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

AlphaStockss
(77708555)

Created by: As_K As_K
Started: 11/2012
Stocks
Last trade: 2,145 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 $49.00 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.

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.

(56.8%)
Max Drawdown
1324
Num Trades
52.0%
Win Trades
1.6 : 1
Profit Factor
65.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      +12.1%+5.6%+18.4%
2013+7.3%(8.7%)+9.3%+5.4%+7.1%+2.1%(4.3%)+4.8%+15.9%(7.4%)+11.5%+4.1%+54.3%
2014(2.3%)+1.2%+10.3%(1.1%)+6.4%+5.3%(9.6%)+10.4%(15.6%)+4.5%+4.6%(0.4%)+11.0%
2015+3.1%+15.5%+4.3%+4.1%+2.8%+2.6%(9.3%)(6.8%)(11.7%)+2.7%+1.2%(5.8%)(0.4%)
2016(6%)+13.1%+4.2%+7.6%(7.7%)(0.3%)+1.9%+4.2%+4.4%+0.6%+11.9%+1.6%+39.0%
2017+3.2%+2.4%(1%)(1.2%)+4.0%(2.4%)+9.8%(6.3%)+6.8%+7.5%+1.3%+1.1%+26.9%
2018(4.9%)(18.8%)+1.3%(3.5%)+5.9%+1.2%+1.6%+1.5%+1.4%(11.6%)+0.7%(10.8%)(32.9%)
2019+9.1%+1.3%+0.7%+2.7%(7.8%)+3.3%+2.9%(9.5%)+1.6%+7.4%+6.3%+3.2%+21.5%
2020(4.9%)(11.8%)(29.2%)+6.7%+5.6%(3.5%)+3.0%+1.4%(0.5%)(1.1%)+17.7%+2.3%(20%)
2021(7.4%)+8.7%+9.3%+4.0%(2.9%)+6.9%(1.6%)+1.6%+1.0%+8.4%(6%)+9.8%+34.2%
2022(4.8%)(0.8%)(3.5%)(10.2%)+0.3%(2.6%)+0.6%+1.0%(6.2%)+6.7%+6.5%(0.9%)(14.2%)
2023+4.9%(0.8%)(1.9%)+4.0%+4.7%+11.0%+3.9%+0.5%(2.5%)(4.3%)+14.5%+5.1%+44.5%
2024+0.7%+3.1%+3.9%                                                      +7.9%

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 168 hours.

Trading Record

This strategy has placed 947 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2215 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/5/18 9:30 VEC VECTRUS INC LONG 80 36.87 5/14 9:30 30.47 1.05%
Trade id #116858229
Max drawdown($708)
Time5/9/18 12:43
Quant open80
Worst price28.01
Drawdown as % of equity-1.05%
($514)
Includes Typical Broker Commissions trade costs of $1.60
12/4/17 9:31 TLYS TILLY'S LONG 484 15.74 5/14/18 9:30 12.94 1.96%
Trade id #115170118
Max drawdown($1,357)
Time5/14/18 9:30
Quant open242
Worst price11.12
Drawdown as % of equity-1.96%
($1,367)
Includes Typical Broker Commissions trade costs of $9.68
3/26/18 9:30 MGLN MAGELLAN HEALTH INC. COMMON S LONG 58 105.30 5/14 9:30 87.50 2.45%
Trade id #117228325
Max drawdown($1,651)
Time4/26/18 9:54
Quant open58
Worst price76.83
Drawdown as % of equity-2.45%
($1,033)
Includes Typical Broker Commissions trade costs of $1.16
3/5/18 9:30 DDS DILLARDS LONG 34 87.41 5/14 9:30 71.92 1.04%
Trade id #116858385
Max drawdown($705)
Time5/10/18 9:52
Quant open34
Worst price66.67
Drawdown as % of equity-1.04%
($528)
Includes Typical Broker Commissions trade costs of $0.68
3/26/18 9:30 SGH SMART GLOBAL HOLDINGS INC. LONG 123 50.45 5/14 9:30 46.28 2.38%
Trade id #117228289
Max drawdown($1,601)
Time4/25/18 10:15
Quant open123
Worst price37.43
Drawdown as % of equity-2.38%
($515)
Includes Typical Broker Commissions trade costs of $2.46
5/7/18 9:30 RMR THE RMR GROUP INC. CLASS A COMMON STOCK LONG 32 80.25 5/14 9:30 81.70 0.09%
Trade id #117818327
Max drawdown($59)
Time5/10/18 9:55
Quant open32
Worst price78.40
Drawdown as % of equity-0.09%
$45
Includes Typical Broker Commissions trade costs of $0.64
1/22/18 9:30 SVM SILVERCORP METALS INC LONG 1,377 2.78 5/7 9:30 2.80 0.44%
Trade id #116020078
Max drawdown($297)
Time4/9/18 9:38
Quant open1,377
Worst price2.57
Drawdown as % of equity-0.44%
$20
Includes Typical Broker Commissions trade costs of $5.00
3/26/18 9:30 CHS CHICO'S FAS LONG 674 8.97 5/7 9:30 9.61 n/a $426
Includes Typical Broker Commissions trade costs of $5.00
2/5/18 9:30 USAK USA TRUCK LONG 390 25.15 5/7 9:30 25.25 0.54%
Trade id #116293859
Max drawdown($366)
Time4/27/18 9:45
Quant open130
Worst price22.33
Drawdown as % of equity-0.54%
$33
Includes Typical Broker Commissions trade costs of $7.80
3/12/18 9:30 AMRC AMERESCO LONG 560 10.75 5/7 9:30 11.40 n/a $359
Includes Typical Broker Commissions trade costs of $5.00
3/26/18 9:30 AMSWA AMERICAN SOFTWARE LONG 479 12.71 5/7 9:30 13.27 0.11%
Trade id #117228336
Max drawdown($76)
Time5/1/18 10:39
Quant open479
Worst price12.55
Drawdown as % of equity-0.11%
$258
Includes Typical Broker Commissions trade costs of $9.58
2/26/18 9:30 QUAD QUAD/GRAPHICS LONG 95 30.99 5/3 10:45 19.51 1.72%
Trade id #116720609
Max drawdown($1,147)
Time5/3/18 9:48
Quant open95
Worst price18.91
Drawdown as % of equity-1.72%
($1,093)
Includes Typical Broker Commissions trade costs of $1.90
3/5/18 9:30 MGRC MCGRATH RENTCORP LONG 58 50.35 5/3 10:45 60.70 n/a $599
Includes Typical Broker Commissions trade costs of $1.16
2/26/18 9:30 HFBC HOPFED BANCORP LONG 191 15.63 3/26 10:51 14.65 0.33%
Trade id #116720725
Max drawdown($227)
Time3/23/18 15:39
Quant open191
Worst price14.44
Drawdown as % of equity-0.33%
($190)
Includes Typical Broker Commissions trade costs of $3.82
1/22/18 9:30 ESIO ELECTRO SCIENTIFIC LONG 474 21.04 3/26 9:31 19.37 3.45%
Trade id #116020075
Max drawdown($2,184)
Time2/8/18 15:01
Quant open308
Worst price15.56
Drawdown as % of equity-3.45%
($803)
Includes Typical Broker Commissions trade costs of $9.48
3/5/18 9:30 HUN HUNTSMAN LONG 95 31.30 3/26 9:30 29.39 0.34%
Trade id #116858297
Max drawdown($233)
Time3/23/18 15:54
Quant open95
Worst price28.84
Drawdown as % of equity-0.34%
($183)
Includes Typical Broker Commissions trade costs of $1.90
11/27/17 9:31 SCVL SHOE CARNIVAL LONG 145 27.40 3/26/18 9:30 24.91 1.18%
Trade id #115054774
Max drawdown($823)
Time3/9/18 9:36
Quant open145
Worst price21.72
Drawdown as % of equity-1.18%
($364)
Includes Typical Broker Commissions trade costs of $2.90
3/5/18 9:30 BBSI BARRETT BUSINESS SERVICES LONG 39 75.40 3/26 9:30 83.24 0.01%
Trade id #116858424
Max drawdown($6)
Time3/5/18 9:40
Quant open39
Worst price75.22
Drawdown as % of equity-0.01%
$305
Includes Typical Broker Commissions trade costs of $0.78
3/12/18 9:30 ASGN ON ASSIGNMENT LONG 71 84.99 3/26 9:30 80.86 0.6%
Trade id #116989580
Max drawdown($408)
Time3/23/18 15:51
Quant open71
Worst price79.23
Drawdown as % of equity-0.60%
($294)
Includes Typical Broker Commissions trade costs of $1.42
12/26/17 9:30 RCMT RCM TECHNOLOGIES LONG 618 6.16 3/26/18 9:30 5.55 0.59%
Trade id #115516386
Max drawdown($405)
Time3/23/18 12:00
Quant open618
Worst price5.50
Drawdown as % of equity-0.59%
($380)
Includes Typical Broker Commissions trade costs of $5.00
2/26/18 9:31 CTG COMPUTER TASK GROUP INC. COMM LONG 395 7.74 3/26 9:30 8.06 0.12%
Trade id #116720743
Max drawdown($86)
Time3/9/18 9:31
Quant open395
Worst price7.52
Drawdown as % of equity-0.12%
$119
Includes Typical Broker Commissions trade costs of $7.90
3/12/18 9:30 WTW WILLIS TOWERS WATSON PUBLIC LIMITED COMPANY LONG 95 63.95 3/26 9:30 63.86 0.25%
Trade id #116989590
Max drawdown($172)
Time3/23/18 12:00
Quant open95
Worst price62.13
Drawdown as % of equity-0.25%
($11)
Includes Typical Broker Commissions trade costs of $1.90
2/26/18 9:31 ARCH ARCH RESOURCES INC LONG 30 98.36 3/23 12:36 91.16 0.32%
Trade id #116720820
Max drawdown($216)
Time3/23/18 12:36
Quant open30
Worst price91.13
Drawdown as % of equity-0.32%
($217)
Includes Typical Broker Commissions trade costs of $0.60
1/2/18 9:30 GPRK GEOPARK LIMITED LONG 368 9.84 3/14 10:16 9.90 0.34%
Trade id #115641872
Max drawdown($217)
Time2/12/18 9:31
Quant open368
Worst price9.25
Drawdown as % of equity-0.34%
$15
Includes Typical Broker Commissions trade costs of $7.36
2/20/18 9:31 PAYC PAYCOM SOFTWARE INC LONG 30 94.25 3/12 9:30 110.00 0.02%
Trade id #116612081
Max drawdown($12)
Time2/20/18 9:33
Quant open30
Worst price93.84
Drawdown as % of equity-0.02%
$472
Includes Typical Broker Commissions trade costs of $0.60
2/20/18 9:30 TBI TRUEBLUE LONG 101 28.20 3/12 9:30 27.90 0.33%
Trade id #116611967
Max drawdown($222)
Time3/2/18 9:31
Quant open101
Worst price26.00
Drawdown as % of equity-0.33%
($32)
Includes Typical Broker Commissions trade costs of $2.02
11/27/17 9:30 WSTL WESTELL TECHNOLOGIES INC LONG 900 4.34 3/12/18 9:30 3.60 1.76%
Trade id #115054482
Max drawdown($1,205)
Time2/28/18 9:51
Quant open900
Worst price3.00
Drawdown as % of equity-1.76%
($671)
Includes Typical Broker Commissions trade costs of $5.00
2/26/18 9:31 KFRC KFORCE LONG 105 28.90 3/12 9:30 28.60 0.48%
Trade id #116720754
Max drawdown($330)
Time3/5/18 9:31
Quant open105
Worst price25.75
Drawdown as % of equity-0.48%
($34)
Includes Typical Broker Commissions trade costs of $2.10
3/5/18 9:30 KAR OPENLANE INC LONG 55 53.78 3/12 9:30 56.60 n/a $154
Includes Typical Broker Commissions trade costs of $1.10
2/13/18 9:30 MU MICRON TECHNOLOGY LONG 63 42.02 3/5 9:31 48.79 0.03%
Trade id #116478290
Max drawdown($17)
Time2/14/18 8:40
Quant open63
Worst price41.75
Drawdown as % of equity-0.03%
$426
Includes Typical Broker Commissions trade costs of $1.26

Statistics

  • Strategy began
    11/18/2012
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    4141.25
  • Age
    138 months ago
  • What it trades
    Stocks
  • # Trades
    1324
  • # Profitable
    689
  • % Profitable
    52.00%
  • Avg trade duration
    33.3 days
  • Max peak-to-valley drawdown
    56.82%
  • drawdown period
    Nov 26, 2017 - March 22, 2020
  • Annual Return (Compounded)
    13.4%
  • Avg win
    $329.82
  • Avg loss
    $263.98
  • Model Account Values (Raw)
  • Cash
    $35,295
  • Margin Used
    $0
  • Buying Power
    $50,493
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    0.5
  • Sortino Ratio
    0.67
  • Calmar Ratio
    0.477
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    31.39%
  • Correlation to SP500
    0.54770
  • Return Percent SP500 (cumu) during strategy life
    286.38%
  • Return Statistics
  • Ann Return (w trading costs)
    13.4%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.134%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.00%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $263
  • Avg Win
    $331
  • Sum Trade PL (losers)
    $167,642.000
  • Age
  • Num Months filled monthly returns table
    137
  • Win / Loss
  • Sum Trade PL (winners)
    $227,255.000
  • # Winners
    686
  • Num Months Winners
    90
  • Dividends
  • Dividends Received in Model Acct
    17169
  • Win / Loss
  • # Losers
    638
  • % Winners
    51.8%
  • Frequency
  • Avg Position Time (mins)
    47921.70
  • Avg Position Time (hrs)
    798.70
  • Avg Trade Length
    33.3 days
  • Last Trade Ago
    2139
  • Regression
  • Alpha
    0.01
  • Beta
    0.72
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    41.95
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    52.99
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.66
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    13.286
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.582
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.489
  • Hold-and-Hope Ratio
    0.030
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18971
  • SD
    0.24851
  • Sharpe ratio (Glass type estimate)
    0.76338
  • Sharpe ratio (Hedges UMVUE)
    0.75714
  • df
    92.00000
  • t
    2.12517
  • p
    0.01813
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04877
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47399
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04466
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46963
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26350
  • Upside Potential Ratio
    2.79896
  • Upside part of mean
    0.42024
  • Downside part of mean
    -0.23054
  • Upside SD
    0.20383
  • Downside SD
    0.15014
  • N nonnegative terms
    57.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    93.00000
  • Mean of predictor
    0.13531
  • Mean of criterion
    0.18971
  • SD of predictor
    0.13446
  • SD of criterion
    0.24851
  • Covariance
    0.02039
  • r
    0.61020
  • b (slope, estimate of beta)
    1.12775
  • a (intercept, estimate of alpha)
    0.03711
  • Mean Square Error
    0.03919
  • DF error
    91.00000
  • t(b)
    7.34736
  • p(b)
    0.00000
  • t(a)
    0.50099
  • p(a)
    0.30879
  • Lowerbound of 95% confidence interval for beta
    0.82286
  • Upperbound of 95% confidence interval for beta
    1.43264
  • Lowerbound of 95% confidence interval for alpha
    -0.11004
  • Upperbound of 95% confidence interval for alpha
    0.18426
  • Treynor index (mean / b)
    0.16822
  • Jensen alpha (a)
    0.03711
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15777
  • SD
    0.24794
  • Sharpe ratio (Glass type estimate)
    0.63632
  • Sharpe ratio (Hedges UMVUE)
    0.63111
  • df
    92.00000
  • t
    1.77143
  • p
    0.03990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34463
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07881
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34104
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96707
  • Upside Potential Ratio
    2.45392
  • Upside part of mean
    0.40033
  • Downside part of mean
    -0.24256
  • Upside SD
    0.19045
  • Downside SD
    0.16314
  • N nonnegative terms
    57.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    93.00000
  • Mean of predictor
    0.12553
  • Mean of criterion
    0.15777
  • SD of predictor
    0.13276
  • SD of criterion
    0.24794
  • Covariance
    0.01996
  • r
    0.60627
  • b (slope, estimate of beta)
    1.13229
  • a (intercept, estimate of alpha)
    0.01563
  • Mean Square Error
    0.03931
  • DF error
    91.00000
  • t(b)
    7.27246
  • p(b)
    0.00000
  • t(a)
    0.21167
  • p(a)
    0.41642
  • Lowerbound of 95% confidence interval for beta
    0.82302
  • Upperbound of 95% confidence interval for beta
    1.44156
  • Lowerbound of 95% confidence interval for alpha
    -0.13106
  • Upperbound of 95% confidence interval for alpha
    0.16232
  • Treynor index (mean / b)
    0.13933
  • Jensen alpha (a)
    0.01563
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09930
  • Expected Shortfall on VaR
    0.12553
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03692
  • Expected Shortfall on VaR
    0.07854
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    93.00000
  • Minimum
    0.76134
  • Quartile 1
    0.98086
  • Median
    1.02473
  • Quartile 3
    1.05337
  • Maximum
    1.25067
  • Mean of quarter 1
    0.93329
  • Mean of quarter 2
    1.00057
  • Mean of quarter 3
    1.03941
  • Mean of quarter 4
    1.10296
  • Inter Quartile Range
    0.07251
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02151
  • Mean of outliers low
    0.78731
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02151
  • Mean of outliers high
    1.24146
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.66291
  • VaR(95%) (moments method)
    0.05410
  • Expected Shortfall (moments method)
    0.06149
  • Extreme Value Index (regression method)
    0.08978
  • VaR(95%) (regression method)
    0.06880
  • Expected Shortfall (regression method)
    0.10477
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.01087
  • Quartile 1
    0.03711
  • Median
    0.04897
  • Quartile 3
    0.10570
  • Maximum
    0.39664
  • Mean of quarter 1
    0.02737
  • Mean of quarter 2
    0.04384
  • Mean of quarter 3
    0.05143
  • Mean of quarter 4
    0.25670
  • Inter Quartile Range
    0.06859
  • 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
    0.32328
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.77110
  • VaR(95%) (moments method)
    0.25617
  • Expected Shortfall (moments method)
    0.25618
  • Extreme Value Index (regression method)
    -0.78493
  • VaR(95%) (regression method)
    0.44936
  • Expected Shortfall (regression method)
    0.50077
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41502
  • Compounded annual return (geometric extrapolation)
    0.20403
  • Calmar ratio (compounded annual return / max draw down)
    0.51440
  • Compounded annual return / average of 25% largest draw downs
    0.79482
  • Compounded annual return / Expected Shortfall lognormal
    1.62532
  • 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
    0.19416
  • SD
    0.21512
  • Sharpe ratio (Glass type estimate)
    0.90257
  • Sharpe ratio (Hedges UMVUE)
    0.90224
  • df
    2042.00000
  • t
    2.52037
  • p
    0.00590
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20005
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60491
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19981
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60467
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22684
  • Upside Potential Ratio
    7.86048
  • Upside part of mean
    1.24402
  • Downside part of mean
    -1.04986
  • Upside SD
    0.14612
  • Downside SD
    0.15826
  • N nonnegative terms
    1149.00000
  • N negative terms
    894.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2043.00000
  • Mean of predictor
    0.15983
  • Mean of criterion
    0.19416
  • SD of predictor
    0.18496
  • SD of criterion
    0.21512
  • Covariance
    0.01929
  • r
    0.48487
  • b (slope, estimate of beta)
    0.56394
  • a (intercept, estimate of alpha)
    0.10400
  • Mean Square Error
    0.03542
  • DF error
    2041.00000
  • t(b)
    25.04660
  • p(b)
    -0.00000
  • t(a)
    1.54146
  • p(a)
    0.06168
  • Lowerbound of 95% confidence interval for beta
    0.51979
  • Upperbound of 95% confidence interval for beta
    0.60810
  • Lowerbound of 95% confidence interval for alpha
    -0.02832
  • Upperbound of 95% confidence interval for alpha
    0.23638
  • Treynor index (mean / b)
    0.34430
  • Jensen alpha (a)
    0.10403
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17071
  • SD
    0.21688
  • Sharpe ratio (Glass type estimate)
    0.78712
  • Sharpe ratio (Hedges UMVUE)
    0.78683
  • df
    2042.00000
  • t
    2.19799
  • p
    0.01403
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08473
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48933
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08454
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48913
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05162
  • Upside Potential Ratio
    7.59815
  • Upside part of mean
    1.23341
  • Downside part of mean
    -1.06270
  • Upside SD
    0.14413
  • Downside SD
    0.16233
  • N nonnegative terms
    1149.00000
  • N negative terms
    894.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2043.00000
  • Mean of predictor
    0.14260
  • Mean of criterion
    0.17071
  • SD of predictor
    0.18560
  • SD of criterion
    0.21688
  • Covariance
    0.01944
  • r
    0.48287
  • b (slope, estimate of beta)
    0.56425
  • a (intercept, estimate of alpha)
    0.09025
  • Mean Square Error
    0.03609
  • DF error
    2041.00000
  • t(b)
    24.91150
  • p(b)
    -0.00000
  • t(a)
    1.32514
  • p(a)
    0.09264
  • Lowerbound of 95% confidence interval for beta
    0.51983
  • Upperbound of 95% confidence interval for beta
    0.60867
  • Lowerbound of 95% confidence interval for alpha
    -0.04331
  • Upperbound of 95% confidence interval for alpha
    0.22381
  • Treynor index (mean / b)
    0.30254
  • Jensen alpha (a)
    0.09025
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02116
  • Expected Shortfall on VaR
    0.02661
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00831
  • Expected Shortfall on VaR
    0.01783
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2043.00000
  • Minimum
    0.88685
  • Quartile 1
    0.99537
  • Median
    1.00139
  • Quartile 3
    1.00691
  • Maximum
    1.06579
  • Mean of quarter 1
    0.98567
  • Mean of quarter 2
    0.99870
  • Mean of quarter 3
    1.00397
  • Mean of quarter 4
    1.01506
  • Inter Quartile Range
    0.01155
  • Number outliers low
    75.00000
  • Percentage of outliers low
    0.03671
  • Mean of outliers low
    0.96236
  • Number of outliers high
    65.00000
  • Percentage of outliers high
    0.03182
  • Mean of outliers high
    1.03463
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33129
  • VaR(95%) (moments method)
    0.01355
  • Expected Shortfall (moments method)
    0.02421
  • Extreme Value Index (regression method)
    0.27760
  • VaR(95%) (regression method)
    0.01198
  • Expected Shortfall (regression method)
    0.01979
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    75.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00404
  • Median
    0.01081
  • Quartile 3
    0.03321
  • Maximum
    0.46067
  • Mean of quarter 1
    0.00183
  • Mean of quarter 2
    0.00766
  • Mean of quarter 3
    0.01996
  • Mean of quarter 4
    0.11101
  • Inter Quartile Range
    0.02917
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.16721
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49349
  • VaR(95%) (moments method)
    0.11384
  • Expected Shortfall (moments method)
    0.25261
  • Extreme Value Index (regression method)
    1.04080
  • VaR(95%) (regression method)
    0.09094
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.47522
  • Compounded annual return (geometric extrapolation)
    0.21971
  • Calmar ratio (compounded annual return / max draw down)
    0.47695
  • Compounded annual return / average of 25% largest draw downs
    1.97925
  • Compounded annual return / Expected Shortfall lognormal
    8.25579
  • 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
    1.20789
  • SD
    0.37373
  • Sharpe ratio (Glass type estimate)
    3.23197
  • Sharpe ratio (Hedges UMVUE)
    3.21328
  • df
    130.00000
  • t
    2.28535
  • p
    0.40174
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42649
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.02538
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41409
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.01247
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.93234
  • Upside Potential Ratio
    11.55520
  • Upside part of mean
    2.82977
  • Downside part of mean
    -1.62188
  • Upside SD
    0.29018
  • Downside SD
    0.24489
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.88148
  • Mean of criterion
    1.20789
  • SD of predictor
    0.35507
  • SD of criterion
    0.37373
  • Covariance
    0.10198
  • r
    0.76847
  • b (slope, estimate of beta)
    0.80887
  • a (intercept, estimate of alpha)
    0.49488
  • Mean Square Error
    0.05763
  • DF error
    129.00000
  • t(b)
    13.64030
  • p(b)
    0.06449
  • t(a)
    1.44065
  • p(a)
    0.42010
  • Lowerbound of 95% confidence interval for beta
    0.69155
  • Upperbound of 95% confidence interval for beta
    0.92620
  • Lowerbound of 95% confidence interval for alpha
    -0.18476
  • Upperbound of 95% confidence interval for alpha
    1.17452
  • Treynor index (mean / b)
    1.49329
  • Jensen alpha (a)
    0.49488
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.13564
  • SD
    0.37483
  • Sharpe ratio (Glass type estimate)
    3.02978
  • Sharpe ratio (Hedges UMVUE)
    3.01227
  • df
    130.00000
  • t
    2.14238
  • p
    0.40767
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22802
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.82023
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21638
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.80815
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.51955
  • Upside Potential Ratio
    11.09700
  • Upside part of mean
    2.78837
  • Downside part of mean
    -1.65273
  • Upside SD
    0.28497
  • Downside SD
    0.25127
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.81696
  • Mean of criterion
    1.13564
  • SD of predictor
    0.35741
  • SD of criterion
    0.37483
  • Covariance
    0.10285
  • r
    0.76774
  • b (slope, estimate of beta)
    0.80515
  • a (intercept, estimate of alpha)
    0.47786
  • Mean Square Error
    0.05813
  • DF error
    129.00000
  • t(b)
    13.60860
  • p(b)
    0.06479
  • t(a)
    1.38760
  • p(a)
    0.42299
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.68810
  • Upperbound of 95% confidence interval for beta
    0.92221
  • Lowerbound of 95% confidence interval for alpha
    -0.20350
  • Upperbound of 95% confidence interval for alpha
    1.15922
  • Treynor index (mean / b)
    1.41046
  • Jensen alpha (a)
    0.47786
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03319
  • Expected Shortfall on VaR
    0.04247
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01165
  • Expected Shortfall on VaR
    0.02560
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92493
  • Quartile 1
    0.99467
  • Median
    1.00378
  • Quartile 3
    1.01868
  • Maximum
    1.05698
  • Mean of quarter 1
    0.97618
  • Mean of quarter 2
    1.00052
  • Mean of quarter 3
    1.00964
  • Mean of quarter 4
    1.03268
  • Inter Quartile Range
    0.02400
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.93904
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.05610
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21089
  • VaR(95%) (moments method)
    0.01824
  • Expected Shortfall (moments method)
    0.03025
  • Extreme Value Index (regression method)
    0.03716
  • VaR(95%) (regression method)
    0.02373
  • Expected Shortfall (regression method)
    0.03587
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00051
  • Quartile 1
    0.00445
  • Median
    0.02015
  • Quartile 3
    0.03098
  • Maximum
    0.20922
  • Mean of quarter 1
    0.00134
  • Mean of quarter 2
    0.01328
  • Mean of quarter 3
    0.02569
  • Mean of quarter 4
    0.08672
  • Inter Quartile Range
    0.02654
  • 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
    0.11111
  • Mean of outliers high
    0.14214
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.29325
  • VaR(95%) (moments method)
    0.08105
  • Expected Shortfall (moments method)
    0.10142
  • Extreme Value Index (regression method)
    0.58727
  • VaR(95%) (regression method)
    0.11898
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.31825
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -414479000
  • Max Equity Drawdown (num days)
    847
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.57841
  • Compounded annual return (geometric extrapolation)
    2.20126
  • Calmar ratio (compounded annual return / max draw down)
    10.52150
  • Compounded annual return / average of 25% largest draw downs
    25.38320
  • Compounded annual return / Expected Shortfall lognormal
    51.83540

Strategy Description

This is a 100% mechanical system, no discretionary inputs, no emotions involved. This counts for stock picks as well as for market timing.

Market timing is based on S&P, S&P EPS & VIX MACD behavior. The system holds long positions only. In bear markets up to 50% of portfolio value is allocated to a long SDS ETF hedge (this is an inverse/leveraged ETF and is similar to 100% short SPY or any other SP500 tracking ETF).
Stock picks result from filtering and ranking of all US stocks based on both fundamental and technical data. Signals are generated and posted on C2 site outside market opening hours and are intended as market(-on-open) orders. No limit or stop-loss is used as back tests indicated degraded performance without significant volatility or drawdown improvements.

Performance as published on this site can be considered as out-of-sample performance, however keep in mind that this is still no real trading performance but simulated or hypothetical performance which does not account for potential risks involved in real trading.
Also note that I'm not a professional trader. The publication of this system/portfolio and the associated buy/sell signals are not to be considered as investment advice.

Summary Statistics

Strategy began
2012-11-18
Suggested Minimum Capital
$15,000
# Trades
1324
# Profitable
689
% Profitable
52.0%
Net Dividends
Correlation S&P500
0.548
Sharpe Ratio
0.50
Sortino Ratio
0.67
Beta
0.72
Alpha
0.01

Latest Activity

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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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