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The Spirit of Nicolas Darvas.
(81877382)

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

Subscriptions not available

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

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

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.

32.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(29.2%)
Max Drawdown
1433
Num Trades
36.8%
Win Trades
1.6 : 1
Profit Factor
60.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                          +11.4%(2.7%)+18.0%+7.5%+1.9%+1.6%+42.4%
2014+17.4%(2.1%)+0.8%(2.2%)+0.7%+6.0%(6.4%)+5.0%(7.7%)(3.2%)+3.3%+2.9%+13.0%
2015(4.3%)(0.1%)(9%)+2.3%+14.2%+14.2%+16.2%(6.9%)+7.4%(4.7%)(1.2%)+0.9%+28.1%
2016+2.1%(0.3%)(0.3%)(1.6%)(2.3%)(2.6%)+7.4%(2.2%)(2.2%)+2.0%+32.1%(7.6%)+21.5%
2017+4.8%+12.0%+2.1%+1.2%+6.6%(2.9%)+1.7%+9.4%+5.4%+3.9%+4.6%+5.3%+68.5%
2018+8.4%(0.1%)+0.9%(0.3%)+10.4%+3.4%(1.9%)+8.2%+2.6%(10.3%)(1.4%)+1.3%+21.3%
2019(0.4%)+4.1%(0.8%)(2.3%)+1.5%+0.9%+3.5%+2.2%                        +8.9%

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 24 hours.

Trading Record

This strategy has placed 2,749 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/21/19 9:30 HOME AT HOME GROUP INC SHORT 428 7.46 8/22 9:30 5.86 0.02%
Trade id #124179902
Max drawdown($107)
Time6/21/19 10:54
Quant open428
Worst price7.71
Drawdown as % of equity-0.02%
$676
Includes Typical Broker Commissions trade costs of $8.56
8/5/19 9:30 URBN URBAN OUTFITTERS SHORT 684 21.55 8/22 9:30 22.68 0.15%
Trade id #124765937
Max drawdown($834)
Time8/21/19 0:00
Quant open684
Worst price22.77
Drawdown as % of equity-0.15%
($778)
Includes Typical Broker Commissions trade costs of $5.00
5/20/19 9:30 CMCM CHEETAH MOBILE INC SHORT 2,208 5.53 8/21 9:30 4.36 0.02%
Trade id #123736152
Max drawdown($110)
Time5/20/19 9:31
Quant open2,208
Worst price5.58
Drawdown as % of equity-0.02%
$2,581
Includes Typical Broker Commissions trade costs of $5.00
7/17/19 9:30 WB WEIBO CORPORATION AMERICAN DEP SHORT 317 41.15 8/20 9:30 42.00 0.1%
Trade id #124492085
Max drawdown($554)
Time8/19/19 0:00
Quant open317
Worst price42.90
Drawdown as % of equity-0.10%
($275)
Includes Typical Broker Commissions trade costs of $6.34
8/2/19 9:30 BIDU BAIDU SHORT 212 108.22 8/20 9:30 112.08 0.15%
Trade id #124736144
Max drawdown($844)
Time8/20/19 9:30
Quant open212
Worst price112.20
Drawdown as % of equity-0.15%
($823)
Includes Typical Broker Commissions trade costs of $4.24
8/14/19 9:30 AXSM AXSOME THERAPEUTICS INC. COMMON STOCK LONG 369 27.19 8/16 9:30 23.00 0.3%
Trade id #124927598
Max drawdown($1,687)
Time8/14/19 9:30
Quant open369
Worst price22.62
Drawdown as % of equity-0.30%
($1,554)
Includes Typical Broker Commissions trade costs of $7.38
8/9/19 9:30 TRU TRANSUNION LONG 282 84.00 8/15 9:30 80.05 0.24%
Trade id #124854599
Max drawdown($1,336)
Time8/9/19 9:30
Quant open282
Worst price79.26
Drawdown as % of equity-0.24%
($1,120)
Includes Typical Broker Commissions trade costs of $5.64
8/9/19 9:30 WPM WHEATON PRECIOUS METALS CORP LONG 672 27.00 8/15 9:30 26.27 0.13%
Trade id #124854570
Max drawdown($743)
Time8/9/19 9:30
Quant open672
Worst price25.89
Drawdown as % of equity-0.13%
($492)
Includes Typical Broker Commissions trade costs of $5.00
7/23/19 9:30 LK LUCKIN COFFEE INC. AMERICAN DEPOSITARY SHARES LONG 481 21.50 8/15 9:30 21.40 0.11%
Trade id #124576144
Max drawdown($582)
Time7/23/19 9:30
Quant open481
Worst price20.29
Drawdown as % of equity-0.11%
($58)
Includes Typical Broker Commissions trade costs of $9.62
7/31/19 8:18 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 515 12.96 8/14 8:00 13.00 0.03%
Trade id #124692630
Max drawdown($167)
Time7/31/19 8:18
Quant open515
Worst price12.63
Drawdown as % of equity-0.03%
$18
Includes Typical Broker Commissions trade costs of $5.00
8/12/19 9:31 NVTA INVITAE CORP LONG 315 25.82 8/13 9:30 24.66 0.07%
Trade id #124880255
Max drawdown($412)
Time8/12/19 9:31
Quant open315
Worst price24.51
Drawdown as % of equity-0.07%
($371)
Includes Typical Broker Commissions trade costs of $6.30
7/30/19 9:30 GKOS GLAUKOS CORPORATION LONG 300 76.14 8/6 9:31 75.82 0.13%
Trade id #124674127
Max drawdown($729)
Time7/30/19 9:30
Quant open300
Worst price73.71
Drawdown as % of equity-0.13%
($102)
Includes Typical Broker Commissions trade costs of $6.00
6/5/19 9:30 DIS WALT DISNEY LONG 236 135.48 8/6 9:30 140.50 0.03%
Trade id #123946323
Max drawdown($154)
Time6/5/19 9:30
Quant open236
Worst price134.82
Drawdown as % of equity-0.03%
$1,180
Includes Typical Broker Commissions trade costs of $4.72
6/10/19 9:30 G GENPACT LONG 959 37.29 8/6 9:30 37.75 0.12%
Trade id #124001522
Max drawdown($623)
Time6/10/19 9:30
Quant open959
Worst price36.64
Drawdown as % of equity-0.12%
$436
Includes Typical Broker Commissions trade costs of $5.00
7/8/19 9:30 MTCH MATCH GROUP INC. COMMON STOCK LONG 391 71.88 8/6 9:30 72.29 0.16%
Trade id #124370108
Max drawdown($840)
Time7/8/19 9:30
Quant open391
Worst price69.73
Drawdown as % of equity-0.16%
$152
Includes Typical Broker Commissions trade costs of $7.82
5/28/19 9:30 PGX INVESCO PREFERRED LONG 4,923 14.57 8/6 9:30 14.82 0.04%
Trade id #123842238
Max drawdown($196)
Time5/28/19 9:30
Quant open4,923
Worst price14.53
Drawdown as % of equity-0.04%
$1,226
Includes Typical Broker Commissions trade costs of $5.00
7/23/19 9:30 APHA APHRIA INC SHORT 1,924 6.17 8/5 9:30 7.10 0.45%
Trade id #124576241
Max drawdown($2,462)
Time7/23/19 9:30
Quant open1,924
Worst price7.45
Drawdown as % of equity-0.45%
($1,794)
Includes Typical Broker Commissions trade costs of $5.00
7/5/19 9:30 IQV IQVIA HOLDINGS INC LONG 147 161.00 8/5 9:30 154.59 0.19%
Trade id #124345688
Max drawdown($999)
Time7/5/19 9:30
Quant open147
Worst price154.20
Drawdown as % of equity-0.19%
($945)
Includes Typical Broker Commissions trade costs of $2.94
6/3/19 9:31 PLAN ANAPLAN INC. LONG 230 43.59 8/5 9:30 52.85 0.15%
Trade id #123910842
Max drawdown($765)
Time6/3/19 9:31
Quant open230
Worst price40.26
Drawdown as % of equity-0.15%
$2,125
Includes Typical Broker Commissions trade costs of $4.60
7/26/19 9:30 ZNGA ZYNGA LONG 3,553 6.40 8/5 9:30 6.09 0.2%
Trade id #124629689
Max drawdown($1,103)
Time8/5/19 9:30
Quant open3,553
Worst price6.09
Drawdown as % of equity-0.20%
($1,108)
Includes Typical Broker Commissions trade costs of $5.00
7/25/19 9:30 YETI YETI HOLDINGS INC LONG 351 36.56 8/2 9:30 31.50 0.44%
Trade id #124610181
Max drawdown($2,386)
Time7/25/19 9:30
Quant open351
Worst price29.76
Drawdown as % of equity-0.44%
($1,783)
Includes Typical Broker Commissions trade costs of $7.02
7/15/19 9:30 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 244 134.20 8/2 9:30 137.00 0.03%
Trade id #124459457
Max drawdown($141)
Time7/15/19 9:30
Quant open244
Worst price133.62
Drawdown as % of equity-0.03%
$678
Includes Typical Broker Commissions trade costs of $4.88
7/8/19 9:30 BYND BEYOND MEAT INC. COMMON STOCK LONG 39 152.54 8/2 9:30 177.60 0%
Trade id #124370089
Max drawdown($21)
Time7/8/19 9:30
Quant open39
Worst price152.00
Drawdown as % of equity-0.00%
$976
Includes Typical Broker Commissions trade costs of $0.78
7/16/19 9:30 ENV ENVESTNET LONG 365 73.10 8/1 9:30 71.04 0.24%
Trade id #124474081
Max drawdown($1,284)
Time7/16/19 9:30
Quant open365
Worst price69.58
Drawdown as % of equity-0.24%
($759)
Includes Typical Broker Commissions trade costs of $7.30
7/10/19 9:30 FNV FRANCO-NEVADA LONG 546 86.39 8/1 9:30 85.88 0.2%
Trade id #124400104
Max drawdown($1,053)
Time7/10/19 9:30
Quant open546
Worst price84.46
Drawdown as % of equity-0.20%
($283)
Includes Typical Broker Commissions trade costs of $5.00
7/31/19 9:30 GLD SPDR GOLD SHARES LONG 391 135.03 8/1 9:30 132.42 0.19%
Trade id #124693545
Max drawdown($1,065)
Time7/31/19 9:30
Quant open391
Worst price132.31
Drawdown as % of equity-0.19%
($1,029)
Includes Typical Broker Commissions trade costs of $7.82
7/24/19 9:30 PEGA PEGASYSTEMS LONG 743 76.74 8/1 9:30 75.32 0.28%
Trade id #124591274
Max drawdown($1,546)
Time7/24/19 9:30
Quant open743
Worst price74.66
Drawdown as % of equity-0.28%
($1,062)
Includes Typical Broker Commissions trade costs of $5.00
7/29/19 9:30 COST COSTCO WHOLESALE LONG 182 281.01 8/1 9:30 275.69 0.27%
Trade id #124655527
Max drawdown($1,525)
Time7/29/19 9:30
Quant open182
Worst price272.63
Drawdown as % of equity-0.27%
($972)
Includes Typical Broker Commissions trade costs of $3.64
7/18/19 9:30 EA ELECTRONIC ARTS SHORT 188 88.90 8/1 9:30 93.27 0.26%
Trade id #124514043
Max drawdown($1,436)
Time7/18/19 9:30
Quant open188
Worst price96.54
Drawdown as % of equity-0.26%
($825)
Includes Typical Broker Commissions trade costs of $3.76
7/10/19 9:30 ROKU ROKU INC. CLASS A COMMON STOCK LONG 362 108.54 8/1 9:30 103.66 0.51%
Trade id #124400160
Max drawdown($2,693)
Time7/10/19 9:30
Quant open362
Worst price101.10
Drawdown as % of equity-0.51%
($1,774)
Includes Typical Broker Commissions trade costs of $7.24

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2239.07
  • Age
    75 months ago
  • What it trades
    Stocks
  • # Trades
    1433
  • # Profitable
    528
  • % Profitable
    36.80%
  • Avg trade duration
    28.7 days
  • Max peak-to-valley drawdown
    29.2%
  • drawdown period
    Sept 08, 2014 - March 26, 2015
  • Annual Return (Compounded)
    32.3%
  • Avg win
    $2,567
  • Avg loss
    $1,002
  • Model Account Values (Raw)
  • Cash
    $265,595
  • Margin Used
    $305,021
  • Buying Power
    $38,499
  • Ratios
  • W:L ratio
    1.59:1
  • Sharpe Ratio
    1.01
  • Sortino Ratio
    1.51
  • Calmar Ratio
    1.541
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.14060
  • Return Statistics
  • Ann Return (w trading costs)
    32.3%
  • Ann Return (Compnd, No Fees)
    33.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    22.00%
  • Chance of 30% account loss
    9.50%
  • Chance of 40% account loss
    2.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    966
  • Popularity (Last 6 weeks)
    985
  • C2 Score
    979
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,002
  • Avg Win
    $2,568
  • # Winners
    528
  • # Losers
    905
  • % Winners
    36.9%
  • Frequency
  • Avg Position Time (mins)
    41315.10
  • Avg Position Time (hrs)
    688.58
  • Avg Trade Length
    28.7 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.61
  • Daily leverage (max)
    4.08
  • Regression
  • Alpha
    0.07
  • Beta
    0.26
  • Treynor Index
    0.31
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    3.772
  • Avg(MAE) / Avg(PL) - Winning trades
    0.183
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.254
  • Hold-and-Hope Ratio
    0.274
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28816
  • SD
    0.21507
  • Sharpe ratio (Glass type estimate)
    1.33989
  • Sharpe ratio (Hedges UMVUE)
    1.32568
  • df
    71.00000
  • t
    3.28204
  • p
    0.00080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50565
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49635
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15501
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.98626
  • Upside Potential Ratio
    4.38911
  • Upside part of mean
    0.42353
  • Downside part of mean
    -0.13537
  • Upside SD
    0.20789
  • Downside SD
    0.09650
  • N nonnegative terms
    47.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.07652
  • Mean of criterion
    0.28816
  • SD of predictor
    0.12119
  • SD of criterion
    0.21507
  • Covariance
    0.00640
  • r
    0.24548
  • b (slope, estimate of beta)
    0.43565
  • a (intercept, estimate of alpha)
    0.25483
  • Mean Square Error
    0.04409
  • DF error
    70.00000
  • t(b)
    2.11869
  • p(b)
    0.01883
  • t(a)
    2.92398
  • p(a)
    0.00233
  • Lowerbound of 95% confidence interval for beta
    0.02555
  • Upperbound of 95% confidence interval for beta
    0.84575
  • Lowerbound of 95% confidence interval for alpha
    0.08101
  • Upperbound of 95% confidence interval for alpha
    0.42865
  • Treynor index (mean / b)
    0.66146
  • Jensen alpha (a)
    0.25483
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26285
  • SD
    0.20686
  • Sharpe ratio (Glass type estimate)
    1.27068
  • Sharpe ratio (Hedges UMVUE)
    1.25721
  • df
    71.00000
  • t
    3.11253
  • p
    0.00134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43961
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09341
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43078
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08365
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.59306
  • Upside Potential Ratio
    3.97437
  • Upside part of mean
    0.40287
  • Downside part of mean
    -0.14002
  • Upside SD
    0.19411
  • Downside SD
    0.10137
  • N nonnegative terms
    47.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.06888
  • Mean of criterion
    0.26285
  • SD of predictor
    0.12144
  • SD of criterion
    0.20686
  • Covariance
    0.00647
  • r
    0.25740
  • b (slope, estimate of beta)
    0.43846
  • a (intercept, estimate of alpha)
    0.23265
  • Mean Square Error
    0.04053
  • DF error
    70.00000
  • t(b)
    2.22865
  • p(b)
    0.01453
  • t(a)
    2.79310
  • p(a)
    0.00336
  • Lowerbound of 95% confidence interval for beta
    0.04608
  • Upperbound of 95% confidence interval for beta
    0.83084
  • Lowerbound of 95% confidence interval for alpha
    0.06652
  • Upperbound of 95% confidence interval for alpha
    0.39877
  • Treynor index (mean / b)
    0.59948
  • Jensen alpha (a)
    0.23265
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07348
  • Expected Shortfall on VaR
    0.09609
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01979
  • Expected Shortfall on VaR
    0.04437
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    72.00000
  • Minimum
    0.86117
  • Quartile 1
    0.99315
  • Median
    1.02002
  • Quartile 3
    1.05253
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95901
  • Mean of quarter 2
    1.00544
  • Mean of quarter 3
    1.03463
  • Mean of quarter 4
    1.10629
  • Inter Quartile Range
    0.05938
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.88917
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.18775
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12618
  • VaR(95%) (moments method)
    0.02580
  • Expected Shortfall (moments method)
    0.04083
  • Extreme Value Index (regression method)
    0.01899
  • VaR(95%) (regression method)
    0.04011
  • Expected Shortfall (regression method)
    0.06139
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00618
  • Quartile 1
    0.02030
  • Median
    0.03106
  • Quartile 3
    0.06891
  • Maximum
    0.19334
  • Mean of quarter 1
    0.00980
  • Mean of quarter 2
    0.02895
  • Mean of quarter 3
    0.05330
  • Mean of quarter 4
    0.12887
  • Inter Quartile Range
    0.04860
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.19334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.95293
  • VaR(95%) (moments method)
    0.14842
  • Expected Shortfall (moments method)
    0.15248
  • Extreme Value Index (regression method)
    0.08536
  • VaR(95%) (regression method)
    0.20113
  • Expected Shortfall (regression method)
    0.29051
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78721
  • Compounded annual return (geometric extrapolation)
    0.33744
  • Calmar ratio (compounded annual return / max draw down)
    1.74529
  • Compounded annual return / average of 25% largest draw downs
    2.61837
  • Compounded annual return / Expected Shortfall lognormal
    3.51168
  • 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
    0.28770
  • SD
    0.21714
  • Sharpe ratio (Glass type estimate)
    1.32494
  • Sharpe ratio (Hedges UMVUE)
    1.32431
  • df
    1586.00000
  • t
    3.26087
  • p
    0.45920
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12243
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12200
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95868
  • Upside Potential Ratio
    8.76755
  • Upside part of mean
    1.28780
  • Downside part of mean
    -1.00011
  • Upside SD
    0.16082
  • Downside SD
    0.14688
  • N nonnegative terms
    891.00000
  • N negative terms
    696.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1587.00000
  • Mean of predictor
    0.07174
  • Mean of criterion
    0.28770
  • SD of predictor
    0.13116
  • SD of criterion
    0.21714
  • Covariance
    0.00422
  • r
    0.14825
  • b (slope, estimate of beta)
    0.24543
  • a (intercept, estimate of alpha)
    0.27000
  • Mean Square Error
    0.04614
  • DF error
    1585.00000
  • t(b)
    5.96807
  • p(b)
    0.40597
  • t(a)
    3.09276
  • p(a)
    0.45074
  • Lowerbound of 95% confidence interval for beta
    0.16476
  • Upperbound of 95% confidence interval for beta
    0.32609
  • Lowerbound of 95% confidence interval for alpha
    0.09880
  • Upperbound of 95% confidence interval for alpha
    0.44138
  • Treynor index (mean / b)
    1.17223
  • Jensen alpha (a)
    0.27009
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26396
  • SD
    0.21722
  • Sharpe ratio (Glass type estimate)
    1.21518
  • Sharpe ratio (Hedges UMVUE)
    1.21460
  • df
    1586.00000
  • t
    2.99073
  • p
    0.46256
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41752
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01248
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41712
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01209
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76240
  • Upside Potential Ratio
    8.51307
  • Upside part of mean
    1.27503
  • Downside part of mean
    -1.01107
  • Upside SD
    0.15808
  • Downside SD
    0.14977
  • N nonnegative terms
    891.00000
  • N negative terms
    696.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1587.00000
  • Mean of predictor
    0.06311
  • Mean of criterion
    0.26396
  • SD of predictor
    0.13137
  • SD of criterion
    0.21722
  • Covariance
    0.00424
  • r
    0.14854
  • b (slope, estimate of beta)
    0.24562
  • a (intercept, estimate of alpha)
    0.24846
  • Mean Square Error
    0.04617
  • DF error
    1585.00000
  • t(b)
    5.98005
  • p(b)
    0.40579
  • t(a)
    2.84453
  • p(a)
    0.45467
  • Lowerbound of 95% confidence interval for beta
    0.16505
  • Upperbound of 95% confidence interval for beta
    0.32618
  • Lowerbound of 95% confidence interval for alpha
    0.07713
  • Upperbound of 95% confidence interval for alpha
    0.41979
  • Treynor index (mean / b)
    1.07469
  • Jensen alpha (a)
    0.24846
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02085
  • Expected Shortfall on VaR
    0.02631
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00795
  • Expected Shortfall on VaR
    0.01690
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1587.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99594
  • Median
    1.00101
  • Quartile 3
    1.00662
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98617
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00358
  • Mean of quarter 4
    1.01619
  • Inter Quartile Range
    0.01068
  • Number outliers low
    69.00000
  • Percentage of outliers low
    0.04348
  • Mean of outliers low
    0.96659
  • Number of outliers high
    75.00000
  • Percentage of outliers high
    0.04726
  • Mean of outliers high
    1.03372
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24899
  • VaR(95%) (moments method)
    0.01209
  • Expected Shortfall (moments method)
    0.02017
  • Extreme Value Index (regression method)
    0.18502
  • VaR(95%) (regression method)
    0.01241
  • Expected Shortfall (regression method)
    0.01978
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    55.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00808
  • Median
    0.03090
  • Quartile 3
    0.06871
  • Maximum
    0.21989
  • Mean of quarter 1
    0.00372
  • Mean of quarter 2
    0.01814
  • Mean of quarter 3
    0.04551
  • Mean of quarter 4
    0.10611
  • Inter Quartile Range
    0.06063
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01818
  • Mean of outliers high
    0.21989
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.11861
  • VaR(95%) (moments method)
    0.11634
  • Expected Shortfall (moments method)
    0.15341
  • Extreme Value Index (regression method)
    0.18845
  • VaR(95%) (regression method)
    0.10889
  • Expected Shortfall (regression method)
    0.14341
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.80212
  • Compounded annual return (geometric extrapolation)
    0.33892
  • Calmar ratio (compounded annual return / max draw down)
    1.54134
  • Compounded annual return / average of 25% largest draw downs
    3.19401
  • Compounded annual return / Expected Shortfall lognormal
    12.88240
  • 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
    0.09811
  • SD
    0.11396
  • Sharpe ratio (Glass type estimate)
    0.86087
  • Sharpe ratio (Hedges UMVUE)
    0.85589
  • df
    130.00000
  • t
    0.60873
  • p
    0.47334
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91448
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63308
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62965
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22140
  • Upside Potential Ratio
    9.48882
  • Upside part of mean
    0.76218
  • Downside part of mean
    -0.66407
  • Upside SD
    0.08046
  • Downside SD
    0.08032
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03254
  • Mean of criterion
    0.09811
  • SD of predictor
    0.13473
  • SD of criterion
    0.11396
  • Covariance
    0.00471
  • r
    0.30693
  • b (slope, estimate of beta)
    0.25963
  • a (intercept, estimate of alpha)
    0.08966
  • Mean Square Error
    0.01186
  • DF error
    129.00000
  • t(b)
    3.66287
  • p(b)
    0.30771
  • t(a)
    0.58220
  • p(a)
    0.46742
  • Lowerbound of 95% confidence interval for beta
    0.11939
  • Upperbound of 95% confidence interval for beta
    0.39987
  • Lowerbound of 95% confidence interval for alpha
    -0.21503
  • Upperbound of 95% confidence interval for alpha
    0.39435
  • Treynor index (mean / b)
    0.37787
  • Jensen alpha (a)
    0.08966
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09163
  • SD
    0.11403
  • Sharpe ratio (Glass type estimate)
    0.80356
  • Sharpe ratio (Hedges UMVUE)
    0.79892
  • df
    130.00000
  • t
    0.56820
  • p
    0.47511
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97459
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57242
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13383
  • Upside Potential Ratio
    9.39034
  • Upside part of mean
    0.75889
  • Downside part of mean
    -0.66726
  • Upside SD
    0.08003
  • Downside SD
    0.08082
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02349
  • Mean of criterion
    0.09163
  • SD of predictor
    0.13523
  • SD of criterion
    0.11403
  • Covariance
    0.00472
  • r
    0.30625
  • b (slope, estimate of beta)
    0.25824
  • a (intercept, estimate of alpha)
    0.08557
  • Mean Square Error
    0.01188
  • DF error
    129.00000
  • t(b)
    3.65390
  • p(b)
    0.30813
  • t(a)
    0.55519
  • p(a)
    0.46893
  • Lowerbound of 95% confidence interval for beta
    0.11841
  • Upperbound of 95% confidence interval for beta
    0.39807
  • Lowerbound of 95% confidence interval for alpha
    -0.21936
  • Upperbound of 95% confidence interval for alpha
    0.39050
  • Treynor index (mean / b)
    0.35483
  • Jensen alpha (a)
    0.08557
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01118
  • Expected Shortfall on VaR
    0.01408
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00543
  • Expected Shortfall on VaR
    0.01057
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97975
  • Quartile 1
    0.99709
  • Median
    1.00058
  • Quartile 3
    1.00487
  • Maximum
    1.01616
  • Mean of quarter 1
    0.99120
  • Mean of quarter 2
    0.99902
  • Mean of quarter 3
    1.00269
  • Mean of quarter 4
    1.00908
  • Inter Quartile Range
    0.00778
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98318
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.66593
  • VaR(95%) (moments method)
    0.00747
  • Expected Shortfall (moments method)
    0.00768
  • Extreme Value Index (regression method)
    0.01988
  • VaR(95%) (regression method)
    0.00716
  • Expected Shortfall (regression method)
    0.00987
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00067
  • Quartile 1
    0.00462
  • Median
    0.01625
  • Quartile 3
    0.03090
  • Maximum
    0.08583
  • Mean of quarter 1
    0.00156
  • Mean of quarter 2
    0.01110
  • Mean of quarter 3
    0.02140
  • Mean of quarter 4
    0.05995
  • Inter Quartile Range
    0.02628
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.08583
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12318
  • Compounded annual return (geometric extrapolation)
    0.12698
  • Calmar ratio (compounded annual return / max draw down)
    1.47939
  • Compounded annual return / average of 25% largest draw downs
    2.11822
  • Compounded annual return / Expected Shortfall lognormal
    9.01924

Strategy Description

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


What to expect:

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

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

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


FAQ:

Does this system need to be auto-traded?

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

Do you short stocks?

Yes.

Do you use leverage?

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

Do you use stops?

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

How has the system performed during backtesting?

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

Summary Statistics

Strategy began
2013-07-07
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 2.1%
Rank # 
#12
# Trades
1433
# Profitable
528
% Profitable
36.8%
Net Dividends
Correlation S&P500
0.141
Sharpe Ratio
1.01
Sortino Ratio
1.51
Beta
0.26
Alpha
0.07
Leverage
1.61 Average
4.08 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.