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Dutch Swingtrader
(96195601)

Created by: DutchVolatrader DutchVolatrader
Started: 07/2015
Stocks
Last trade: 97 days ago
Trading style: Equity Short-term Reversal

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 $69.00 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
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
2.7%
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.

(15.3%)
Max Drawdown
298
Num Trades
65.1%
Win Trades
1.3 : 1
Profit Factor
54.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                            -  (1.8%)(6.2%)+11.5%+1.7%(4.9%)(0.6%)
2016(1.3%)+3.2%+0.1%(1.6%)(3.1%)+1.3%+0.9%(2.1%)+3.9%+1.3%+3.8%+2.0%+8.4%
2017(2.1%)+0.9%+1.8%+1.6%+0.6%+1.0%+1.0%+2.5%(6.4%)+1.8%+1.3%+0.9%+4.6%
2018(0.9%)(0.6%)+1.7%(0.9%)  -  +0.1%+1.5%+3.2%(0.1%)(4.8%)+0.7%(0.3%)(0.6%)
2019(1.4%)+0.9%+0.9%(0.2%)(0.5%)  -    -    -                          (0.4%)

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.

Trading Record

This strategy has placed 5 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/8/19 9:30 SPY SPDR S&P 500 LONG 118 287.53 5/17 9:30 285.14 0.79%
Trade id #123571828
Max drawdown($919)
Time5/13/19 18:02
Quant open118
Worst price279.74
Drawdown as % of equity-0.79%
($284)
Includes Typical Broker Commissions trade costs of $2.36
5/9/19 9:30 XLF FINANCIAL SELECT SECTOR SPDR LONG 166 27.03 5/17 9:30 26.79 0.07%
Trade id #123587934
Max drawdown($84)
Time5/15/19 10:12
Quant open166
Worst price26.52
Drawdown as % of equity-0.07%
($43)
Includes Typical Broker Commissions trade costs of $3.32
5/9/19 9:30 QQQ POWERSHARES QQQ LONG 24 183.76 5/17 9:30 183.10 0.13%
Trade id #123587931
Max drawdown($148)
Time5/13/19 18:02
Quant open24
Worst price177.56
Drawdown as % of equity-0.13%
($16)
Includes Typical Broker Commissions trade costs of $0.48
5/2/19 9:31 QQQ POWERSHARES QQQ LONG 60 189.37 5/6 9:31 187.10 0.14%
Trade id #123503804
Max drawdown($161)
Time5/6/19 5:07
Quant open60
Worst price186.68
Drawdown as % of equity-0.14%
($137)
Includes Typical Broker Commissions trade costs of $1.20
5/2/19 9:31 SPY SPDR S&P 500 LONG 117 291.68 5/6 9:31 289.25 0.35%
Trade id #123503812
Max drawdown($410)
Time5/6/19 8:02
Quant open117
Worst price288.17
Drawdown as % of equity-0.35%
($286)
Includes Typical Broker Commissions trade costs of $2.34
4/8/19 10:12 SNH SENIOR HOUSING PROPERTIES LONG 960 8.98 5/3 9:30 8.14 0.92%
Trade id #123239050
Max drawdown($1,075)
Time4/22/19 11:52
Quant open960
Worst price7.86
Drawdown as % of equity-0.92%
($811)
Includes Typical Broker Commissions trade costs of $5.00
4/17/19 13:51 TMO THERMO FISHER SCIENTIFIC LONG 34 253.82 4/26 9:30 270.00 0.1%
Trade id #123347305
Max drawdown($112)
Time4/23/19 7:55
Quant open34
Worst price250.52
Drawdown as % of equity-0.10%
$549
Includes Typical Broker Commissions trade costs of $0.68
4/1/19 9:30 XLF FINANCIAL SELECT SECTOR SPDR SHORT 864 26.31 4/10 9:30 26.41 0.29%
Trade id #123150367
Max drawdown($337)
Time4/5/19 9:33
Quant open-864
Worst price26.70
Drawdown as % of equity-0.29%
($95)
Includes Typical Broker Commissions trade costs of $11.14
3/25/19 9:44 NUS NU SKIN ENTERPRISES LONG 184 46.00 4/2 9:30 49.41 0.26%
Trade id #123057127
Max drawdown($301)
Time3/25/19 9:57
Quant open184
Worst price44.36
Drawdown as % of equity-0.26%
$623
Includes Typical Broker Commissions trade costs of $3.68
3/20/19 14:00 EWW ISHARES MSCI MEXICO ETF SHORT 384 44.90 3/25 9:30 43.36 0.14%
Trade id #122998185
Max drawdown($166)
Time3/21/19 10:27
Quant open-384
Worst price45.33
Drawdown as % of equity-0.14%
$582
Includes Typical Broker Commissions trade costs of $7.68
3/19/19 9:30 ERX DIREXION DAILY ENERGY BULL 3X SHORT 438 23.51 3/25 9:30 21.79 0.25%
Trade id #122969008
Max drawdown($293)
Time3/20/19 15:24
Quant open-438
Worst price24.18
Drawdown as % of equity-0.25%
$744
Includes Typical Broker Commissions trade costs of $8.76
3/13/19 9:30 XLF FINANCIAL SELECT SECTOR SPDR SHORT 430 26.42 3/21 9:30 25.96 0.25%
Trade id #122891573
Max drawdown($290)
Time3/19/19 9:38
Quant open-430
Worst price27.10
Drawdown as % of equity-0.25%
$191
Includes Typical Broker Commissions trade costs of $8.60
2/22/19 9:30 UNIT UNIT GROUP INC LONG 910 9.35 3/13 9:30 8.73 1.02%
Trade id #122640115
Max drawdown($1,173)
Time3/8/19 12:39
Quant open910
Worst price8.06
Drawdown as % of equity-1.02%
($569)
Includes Typical Broker Commissions trade costs of $5.00
2/20/19 9:30 XLF FINANCIAL SELECT SECTOR SPDR SHORT 860 26.43 3/6 9:30 26.42 0.38%
Trade id #122599887
Max drawdown($436)
Time3/1/19 9:50
Quant open-860
Worst price26.94
Drawdown as % of equity-0.38%
($1)
Includes Typical Broker Commissions trade costs of $11.10
2/19/19 11:45 XME SPDR S&P METALS & MINING SHORT 545 31.62 2/28 9:30 31.46 0.37%
Trade id #122586895
Max drawdown($428)
Time2/25/19 8:37
Quant open-545
Worst price32.41
Drawdown as % of equity-0.37%
$81
Includes Typical Broker Commissions trade costs of $7.95
2/14/19 9:30 QQQ POWERSHARES QQQ SHORT 26 170.38 2/22 9:30 171.98 0.07%
Trade id #122522398
Max drawdown($75)
Time2/20/19 22:42
Quant open-26
Worst price173.29
Drawdown as % of equity-0.07%
($43)
Includes Typical Broker Commissions trade costs of $0.52
2/15/19 9:30 ERX DIREXION DAILY ENERGY BULL 3X SHORT 1,511 22.72 2/22 9:30 22.54 1.04%
Trade id #122541597
Max drawdown($1,189)
Time2/20/19 13:29
Quant open-1,511
Worst price23.51
Drawdown as % of equity-1.04%
$264
Includes Typical Broker Commissions trade costs of $12.66
2/14/19 9:30 XLF FINANCIAL SELECT SECTOR SPDR SHORT 174 26.00 2/15 9:30 26.09 0.03%
Trade id #122522463
Max drawdown($31)
Time2/15/19 8:47
Quant open-174
Worst price26.18
Drawdown as % of equity-0.03%
($19)
Includes Typical Broker Commissions trade costs of $3.48
2/11/19 10:31 EWZ ISHARES MSCI BRAZIL ETF LONG 158 42.20 2/13 9:30 43.58 0.02%
Trade id #122456573
Max drawdown($23)
Time2/11/19 11:10
Quant open158
Worst price42.05
Drawdown as % of equity-0.02%
$215
Includes Typical Broker Commissions trade costs of $3.16
2/1/19 9:30 QQQ POWERSHARES QQQ SHORT 135 168.56 2/8 9:30 166.73 0.33%
Trade id #122312837
Max drawdown($379)
Time2/6/19 9:34
Quant open-135
Worst price171.37
Drawdown as % of equity-0.33%
$244
Includes Typical Broker Commissions trade costs of $2.70
2/4/19 9:30 SPY SPDR S&P 500 SHORT 42 270.11 2/8 9:30 268.75 0.12%
Trade id #122340319
Max drawdown($139)
Time2/5/19 15:41
Quant open-42
Worst price273.44
Drawdown as % of equity-0.12%
$56
Includes Typical Broker Commissions trade costs of $0.84
2/5/19 9:30 XLF FINANCIAL SELECT SECTOR SPDR SHORT 174 26.21 2/8 9:30 25.66 n/a $93
Includes Typical Broker Commissions trade costs of $3.48
1/8/19 9:30 XLF FINANCIAL SELECT SECTOR SPDR SHORT 919 24.86 1/30 9:30 25.91 1.05%
Trade id #121840220
Max drawdown($1,204)
Time1/25/19 12:30
Quant open-919
Worst price26.17
Drawdown as % of equity-1.05%
($977)
Includes Typical Broker Commissions trade costs of $11.69
1/16/19 9:30 SPY SPDR S&P 500 SHORT 44 260.82 1/25 9:30 265.61 0.25%
Trade id #122003147
Max drawdown($274)
Time1/18/19 16:59
Quant open-44
Worst price267.05
Drawdown as % of equity-0.25%
($212)
Includes Typical Broker Commissions trade costs of $0.88
1/7/19 10:17 OIH VANECK VECTORS OIL SVCS ETF SHORT 2,141 16.08 1/24 9:30 16.38 2.27%
Trade id #121817572
Max drawdown($2,524)
Time1/18/19 16:00
Quant open-2,141
Worst price17.26
Drawdown as % of equity-2.27%
($652)
Includes Typical Broker Commissions trade costs of $11.98
1/9/19 9:39 EWW ISHARES MSCI MEXICO ETF SHORT 381 45.08 1/23 9:30 44.61 0.16%
Trade id #121867693
Max drawdown($181)
Time1/18/19 9:37
Quant open-381
Worst price45.56
Drawdown as % of equity-0.16%
$172
Includes Typical Broker Commissions trade costs of $7.62
1/9/19 9:30 ERX DIREXION DAILY ENERGY BULL 3X SHORT 1,781 19.63 1/23 9:30 19.57 2.12%
Trade id #121867167
Max drawdown($2,352)
Time1/18/19 19:01
Quant open-1,781
Worst price20.95
Drawdown as % of equity-2.12%
$94
Includes Typical Broker Commissions trade costs of $11.22
1/17/19 9:30 QQQ POWERSHARES QQQ SHORT 140 163.84 1/23 9:30 162.77 0.15%
Trade id #122028401
Max drawdown($166)
Time1/18/19 12:43
Quant open-70
Worst price166.02
Drawdown as % of equity-0.15%
$148
Includes Typical Broker Commissions trade costs of $2.80
1/9/19 12:22 XHB SPDR S&P HOMEBUILDERS SHORT 196 35.39 1/16 9:30 35.09 0.05%
Trade id #121876697
Max drawdown($54)
Time1/9/19 15:23
Quant open-196
Worst price35.67
Drawdown as % of equity-0.05%
$55
Includes Typical Broker Commissions trade costs of $3.92
1/7/19 10:07 USO UNITED STATES OIL SHORT 3,190 10.85 1/15 9:30 10.85 1.12%
Trade id #121817152
Max drawdown($1,277)
Time1/11/19 4:18
Quant open-3,190
Worst price11.25
Drawdown as % of equity-1.12%
($12)
Includes Typical Broker Commissions trade costs of $10.00

Statistics

  • Strategy began
    7/31/2015
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1483.45
  • Age
    49 months ago
  • What it trades
    Stocks
  • # Trades
    298
  • # Profitable
    194
  • % Profitable
    65.10%
  • Avg trade duration
    8.6 days
  • Max peak-to-valley drawdown
    15.33%
  • drawdown period
    Sept 08, 2017 - Feb 09, 2018
  • Annual Return (Compounded)
    2.7%
  • Avg win
    $450.65
  • Avg loss
    $689.80
  • Model Account Values (Raw)
  • Cash
    $116,782
  • Margin Used
    $0
  • Buying Power
    $116,782
  • Ratios
  • W:L ratio
    1.25:1
  • Sharpe Ratio
    0.11
  • Sortino Ratio
    0.16
  • Calmar Ratio
    0.339
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.22320
  • Return Statistics
  • Ann Return (w trading costs)
    2.7%
  • Ann Return (Compnd, No Fees)
    3.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    38.50%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    463
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $690
  • Avg Win
    $451
  • # Winners
    194
  • # Losers
    104
  • % Winners
    65.1%
  • Frequency
  • Avg Position Time (mins)
    12401.60
  • Avg Position Time (hrs)
    206.69
  • Avg Trade Length
    8.6 days
  • Last Trade Ago
    98
  • Leverage
  • Daily leverage (average)
    0.40
  • Daily leverage (max)
    2.14
  • Regression
  • Alpha
    0.00
  • Beta
    0.16
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    18.609
  • Avg(MAE) / Avg(PL) - Winning trades
    0.786
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.876
  • Hold-and-Hope Ratio
    0.054
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01643
  • SD
    0.09888
  • Sharpe ratio (Glass type estimate)
    0.16618
  • Sharpe ratio (Hedges UMVUE)
    0.16346
  • df
    46.00000
  • t
    0.32889
  • p
    0.37187
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82561
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15622
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82746
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15437
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25500
  • Upside Potential Ratio
    1.89687
  • Upside part of mean
    0.12224
  • Downside part of mean
    -0.10581
  • Upside SD
    0.07375
  • Downside SD
    0.06444
  • N nonnegative terms
    27.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    47.00000
  • Mean of predictor
    0.05979
  • Mean of criterion
    0.01643
  • SD of predictor
    0.14787
  • SD of criterion
    0.09888
  • Covariance
    0.00512
  • r
    0.35035
  • b (slope, estimate of beta)
    0.23428
  • a (intercept, estimate of alpha)
    0.00243
  • Mean Square Error
    0.00877
  • DF error
    45.00000
  • t(b)
    2.50927
  • p(b)
    0.00788
  • t(a)
    0.05091
  • p(a)
    0.47981
  • Lowerbound of 95% confidence interval for beta
    0.04623
  • Upperbound of 95% confidence interval for beta
    0.42232
  • Lowerbound of 95% confidence interval for alpha
    -0.09353
  • Upperbound of 95% confidence interval for alpha
    0.09838
  • Treynor index (mean / b)
    0.07014
  • Jensen alpha (a)
    0.00243
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01169
  • SD
    0.09761
  • Sharpe ratio (Glass type estimate)
    0.11980
  • Sharpe ratio (Hedges UMVUE)
    0.11784
  • df
    46.00000
  • t
    0.23710
  • p
    0.40682
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.10981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87281
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10848
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17743
  • Upside Potential Ratio
    1.81147
  • Upside part of mean
    0.11939
  • Downside part of mean
    -0.10770
  • Upside SD
    0.07066
  • Downside SD
    0.06591
  • N nonnegative terms
    27.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    47.00000
  • Mean of predictor
    0.04874
  • Mean of criterion
    0.01169
  • SD of predictor
    0.14909
  • SD of criterion
    0.09761
  • Covariance
    0.00493
  • r
    0.33898
  • b (slope, estimate of beta)
    0.22193
  • a (intercept, estimate of alpha)
    0.00088
  • Mean Square Error
    0.00862
  • DF error
    45.00000
  • t(b)
    2.41704
  • p(b)
    0.00988
  • t(a)
    0.01860
  • p(a)
    0.49262
  • Lowerbound of 95% confidence interval for beta
    0.03700
  • Upperbound of 95% confidence interval for beta
    0.40687
  • Lowerbound of 95% confidence interval for alpha
    -0.09404
  • Upperbound of 95% confidence interval for alpha
    0.09580
  • Treynor index (mean / b)
    0.05269
  • Jensen alpha (a)
    0.00088
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04436
  • Expected Shortfall on VaR
    0.05549
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01824
  • Expected Shortfall on VaR
    0.03710
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    47.00000
  • Minimum
    0.93697
  • Quartile 1
    0.99467
  • Median
    1.00463
  • Quartile 3
    1.01653
  • Maximum
    1.12052
  • Mean of quarter 1
    0.97045
  • Mean of quarter 2
    1.00008
  • Mean of quarter 3
    1.01152
  • Mean of quarter 4
    1.03339
  • Inter Quartile Range
    0.02187
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.08511
  • Mean of outliers low
    0.94962
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02128
  • Mean of outliers high
    1.12052
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.90112
  • VaR(95%) (moments method)
    0.01949
  • Expected Shortfall (moments method)
    0.02166
  • Extreme Value Index (regression method)
    -0.23969
  • VaR(95%) (regression method)
    0.03039
  • Expected Shortfall (regression method)
    0.04055
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.03780
  • Quartile 1
    0.05357
  • Median
    0.05533
  • Quartile 3
    0.06788
  • Maximum
    0.07935
  • Mean of quarter 1
    0.04569
  • Mean of quarter 2
    0.05533
  • Mean of quarter 3
    0.06788
  • Mean of quarter 4
    0.07935
  • Inter Quartile Range
    0.01431
  • 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)
    0.00000
  • 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)
    0.04284
  • Compounded annual return (geometric extrapolation)
    0.04040
  • Calmar ratio (compounded annual return / max draw down)
    0.50909
  • Compounded annual return / average of 25% largest draw downs
    0.50909
  • Compounded annual return / Expected Shortfall lognormal
    0.72793
  • 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
    0.01636
  • SD
    0.09907
  • Sharpe ratio (Glass type estimate)
    0.16517
  • Sharpe ratio (Hedges UMVUE)
    0.16504
  • df
    1031.00000
  • t
    0.32780
  • p
    0.49350
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82244
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15271
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15262
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24534
  • Upside Potential Ratio
    5.65855
  • Upside part of mean
    0.37739
  • Downside part of mean
    -0.36103
  • Upside SD
    0.07320
  • Downside SD
    0.06669
  • N nonnegative terms
    390.00000
  • N negative terms
    642.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1032.00000
  • Mean of predictor
    0.06549
  • Mean of criterion
    0.01636
  • SD of predictor
    0.14068
  • SD of criterion
    0.09907
  • Covariance
    0.00315
  • r
    0.22626
  • b (slope, estimate of beta)
    0.15933
  • a (intercept, estimate of alpha)
    0.00600
  • Mean Square Error
    0.00932
  • DF error
    1030.00000
  • t(b)
    7.45477
  • p(b)
    0.38687
  • t(a)
    0.12181
  • p(a)
    0.49810
  • Lowerbound of 95% confidence interval for beta
    0.11739
  • Upperbound of 95% confidence interval for beta
    0.20127
  • Lowerbound of 95% confidence interval for alpha
    -0.08957
  • Upperbound of 95% confidence interval for alpha
    0.10142
  • Treynor index (mean / b)
    0.10269
  • Jensen alpha (a)
    0.00593
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01147
  • SD
    0.09889
  • Sharpe ratio (Glass type estimate)
    0.11599
  • Sharpe ratio (Hedges UMVUE)
    0.11591
  • df
    1031.00000
  • t
    0.23020
  • p
    0.49544
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87157
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.10355
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87166
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10347
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17000
  • Upside Potential Ratio
    5.55373
  • Upside part of mean
    0.37472
  • Downside part of mean
    -0.36325
  • Upside SD
    0.07224
  • Downside SD
    0.06747
  • N nonnegative terms
    390.00000
  • N negative terms
    642.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1032.00000
  • Mean of predictor
    0.05557
  • Mean of criterion
    0.01147
  • SD of predictor
    0.14095
  • SD of criterion
    0.09889
  • Covariance
    0.00318
  • r
    0.22811
  • b (slope, estimate of beta)
    0.16004
  • a (intercept, estimate of alpha)
    0.00258
  • Mean Square Error
    0.00928
  • DF error
    1030.00000
  • t(b)
    7.51925
  • p(b)
    0.38594
  • t(a)
    0.05309
  • p(a)
    0.49917
  • Lowerbound of 95% confidence interval for beta
    0.11828
  • Upperbound of 95% confidence interval for beta
    0.20181
  • Lowerbound of 95% confidence interval for alpha
    -0.09269
  • Upperbound of 95% confidence interval for alpha
    0.09785
  • Treynor index (mean / b)
    0.07167
  • Jensen alpha (a)
    0.00258
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00996
  • Expected Shortfall on VaR
    0.01248
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00357
  • Expected Shortfall on VaR
    0.00771
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1032.00000
  • Minimum
    0.95905
  • Quartile 1
    0.99923
  • Median
    1.00000
  • Quartile 3
    1.00097
  • Maximum
    1.04418
  • Mean of quarter 1
    0.99494
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00028
  • Mean of quarter 4
    1.00565
  • Inter Quartile Range
    0.00174
  • Number outliers low
    110.00000
  • Percentage of outliers low
    0.10659
  • Mean of outliers low
    0.99034
  • Number of outliers high
    111.00000
  • Percentage of outliers high
    0.10756
  • Mean of outliers high
    1.01041
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.79464
  • VaR(95%) (moments method)
    0.00461
  • Expected Shortfall (moments method)
    0.02468
  • Extreme Value Index (regression method)
    0.46819
  • VaR(95%) (regression method)
    0.00407
  • Expected Shortfall (regression method)
    0.00940
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00115
  • Median
    0.00475
  • Quartile 3
    0.01223
  • Maximum
    0.11846
  • Mean of quarter 1
    0.00054
  • Mean of quarter 2
    0.00282
  • Mean of quarter 3
    0.00772
  • Mean of quarter 4
    0.06793
  • Inter Quartile Range
    0.01109
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.17857
  • Mean of outliers high
    0.08975
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.01601
  • VaR(95%) (moments method)
    0.04324
  • Expected Shortfall (moments method)
    0.06448
  • Extreme Value Index (regression method)
    -0.30179
  • VaR(95%) (regression method)
    0.05241
  • Expected Shortfall (regression method)
    0.06737
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04260
  • Compounded annual return (geometric extrapolation)
    0.04016
  • Calmar ratio (compounded annual return / max draw down)
    0.33904
  • Compounded annual return / average of 25% largest draw downs
    0.59126
  • Compounded annual return / Expected Shortfall lognormal
    3.21889
  • 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
    -0.01135
  • SD
    0.02767
  • Sharpe ratio (Glass type estimate)
    -0.41021
  • Sharpe ratio (Hedges UMVUE)
    -0.40784
  • df
    130.00000
  • t
    -0.29006
  • p
    0.51272
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.18174
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36277
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.18009
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36441
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.69983
  • Upside Potential Ratio
    6.49462
  • Upside part of mean
    0.10535
  • Downside part of mean
    -0.11670
  • Upside SD
    0.02230
  • Downside SD
    0.01622
  • N nonnegative terms
    28.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10690
  • Mean of criterion
    -0.01135
  • SD of predictor
    0.13401
  • SD of criterion
    0.02767
  • Covariance
    0.00040
  • r
    0.10734
  • b (slope, estimate of beta)
    0.02217
  • a (intercept, estimate of alpha)
    -0.01372
  • Mean Square Error
    0.00076
  • DF error
    129.00000
  • t(b)
    1.22627
  • p(b)
    0.43179
  • t(a)
    -0.35086
  • p(a)
    0.51965
  • Lowerbound of 95% confidence interval for beta
    -0.01360
  • Upperbound of 95% confidence interval for beta
    0.05793
  • Lowerbound of 95% confidence interval for alpha
    -0.09110
  • Upperbound of 95% confidence interval for alpha
    0.06366
  • Treynor index (mean / b)
    -0.51213
  • Jensen alpha (a)
    -0.01372
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01173
  • SD
    0.02763
  • Sharpe ratio (Glass type estimate)
    -0.42461
  • Sharpe ratio (Hedges UMVUE)
    -0.42215
  • df
    130.00000
  • t
    -0.30024
  • p
    0.51316
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.19617
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34840
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.19443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35013
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.72193
  • Upside Potential Ratio
    6.46788
  • Upside part of mean
    0.10509
  • Downside part of mean
    -0.11682
  • Upside SD
    0.02222
  • Downside SD
    0.01625
  • N nonnegative terms
    28.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09791
  • Mean of criterion
    -0.01173
  • SD of predictor
    0.13454
  • SD of criterion
    0.02763
  • Covariance
    0.00040
  • r
    0.10781
  • b (slope, estimate of beta)
    0.02214
  • a (intercept, estimate of alpha)
    -0.01390
  • Mean Square Error
    0.00076
  • DF error
    129.00000
  • t(b)
    1.23171
  • p(b)
    0.43150
  • t(a)
    -0.35607
  • p(a)
    0.51994
  • Lowerbound of 95% confidence interval for beta
    -0.01342
  • Upperbound of 95% confidence interval for beta
    0.05770
  • Lowerbound of 95% confidence interval for alpha
    -0.09112
  • Upperbound of 95% confidence interval for alpha
    0.06332
  • Treynor index (mean / b)
    -0.52985
  • Jensen alpha (a)
    -0.01390
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00285
  • Expected Shortfall on VaR
    0.00356
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00134
  • Expected Shortfall on VaR
    0.00260
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99449
  • Quartile 1
    0.99986
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00988
  • Mean of quarter 1
    0.99858
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00169
  • Inter Quartile Range
    0.00014
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.22901
  • Mean of outliers low
    0.99846
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.18321
  • Mean of outliers high
    1.00229
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37622
  • VaR(95%) (moments method)
    0.00167
  • Expected Shortfall (moments method)
    0.00230
  • Extreme Value Index (regression method)
    0.11908
  • VaR(95%) (regression method)
    0.00171
  • Expected Shortfall (regression method)
    0.00287
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00205
  • Median
    0.00741
  • Quartile 3
    0.01087
  • Maximum
    0.01341
  • Mean of quarter 1
    0.00046
  • Mean of quarter 2
    0.00669
  • Mean of quarter 3
    0.00812
  • Mean of quarter 4
    0.01260
  • Inter Quartile Range
    0.00882
  • 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)
    0.00000
  • 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)
    0.01624
  • Compounded annual return (geometric extrapolation)
    0.01631
  • Calmar ratio (compounded annual return / max draw down)
    1.21604
  • Compounded annual return / average of 25% largest draw downs
    1.29418
  • Compounded annual return / Expected Shortfall lognormal
    4.58280

Strategy Description

Welcome to Dutch Swingtrader!

Who are we?
As our name indicates, we are traders from the Netherlands. We are "system traders" and we work with strategies based on the trading philosofy of Larry Connors. We trade multiple strategies simultaneously, to ensure the smoothest possible long-term equity curve build-up.

What do we trade?
We trade EFTs as well as US stocks, both long and short.

What can you expect?
Well before the market opens, you will receive the new trades of the day. If no new positions are taken, which regularly occurs, you will receive a brief message from us stating that there are no new orders for the day.

Orders.
We usually work with limit orders.
Since the distance to the order is linked to marketvolatility, such orders may be far removed from yesterday's closing, but there is no need to let this worry you.
Many orders expire at the end of the day. Those that do get triggered, statistically have a good chance of success.
We sometimes also work with marketorders that are executed immediately at opening. Stay alert, because we sometimes also allocate to short equity positions.

Money management.
We utilize a certain percentage of the main sum we risk for a transaction. Quite regularly, we scale in our position for a number of consecutive days. We scale in/purchase until we are completely filled. We base our position size on our account size. Recalculate the correct position size per transaction, and do not ever deviate from it! To ensure safe and successful trading in the long term, it is very important to take this seriously.

If you have any questions, please do not hesitate to contact us.

Good luck!

Best regards,

Team Dutch Swingtrader.

Summary Statistics

Strategy began
2015-07-31
Suggested Minimum Capital
$15,000
# Trades
298
# Profitable
194
% Profitable
65.1%
Net Dividends
Correlation S&P500
0.223
Sharpe Ratio
0.11
Sortino Ratio
0.16
Beta
0.16
Alpha
0.00
Leverage
0.40 Average
2.14 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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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.