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The Spirit of Nicolas Darvas.
(81877382)

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

Subscriptions not available

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

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

34.3%
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.

(29.2%)
Max Drawdown
1208
Num Trades
37.2%
Win Trades
1.7 : 1
Profit Factor
60.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                          +11.4%(2.7%)+18.0%+7.5%+1.9%+1.6%+42.4%
2014+17.4%(2.1%)+0.8%(2.2%)+0.7%+6.0%(6.4%)+5.0%(7.7%)(3.2%)+3.3%+2.9%+13.0%
2015(4.3%)(0.1%)(9%)+2.3%+14.2%+14.2%+16.2%(6.9%)+7.4%(4.7%)(1.2%)+0.9%+28.1%
2016+2.1%(0.3%)(0.3%)(1.6%)(2.3%)(2.6%)+7.4%(2.2%)(2.2%)+2.0%+32.1%(7.6%)+21.5%
2017+4.8%+12.0%+2.1%+1.2%+6.6%(2.9%)+1.7%+9.4%+5.4%+3.9%+4.6%+5.3%+68.5%
2018+8.4%(0.1%)+0.9%(0.3%)+10.4%+3.4%(1.9%)+8.2%+2.6%(10.3%)(1.4%)+1.3%+21.3%
2019(0.4%)+3.5%                                                            +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 2,321 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/12/19 9:30 CTK COOTEK (CAYMAN) INC LONG 724 11.83 2/20 9:30 8.76 0.43%
Trade id #122474554
Max drawdown($2,381)
Time2/19/19 15:47
Quant open724
Worst price8.54
Drawdown as % of equity-0.43%
($2,227)
Includes Typical Broker Commissions trade costs of $5.00
11/20/18 9:30 MAXR MAXAR TECHNOLOGIES INC SHORT 271 17.30 2/20/19 9:30 6.68 n/a $2,873
Includes Typical Broker Commissions trade costs of $5.42
12/21/18 9:30 YRD YIRENDA LTD SHORT 468 11.82 2/14/19 9:31 11.73 0.02%
Trade id #121615794
Max drawdown($131)
Time1/16/19 9:38
Quant open-468
Worst price12.10
Drawdown as % of equity-0.02%
$33
Includes Typical Broker Commissions trade costs of $9.36
10/29/18 9:29 NEAR ISHARES SHORT MATURITY BOND ET LONG 2,115 50.13 2/13/19 9:30 50.08 0.09%
Trade id #120593763
Max drawdown($486)
Time1/14/19 7:14
Quant open2,115
Worst price49.90
Drawdown as % of equity-0.09%
($111)
Includes Typical Broker Commissions trade costs of $5.00
1/9/19 9:30 TNDM TANDEM DIABETES CARE INC. COM LONG 169 40.12 2/8 9:30 41.21 0.02%
Trade id #121867075
Max drawdown($126)
Time1/10/19 9:07
Quant open169
Worst price39.37
Drawdown as % of equity-0.02%
$181
Includes Typical Broker Commissions trade costs of $3.38
2/1/19 9:30 RARX RA PHARMACEUTICALS INC. COMMON STOCK LONG 379 20.75 2/8 9:30 20.15 0.17%
Trade id #122312642
Max drawdown($908)
Time2/7/19 11:59
Quant open379
Worst price18.35
Drawdown as % of equity-0.17%
($235)
Includes Typical Broker Commissions trade costs of $7.58
1/14/19 9:30 AYX ALTERYX INC LONG 118 67.80 2/7 9:30 67.28 0.08%
Trade id #121949843
Max drawdown($414)
Time1/14/19 13:30
Quant open118
Worst price64.29
Drawdown as % of equity-0.08%
($63)
Includes Typical Broker Commissions trade costs of $2.36
1/16/19 9:30 ETSY ETSY INC. COMMON STOCK LONG 183 54.62 2/7 9:30 51.81 0.13%
Trade id #122003162
Max drawdown($673)
Time2/6/19 10:05
Quant open183
Worst price50.94
Drawdown as % of equity-0.13%
($518)
Includes Typical Broker Commissions trade costs of $3.66
12/24/18 9:30 DXR DAXOR LONG 772 8.37 2/7/19 9:30 13.42 n/a $3,892
Includes Typical Broker Commissions trade costs of $5.00
2/1/19 9:30 CDNA CAREDX INC LONG 265 27.62 2/6 9:30 25.61 0.11%
Trade id #122312612
Max drawdown($577)
Time2/4/19 9:35
Quant open265
Worst price25.44
Drawdown as % of equity-0.11%
($538)
Includes Typical Broker Commissions trade costs of $5.30
2/4/19 9:30 ATVI ACTIVISION BLIZZARD SHORT 269 46.32 2/6 9:30 45.00 0.09%
Trade id #122340466
Max drawdown($476)
Time2/5/19 15:49
Quant open-269
Worst price48.09
Drawdown as % of equity-0.09%
$350
Includes Typical Broker Commissions trade costs of $5.38
1/7/19 9:30 GLUU GLU MOBILE LONG 1,129 7.96 2/6 9:30 8.80 0.01%
Trade id #121814874
Max drawdown($76)
Time1/7/19 9:36
Quant open1,129
Worst price7.89
Drawdown as % of equity-0.01%
$946
Includes Typical Broker Commissions trade costs of $5.00
1/17/19 9:30 DERM DERMIRA INC. COMMON STOCK SHORT 896 6.85 2/5 9:30 7.25 0.07%
Trade id #122028395
Max drawdown($358)
Time2/5/19 9:30
Quant open0
Worst price7.25
Drawdown as % of equity-0.07%
($363)
Includes Typical Broker Commissions trade costs of $5.00
1/24/19 9:30 RCII RENT-A-CENTER LONG 865 17.23 2/4 9:30 17.22 0.05%
Trade id #122154491
Max drawdown($268)
Time1/25/19 11:53
Quant open865
Worst price16.92
Drawdown as % of equity-0.05%
($14)
Includes Typical Broker Commissions trade costs of $5.00
1/8/19 9:30 MO ALTRIA SHORT 348 49.22 1/31 9:30 49.05 0.05%
Trade id #121840201
Max drawdown($288)
Time1/9/19 10:51
Quant open-348
Worst price50.05
Drawdown as % of equity-0.05%
$52
Includes Typical Broker Commissions trade costs of $6.96
1/28/19 9:30 RARX RA PHARMACEUTICALS INC. COMMON STOCK LONG 351 19.66 1/29 9:30 19.11 0.04%
Trade id #122214225
Max drawdown($193)
Time1/29/19 9:30
Quant open0
Worst price19.11
Drawdown as % of equity-0.04%
($200)
Includes Typical Broker Commissions trade costs of $7.02
1/18/19 9:30 LIQT LIQTECH INTERNATIONAL INC. LONG 3,497 2.13 1/29 9:30 1.69 0.3%
Trade id #122051608
Max drawdown($1,581)
Time1/28/19 10:19
Quant open3,497
Worst price1.68
Drawdown as % of equity-0.30%
($1,552)
Includes Typical Broker Commissions trade costs of $5.00
1/16/19 9:30 ALB ALBEMARLE SHORT 165 73.92 1/29 9:30 77.49 0.11%
Trade id #122003100
Max drawdown($597)
Time1/28/19 13:22
Quant open-165
Worst price77.54
Drawdown as % of equity-0.11%
($592)
Includes Typical Broker Commissions trade costs of $3.30
1/23/19 9:30 WB WEIBO CORPORATION AMERICAN DEP SHORT 132 53.69 1/28 9:30 57.50 0.12%
Trade id #122128828
Max drawdown($634)
Time1/25/19 15:27
Quant open-132
Worst price58.50
Drawdown as % of equity-0.12%
($506)
Includes Typical Broker Commissions trade costs of $2.64
1/15/19 9:30 GTHX G1 THERAPEUTICS INC. COMMON STOCK SHORT 236 19.36 1/28 9:30 21.16 0.09%
Trade id #121977190
Max drawdown($464)
Time1/25/19 15:54
Quant open-236
Worst price21.33
Drawdown as % of equity-0.09%
($430)
Includes Typical Broker Commissions trade costs of $4.72
1/8/19 9:30 DORM DORMAN PRODUCTS LONG 158 93.34 1/28 9:30 87.53 0.17%
Trade id #121840122
Max drawdown($917)
Time1/28/19 9:30
Quant open0
Worst price87.53
Drawdown as % of equity-0.17%
($920)
Includes Typical Broker Commissions trade costs of $3.16
1/15/19 9:30 ADIL ADIAL PHARMACEUTICALS INC COMMON STOCK LONG 537 7.48 1/23 9:30 5.66 0.18%
Trade id #121977161
Max drawdown($975)
Time1/23/19 9:30
Quant open0
Worst price5.66
Drawdown as % of equity-0.18%
($980)
Includes Typical Broker Commissions trade costs of $5.00
1/10/19 9:30 CBOE CBOE GLOBAL MARKETS INC SHORT 146 92.12 1/23 9:30 97.27 0.19%
Trade id #121893746
Max drawdown($1,007)
Time1/18/19 9:18
Quant open-146
Worst price99.02
Drawdown as % of equity-0.19%
($755)
Includes Typical Broker Commissions trade costs of $2.92
1/17/19 9:30 PRGO PERRIGO COMPANY PLC SHORT 225 44.23 1/22 9:30 45.38 0.09%
Trade id #122028336
Max drawdown($490)
Time1/22/19 4:01
Quant open-225
Worst price46.41
Drawdown as % of equity-0.09%
($264)
Includes Typical Broker Commissions trade costs of $4.50
12/14/18 9:30 REVG REV GROUP INC SHORT 778 9.50 1/22/19 9:30 8.29 n/a $936
Includes Typical Broker Commissions trade costs of $5.00
1/10/19 9:30 TTGT TECHTARGET SHORT 928 12.04 1/14 9:30 12.83 0.15%
Trade id #121893707
Max drawdown($798)
Time1/11/19 12:51
Quant open-928
Worst price12.90
Drawdown as % of equity-0.15%
($738)
Includes Typical Broker Commissions trade costs of $5.00
1/4/19 9:30 OLED UNIVERSAL DISPLAY CORPORATION SHORT 93 80.73 1/11 9:30 92.70 0.24%
Trade id #121781439
Max drawdown($1,248)
Time1/10/19 11:39
Quant open-93
Worst price94.16
Drawdown as % of equity-0.24%
($1,115)
Includes Typical Broker Commissions trade costs of $1.86
12/20/18 9:30 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 96 232.52 1/11/19 9:30 238.87 0.28%
Trade id #121591810
Max drawdown($1,504)
Time12/24/18 13:14
Quant open96
Worst price216.85
Drawdown as % of equity-0.28%
$608
Includes Typical Broker Commissions trade costs of $1.92
11/5/18 9:30 KHC THE KRAFT HEINZ COMPANY COMMON STOCK SHORT 279 51.05 1/11/19 9:30 45.62 n/a $1,509
Includes Typical Broker Commissions trade costs of $5.58
1/7/19 9:30 MTLS MATERIALISE NV AMERICAN DEPOSI LONG 407 20.50 1/11 9:30 18.55 0.33%
Trade id #121814928
Max drawdown($1,729)
Time1/10/19 10:19
Quant open407
Worst price16.25
Drawdown as % of equity-0.33%
($802)
Includes Typical Broker Commissions trade costs of $8.14

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2055.4
  • Age
    69 months ago
  • What it trades
    Stocks
  • # Trades
    1208
  • # Profitable
    449
  • % Profitable
    37.20%
  • Avg trade duration
    28.9 days
  • Max peak-to-valley drawdown
    29.2%
  • drawdown period
    Sept 08, 2014 - March 26, 2015
  • Annual Return (Compounded)
    34.3%
  • Avg win
    $2,584
  • Avg loss
    $970.11
  • Model Account Values (Raw)
  • Cash
    $14,633
  • Margin Used
    $25,401
  • Buying Power
    $25,050
  • Ratios
  • W:L ratio
    1.67:1
  • Sharpe Ratio
    1.361
  • Sortino Ratio
    2.016
  • Calmar Ratio
    1.64
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.14400
  • Return Statistics
  • Ann Return (w trading costs)
    34.3%
  • Ann Return (Compnd, No Fees)
    35.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.00%
  • Chance of 20% account loss
    24.00%
  • Chance of 30% account loss
    9.50%
  • Chance of 40% account loss
    2.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    891
  • Popularity (Last 6 weeks)
    980
  • C2 Score
    46.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $970
  • Avg Win
    $2,584
  • # Winners
    449
  • # Losers
    759
  • % Winners
    37.2%
  • Frequency
  • Avg Position Time (mins)
    41654.60
  • Avg Position Time (hrs)
    694.24
  • Avg Trade Length
    28.9 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30389
  • SD
    0.22275
  • Sharpe ratio (Glass type estimate)
    1.36428
  • Sharpe ratio (Hedges UMVUE)
    1.34847
  • df
    65.00000
  • t
    3.19951
  • p
    0.00106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49153
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22731
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48119
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21576
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.06052
  • Upside Potential Ratio
    4.47354
  • Upside part of mean
    0.44419
  • Downside part of mean
    -0.14030
  • Upside SD
    0.21610
  • Downside SD
    0.09929
  • N nonnegative terms
    42.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.07001
  • Mean of criterion
    0.30389
  • SD of predictor
    0.11645
  • SD of criterion
    0.22275
  • Covariance
    0.00704
  • r
    0.27143
  • b (slope, estimate of beta)
    0.51922
  • a (intercept, estimate of alpha)
    0.26754
  • Mean Square Error
    0.04668
  • DF error
    64.00000
  • t(b)
    2.25617
  • p(b)
    0.01374
  • t(a)
    2.86062
  • p(a)
    0.00285
  • Lowerbound of 95% confidence interval for beta
    0.05948
  • Upperbound of 95% confidence interval for beta
    0.97897
  • Lowerbound of 95% confidence interval for alpha
    0.08070
  • Upperbound of 95% confidence interval for alpha
    0.45437
  • Treynor index (mean / b)
    0.58527
  • Jensen alpha (a)
    0.26754
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27667
  • SD
    0.21421
  • Sharpe ratio (Glass type estimate)
    1.29160
  • Sharpe ratio (Hedges UMVUE)
    1.27663
  • df
    65.00000
  • t
    3.02906
  • p
    0.00176
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42234
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15157
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41257
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14070
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65010
  • Upside Potential Ratio
    4.04129
  • Upside part of mean
    0.42190
  • Downside part of mean
    -0.14524
  • Upside SD
    0.20167
  • Downside SD
    0.10440
  • N nonnegative terms
    42.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.06296
  • Mean of criterion
    0.27667
  • SD of predictor
    0.11703
  • SD of criterion
    0.21421
  • Covariance
    0.00711
  • r
    0.28369
  • b (slope, estimate of beta)
    0.51927
  • a (intercept, estimate of alpha)
    0.24397
  • Mean Square Error
    0.04285
  • DF error
    64.00000
  • t(b)
    2.36680
  • p(b)
    0.01049
  • t(a)
    2.73079
  • p(a)
    0.00408
  • Lowerbound of 95% confidence interval for beta
    0.08097
  • Upperbound of 95% confidence interval for beta
    0.95757
  • Lowerbound of 95% confidence interval for alpha
    0.06549
  • Upperbound of 95% confidence interval for alpha
    0.42245
  • Treynor index (mean / b)
    0.53280
  • Jensen alpha (a)
    0.24397
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07564
  • Expected Shortfall on VaR
    0.09898
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02124
  • Expected Shortfall on VaR
    0.04711
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    66.00000
  • Minimum
    0.86117
  • Quartile 1
    0.99286
  • Median
    1.01820
  • Quartile 3
    1.05660
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95885
  • Mean of quarter 2
    1.00477
  • Mean of quarter 3
    1.03692
  • Mean of quarter 4
    1.10928
  • Inter Quartile Range
    0.06374
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01515
  • Mean of outliers low
    0.86117
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06061
  • Mean of outliers high
    1.18775
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24458
  • VaR(95%) (moments method)
    0.02793
  • Expected Shortfall (moments method)
    0.04881
  • Extreme Value Index (regression method)
    0.06701
  • VaR(95%) (regression method)
    0.04161
  • Expected Shortfall (regression method)
    0.06552
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00618
  • Quartile 1
    0.02030
  • Median
    0.03106
  • Quartile 3
    0.06891
  • Maximum
    0.19334
  • Mean of quarter 1
    0.00980
  • Mean of quarter 2
    0.02895
  • Mean of quarter 3
    0.05330
  • Mean of quarter 4
    0.12887
  • Inter Quartile Range
    0.04860
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.19334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.95293
  • VaR(95%) (moments method)
    0.14842
  • Expected Shortfall (moments method)
    0.15248
  • Extreme Value Index (regression method)
    0.08536
  • VaR(95%) (regression method)
    0.20113
  • Expected Shortfall (regression method)
    0.29051
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78903
  • Compounded annual return (geometric extrapolation)
    0.35605
  • Calmar ratio (compounded annual return / max draw down)
    1.84154
  • Compounded annual return / average of 25% largest draw downs
    2.76277
  • Compounded annual return / Expected Shortfall lognormal
    3.59699
  • 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
    0.30524
  • SD
    0.22409
  • Sharpe ratio (Glass type estimate)
    1.36214
  • Sharpe ratio (Hedges UMVUE)
    1.36144
  • df
    1455.00000
  • t
    3.21108
  • p
    0.44666
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19481
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52855
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19432
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01569
  • Upside Potential Ratio
    8.81656
  • Upside part of mean
    1.33512
  • Downside part of mean
    -1.02988
  • Upside SD
    0.16615
  • Downside SD
    0.15143
  • N nonnegative terms
    818.00000
  • N negative terms
    638.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1456.00000
  • Mean of predictor
    0.07527
  • Mean of criterion
    0.30524
  • SD of predictor
    0.13088
  • SD of criterion
    0.22409
  • Covariance
    0.00418
  • r
    0.14241
  • b (slope, estimate of beta)
    0.24382
  • a (intercept, estimate of alpha)
    0.28700
  • Mean Square Error
    0.04923
  • DF error
    1454.00000
  • t(b)
    5.48613
  • p(b)
    0.42880
  • t(a)
    3.04612
  • p(a)
    0.46018
  • Lowerbound of 95% confidence interval for beta
    0.15664
  • Upperbound of 95% confidence interval for beta
    0.33100
  • Lowerbound of 95% confidence interval for alpha
    0.10214
  • Upperbound of 95% confidence interval for alpha
    0.47164
  • Treynor index (mean / b)
    1.25190
  • Jensen alpha (a)
    0.28689
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27996
  • SD
    0.22418
  • Sharpe ratio (Glass type estimate)
    1.24881
  • Sharpe ratio (Hedges UMVUE)
    1.24817
  • df
    1455.00000
  • t
    2.94393
  • p
    0.45106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41596
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08127
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41552
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08082
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81241
  • Upside Potential Ratio
    8.55530
  • Upside part of mean
    1.32150
  • Downside part of mean
    -1.04154
  • Upside SD
    0.16328
  • Downside SD
    0.15446
  • N nonnegative terms
    818.00000
  • N negative terms
    638.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1456.00000
  • Mean of predictor
    0.06668
  • Mean of criterion
    0.27996
  • SD of predictor
    0.13106
  • SD of criterion
    0.22418
  • Covariance
    0.00419
  • r
    0.14275
  • b (slope, estimate of beta)
    0.24417
  • a (intercept, estimate of alpha)
    0.26367
  • Mean Square Error
    0.04927
  • DF error
    1454.00000
  • t(b)
    5.49951
  • p(b)
    0.42863
  • t(a)
    2.79907
  • p(a)
    0.46340
  • Lowerbound of 95% confidence interval for beta
    0.15708
  • Upperbound of 95% confidence interval for beta
    0.33126
  • Lowerbound of 95% confidence interval for alpha
    0.07889
  • Upperbound of 95% confidence interval for alpha
    0.44846
  • Treynor index (mean / b)
    1.14655
  • Jensen alpha (a)
    0.26367
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02148
  • Expected Shortfall on VaR
    0.02711
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00818
  • Expected Shortfall on VaR
    0.01740
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1456.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99594
  • Median
    1.00106
  • Quartile 3
    1.00685
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98572
  • Mean of quarter 2
    0.99888
  • Mean of quarter 3
    1.00369
  • Mean of quarter 4
    1.01680
  • Inter Quartile Range
    0.01091
  • Number outliers low
    64.00000
  • Percentage of outliers low
    0.04396
  • Mean of outliers low
    0.96557
  • Number of outliers high
    72.00000
  • Percentage of outliers high
    0.04945
  • Mean of outliers high
    1.03417
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24230
  • VaR(95%) (moments method)
    0.01227
  • Expected Shortfall (moments method)
    0.02041
  • Extreme Value Index (regression method)
    0.16388
  • VaR(95%) (regression method)
    0.01304
  • Expected Shortfall (regression method)
    0.02063
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    55.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00808
  • Median
    0.03090
  • Quartile 3
    0.06871
  • Maximum
    0.21989
  • Mean of quarter 1
    0.00372
  • Mean of quarter 2
    0.01814
  • Mean of quarter 3
    0.04551
  • Mean of quarter 4
    0.10572
  • Inter Quartile Range
    0.06063
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01818
  • Mean of outliers high
    0.21989
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.11220
  • VaR(95%) (moments method)
    0.11575
  • Expected Shortfall (moments method)
    0.15191
  • Extreme Value Index (regression method)
    0.25122
  • VaR(95%) (regression method)
    0.10979
  • Expected Shortfall (regression method)
    0.14994
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.81583
  • Compounded annual return (geometric extrapolation)
    0.36051
  • Calmar ratio (compounded annual return / max draw down)
    1.63951
  • Compounded annual return / average of 25% largest draw downs
    3.41005
  • Compounded annual return / Expected Shortfall lognormal
    13.29720
  • 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
    0.00122
  • SD
    0.11448
  • Sharpe ratio (Glass type estimate)
    0.01065
  • Sharpe ratio (Hedges UMVUE)
    0.01059
  • df
    130.00000
  • t
    0.00753
  • p
    0.49967
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.76116
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.76122
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78240
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01341
  • Upside Potential Ratio
    6.42609
  • Upside part of mean
    0.58443
  • Downside part of mean
    -0.58321
  • Upside SD
    0.06881
  • Downside SD
    0.09095
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06819
  • Mean of criterion
    0.00122
  • SD of predictor
    0.19090
  • SD of criterion
    0.11448
  • Covariance
    0.00068
  • r
    0.03132
  • b (slope, estimate of beta)
    0.01878
  • a (intercept, estimate of alpha)
    0.00250
  • Mean Square Error
    0.01319
  • DF error
    129.00000
  • t(b)
    0.35587
  • p(b)
    0.48007
  • t(a)
    0.01539
  • p(a)
    0.49914
  • Lowerbound of 95% confidence interval for beta
    -0.08564
  • Upperbound of 95% confidence interval for beta
    0.12320
  • Lowerbound of 95% confidence interval for alpha
    -0.31899
  • Upperbound of 95% confidence interval for alpha
    0.32399
  • Treynor index (mean / b)
    0.06492
  • Jensen alpha (a)
    0.00250
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00535
  • SD
    0.11530
  • Sharpe ratio (Glass type estimate)
    -0.04636
  • Sharpe ratio (Hedges UMVUE)
    -0.04609
  • df
    130.00000
  • t
    -0.03278
  • p
    0.50144
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.81817
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.81790
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72572
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.05795
  • Upside Potential Ratio
    6.31011
  • Upside part of mean
    0.58202
  • Downside part of mean
    -0.58736
  • Upside SD
    0.06845
  • Downside SD
    0.09224
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08627
  • Mean of criterion
    -0.00535
  • SD of predictor
    0.19088
  • SD of criterion
    0.11530
  • Covariance
    0.00070
  • r
    0.03183
  • b (slope, estimate of beta)
    0.01923
  • a (intercept, estimate of alpha)
    -0.00369
  • Mean Square Error
    0.01338
  • DF error
    129.00000
  • t(b)
    0.36173
  • p(b)
    0.47974
  • t(a)
    -0.02252
  • p(a)
    0.50126
  • Lowerbound of 95% confidence interval for beta
    -0.08594
  • Upperbound of 95% confidence interval for beta
    0.12440
  • Lowerbound of 95% confidence interval for alpha
    -0.32751
  • Upperbound of 95% confidence interval for alpha
    0.32014
  • Treynor index (mean / b)
    -0.27799
  • Jensen alpha (a)
    -0.00369
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01167
  • Expected Shortfall on VaR
    0.01460
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00496
  • Expected Shortfall on VaR
    0.01059
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95552
  • Quartile 1
    0.99822
  • Median
    1.00019
  • Quartile 3
    1.00311
  • Maximum
    1.01668
  • Mean of quarter 1
    0.99215
  • Mean of quarter 2
    0.99923
  • Mean of quarter 3
    1.00142
  • Mean of quarter 4
    1.00768
  • Inter Quartile Range
    0.00489
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98124
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01265
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31250
  • VaR(95%) (moments method)
    0.00635
  • Expected Shortfall (moments method)
    0.01157
  • Extreme Value Index (regression method)
    0.32636
  • VaR(95%) (regression method)
    0.00728
  • Expected Shortfall (regression method)
    0.01371
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00098
  • Quartile 1
    0.00517
  • Median
    0.01008
  • Quartile 3
    0.04513
  • Maximum
    0.13971
  • Mean of quarter 1
    0.00098
  • Mean of quarter 2
    0.00657
  • Mean of quarter 3
    0.01360
  • Mean of quarter 4
    0.13971
  • Inter Quartile Range
    0.03996
  • 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
    0.25000
  • Mean of outliers high
    0.13971
  • 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)
    0.02269
  • Compounded annual return (geometric extrapolation)
    0.02282
  • Calmar ratio (compounded annual return / max draw down)
    0.16333
  • Compounded annual return / average of 25% largest draw downs
    0.16333
  • Compounded annual return / Expected Shortfall lognormal
    1.56263

Strategy Description

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


What to expect:

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

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

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


FAQ:

Does this system need to be auto-traded?

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

Do you short stocks?

Yes.

Do you use leverage?

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

Do you use stops?

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

How has the system performed during backtesting?

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

Summary Statistics

Strategy began
2013-07-07
Suggested Minimum Capital
$35,000
# Trades
1208
# Profitable
449
% Profitable
37.2%
Net Dividends
Correlation S&P500
0.144
Sharpe Ratio
1.361

Latest Activity

#PERSONNAME#
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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