Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

4Trend only ETF
(22906062)

Created by: Timing Timing
Started: 10/2006
Stocks
Last trade: Today
Trading style: Equity Trend-following

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 $20.00 per month.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
3.4%
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.

(12.4%)
Max Drawdown
1285
Num Trades
39.5%
Win Trades
1.9 : 1
Profit Factor
51.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006                                                               +2.3%+3.6%+1.1%+7.2%
2007+1.3%(0.9%)(0.8%)+3.8%+3.9%(0.9%)(0.3%)(2.7%)+1.9%+5.5%(6.5%)(1.8%)+2.1%
2008(1.8%)  -    -  (0.6%)+1.5%(1.6%)(0.7%)  -  +0.3%  -  (0.1%)+0.1%(3%)
2009  -  (0.1%)(0.4%)+3.0%+6.1%(1.7%)+7.3%+1.4%+5.9%(1.8%)+2.4%+0.6%+24.7%
2010(5.2%)(0.4%)+1.3%+1.6%(5%)  -  (0.2%)(0.5%)+2.7%+2.2%(1.4%)+4.8%(0.5%)
2011(0.5%)+1.9%(0.5%)+1.1%(1.6%)(0.3%)(0.7%)(0.8%)  -    -  (1.7%)+0.1%(3.1%)
2012+1.9%+2.7%(0.4%)(1.2%)(4.4%)+0.7%+0.5%(0.4%)+0.7%(0.1%)(0.5%)+2.7%+2.0%
2013+4.0%(0.4%)+1.8%+3.3%(3.4%)(1.4%)+0.6%(0.6%)+0.8%+1.4%+0.4%+0.5%+7.0%
2014(1.8%)+1.1%+0.3%+1.0%+1.2%+0.6%(0.9%)+1.5%(3.4%)(0.3%)+0.3%(0.4%)(1%)
2015+1.1%+1.0%(0.4%)+0.2%(0.7%)(2.5%)+0.7%(2.5%)(1%)+0.4%(0.7%)(0.7%)(5.1%)
2016(1.1%)+0.1%+3.3%  -  (1.1%)+2.9%+3.4%(0.8%)+1.1%(3%)(1.5%)+0.6%+3.7%
2017+3.5%+1.9%+0.9%+1.4%(2.2%)(2.5%)+2.5%+0.9%+0.9%+1.1%+0.3%+0.7%+9.7%
2018+4.6%(4.1%)(0.3%)+0.1%+0.4%(0.5%)+0.6%+1.1%(0.1%)(3%)+0.4%(1.2%)(2.2%)
2019+1.0%+0.6%+1.0%+1.4%                                                +4.0%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/24/18 9:30 MRK MERCK LONG 25 60.41 4/22/19 9:35 73.16 n/a $319
Includes Typical Broker Commissions trade costs of $0.50
1/11/19 9:30 REGN REGENERON PHARMACEUTICALS LONG 2 405.65 4/17 9:31 366.96 0.03%
Trade id #121917242
Max drawdown($83)
Time4/16/19 16:13
Quant open2
Worst price363.69
Drawdown as % of equity-0.03%
($77)
Includes Typical Broker Commissions trade costs of $0.04
4/5/19 9:33 BIDU BAIDU LONG 7 181.33 4/16 9:30 170.00 0.03%
Trade id #123218442
Max drawdown($97)
Time4/15/19 10:45
Quant open7
Worst price167.40
Drawdown as % of equity-0.03%
($79)
Includes Typical Broker Commissions trade costs of $0.14
3/21/19 9:30 JNK SPDR BARCLAYS HIGH YIELD BOND LONG 336 35.80 4/2 9:31 35.83 0.02%
Trade id #123011281
Max drawdown($57)
Time3/25/19 10:12
Quant open336
Worst price35.63
Drawdown as % of equity-0.02%
$3
Includes Typical Broker Commissions trade costs of $6.72
2/21/19 9:30 CAT CATERPILLAR LONG 11 139.75 3/25 9:31 129.59 0.07%
Trade id #122618031
Max drawdown($200)
Time2/27/19 16:12
Quant open11
Worst price121.51
Drawdown as % of equity-0.07%
($112)
Includes Typical Broker Commissions trade costs of $0.22
1/11/19 9:30 ECH ISHARES MSCI CHILE CAPPED ETF LONG 113 44.72 3/25 9:30 42.44 0.08%
Trade id #121917198
Max drawdown($258)
Time3/25/19 9:30
Quant open0
Worst price42.44
Drawdown as % of equity-0.08%
($260)
Includes Typical Broker Commissions trade costs of $2.26
7/26/18 9:30 KO COCA-COLA LONG 34 46.36 2/15/19 9:30 45.90 0.01%
Trade id #119133806
Max drawdown($29)
Time2/14/19 15:59
Quant open34
Worst price45.50
Drawdown as % of equity-0.01%
($17)
Includes Typical Broker Commissions trade costs of $0.68
6/29/18 10:52 VZ VERIZON COMMUNICATIONS LONG 31 50.42 1/30/19 9:30 53.10 n/a $82
Includes Typical Broker Commissions trade costs of $0.62
7/9/18 9:30 PFE PFIZER LONG 43 37.27 1/29/19 9:30 39.50 n/a $95
Includes Typical Broker Commissions trade costs of $0.86
12/13/18 9:30 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 4 258.46 1/4/19 9:30 234.29 0.04%
Trade id #121478061
Max drawdown($112)
Time1/3/19 16:00
Quant open4
Worst price230.33
Drawdown as % of equity-0.04%
($97)
Includes Typical Broker Commissions trade costs of $0.08
6/14/18 9:30 DIS WALT DISNEY LONG 15 106.45 12/27 9:30 104.41 0.03%
Trade id #118433226
Max drawdown($95)
Time12/24/18 13:18
Quant open15
Worst price100.10
Drawdown as % of equity-0.03%
($31)
Includes Typical Broker Commissions trade costs of $0.30
9/14/17 9:30 CSCO CISCO SYSTEMS LONG 48 31.91 12/27/18 9:30 41.89 n/a $478
Includes Typical Broker Commissions trade costs of $0.96
7/9/18 9:31 AMGN AMGEN LONG 6 191.50 12/21 9:30 183.85 0.02%
Trade id #118821995
Max drawdown($57)
Time12/21/18 9:29
Quant open6
Worst price181.85
Drawdown as % of equity-0.02%
($46)
Includes Typical Broker Commissions trade costs of $0.12
4/20/18 9:30 AXP AMERICAN EXPRESS LONG 13 102.20 12/21 9:30 95.20 0.03%
Trade id #117594314
Max drawdown($93)
Time12/21/18 8:01
Quant open13
Worst price95.00
Drawdown as % of equity-0.03%
($91)
Includes Typical Broker Commissions trade costs of $0.26
7/30/18 9:31 WBA WALGREEN BOOTS ALLIANCE INC. LONG 17 68.39 12/21 9:30 69.64 n/a $21
Includes Typical Broker Commissions trade costs of $0.34
10/31/18 9:30 CMCSA COMCAST LONG 32 37.96 12/20 9:30 35.22 0.03%
Trade id #120639367
Max drawdown($97)
Time12/19/18 16:14
Quant open32
Worst price34.92
Drawdown as % of equity-0.03%
($89)
Includes Typical Broker Commissions trade costs of $0.64
4/6/17 9:30 UNH UNITEDHEALTH GROUP LONG 16 165.45 12/19/18 9:30 252.37 n/a $1,391
Includes Typical Broker Commissions trade costs of $0.32
11/9/18 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 27 43.88 12/19 9:30 42.49 0.02%
Trade id #120848778
Max drawdown($54)
Time12/18/18 15:10
Quant open27
Worst price41.86
Drawdown as % of equity-0.02%
($39)
Includes Typical Broker Commissions trade costs of $0.54
12/7/18 9:30 VNQ VANGUARD REAL ESTATE ETF LONG 142 82.94 12/18 9:30 77.49 0.33%
Trade id #121395961
Max drawdown($984)
Time12/18/18 7:01
Quant open142
Worst price76.01
Drawdown as % of equity-0.33%
($777)
Includes Typical Broker Commissions trade costs of $2.84
8/17/18 9:30 WMT WALMART INC LONG 10 97.77 12/18 9:30 90.80 0.03%
Trade id #119485238
Max drawdown($76)
Time12/17/18 15:43
Quant open10
Worst price90.16
Drawdown as % of equity-0.03%
($70)
Includes Typical Broker Commissions trade costs of $0.20
7/18/18 9:30 JNJ JOHNSON & JOHNSON LONG 12 128.81 12/17 9:30 128.32 0%
Trade id #118991349
Max drawdown($6)
Time12/17/18 9:30
Quant open12
Worst price128.25
Drawdown as % of equity-0.00%
($6)
Includes Typical Broker Commissions trade costs of $0.24
12/4/18 9:30 INTC INTEL LONG 31 49.52 12/10 9:30 46.28 0.04%
Trade id #121329960
Max drawdown($107)
Time12/10/18 7:27
Quant open31
Worst price46.05
Drawdown as % of equity-0.04%
($101)
Includes Typical Broker Commissions trade costs of $0.62
11/30/18 9:30 CHTR CHARTER COMMUNICATIONS LONG 4 331.28 12/10 9:30 316.34 0.02%
Trade id #121270112
Max drawdown($75)
Time12/7/18 14:12
Quant open4
Worst price312.32
Drawdown as % of equity-0.02%
($60)
Includes Typical Broker Commissions trade costs of $0.08
4/6/17 9:30 V VISA LONG 21 89.00 11/26/18 9:30 134.60 n/a $958
Includes Typical Broker Commissions trade costs of $0.42
11/6/17 9:30 COST COSTCO WHOLESALE LONG 7 165.80 11/23/18 9:30 218.10 n/a $366
Includes Typical Broker Commissions trade costs of $0.14
11/20/17 9:31 NKE NIKE LONG 23 58.63 11/21/18 9:30 71.99 n/a $307
Includes Typical Broker Commissions trade costs of $0.46
7/26/18 9:31 JNK SPDR BARCLAYS HIGH YIELD BOND LONG 337 35.85 11/15 10:36 34.65 0.14%
Trade id #119133957
Max drawdown($434)
Time11/15/18 10:36
Quant open337
Worst price34.56
Drawdown as % of equity-0.14%
($411)
Includes Typical Broker Commissions trade costs of $6.74
5/7/18 9:31 AAPL APPLE LONG 8 185.18 11/13 9:30 191.63 n/a $52
Includes Typical Broker Commissions trade costs of $0.16
7/27/18 9:30 QCOM QUALCOMM LONG 14 63.22 11/9 9:30 57.78 0.03%
Trade id #119155615
Max drawdown($80)
Time11/9/18 8:43
Quant open14
Worst price57.48
Drawdown as % of equity-0.03%
($76)
Includes Typical Broker Commissions trade costs of $0.28
4/6/17 9:30 BA BOEING LONG 8 177.56 10/30/18 9:30 330.35 n/a $1,222
Includes Typical Broker Commissions trade costs of $0.16

Statistics

  • Strategy began
    10/4/2006
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    4583.26
  • Age
    153 months ago
  • What it trades
    Stocks
  • # Trades
    1285
  • # Profitable
    507
  • % Profitable
    39.50%
  • Avg trade duration
    38.7 days
  • Max peak-to-valley drawdown
    12.35%
  • drawdown period
    Oct 19, 2009 - Aug 25, 2010
  • Annual Return (Compounded)
    3.4%
  • Avg win
    $467.81
  • Avg loss
    $217.68
  • Model Account Values (Raw)
  • Cash
    $168,574
  • Margin Used
    $0
  • Buying Power
    $180,866
  • Ratios
  • W:L ratio
    1.92:1
  • Sharpe Ratio
    0.089
  • Sortino Ratio
    0.124
  • Calmar Ratio
    0.259
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.33000
  • Return Statistics
  • Ann Return (w trading costs)
    3.4%
  • Ann Return (Compnd, No Fees)
    3.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.00%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    524
  • Popularity (Last 6 weeks)
    870
  • C2 Score
    94.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $218
  • Avg Win
    $468
  • # Winners
    507
  • # Losers
    778
  • % Winners
    39.5%
  • Frequency
  • Avg Position Time (mins)
    150549.00
  • Avg Position Time (hrs)
    2509.15
  • Avg Trade Length
    104.5 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00482
  • SD
    0.08511
  • Sharpe ratio (Glass type estimate)
    0.05664
  • Sharpe ratio (Hedges UMVUE)
    0.05634
  • df
    143.00000
  • t
    0.19619
  • p
    0.48956
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50929
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.62237
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50949
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62217
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07979
  • Upside Potential Ratio
    1.69075
  • Upside part of mean
    0.10215
  • Downside part of mean
    -0.09733
  • Upside SD
    0.05955
  • Downside SD
    0.06042
  • N nonnegative terms
    70.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    144.00000
  • Mean of predictor
    0.04233
  • Mean of criterion
    0.00482
  • SD of predictor
    0.16147
  • SD of criterion
    0.08511
  • Covariance
    0.00741
  • r
    0.53936
  • b (slope, estimate of beta)
    0.28430
  • a (intercept, estimate of alpha)
    -0.00721
  • Mean Square Error
    0.00517
  • DF error
    142.00000
  • t(b)
    7.63249
  • p(b)
    0.23032
  • t(a)
    -0.34643
  • p(a)
    0.51453
  • Lowerbound of 95% confidence interval for beta
    0.21067
  • Upperbound of 95% confidence interval for beta
    0.35794
  • Lowerbound of 95% confidence interval for alpha
    -0.04838
  • Upperbound of 95% confidence interval for alpha
    0.03395
  • Treynor index (mean / b)
    0.01696
  • Jensen alpha (a)
    -0.00721
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00121
  • SD
    0.08527
  • Sharpe ratio (Glass type estimate)
    0.01419
  • Sharpe ratio (Hedges UMVUE)
    0.01411
  • df
    143.00000
  • t
    0.04915
  • p
    0.49738
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.57996
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55168
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57991
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01948
  • Upside Potential Ratio
    1.61352
  • Upside part of mean
    0.10020
  • Downside part of mean
    -0.09899
  • Upside SD
    0.05800
  • Downside SD
    0.06210
  • N nonnegative terms
    70.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    144.00000
  • Mean of predictor
    0.02893
  • Mean of criterion
    0.00121
  • SD of predictor
    0.16464
  • SD of criterion
    0.08527
  • Covariance
    0.00750
  • r
    0.53393
  • b (slope, estimate of beta)
    0.27655
  • a (intercept, estimate of alpha)
    -0.00679
  • Mean Square Error
    0.00524
  • DF error
    142.00000
  • t(b)
    7.52494
  • p(b)
    0.23303
  • t(a)
    -0.32473
  • p(a)
    0.51362
  • Lowerbound of 95% confidence interval for beta
    0.20390
  • Upperbound of 95% confidence interval for beta
    0.34920
  • Lowerbound of 95% confidence interval for alpha
    -0.04813
  • Upperbound of 95% confidence interval for alpha
    0.03455
  • Treynor index (mean / b)
    0.00437
  • Jensen alpha (a)
    -0.00679
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03958
  • Expected Shortfall on VaR
    0.04937
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01893
  • Expected Shortfall on VaR
    0.03779
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    144.00000
  • Minimum
    0.90449
  • Quartile 1
    0.99418
  • Median
    1.00126
  • Quartile 3
    1.01327
  • Maximum
    1.08919
  • Mean of quarter 1
    0.97443
  • Mean of quarter 2
    0.99782
  • Mean of quarter 3
    1.00718
  • Mean of quarter 4
    1.03148
  • Inter Quartile Range
    0.01909
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.06944
  • Mean of outliers low
    0.94812
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.05712
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19372
  • VaR(95%) (moments method)
    0.01936
  • Expected Shortfall (moments method)
    0.03160
  • Extreme Value Index (regression method)
    0.10151
  • VaR(95%) (regression method)
    0.02673
  • Expected Shortfall (regression method)
    0.04239
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00220
  • Quartile 1
    0.02733
  • Median
    0.04571
  • Quartile 3
    0.07331
  • Maximum
    0.10946
  • Mean of quarter 1
    0.00578
  • Mean of quarter 2
    0.03880
  • Mean of quarter 3
    0.05667
  • Mean of quarter 4
    0.09779
  • Inter Quartile Range
    0.04598
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.81734
  • VaR(95%) (moments method)
    0.10531
  • Expected Shortfall (moments method)
    0.10954
  • Extreme Value Index (regression method)
    0.66211
  • VaR(95%) (regression method)
    0.10891
  • Expected Shortfall (regression method)
    0.16845
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03485
  • Compounded annual return (geometric extrapolation)
    0.02954
  • Calmar ratio (compounded annual return / max draw down)
    0.26991
  • Compounded annual return / average of 25% largest draw downs
    0.30214
  • Compounded annual return / Expected Shortfall lognormal
    0.59840
  • 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
    0.01201
  • SD
    0.13567
  • Sharpe ratio (Glass type estimate)
    0.08855
  • Sharpe ratio (Hedges UMVUE)
    0.08852
  • df
    3163.00000
  • t
    0.30771
  • p
    0.37916
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47546
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.65255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47548
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65253
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12384
  • Upside Potential Ratio
    5.29335
  • Upside part of mean
    0.51347
  • Downside part of mean
    -0.50146
  • Upside SD
    0.09482
  • Downside SD
    0.09700
  • N nonnegative terms
    1534.00000
  • N negative terms
    1630.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3164.00000
  • Mean of predictor
    0.10975
  • Mean of criterion
    0.01201
  • SD of predictor
    0.39910
  • SD of criterion
    0.13567
  • Covariance
    0.02080
  • r
    0.38425
  • b (slope, estimate of beta)
    0.13062
  • a (intercept, estimate of alpha)
    -0.00200
  • Mean Square Error
    0.01569
  • DF error
    3162.00000
  • t(b)
    23.40340
  • p(b)
    0.00000
  • t(a)
    -0.06440
  • p(a)
    0.52567
  • Lowerbound of 95% confidence interval for beta
    0.11967
  • Upperbound of 95% confidence interval for beta
    0.14156
  • Lowerbound of 95% confidence interval for alpha
    -0.07301
  • Upperbound of 95% confidence interval for alpha
    0.06837
  • Treynor index (mean / b)
    0.09197
  • Jensen alpha (a)
    -0.00232
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00279
  • SD
    0.13591
  • Sharpe ratio (Glass type estimate)
    0.02055
  • Sharpe ratio (Hedges UMVUE)
    0.02054
  • df
    3163.00000
  • t
    0.07141
  • p
    0.47154
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.58455
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54346
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58454
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02816
  • Upside Potential Ratio
    5.13252
  • Upside part of mean
    0.50904
  • Downside part of mean
    -0.50625
  • Upside SD
    0.09290
  • Downside SD
    0.09918
  • N nonnegative terms
    1534.00000
  • N negative terms
    1630.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3164.00000
  • Mean of predictor
    0.03170
  • Mean of criterion
    0.00279
  • SD of predictor
    0.39413
  • SD of criterion
    0.13591
  • Covariance
    0.02084
  • r
    0.38903
  • b (slope, estimate of beta)
    0.13415
  • a (intercept, estimate of alpha)
    -0.00146
  • Mean Square Error
    0.01568
  • DF error
    3162.00000
  • t(b)
    23.74610
  • p(b)
    0.00000
  • t(a)
    -0.04052
  • p(a)
    0.51616
  • Lowerbound of 95% confidence interval for beta
    0.12307
  • Upperbound of 95% confidence interval for beta
    0.14523
  • Lowerbound of 95% confidence interval for alpha
    -0.07212
  • Upperbound of 95% confidence interval for alpha
    0.06920
  • Treynor index (mean / b)
    0.02082
  • Jensen alpha (a)
    -0.00146
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01371
  • Expected Shortfall on VaR
    0.01716
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00436
  • Expected Shortfall on VaR
    0.00974
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3164.00000
  • Minimum
    0.89511
  • Quartile 1
    0.99873
  • Median
    1.00000
  • Quartile 3
    1.00185
  • Maximum
    1.09675
  • Mean of quarter 1
    0.99296
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.00083
  • Mean of quarter 4
    1.00721
  • Inter Quartile Range
    0.00312
  • Number outliers low
    256.00000
  • Percentage of outliers low
    0.08091
  • Mean of outliers low
    0.98442
  • Number of outliers high
    245.00000
  • Percentage of outliers high
    0.07743
  • Mean of outliers high
    1.01550
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71978
  • VaR(95%) (moments method)
    0.00609
  • Expected Shortfall (moments method)
    0.02415
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00572
  • Median
    0.01738
  • Quartile 3
    0.06021
  • Maximum
    0.12051
  • Mean of quarter 1
    0.00264
  • Mean of quarter 2
    0.01237
  • Mean of quarter 3
    0.04429
  • Mean of quarter 4
    0.09170
  • Inter Quartile Range
    0.05449
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.19933
  • VaR(95%) (moments method)
    0.09815
  • Expected Shortfall (moments method)
    0.11515
  • Extreme Value Index (regression method)
    -0.74639
  • VaR(95%) (regression method)
    0.08478
  • Expected Shortfall (regression method)
    0.08906
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03716
  • Compounded annual return (geometric extrapolation)
    0.03118
  • Calmar ratio (compounded annual return / max draw down)
    0.25870
  • Compounded annual return / average of 25% largest draw downs
    0.33998
  • Compounded annual return / Expected Shortfall lognormal
    1.81724
  • 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
    0.01893
  • SD
    0.02628
  • Sharpe ratio (Glass type estimate)
    0.72025
  • Sharpe ratio (Hedges UMVUE)
    0.71609
  • df
    130.00000
  • t
    0.50930
  • p
    0.47769
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.05426
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.05708
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.48926
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10132
  • Upside Potential Ratio
    9.77818
  • Upside part of mean
    0.16804
  • Downside part of mean
    -0.14912
  • Upside SD
    0.01978
  • Downside SD
    0.01719
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05673
  • Mean of criterion
    0.01893
  • SD of predictor
    0.18398
  • SD of criterion
    0.02628
  • Covariance
    0.00211
  • r
    0.43680
  • b (slope, estimate of beta)
    0.06239
  • a (intercept, estimate of alpha)
    0.01539
  • Mean Square Error
    0.00056
  • DF error
    129.00000
  • t(b)
    5.51512
  • p(b)
    0.23104
  • t(a)
    0.45843
  • p(a)
    0.47433
  • Lowerbound of 95% confidence interval for beta
    0.04001
  • Upperbound of 95% confidence interval for beta
    0.08477
  • Lowerbound of 95% confidence interval for alpha
    -0.05102
  • Upperbound of 95% confidence interval for alpha
    0.08180
  • Treynor index (mean / b)
    0.30337
  • Jensen alpha (a)
    0.01539
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01858
  • SD
    0.02627
  • Sharpe ratio (Glass type estimate)
    0.70738
  • Sharpe ratio (Hedges UMVUE)
    0.70329
  • df
    130.00000
  • t
    0.50019
  • p
    0.47809
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.06709
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47919
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.06983
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.47641
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07986
  • Upside Potential Ratio
    9.75327
  • Upside part of mean
    0.16783
  • Downside part of mean
    -0.14925
  • Upside SD
    0.01975
  • Downside SD
    0.01721
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03994
  • Mean of criterion
    0.01858
  • SD of predictor
    0.18383
  • SD of criterion
    0.02627
  • Covariance
    0.00212
  • r
    0.43924
  • b (slope, estimate of beta)
    0.06277
  • a (intercept, estimate of alpha)
    0.01607
  • Mean Square Error
    0.00056
  • DF error
    129.00000
  • t(b)
    5.55321
  • p(b)
    0.22964
  • t(a)
    0.47976
  • p(a)
    0.47314
  • Lowerbound of 95% confidence interval for beta
    0.04040
  • Upperbound of 95% confidence interval for beta
    0.08513
  • Lowerbound of 95% confidence interval for alpha
    -0.05022
  • Upperbound of 95% confidence interval for alpha
    0.08237
  • Treynor index (mean / b)
    0.29606
  • Jensen alpha (a)
    0.01607
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00260
  • Expected Shortfall on VaR
    0.00327
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00133
  • Expected Shortfall on VaR
    0.00246
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99501
  • Quartile 1
    0.99912
  • Median
    1.00010
  • Quartile 3
    1.00092
  • Maximum
    1.00481
  • Mean of quarter 1
    0.99826
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00055
  • Mean of quarter 4
    1.00222
  • Inter Quartile Range
    0.00180
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.99562
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.00416
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21915
  • VaR(95%) (moments method)
    0.00191
  • Expected Shortfall (moments method)
    0.00286
  • Extreme Value Index (regression method)
    0.45847
  • VaR(95%) (regression method)
    0.00179
  • Expected Shortfall (regression method)
    0.00315
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00032
  • Median
    0.00183
  • Quartile 3
    0.00873
  • Maximum
    0.01862
  • Mean of quarter 1
    0.00030
  • Mean of quarter 2
    0.00142
  • Mean of quarter 3
    0.00567
  • Mean of quarter 4
    0.01444
  • Inter Quartile Range
    0.00841
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.22849
  • VaR(95%) (moments method)
    0.01496
  • Expected Shortfall (moments method)
    0.01781
  • Extreme Value Index (regression method)
    1.45165
  • VaR(95%) (regression method)
    0.02331
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04703
  • Compounded annual return (geometric extrapolation)
    0.04759
  • Calmar ratio (compounded annual return / max draw down)
    2.55602
  • Compounded annual return / average of 25% largest draw downs
    3.29566
  • Compounded annual return / Expected Shortfall lognormal
    14.54760

Strategy Description

4Trend approach is systematic and trend following (long only). Trade only US STOCK and ETF.
All the order are before the open and at the market.
Orders delayed until 2/3 days not change the results, this demonstrates the robustness of the trading system.
We control the risk, therefore the amounts invested on the single instrument are according to the volatility of this and the instruments already in portfolio.



rgranero@4timing.it
info@4timing.it
or see:

www.4timing.it



























Summary Statistics

Strategy began
2006-10-04
Suggested Minimum Capital
$45,000
# Trades
1285
# Profitable
507
% Profitable
39.5%
Net Dividends
Correlation S&P500
0.330
Sharpe Ratio
0.089

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.