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These are hypothetical performance results that have certain inherent limitations. Learn more

SP100 Short Term Swing
(75976336)

Created by: CDRing CDRing
Started: 08/2012
Stocks
Last trade: 4 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 $69.00 per month.

13.4%
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
1278
Num Trades
69.5%
Win Trades
1.6 : 1
Profit Factor
70.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +0.5%+3.5%+3.4%(0.4%)+4.6%+12.0%
2013(0.1%)+3.3%+2.5%+3.0%  -  +4.9%+3.1%+0.1%+2.0%+3.3%+3.2%+0.5%+28.8%
2014(5.5%)+3.9%+0.5%+3.8%+4.1%+3.1%(3.5%)+3.2%(0.3%)+2.0%+1.4%+1.9%+15.0%
2015+2.1%+3.4%(0.3%)(0.9%)+5.7%(1.7%)+1.7%+4.5%(0.1%)+2.8%(0.6%)+2.8%+21.0%
2016(9%)  -  +1.4%+0.4%+3.1%+0.2%(0.7%)(4%)+3.1%+0.2%+0.4%+0.2%(5.3%)
2017+4.0%+1.8%(2.6%)+2.2%+2.0%+1.0%+3.7%(1.2%)+1.4%(1.9%)+1.6%+2.5%+15.2%
2018(1.8%)(7.1%)(0.1%)+0.8%+2.4%+0.9%+2.9%+5.2%+3.5%(10.2%)+6.6%(0.5%)+1.5%

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 2,063 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/10/18 9:30 VZ VERIZON COMMUNICATIONS LONG 575 57.80 12/12 9:30 57.79 0.23%
Trade id #121421770
Max drawdown($534)
Time12/10/18 11:06
Quant open575
Worst price56.87
Drawdown as % of equity-0.23%
($11)
Includes Typical Broker Commissions trade costs of $5.00
11/26/18 9:30 PEP PEPSICO LONG 275 115.88 11/29 9:30 118.40 0.15%
Trade id #121164026
Max drawdown($354)
Time11/28/18 4:01
Quant open275
Worst price114.59
Drawdown as % of equity-0.15%
$688
Includes Typical Broker Commissions trade costs of $5.50
11/21/18 9:30 DIS WALT DISNEY LONG 285 112.50 11/29 9:30 115.75 0.09%
Trade id #121094150
Max drawdown($216)
Time11/23/18 9:36
Quant open285
Worst price111.74
Drawdown as % of equity-0.09%
$920
Includes Typical Broker Commissions trade costs of $5.70
11/15/18 10:30 COST COSTCO WHOLESALE LONG 135 232.32 11/29 9:30 229.00 0.89%
Trade id #120967002
Max drawdown($2,049)
Time11/23/18 9:22
Quant open135
Worst price217.14
Drawdown as % of equity-0.89%
($451)
Includes Typical Broker Commissions trade costs of $2.70
11/27/18 9:30 KO COCA-COLA LONG 665 48.88 11/29 9:30 49.28 0.04%
Trade id #121187498
Max drawdown($99)
Time11/27/18 9:58
Quant open665
Worst price48.73
Drawdown as % of equity-0.04%
$261
Includes Typical Broker Commissions trade costs of $5.00
11/27/18 9:30 JNJ JOHNSON & JOHNSON LONG 230 140.57 11/29 9:30 145.62 0.09%
Trade id #121187472
Max drawdown($209)
Time11/27/18 9:57
Quant open230
Worst price139.66
Drawdown as % of equity-0.09%
$1,157
Includes Typical Broker Commissions trade costs of $4.60
11/26/18 9:30 ABT ABBOTT LABORATORIES LONG 465 68.73 11/29 9:30 72.43 0.07%
Trade id #121164050
Max drawdown($162)
Time11/27/18 9:42
Quant open465
Worst price68.38
Drawdown as % of equity-0.07%
$1,712
Includes Typical Broker Commissions trade costs of $9.30
11/20/18 9:30 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 18 1761.30 11/28 9:30 1828.26 0.27%
Trade id #121070994
Max drawdown($621)
Time11/20/18 14:09
Quant open18
Worst price1726.78
Drawdown as % of equity-0.27%
$1,205
Includes Typical Broker Commissions trade costs of $0.36
11/26/18 9:30 AXP AMERICAN EXPRESS LONG 305 107.15 11/27 9:31 109.50 0.04%
Trade id #121163999
Max drawdown($97)
Time11/26/18 9:33
Quant open305
Worst price106.83
Drawdown as % of equity-0.04%
$711
Includes Typical Broker Commissions trade costs of $6.10
11/26/18 9:30 ABG ASBURY AUTOMOTIVE GROUP LONG 490 70.69 11/27 9:30 71.02 0.15%
Trade id #121164005
Max drawdown($343)
Time11/26/18 10:30
Quant open490
Worst price69.99
Drawdown as % of equity-0.15%
$152
Includes Typical Broker Commissions trade costs of $9.80
11/15/18 10:29 ABT ABBOTT LABORATORIES LONG 465 68.93 11/19 9:31 72.00 0.2%
Trade id #120966948
Max drawdown($458)
Time11/15/18 10:38
Quant open465
Worst price67.94
Drawdown as % of equity-0.20%
$1,419
Includes Typical Broker Commissions trade costs of $9.30
10/29/18 9:30 AGN ALLERGAN INC LONG 170 178.77 11/8 9:30 167.90 1.86%
Trade id #120593777
Max drawdown($4,040)
Time10/30/18 15:19
Quant open170
Worst price155.00
Drawdown as % of equity-1.86%
($1,851)
Includes Typical Broker Commissions trade costs of $3.40
10/30/18 9:30 MA MASTERCARD LONG 160 192.58 11/7 9:30 202.19 0.65%
Trade id #120616600
Max drawdown($1,412)
Time10/30/18 13:35
Quant open160
Worst price183.75
Drawdown as % of equity-0.65%
$1,535
Includes Typical Broker Commissions trade costs of $3.20
10/25/18 9:30 MDT MEDTRONIC PLC LONG 335 91.80 11/2 9:31 91.89 0.51%
Trade id #120535743
Max drawdown($1,125)
Time10/29/18 15:46
Quant open335
Worst price88.44
Drawdown as % of equity-0.51%
$23
Includes Typical Broker Commissions trade costs of $6.70
10/2/18 9:30 LOW LOWE'S COMPANIES LONG 305 114.38 11/2 9:31 98.42 4.45%
Trade id #120133419
Max drawdown($10,080)
Time11/1/18 11:48
Quant open305
Worst price81.33
Drawdown as % of equity-4.45%
($4,874)
Includes Typical Broker Commissions trade costs of $6.10
9/27/18 9:30 HD HOME DEPOT LONG 165 207.50 11/2 9:30 182.47 2.72%
Trade id #120062425
Max drawdown($6,037)
Time10/26/18 11:18
Quant open165
Worst price170.91
Drawdown as % of equity-2.72%
($4,133)
Includes Typical Broker Commissions trade costs of $3.30
10/30/18 9:30 AXP AMERICAN EXPRESS LONG 300 101.60 11/2 9:30 104.93 4.85%
Trade id #120616633
Max drawdown($10,902)
Time10/31/18 14:06
Quant open300
Worst price65.26
Drawdown as % of equity-4.85%
$993
Includes Typical Broker Commissions trade costs of $6.00
10/23/18 9:30 DHR DANAHER LONG 320 97.36 11/1 9:30 99.39 0.28%
Trade id #120485300
Max drawdown($614)
Time10/29/18 15:46
Quant open320
Worst price95.44
Drawdown as % of equity-0.28%
$644
Includes Typical Broker Commissions trade costs of $6.40
10/25/18 9:30 AMGN AMGEN LONG 165 188.66 11/1 9:30 192.81 0.55%
Trade id #120535778
Max drawdown($1,212)
Time10/25/18 9:42
Quant open165
Worst price181.31
Drawdown as % of equity-0.55%
$682
Includes Typical Broker Commissions trade costs of $3.30
10/4/18 9:30 NKE NIKE LONG 425 82.34 10/31 9:30 75.50 2.23%
Trade id #120180177
Max drawdown($4,951)
Time10/26/18 11:00
Quant open425
Worst price70.69
Drawdown as % of equity-2.23%
($2,916)
Includes Typical Broker Commissions trade costs of $8.50
9/26/18 9:30 FDX FEDEX LONG 145 239.57 10/31 9:30 219.08 2.09%
Trade id #120040635
Max drawdown($4,592)
Time10/29/18 15:45
Quant open145
Worst price207.90
Drawdown as % of equity-2.09%
($2,974)
Includes Typical Broker Commissions trade costs of $2.90
10/5/18 9:31 TGT TARGET LONG 405 84.85 10/26 9:30 83.72 0.74%
Trade id #120203754
Max drawdown($1,701)
Time10/18/18 10:08
Quant open405
Worst price80.65
Drawdown as % of equity-0.74%
($466)
Includes Typical Broker Commissions trade costs of $8.10
10/1/18 9:30 AXP AMERICAN EXPRESS LONG 325 107.81 10/23 9:30 102.41 0.96%
Trade id #120114516
Max drawdown($2,174)
Time10/11/18 16:37
Quant open325
Worst price101.12
Drawdown as % of equity-0.96%
($1,762)
Includes Typical Broker Commissions trade costs of $6.50
10/10/18 9:30 QCOM QUALCOMM LONG 490 68.77 10/23 9:30 63.66 1.19%
Trade id #120272051
Max drawdown($2,695)
Time10/12/18 12:50
Quant open490
Worst price63.27
Drawdown as % of equity-1.19%
($2,514)
Includes Typical Broker Commissions trade costs of $9.80
10/2/18 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 815 42.88 10/22 9:30 42.07 0.78%
Trade id #120133453
Max drawdown($1,760)
Time10/12/18 13:38
Quant open815
Worst price40.72
Drawdown as % of equity-0.78%
($665)
Includes Typical Broker Commissions trade costs of $5.00
10/5/18 9:30 ORCL ORACLE CORP LONG 695 49.42 10/17 9:30 47.43 0.88%
Trade id #120203712
Max drawdown($2,036)
Time10/11/18 14:47
Quant open695
Worst price46.49
Drawdown as % of equity-0.88%
($1,388)
Includes Typical Broker Commissions trade costs of $5.00
10/5/18 9:30 AMZN AMAZON.COM LONG 18 1917.99 10/17 9:30 1842.79 1.81%
Trade id #120203710
Max drawdown($4,192)
Time10/11/18 14:47
Quant open18
Worst price1685.10
Drawdown as % of equity-1.81%
($1,354)
Includes Typical Broker Commissions trade costs of $0.36
9/26/18 9:30 SPG SIMON PROPERTY GROUP LONG 195 176.99 10/10 9:30 174.00 0.69%
Trade id #120040661
Max drawdown($1,673)
Time10/4/18 14:30
Quant open195
Worst price168.41
Drawdown as % of equity-0.69%
($587)
Includes Typical Broker Commissions trade costs of $3.90
10/1/18 9:30 BAC BANK OF AMERICA CORP LONG 1,185 29.68 10/5 9:30 30.60 0.2%
Trade id #120114610
Max drawdown($485)
Time10/2/18 10:39
Quant open1,185
Worst price29.27
Drawdown as % of equity-0.20%
$1,085
Includes Typical Broker Commissions trade costs of $5.00
10/1/18 9:30 JPM JPMORGAN CHASE LONG 305 113.37 10/4 9:30 114.55 0.07%
Trade id #120114557
Max drawdown($169)
Time10/2/18 10:35
Quant open305
Worst price112.81
Drawdown as % of equity-0.07%
$354
Includes Typical Broker Commissions trade costs of $6.10

Statistics

  • Strategy began
    8/13/2012
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    2315.54
  • Age
    77 months ago
  • What it trades
    Stocks
  • # Trades
    1278
  • # Profitable
    888
  • % Profitable
    69.50%
  • Avg trade duration
    8.8 days
  • Max peak-to-valley drawdown
    15.27%
  • drawdown period
    Dec 29, 2015 - Jan 20, 2016
  • Annual Return (Compounded)
    13.4%
  • Avg win
    $445.32
  • Avg loss
    $709.95
  • Model Account Values (Raw)
  • Cash
    $204,923
  • Margin Used
    $0
  • Buying Power
    $203,676
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    1.057
  • Sortino Ratio
    1.552
  • Calmar Ratio
    1.101
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.53000
  • Return Statistics
  • Ann Return (w trading costs)
    13.4%
  • Ann Return (Compnd, No Fees)
    14.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    19.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    856
  • Popularity (Last 6 weeks)
    947
  • C2 Score
    98.4
  • 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
    $710
  • Avg Win
    $444
  • # Winners
    887
  • # Losers
    390
  • % Winners
    69.5%
  • Frequency
  • Avg Position Time (mins)
    12659.50
  • Avg Position Time (hrs)
    210.99
  • Avg Trade Length
    8.8 days
  • Last Trade Ago
    4
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11149
  • SD
    0.11055
  • Sharpe ratio (Glass type estimate)
    1.00848
  • Sharpe ratio (Hedges UMVUE)
    0.99823
  • df
    74.00000
  • t
    2.52121
  • p
    0.00692
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20464
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80581
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19792
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79854
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.44717
  • Upside Potential Ratio
    2.61547
  • Upside part of mean
    0.20149
  • Downside part of mean
    -0.09000
  • Upside SD
    0.08461
  • Downside SD
    0.07704
  • N nonnegative terms
    54.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    0.07895
  • Mean of criterion
    0.11149
  • SD of predictor
    0.10931
  • SD of criterion
    0.11055
  • Covariance
    0.00720
  • r
    0.59623
  • b (slope, estimate of beta)
    0.60300
  • a (intercept, estimate of alpha)
    0.06388
  • Mean Square Error
    0.00798
  • DF error
    73.00000
  • t(b)
    6.34535
  • p(b)
    0.00000
  • t(a)
    1.74914
  • p(a)
    0.04223
  • Lowerbound of 95% confidence interval for beta
    0.41361
  • Upperbound of 95% confidence interval for beta
    0.79240
  • Lowerbound of 95% confidence interval for alpha
    -0.00891
  • Upperbound of 95% confidence interval for alpha
    0.13667
  • Treynor index (mean / b)
    0.18488
  • Jensen alpha (a)
    0.06388
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10462
  • SD
    0.11214
  • Sharpe ratio (Glass type estimate)
    0.93297
  • Sharpe ratio (Hedges UMVUE)
    0.92348
  • df
    74.00000
  • t
    2.33242
  • p
    0.01120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13172
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72816
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72146
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29848
  • Upside Potential Ratio
    2.45199
  • Upside part of mean
    0.19756
  • Downside part of mean
    -0.09294
  • Upside SD
    0.08263
  • Downside SD
    0.08057
  • N nonnegative terms
    54.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    0.07266
  • Mean of criterion
    0.10462
  • SD of predictor
    0.10912
  • SD of criterion
    0.11214
  • Covariance
    0.00744
  • r
    0.60805
  • b (slope, estimate of beta)
    0.62485
  • a (intercept, estimate of alpha)
    0.05922
  • Mean Square Error
    0.00803
  • DF error
    73.00000
  • t(b)
    6.54388
  • p(b)
    0.00000
  • t(a)
    1.62158
  • p(a)
    0.05460
  • Lowerbound of 95% confidence interval for beta
    0.43455
  • Upperbound of 95% confidence interval for beta
    0.81515
  • Lowerbound of 95% confidence interval for alpha
    -0.01356
  • Upperbound of 95% confidence interval for alpha
    0.13200
  • Treynor index (mean / b)
    0.16743
  • Jensen alpha (a)
    0.05922
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04355
  • Expected Shortfall on VaR
    0.05633
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01086
  • Expected Shortfall on VaR
    0.02675
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    75.00000
  • Minimum
    0.88523
  • Quartile 1
    1.00105
  • Median
    1.01476
  • Quartile 3
    1.03073
  • Maximum
    1.07981
  • Mean of quarter 1
    0.97278
  • Mean of quarter 2
    1.00769
  • Mean of quarter 3
    1.02155
  • Mean of quarter 4
    1.04497
  • Inter Quartile Range
    0.02968
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04000
  • Mean of outliers low
    0.90230
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01333
  • Mean of outliers high
    1.07981
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.11287
  • VaR(95%) (regression method)
    0.02748
  • Expected Shortfall (regression method)
    0.04927
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00127
  • Quartile 1
    0.00716
  • Median
    0.02130
  • Quartile 3
    0.05609
  • Maximum
    0.11477
  • Mean of quarter 1
    0.00399
  • Mean of quarter 2
    0.01290
  • Mean of quarter 3
    0.04029
  • Mean of quarter 4
    0.09770
  • Inter Quartile Range
    0.04894
  • 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)
    -9.18232
  • VaR(95%) (moments method)
    0.09014
  • Expected Shortfall (moments method)
    0.09014
  • Extreme Value Index (regression method)
    -0.97412
  • VaR(95%) (regression method)
    0.10505
  • Expected Shortfall (regression method)
    0.11047
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20630
  • Compounded annual return (geometric extrapolation)
    0.14171
  • Calmar ratio (compounded annual return / max draw down)
    1.23475
  • Compounded annual return / average of 25% largest draw downs
    1.45049
  • Compounded annual return / Expected Shortfall lognormal
    2.51557
  • 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
    0.11499
  • SD
    0.10876
  • Sharpe ratio (Glass type estimate)
    1.05725
  • Sharpe ratio (Hedges UMVUE)
    1.05677
  • df
    1651.00000
  • t
    2.65479
  • p
    0.45852
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27572
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83846
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83813
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55228
  • Upside Potential Ratio
    7.86870
  • Upside part of mean
    0.58287
  • Downside part of mean
    -0.46789
  • Upside SD
    0.07990
  • Downside SD
    0.07407
  • N nonnegative terms
    828.00000
  • N negative terms
    824.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1652.00000
  • Mean of predictor
    0.07779
  • Mean of criterion
    0.11499
  • SD of predictor
    0.12611
  • SD of criterion
    0.10876
  • Covariance
    0.00738
  • r
    0.53814
  • b (slope, estimate of beta)
    0.46410
  • a (intercept, estimate of alpha)
    0.07900
  • Mean Square Error
    0.00841
  • DF error
    1650.00000
  • t(b)
    25.93460
  • p(b)
    0.23093
  • t(a)
    2.15864
  • p(a)
    0.47347
  • Lowerbound of 95% confidence interval for beta
    0.42900
  • Upperbound of 95% confidence interval for beta
    0.49920
  • Lowerbound of 95% confidence interval for alpha
    0.00721
  • Upperbound of 95% confidence interval for alpha
    0.15056
  • Treynor index (mean / b)
    0.24776
  • Jensen alpha (a)
    0.07888
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10904
  • SD
    0.10877
  • Sharpe ratio (Glass type estimate)
    1.00251
  • Sharpe ratio (Hedges UMVUE)
    1.00206
  • df
    1651.00000
  • t
    2.51736
  • p
    0.46066
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22109
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78367
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22077
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78334
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45690
  • Upside Potential Ratio
    7.74496
  • Upside part of mean
    0.57966
  • Downside part of mean
    -0.47062
  • Upside SD
    0.07916
  • Downside SD
    0.07484
  • N nonnegative terms
    828.00000
  • N negative terms
    824.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1652.00000
  • Mean of predictor
    0.06980
  • Mean of criterion
    0.10904
  • SD of predictor
    0.12634
  • SD of criterion
    0.10877
  • Covariance
    0.00741
  • r
    0.53909
  • b (slope, estimate of beta)
    0.46409
  • a (intercept, estimate of alpha)
    0.07664
  • Mean Square Error
    0.00840
  • DF error
    1650.00000
  • t(b)
    25.99930
  • p(b)
    0.23045
  • t(a)
    2.09903
  • p(a)
    0.47420
  • Lowerbound of 95% confidence interval for beta
    0.42908
  • Upperbound of 95% confidence interval for beta
    0.49911
  • Lowerbound of 95% confidence interval for alpha
    0.00503
  • Upperbound of 95% confidence interval for alpha
    0.14826
  • Treynor index (mean / b)
    0.23495
  • Jensen alpha (a)
    0.07664
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01058
  • Expected Shortfall on VaR
    0.01335
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00403
  • Expected Shortfall on VaR
    0.00862
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1652.00000
  • Minimum
    0.95804
  • Quartile 1
    0.99841
  • Median
    1.00012
  • Quartile 3
    1.00274
  • Maximum
    1.04983
  • Mean of quarter 1
    0.99346
  • Mean of quarter 2
    0.99961
  • Mean of quarter 3
    1.00120
  • Mean of quarter 4
    1.00791
  • Inter Quartile Range
    0.00433
  • Number outliers low
    99.00000
  • Percentage of outliers low
    0.05993
  • Mean of outliers low
    0.98495
  • Number of outliers high
    118.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.01500
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49259
  • VaR(95%) (moments method)
    0.00593
  • Expected Shortfall (moments method)
    0.01362
  • Extreme Value Index (regression method)
    0.22591
  • VaR(95%) (regression method)
    0.00568
  • Expected Shortfall (regression method)
    0.00959
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    102.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00110
  • Median
    0.00386
  • Quartile 3
    0.01558
  • Maximum
    0.13335
  • Mean of quarter 1
    0.00038
  • Mean of quarter 2
    0.00241
  • Mean of quarter 3
    0.00832
  • Mean of quarter 4
    0.04682
  • Inter Quartile Range
    0.01448
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.07409
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.47592
  • VaR(95%) (moments method)
    0.04972
  • Expected Shortfall (moments method)
    0.10657
  • Extreme Value Index (regression method)
    0.13610
  • VaR(95%) (regression method)
    0.04503
  • Expected Shortfall (regression method)
    0.06775
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21750
  • Compounded annual return (geometric extrapolation)
    0.14677
  • Calmar ratio (compounded annual return / max draw down)
    1.10064
  • Compounded annual return / average of 25% largest draw downs
    3.13476
  • Compounded annual return / Expected Shortfall lognormal
    10.99270
  • 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
    0.08350
  • SD
    0.12593
  • Sharpe ratio (Glass type estimate)
    0.66307
  • Sharpe ratio (Hedges UMVUE)
    0.65924
  • df
    130.00000
  • t
    0.46886
  • p
    0.47946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11112
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43484
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43220
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89606
  • Upside Potential Ratio
    7.06219
  • Upside part of mean
    0.65807
  • Downside part of mean
    -0.57458
  • Upside SD
    0.08414
  • Downside SD
    0.09318
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.15229
  • Mean of criterion
    0.08350
  • SD of predictor
    0.15041
  • SD of criterion
    0.12593
  • Covariance
    0.00997
  • r
    0.52644
  • b (slope, estimate of beta)
    0.44076
  • a (intercept, estimate of alpha)
    0.15062
  • Mean Square Error
    0.01155
  • DF error
    129.00000
  • t(b)
    7.03260
  • p(b)
    0.18106
  • t(a)
    0.98901
  • p(a)
    0.44484
  • Lowerbound of 95% confidence interval for beta
    0.31676
  • Upperbound of 95% confidence interval for beta
    0.56476
  • Lowerbound of 95% confidence interval for alpha
    -0.15070
  • Upperbound of 95% confidence interval for alpha
    0.45194
  • Treynor index (mean / b)
    0.18944
  • Jensen alpha (a)
    0.15062
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07558
  • SD
    0.12633
  • Sharpe ratio (Glass type estimate)
    0.59823
  • Sharpe ratio (Hedges UMVUE)
    0.59478
  • df
    130.00000
  • t
    0.42301
  • p
    0.48146
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17561
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36991
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.17797
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36752
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80126
  • Upside Potential Ratio
    6.93908
  • Upside part of mean
    0.65450
  • Downside part of mean
    -0.57893
  • Upside SD
    0.08344
  • Downside SD
    0.09432
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.16362
  • Mean of criterion
    0.07558
  • SD of predictor
    0.15108
  • SD of criterion
    0.12633
  • Covariance
    0.01006
  • r
    0.52695
  • b (slope, estimate of beta)
    0.44064
  • a (intercept, estimate of alpha)
    0.14767
  • Mean Square Error
    0.01162
  • DF error
    129.00000
  • t(b)
    7.04207
  • p(b)
    0.18078
  • t(a)
    0.96661
  • p(a)
    0.44608
  • Lowerbound of 95% confidence interval for beta
    0.31684
  • Upperbound of 95% confidence interval for beta
    0.56444
  • Lowerbound of 95% confidence interval for alpha
    -0.15459
  • Upperbound of 95% confidence interval for alpha
    0.44993
  • Treynor index (mean / b)
    0.17151
  • Jensen alpha (a)
    0.14767
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01247
  • Expected Shortfall on VaR
    0.01568
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00466
  • Expected Shortfall on VaR
    0.01016
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96177
  • Quartile 1
    0.99845
  • Median
    1.00039
  • Quartile 3
    1.00329
  • Maximum
    1.02742
  • Mean of quarter 1
    0.99185
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00166
  • Mean of quarter 4
    1.00853
  • Inter Quartile Range
    0.00484
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.98233
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01711
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49078
  • VaR(95%) (moments method)
    0.00666
  • Expected Shortfall (moments method)
    0.01563
  • Extreme Value Index (regression method)
    0.01948
  • VaR(95%) (regression method)
    0.00658
  • Expected Shortfall (regression method)
    0.00977
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00112
  • Median
    0.00290
  • Quartile 3
    0.00970
  • Maximum
    0.12090
  • Mean of quarter 1
    0.00048
  • Mean of quarter 2
    0.00165
  • Mean of quarter 3
    0.00559
  • Mean of quarter 4
    0.05605
  • Inter Quartile Range
    0.00858
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.07884
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.48457
  • VaR(95%) (moments method)
    0.03681
  • Expected Shortfall (moments method)
    0.03743
  • Extreme Value Index (regression method)
    0.67768
  • VaR(95%) (regression method)
    0.13766
  • Expected Shortfall (regression method)
    0.52902
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10621
  • Compounded annual return (geometric extrapolation)
    0.10903
  • Calmar ratio (compounded annual return / max draw down)
    0.90179
  • Compounded annual return / average of 25% largest draw downs
    1.94510
  • Compounded annual return / Expected Shortfall lognormal
    6.95230

Strategy Description

The SP100 System trades highly liquid stocks of the S&P100 Index. It is 100 % mechanical.

Signals delivered in the evening to be executed at next days open.

Equity per position is 15%

Max Positions is 10.

Average trade duration is 8 days.

Back-testing results available to subscribers.

The system can be traded with smaller accounts (10 -25k) provided you use a low cost broker.

System is also traded in IRA's with 10% equity per position and max positions of 10 to avoid margin.
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$1 Subscription

One Free Month AutoTrade

Subscribe to "SP100 Short Term Swing", and get your first month free... plus receive your first month of AutoTrade Service (normally $69). Get it all for $1.

Basically, it's $117 dollars of free stuff.

Offer valid only for limited time.
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Summary Statistics

Strategy began
2012-08-13
Suggested Minimum Capital
$30,000
# Trades
1278
# Profitable
888
% Profitable
69.5%
Net Dividends
Correlation S&P500
0.530
Sharpe Ratio
1.057

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.