                                                +1.2%

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 2,233 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/11/19 9:30 LSCC LATTICE SEMICONDUCTOR LONG 1,174 13.22 4/17 9:58 12.37 0.2%
Trade id #123280016
Max drawdown($1,001)
Time4/17/19 9:58
Quant open0
Worst price12.37
Drawdown as % of equity-0.20%
($1,006)
Includes Typical Broker Commissions trade costs of $5.00
3/26/19 9:30 EHTH EHEALTH LONG 277 63.41 4/17 9:43 54.81 0.46%
Trade id #123073565
Max drawdown($2,384)
Time4/17/19 9:43
Quant open0
Worst price54.80
Drawdown as % of equity-0.46%
($2,390)
Includes Typical Broker Commissions trade costs of $5.54
10/8/18 10:23 FTSM FIRST TRUST EXCHANGE-TRADED FU LONG 2,077 60.03 4/16/19 9:30 60.03 0.02%
Trade id #120232253
Max drawdown($124)
Time3/29/19 9:56
Quant open2,077
Worst price59.97
Drawdown as % of equity-0.02%
($5)
Includes Typical Broker Commissions trade costs of $5.00
4/11/19 9:30 AMRN AMARIN LONG 470 19.51 4/12 9:30 18.91 0.09%
Trade id #123280060
Max drawdown($479)
Time4/11/19 12:28
Quant open470
Worst price18.49
Drawdown as % of equity-0.09%
($291)
Includes Typical Broker Commissions trade costs of $9.40
4/9/19 9:30 ARGX ARGENX SE AMERICAN DEPOSITARY SHARES LONG 142 129.15 4/10 9:30 127.17 0.08%
Trade id #123252306
Max drawdown($402)
Time4/9/19 15:33
Quant open142
Worst price126.31
Drawdown as % of equity-0.08%
($284)
Includes Typical Broker Commissions trade costs of $2.84
4/5/19 9:30 IPAR INTER PARFUMS LONG 644 76.40 4/10 9:30 74.30 0.32%
Trade id #123217546
Max drawdown($1,627)
Time4/9/19 14:44
Quant open644
Worst price73.87
Drawdown as % of equity-0.32%
($1,357)
Includes Typical Broker Commissions trade costs of $5.00
4/1/19 9:30 AMRN AMARIN LONG 390 20.71 4/9 9:30 19.47 0.12%
Trade id #123150255
Max drawdown($592)
Time4/4/19 12:44
Quant open390
Worst price19.19
Drawdown as % of equity-0.12%
($492)
Includes Typical Broker Commissions trade costs of $7.80
4/5/19 9:30 ASND ASCENDIS PHARMA A/S AMERICAN D LONG 178 118.23 4/9 9:30 113.70 0.25%
Trade id #123217608
Max drawdown($1,278)
Time4/8/19 10:48
Quant open178
Worst price111.05
Drawdown as % of equity-0.25%
($810)
Includes Typical Broker Commissions trade costs of $3.56
4/8/19 9:30 RETA REATA PHARMACEUTICALS INC. CLASS A COMMON STOCK LONG 120 90.17 4/9 9:30 87.73 0.1%
Trade id #123237406
Max drawdown($494)
Time4/8/19 14:52
Quant open120
Worst price86.05
Drawdown as % of equity-0.10%
($295)
Includes Typical Broker Commissions trade costs of $2.40
4/1/19 9:30 ZEN ZENDESK INC LONG 212 86.01 4/5 9:30 82.53 0.25%
Trade id #123150235
Max drawdown($1,242)
Time4/4/19 12:48
Quant open212
Worst price80.15
Drawdown as % of equity-0.25%
($742)
Includes Typical Broker Commissions trade costs of $4.24
4/4/19 9:30 SE SEA LTD ADS LONG 1,087 23.34 4/5 9:30 22.23 0.32%
Trade id #123198905
Max drawdown($1,641)
Time4/4/19 12:41
Quant open1,087
Worst price21.83
Drawdown as % of equity-0.32%
($1,212)
Includes Typical Broker Commissions trade costs of $5.00
3/29/19 9:30 FIVE FIVE BELOW INC LONG 140 130.11 4/1 9:47 122.41 0.21%
Trade id #123125006
Max drawdown($1,078)
Time4/1/19 9:47
Quant open0
Worst price122.41
Drawdown as % of equity-0.21%
($1,081)
Includes Typical Broker Commissions trade costs of $2.80
3/25/19 9:30 SLB SCHLUMBERGER SHORT 484 41.76 3/29 9:30 44.35 0.25%
Trade id #123056327
Max drawdown($1,254)
Time3/29/19 9:30
Quant open0
Worst price44.35
Drawdown as % of equity-0.25%
($1,264)
Includes Typical Broker Commissions trade costs of $9.68
3/18/19 9:30 OIS OIL STATES INTERNATIONAL SHORT 744 15.69 3/29 9:30 16.94 0.18%
Trade id #122950351
Max drawdown($930)
Time3/29/19 9:30
Quant open0
Worst price16.94
Drawdown as % of equity-0.18%
($935)
Includes Typical Broker Commissions trade costs of $5.00
3/11/19 9:30 NVTA INVITAE CORP LONG 829 21.30 3/28 9:30 22.52 0.06%
Trade id #122862123
Max drawdown($306)
Time3/11/19 10:04
Quant open829
Worst price20.93
Drawdown as % of equity-0.06%
$1,006
Includes Typical Broker Commissions trade costs of $5.00
2/25/19 9:31 CDNA CAREDX INC LONG 758 32.66 3/28 9:30 33.65 0.11%
Trade id #122666358
Max drawdown($586)
Time2/25/19 10:05
Quant open307
Worst price28.05
Drawdown as % of equity-0.11%
$739
Includes Typical Broker Commissions trade costs of $10.08
2/13/19 9:30 TNDM TANDEM DIABETES CARE INC. COM LONG 209 47.00 3/28 9:30 63.49 n/a $3,442
Includes Typical Broker Commissions trade costs of $4.18
3/27/19 9:30 IRDM IRIDIUM COMMUNICATIONS LONG 1,086 27.20 3/27 11:51 25.20 0.43%
Trade id #123094855
Max drawdown($2,172)
Time3/27/19 11:51
Quant open0
Worst price25.20
Drawdown as % of equity-0.43%
($2,177)
Includes Typical Broker Commissions trade costs of $5.00
3/8/19 9:30 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 115 185.71 3/27 9:30 187.71 0.09%
Trade id #122833765
Max drawdown($484)
Time3/8/19 9:32
Quant open115
Worst price181.50
Drawdown as % of equity-0.09%
$228
Includes Typical Broker Commissions trade costs of $2.30
1/28/19 9:30 ENPH ENPHASE ENERGY LONG 1,393 6.64 3/27 9:30 8.74 n/a $2,920
Includes Typical Broker Commissions trade costs of $5.00
3/20/19 9:30 MOH MOLINA HEALTHCARE LONG 111 145.60 3/26 10:32 135.98 0.21%
Trade id #122987682
Max drawdown($1,067)
Time3/26/19 10:32
Quant open0
Worst price135.98
Drawdown as % of equity-0.21%
($1,069)
Includes Typical Broker Commissions trade costs of $2.22
3/22/19 9:30 PETS PETMED EXPRESS SHORT 678 20.50 3/26 9:32 22.12 0.21%
Trade id #123028791
Max drawdown($1,099)
Time3/26/19 9:32
Quant open0
Worst price22.12
Drawdown as % of equity-0.21%
($1,104)
Includes Typical Broker Commissions trade costs of $5.00
2/5/19 9:30 IPAR INTER PARFUMS LONG 261 66.65 3/25 9:30 74.99 n/a $2,172
Includes Typical Broker Commissions trade costs of $5.22
3/8/19 9:30 SPSC SPS COMMERCE LONG 329 107.03 3/25 9:30 104.50 0.16%
Trade id #122833830
Max drawdown($831)
Time3/25/19 9:30
Quant open0
Worst price104.50
Drawdown as % of equity-0.16%
($838)
Includes Typical Broker Commissions trade costs of $6.58
3/22/19 9:30 ARWR ARROWHEAD PHARMACEUTICALS INC. LONG 644 18.96 3/25 9:30 17.71 0.16%
Trade id #123028845
Max drawdown($805)
Time3/25/19 9:30
Quant open0
Worst price17.71
Drawdown as % of equity-0.16%
($810)
Includes Typical Broker Commissions trade costs of $5.00
3/20/19 9:30 EOLS EVOLUS INC. COMMON STOCK LONG 258 26.74 3/25 9:30 23.80 0.16%
Trade id #122987747
Max drawdown($835)
Time3/25/19 8:01
Quant open258
Worst price23.50
Drawdown as % of equity-0.16%
($764)
Includes Typical Broker Commissions trade costs of $5.16
1/7/19 9:30 WK WORKIVA INC LONG 316 36.77 3/25 9:30 46.86 n/a $3,182
Includes Typical Broker Commissions trade costs of $6.32
2/19/19 9:30 CLAR CLARUS CORP LONG 1,509 11.46 3/25 9:30 11.53 0%
Trade id #122583550
Max drawdown$0
Time2/26/19 12:59
Quant open1,509
Worst price11.46
Drawdown as % of equity0.00%
$101
Includes Typical Broker Commissions trade costs of $5.00
2/14/19 9:30 ETSY ETSY INC. COMMON STOCK LONG 198 54.16 3/25 9:30 66.02 n/a $2,344
Includes Typical Broker Commissions trade costs of $3.96
3/13/19 9:30 CSII CARDIOVASCULAR SYSTEMS LONG 780 41.68 3/22 15:35 38.58 0.46%
Trade id #122891571
Max drawdown($2,419)
Time3/22/19 15:35
Quant open0
Worst price38.58
Drawdown as % of equity-0.46%
($2,424)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2448.69
  • Age
    82 months ago
  • What it trades
    Stocks
  • # Trades
    1394
  • # Profitable
    498
  • % Profitable
    35.70%
  • Avg trade duration
    31.2 days
  • Max peak-to-valley drawdown
    24.06%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    26.3%
  • Avg win
    $2,697
  • Avg loss
    $1,091
  • Model Account Values (Raw)
  • Cash
    $143,974
  • Margin Used
    $11,966
  • Buying Power
    $165,671
  • Ratios
  • W:L ratio
    1.47:1
  • Sharpe Ratio
    1.306
  • Sortino Ratio
    1.908
  • Calmar Ratio
    1.421
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.18500
  • Return Statistics
  • Ann Return (w trading costs)
    26.3%
  • Ann Return (Compnd, No Fees)
    27.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.00%
  • Chance of 20% account loss
    24.00%
  • Chance of 30% account loss
    8.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    710
  • Popularity (Last 6 weeks)
    983
  • C2 Score
    95.1
  • 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
    $1,091
  • Avg Win
    $2,698
  • # Winners
    498
  • # Losers
    896
  • % Winners
    35.7%
  • Frequency
  • Avg Position Time (mins)
    44872.10
  • Avg Position Time (hrs)
    747.87
  • Avg Trade Length
    31.2 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24725
  • SD
    0.23997
  • Sharpe ratio (Glass type estimate)
    1.03032
  • Sharpe ratio (Hedges UMVUE)
    1.02038
  • df
    78.00000
  • t
    2.64360
  • p
    0.00496
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24641
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80793
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80086
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.34681
  • Upside Potential Ratio
    4.11855
  • Upside part of mean
    0.43392
  • Downside part of mean
    -0.18666
  • Upside SD
    0.22551
  • Downside SD
    0.10536
  • N nonnegative terms
    46.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.08601
  • Mean of criterion
    0.24725
  • SD of predictor
    0.12110
  • SD of criterion
    0.23997
  • Covariance
    0.00283
  • r
    0.09743
  • b (slope, estimate of beta)
    0.19307
  • a (intercept, estimate of alpha)
    0.23065
  • Mean Square Error
    0.05778
  • DF error
    77.00000
  • t(b)
    0.85904
  • p(b)
    0.19649
  • t(a)
    2.41112
  • p(a)
    0.00914
  • Lowerbound of 95% confidence interval for beta
    -0.25446
  • Upperbound of 95% confidence interval for beta
    0.64060
  • Lowerbound of 95% confidence interval for alpha
    0.04016
  • Upperbound of 95% confidence interval for alpha
    0.42113
  • Treynor index (mean / b)
    1.28065
  • Jensen alpha (a)
    0.23065
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21809
  • SD
    0.22774
  • Sharpe ratio (Glass type estimate)
    0.95764
  • Sharpe ratio (Hedges UMVUE)
    0.94841
  • df
    78.00000
  • t
    2.45712
  • p
    0.00811
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17622
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73317
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17016
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72665
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99376
  • Upside Potential Ratio
    3.74950
  • Upside part of mean
    0.41015
  • Downside part of mean
    -0.19206
  • Upside SD
    0.20786
  • Downside SD
    0.10939
  • N nonnegative terms
    46.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.07830
  • Mean of criterion
    0.21809
  • SD of predictor
    0.12129
  • SD of criterion
    0.22774
  • Covariance
    0.00282
  • r
    0.10212
  • b (slope, estimate of beta)
    0.19176
  • a (intercept, estimate of alpha)
    0.20308
  • Mean Square Error
    0.05199
  • DF error
    77.00000
  • t(b)
    0.90085
  • p(b)
    0.18524
  • t(a)
    2.24603
  • p(a)
    0.01378
  • Lowerbound of 95% confidence interval for beta
    -0.23211
  • Upperbound of 95% confidence interval for beta
    0.61563
  • Lowerbound of 95% confidence interval for alpha
    0.02304
  • Upperbound of 95% confidence interval for alpha
    0.38312
  • Treynor index (mean / b)
    1.13732
  • Jensen alpha (a)
    0.20308
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08603
  • Expected Shortfall on VaR
    0.11054
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03212
  • Expected Shortfall on VaR
    0.06299
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    79.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97812
  • Median
    1.01873
  • Quartile 3
    1.05088
  • Maximum
    1.27878
  • Mean of quarter 1
    0.94964
  • Mean of quarter 2
    0.99675
  • Mean of quarter 3
    1.03604
  • Mean of quarter 4
    1.10996
  • Inter Quartile Range
    0.07277
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05063
  • Mean of outliers high
    1.22021
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20074
  • VaR(95%) (moments method)
    0.05157
  • Expected Shortfall (moments method)
    0.07902
  • Extreme Value Index (regression method)
    -0.00564
  • VaR(95%) (regression method)
    0.05358
  • Expected Shortfall (regression method)
    0.07300
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00377
  • Quartile 1
    0.02099
  • Median
    0.04039
  • Quartile 3
    0.11403
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01292
  • Mean of quarter 2
    0.03641
  • Mean of quarter 3
    0.08995
  • Mean of quarter 4
    0.14898
  • Inter Quartile Range
    0.09304
  • 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)
    -3.03640
  • VaR(95%) (moments method)
    0.15347
  • Expected Shortfall (moments method)
    0.15376
  • Extreme Value Index (regression method)
    -0.63735
  • VaR(95%) (regression method)
    0.16554
  • Expected Shortfall (regression method)
    0.17538
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.61527
  • Compounded annual return (geometric extrapolation)
    0.27890
  • Calmar ratio (compounded annual return / max draw down)
    1.65020
  • Compounded annual return / average of 25% largest draw downs
    1.87207
  • Compounded annual return / Expected Shortfall lognormal
    2.52310
  • 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
    0.23324
  • SD
    0.17855
  • Sharpe ratio (Glass type estimate)
    1.30627
  • Sharpe ratio (Hedges UMVUE)
    1.30571
  • df
    1741.00000
  • t
    3.36827
  • p
    0.44883
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54475
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06743
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06705
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90826
  • Upside Potential Ratio
    9.18354
  • Upside part of mean
    1.12248
  • Downside part of mean
    -0.88924
  • Upside SD
    0.13089
  • Downside SD
    0.12223
  • N nonnegative terms
    976.00000
  • N negative terms
    766.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1742.00000
  • Mean of predictor
    0.09080
  • Mean of criterion
    0.23324
  • SD of predictor
    0.12858
  • SD of criterion
    0.17855
  • Covariance
    0.00403
  • r
    0.17562
  • b (slope, estimate of beta)
    0.24388
  • a (intercept, estimate of alpha)
    0.21100
  • Mean Square Error
    0.03092
  • DF error
    1740.00000
  • t(b)
    7.44136
  • p(b)
    0.41219
  • t(a)
    3.09277
  • p(a)
    0.46303
  • Lowerbound of 95% confidence interval for beta
    0.17960
  • Upperbound of 95% confidence interval for beta
    0.30816
  • Lowerbound of 95% confidence interval for alpha
    0.07723
  • Upperbound of 95% confidence interval for alpha
    0.34497
  • Treynor index (mean / b)
    0.95637
  • Jensen alpha (a)
    0.21110
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21718
  • SD
    0.17868
  • Sharpe ratio (Glass type estimate)
    1.21547
  • Sharpe ratio (Hedges UMVUE)
    1.21495
  • df
    1741.00000
  • t
    3.13414
  • p
    0.45236
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97650
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45377
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97612
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.75384
  • Upside Potential Ratio
    8.99559
  • Upside part of mean
    1.11392
  • Downside part of mean
    -0.89674
  • Upside SD
    0.12944
  • Downside SD
    0.12383
  • N nonnegative terms
    976.00000
  • N negative terms
    766.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1742.00000
  • Mean of predictor
    0.08250
  • Mean of criterion
    0.21718
  • SD of predictor
    0.12874
  • SD of criterion
    0.17868
  • Covariance
    0.00405
  • r
    0.17616
  • b (slope, estimate of beta)
    0.24450
  • a (intercept, estimate of alpha)
    0.19701
  • Mean Square Error
    0.03095
  • DF error
    1740.00000
  • t(b)
    7.46492
  • p(b)
    0.41192
  • t(a)
    2.88511
  • p(a)
    0.46550
  • Lowerbound of 95% confidence interval for beta
    0.18026
  • Upperbound of 95% confidence interval for beta
    0.30874
  • Lowerbound of 95% confidence interval for alpha
    0.06308
  • Upperbound of 95% confidence interval for alpha
    0.33093
  • Treynor index (mean / b)
    0.88826
  • Jensen alpha (a)
    0.19701
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01718
  • Expected Shortfall on VaR
    0.02169
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00713
  • Expected Shortfall on VaR
    0.01477
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1742.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99630
  • Median
    1.00098
  • Quartile 3
    1.00612
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98787
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00328
  • Mean of quarter 4
    1.01395
  • Inter Quartile Range
    0.00983
  • Number outliers low
    78.00000
  • Percentage of outliers low
    0.04478
  • Mean of outliers low
    0.97330
  • Number of outliers high
    71.00000
  • Percentage of outliers high
    0.04076
  • Mean of outliers high
    1.02777
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24325
  • VaR(95%) (moments method)
    0.01088
  • Expected Shortfall (moments method)
    0.01800
  • Extreme Value Index (regression method)
    0.10224
  • VaR(95%) (regression method)
    0.01123
  • Expected Shortfall (regression method)
    0.01688
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00341
  • Median
    0.01360
  • Quartile 3
    0.03963
  • Maximum
    0.19548
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.00842
  • Mean of quarter 3
    0.02456
  • Mean of quarter 4
    0.10969
  • Inter Quartile Range
    0.03622
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10769
  • Mean of outliers high
    0.15557
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.17061
  • VaR(95%) (moments method)
    0.09753
  • Expected Shortfall (moments method)
    0.10325
  • Extreme Value Index (regression method)
    -0.84550
  • VaR(95%) (regression method)
    0.08752
  • Expected Shortfall (regression method)
    0.09483
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.61687
  • Compounded annual return (geometric extrapolation)
    0.27773
  • Calmar ratio (compounded annual return / max draw down)
    1.42076
  • Compounded annual return / average of 25% largest draw downs
    2.53202
  • Compounded annual return / Expected Shortfall lognormal
    12.80230
  • 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
    0.00366
  • SD
    0.08222
  • Sharpe ratio (Glass type estimate)
    0.04450
  • Sharpe ratio (Hedges UMVUE)
    0.04425
  • df
    130.00000
  • t
    0.03147
  • p
    0.49862
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.72731
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81632
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.72756
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81606
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06006
  • Upside Potential Ratio
    7.45334
  • Upside part of mean
    0.45412
  • Downside part of mean
    -0.45046
  • Upside SD
    0.05474
  • Downside SD
    0.06093
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05606
  • Mean of criterion
    0.00366
  • SD of predictor
    0.18455
  • SD of criterion
    0.08222
  • Covariance
    0.00091
  • r
    0.05976
  • b (slope, estimate of beta)
    0.02662
  • a (intercept, estimate of alpha)
    0.00217
  • Mean Square Error
    0.00679
  • DF error
    129.00000
  • t(b)
    0.67992
  • p(b)
    0.46198
  • t(a)
    0.01859
  • p(a)
    0.49896
  • Lowerbound of 95% confidence interval for beta
    -0.05085
  • Upperbound of 95% confidence interval for beta
    0.10410
  • Lowerbound of 95% confidence interval for alpha
    -0.22842
  • Upperbound of 95% confidence interval for alpha
    0.23275
  • Treynor index (mean / b)
    0.13744
  • Jensen alpha (a)
    0.00217
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00030
  • SD
    0.08229
  • Sharpe ratio (Glass type estimate)
    0.00366
  • Sharpe ratio (Hedges UMVUE)
    0.00364
  • df
    130.00000
  • t
    0.00259
  • p
    0.49989
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.76815
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77547
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.76817
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77544
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00491
  • Upside Potential Ratio
    7.38500
  • Upside part of mean
    0.45259
  • Downside part of mean
    -0.45229
  • Upside SD
    0.05444
  • Downside SD
    0.06128
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03917
  • Mean of criterion
    0.00030
  • SD of predictor
    0.18438
  • SD of criterion
    0.08229
  • Covariance
    0.00092
  • r
    0.06053
  • b (slope, estimate of beta)
    0.02701
  • a (intercept, estimate of alpha)
    -0.00076
  • Mean Square Error
    0.00680
  • DF error
    129.00000
  • t(b)
    0.68870
  • p(b)
    0.46149
  • t(a)
    -0.00649
  • p(a)
    0.50036
  • Lowerbound of 95% confidence interval for beta
    -0.05059
  • Upperbound of 95% confidence interval for beta
    0.10461
  • Lowerbound of 95% confidence interval for alpha
    -0.23150
  • Upperbound of 95% confidence interval for alpha
    0.22998
  • Treynor index (mean / b)
    0.01114
  • Jensen alpha (a)
    -0.00076
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00833
  • Expected Shortfall on VaR
    0.01043
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00364
  • Expected Shortfall on VaR
    0.00747
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98258
  • Quartile 1
    0.99805
  • Median
    1.00077
  • Quartile 3
    1.00223
  • Maximum
    1.01990
  • Mean of quarter 1
    0.99398
  • Mean of quarter 2
    0.99951
  • Mean of quarter 3
    1.00154
  • Mean of quarter 4
    1.00549
  • Inter Quartile Range
    0.00418
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98697
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.01186
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20947
  • VaR(95%) (moments method)
    0.00547
  • Expected Shortfall (moments method)
    0.00875
  • Extreme Value Index (regression method)
    -0.06793
  • VaR(95%) (regression method)
    0.00581
  • Expected Shortfall (regression method)
    0.00792
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00227
  • Quartile 1
    0.01226
  • Median
    0.02621
  • Quartile 3
    0.02786
  • Maximum
    0.05211
  • Mean of quarter 1
    0.00506
  • Mean of quarter 2
    0.02545
  • Mean of quarter 3
    0.02698
  • Mean of quarter 4
    0.04013
  • Inter Quartile Range
    0.01560
  • 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
    0.16667
  • Mean of outliers high
    0.05211
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02841
  • Compounded annual return (geometric extrapolation)
    0.02861
  • Calmar ratio (compounded annual return / max draw down)
    0.54898
  • Compounded annual return / average of 25% largest draw downs
    0.71289
  • Compounded annual return / Expected Shortfall lognormal
    2.74328

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.

For more information on my trading style, please visit Twitter.com/ChartingTrends


Frequently asked questions:

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.


Do you use stops?

Yes. All signals come with a stop loss order attached.


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.


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.

Summary Statistics

Strategy began
2012-08-04
Suggested Minimum Capital
$35,000
# Trades
1394
# Profitable
498
% Profitable
35.7%
Net Dividends
Correlation S&P500
0.185
Sharpe Ratio
1.306

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.