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The Spirit of Nicolas Darvas.
(81877382)

Created by: Danny Danny
Started: 07/2013
Stocks
Last trade: 3 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 $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.

29.5%
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
1608
Num Trades
36.4%
Win Trades
1.5 : 1
Profit Factor
59.5%
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%+3.8%(6.2%)(1.4%)(1.1%)+3.9%+5.1%
2020+1.8%                                                                  +1.8%

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 3,092 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/6/19 9:30 BABA ALIBABA GROUP HOLDING LIMITED LONG 120 201.18 1/24/20 9:30 218.27 0.06%
Trade id #126513513
Max drawdown($315)
Time12/9/19 0:00
Quant open120
Worst price198.55
Drawdown as % of equity-0.06%
$2,049
Includes Typical Broker Commissions trade costs of $2.40
1/15/20 9:30 RETA REATA PHARMACEUTICALS INC. CLASS A COMMON STOCK LONG 121 211.05 1/24 9:30 206.01 0.23%
Trade id #127007790
Max drawdown($1,312)
Time1/23/20 0:00
Quant open121
Worst price200.20
Drawdown as % of equity-0.23%
($612)
Includes Typical Broker Commissions trade costs of $2.42
1/14/20 9:30 GSB GLOBALSCAPE INC LONG 2,551 10.98 1/23 9:30 10.32 0.5%
Trade id #126983064
Max drawdown($2,856)
Time1/22/20 0:00
Quant open2,551
Worst price9.86
Drawdown as % of equity-0.50%
($1,689)
Includes Typical Broker Commissions trade costs of $5.00
1/8/20 9:30 GBT GLOBAL BLOOD THERAPEUTICS INC. COMMON STOCK LONG 356 79.33 1/23 9:30 80.19 0.06%
Trade id #126911649
Max drawdown($295)
Time1/13/20 0:00
Quant open356
Worst price78.50
Drawdown as % of equity-0.06%
$299
Includes Typical Broker Commissions trade costs of $7.12
1/6/20 9:30 TLRA TELARIA INC LONG 3,180 10.67 1/23 9:30 10.07 0.35%
Trade id #126879842
Max drawdown($1,993)
Time1/22/20 0:00
Quant open3,180
Worst price10.04
Drawdown as % of equity-0.35%
($1,915)
Includes Typical Broker Commissions trade costs of $7.50
1/17/20 9:30 AUPH AURINIA PHARMACEUTICALS INC OR LONG 1,667 20.10 1/22 9:30 19.16 0.07%
Trade id #127062366
Max drawdown($397)
Time1/21/20 0:00
Quant open537
Worst price19.20
Drawdown as % of equity-0.07%
($1,570)
Includes Typical Broker Commissions trade costs of $7.50
1/13/20 9:30 NMZ NUVEEN MUNI HIGH INC OPP COMMO LONG 7,598 14.45 1/21 9:42 14.43 0.13%
Trade id #126967517
Max drawdown($706)
Time1/14/20 0:00
Quant open7,598
Worst price14.36
Drawdown as % of equity-0.13%
($213)
Includes Typical Broker Commissions trade costs of $5.00
11/25/19 9:30 DOCU DOCUSIGN INC. COMMON STOCK LONG 257 71.63 1/16/20 9:30 73.20 0.23%
Trade id #126351553
Max drawdown($1,197)
Time12/3/19 0:00
Quant open257
Worst price66.97
Drawdown as % of equity-0.23%
$398
Includes Typical Broker Commissions trade costs of $5.14
12/13/19 9:30 LITE LUMENTUM HOLDINGS INC LONG 493 74.28 1/16/20 9:30 76.97 0.03%
Trade id #126612552
Max drawdown($162)
Time12/18/19 0:00
Quant open493
Worst price73.95
Drawdown as % of equity-0.03%
$1,316
Includes Typical Broker Commissions trade costs of $9.86
11/29/19 9:30 JDST DIREXION DAILY JR GOLD BEAR SHORT 1,854 12.86 1/14/20 9:30 11.68 0%
Trade id #126418351
Max drawdown($0)
Time11/29/19 9:31
Quant open503
Worst price15.30
Drawdown as % of equity-0.00%
$2,175
Includes Typical Broker Commissions trade costs of $10.00
1/2/20 9:30 KOD KODIAK SCIENCES LTD LONG 91 72.84 1/14 9:30 64.68 0.14%
Trade id #126830489
Max drawdown($776)
Time1/13/20 0:00
Quant open91
Worst price64.30
Drawdown as % of equity-0.14%
($745)
Includes Typical Broker Commissions trade costs of $1.82
1/13/20 9:30 ONCY ONCOLYTICS BIOTECH INC. COMMON SHARES LONG 2,101 4.09 1/14 9:30 3.47 0.48%
Trade id #126967549
Max drawdown($2,626)
Time1/14/20 0:00
Quant open2,101
Worst price2.84
Drawdown as % of equity-0.48%
($1,308)
Includes Typical Broker Commissions trade costs of $5.00
1/6/20 9:30 MBOT MICROBOT MEDICAL INC LONG 635 12.57 1/10 10:44 13.36 0.23%
Trade id #126879825
Max drawdown($1,263)
Time1/8/20 0:00
Quant open635
Worst price10.58
Drawdown as % of equity-0.23%
$497
Includes Typical Broker Commissions trade costs of $5.00
12/24/19 9:30 OILD PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF SHORT 2,366 10.72 1/10/20 9:30 11.28 0.41%
Trade id #126734367
Max drawdown($2,199)
Time1/9/20 0:00
Quant open2,366
Worst price11.65
Drawdown as % of equity-0.41%
($1,329)
Includes Typical Broker Commissions trade costs of $5.00
1/8/20 9:30 DUST DIREXION DAILY GOLD MINERS BEA SHORT 2,786 5.59 1/10 9:30 6.25 0.42%
Trade id #126911613
Max drawdown($2,256)
Time1/9/20 0:00
Quant open2,786
Worst price6.40
Drawdown as % of equity-0.42%
($1,844)
Includes Typical Broker Commissions trade costs of $5.00
11/21/19 9:30 SVM SILVERCORP METALS INC LONG 2,537 4.88 1/9/20 9:30 5.26 0.19%
Trade id #126302324
Max drawdown($961)
Time11/25/19 0:00
Quant open2,537
Worst price4.50
Drawdown as % of equity-0.19%
$959
Includes Typical Broker Commissions trade costs of $5.00
12/13/19 9:30 AMGN AMGEN LONG 173 235.60 1/9/20 9:30 239.69 0.02%
Trade id #126612558
Max drawdown($79)
Time12/13/19 9:31
Quant open173
Worst price235.14
Drawdown as % of equity-0.02%
$705
Includes Typical Broker Commissions trade costs of $3.46
12/16/19 9:30 MODN MODEL N INC LONG 1,308 32.96 1/9/20 9:30 34.26 0.04%
Trade id #126637480
Max drawdown($183)
Time12/16/19 9:33
Quant open1,308
Worst price32.82
Drawdown as % of equity-0.04%
$1,695
Includes Typical Broker Commissions trade costs of $5.00
11/13/19 9:30 ZBRA ZEBRA TECHNOLOGIES LONG 80 243.99 1/9/20 9:30 249.16 0.17%
Trade id #126187234
Max drawdown($852)
Time11/19/19 0:00
Quant open80
Worst price233.34
Drawdown as % of equity-0.17%
$412
Includes Typical Broker Commissions trade costs of $1.60
12/20/19 9:30 GPRK GEOPARK LIMITED LONG 2,745 21.93 1/9/20 9:30 20.95 0.64%
Trade id #126701901
Max drawdown($3,463)
Time1/8/20 0:00
Quant open2,745
Worst price20.67
Drawdown as % of equity-0.64%
($2,703)
Includes Typical Broker Commissions trade costs of $7.50
1/7/20 9:30 XPEL XPEL INC LONG 1,662 15.52 1/8 9:30 14.16 0.42%
Trade id #126896611
Max drawdown($2,270)
Time1/7/20 12:27
Quant open1,662
Worst price14.15
Drawdown as % of equity-0.42%
($2,258)
Includes Typical Broker Commissions trade costs of $5.00
1/3/20 9:30 SPAR SPARTAN MOTORS LONG 1,011 18.26 1/7 9:30 17.35 0.15%
Trade id #126850566
Max drawdown($783)
Time1/6/20 0:00
Quant open1,011
Worst price17.49
Drawdown as % of equity-0.15%
($925)
Includes Typical Broker Commissions trade costs of $5.00
12/27/19 9:30 CNST CONSTELLATION PHARMACEUTICALS INC. COMMON STOCK LONG 125 49.45 1/7/20 9:30 41.65 0.2%
Trade id #126765799
Max drawdown($1,045)
Time1/6/20 0:00
Quant open125
Worst price41.09
Drawdown as % of equity-0.20%
($978)
Includes Typical Broker Commissions trade costs of $2.50
12/24/19 9:30 PLAB PHOTRONICS LONG 929 16.22 1/7/20 9:30 14.90 0.25%
Trade id #126734376
Max drawdown($1,328)
Time1/6/20 0:00
Quant open929
Worst price14.79
Drawdown as % of equity-0.25%
($1,231)
Includes Typical Broker Commissions trade costs of $5.00
12/16/19 9:30 OXLC OXFORD LANE CAPITAL CORP COMMO SHORT 4,167 8.34 1/7/20 9:30 8.35 0.02%
Trade id #126637438
Max drawdown($83)
Time12/16/19 9:51
Quant open4,167
Worst price8.36
Drawdown as % of equity-0.02%
($47)
Includes Typical Broker Commissions trade costs of $5.00
12/20/19 9:30 KRTX KARUNA THERAPEUTICS INC LONG 59 73.87 1/6/20 9:30 70.97 0.06%
Trade id #126701909
Max drawdown($339)
Time1/3/20 0:00
Quant open59
Worst price68.11
Drawdown as % of equity-0.06%
($172)
Includes Typical Broker Commissions trade costs of $1.18
12/13/19 9:30 FAST FASTENAL LONG 721 37.49 1/6/20 9:30 36.24 0.2%
Trade id #126612501
Max drawdown($1,052)
Time1/3/20 0:00
Quant open721
Worst price36.03
Drawdown as % of equity-0.20%
($906)
Includes Typical Broker Commissions trade costs of $5.00
11/27/19 9:30 QRVO QORVO INC. COMMON STOCK LONG 469 107.80 1/6/20 9:30 110.83 0.19%
Trade id #126384181
Max drawdown($954)
Time12/3/19 0:00
Quant open234
Worst price100.32
Drawdown as % of equity-0.19%
$1,411
Includes Typical Broker Commissions trade costs of $9.38
12/4/19 9:30 DCPH DECIPHERA PHARMACEUTICALS INC. COMMON STOCK LONG 245 51.50 1/3/20 9:30 56.28 0.06%
Trade id #126477347
Max drawdown($306)
Time12/4/19 9:33
Quant open245
Worst price50.25
Drawdown as % of equity-0.06%
$1,166
Includes Typical Broker Commissions trade costs of $4.90
12/5/19 9:30 IOVA IOVANCE BIOTHERAPEUTICS INC. COMMON STOCK LONG 434 24.66 1/3/20 9:30 26.26 0.06%
Trade id #126495971
Max drawdown($295)
Time12/5/19 12:31
Quant open434
Worst price23.98
Drawdown as % of equity-0.06%
$685
Includes Typical Broker Commissions trade costs of $8.68

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2395.35
  • Age
    80 months ago
  • What it trades
    Stocks
  • # Trades
    1608
  • # Profitable
    585
  • % Profitable
    36.40%
  • Avg trade duration
    28.0 days
  • Max peak-to-valley drawdown
    29.2%
  • drawdown period
    Sept 09, 2014 - March 26, 2015
  • Annual Return (Compounded)
    29.5%
  • Avg win
    $2,475
  • Avg loss
    $991.18
  • Model Account Values (Raw)
  • Cash
    $222,917
  • Margin Used
    $185,070
  • Buying Power
    $106,726
  • Ratios
  • W:L ratio
    1.52:1
  • Sharpe Ratio
    0.97
  • Sortino Ratio
    1.44
  • Calmar Ratio
    1.419
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    348.57%
  • Correlation to SP500
    0.13820
  • Return Percent SP500 (cumu) during strategy life
    98.77%
  • Return Statistics
  • Ann Return (w trading costs)
    29.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.09%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.21%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.295%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    52.50%
  • Chance of 20% account loss
    26.50%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    2.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    860
  • Popularity (Last 6 weeks)
    972
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    858
  • Popularity (7 days, Percentile 1000 scale)
    936
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $991
  • Avg Win
    $2,476
  • Sum Trade PL (losers)
    $1,013,980.000
  • AUM
  • AUM (AutoTrader num accounts)
    9
  • Age
  • Num Months filled monthly returns table
    79
  • Win / Loss
  • Sum Trade PL (winners)
    $1,448,750.000
  • # Winners
    585
  • Num Months Winners
    46
  • Dividends
  • Dividends Received in Model Acct
    41140
  • AUM
  • AUM (AutoTrader live capital)
    860266
  • Win / Loss
  • # Losers
    1023
  • % Winners
    36.4%
  • Frequency
  • Avg Position Time (mins)
    40327.90
  • Avg Position Time (hrs)
    672.13
  • Avg Trade Length
    28.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.59
  • Daily leverage (max)
    4.08
  • Regression
  • Alpha
    0.07
  • Beta
    0.25
  • Treynor Index
    0.30
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.36
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.72
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.69
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    4.553
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.196
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.250
  • Hold-and-Hope Ratio
    0.234
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26471
  • SD
    0.21333
  • Sharpe ratio (Glass type estimate)
    1.24083
  • Sharpe ratio (Hedges UMVUE)
    1.22855
  • df
    76.00000
  • t
    3.14317
  • p
    0.00119
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43861
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43054
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02655
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68256
  • Upside Potential Ratio
    4.15190
  • Upside part of mean
    0.40971
  • Downside part of mean
    -0.14499
  • Upside SD
    0.20254
  • Downside SD
    0.09868
  • N nonnegative terms
    49.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.08601
  • Mean of criterion
    0.26471
  • SD of predictor
    0.11980
  • SD of criterion
    0.21333
  • Covariance
    0.00599
  • r
    0.23437
  • b (slope, estimate of beta)
    0.41737
  • a (intercept, estimate of alpha)
    0.22881
  • Mean Square Error
    0.04359
  • DF error
    75.00000
  • t(b)
    2.08789
  • p(b)
    0.02010
  • t(a)
    2.71778
  • p(a)
    0.00408
  • Lowerbound of 95% confidence interval for beta
    0.01915
  • Upperbound of 95% confidence interval for beta
    0.81560
  • Lowerbound of 95% confidence interval for alpha
    0.06110
  • Upperbound of 95% confidence interval for alpha
    0.39653
  • Treynor index (mean / b)
    0.63424
  • Jensen alpha (a)
    0.22881
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24022
  • SD
    0.20556
  • Sharpe ratio (Glass type estimate)
    1.16862
  • Sharpe ratio (Hedges UMVUE)
    1.15705
  • df
    76.00000
  • t
    2.96024
  • p
    0.00205
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36934
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96064
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36175
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95235
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.32188
  • Upside Potential Ratio
    3.77010
  • Upside part of mean
    0.39006
  • Downside part of mean
    -0.14983
  • Upside SD
    0.18924
  • Downside SD
    0.10346
  • N nonnegative terms
    49.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.07846
  • Mean of criterion
    0.24022
  • SD of predictor
    0.11994
  • SD of criterion
    0.20556
  • Covariance
    0.00606
  • r
    0.24568
  • b (slope, estimate of beta)
    0.42107
  • a (intercept, estimate of alpha)
    0.20719
  • Mean Square Error
    0.04023
  • DF error
    75.00000
  • t(b)
    2.19493
  • p(b)
    0.01563
  • t(a)
    2.57043
  • p(a)
    0.00607
  • Lowerbound of 95% confidence interval for beta
    0.03891
  • Upperbound of 95% confidence interval for beta
    0.80323
  • Lowerbound of 95% confidence interval for alpha
    0.04662
  • Upperbound of 95% confidence interval for alpha
    0.36775
  • Treynor index (mean / b)
    0.57050
  • Jensen alpha (a)
    0.20719
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07465
  • Expected Shortfall on VaR
    0.09710
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02207
  • Expected Shortfall on VaR
    0.04828
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    77.00000
  • Minimum
    0.86117
  • Quartile 1
    0.99239
  • Median
    1.01840
  • Quartile 3
    1.05154
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95791
  • Mean of quarter 2
    1.00477
  • Mean of quarter 3
    1.03494
  • Mean of quarter 4
    1.10342
  • Inter Quartile Range
    0.05915
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02597
  • Mean of outliers low
    0.88184
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05195
  • Mean of outliers high
    1.18775
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01518
  • VaR(95%) (moments method)
    0.02584
  • Expected Shortfall (moments method)
    0.03757
  • Extreme Value Index (regression method)
    0.11101
  • VaR(95%) (regression method)
    0.04207
  • Expected Shortfall (regression method)
    0.06800
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00618
  • Quartile 1
    0.02264
  • Median
    0.03903
  • Quartile 3
    0.08566
  • Maximum
    0.19334
  • Mean of quarter 1
    0.00980
  • Mean of quarter 2
    0.02895
  • Mean of quarter 3
    0.06160
  • Mean of quarter 4
    0.13882
  • Inter Quartile Range
    0.06302
  • 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
    0.08333
  • Mean of outliers high
    0.19334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.04987
  • VaR(95%) (moments method)
    0.15128
  • Expected Shortfall (moments method)
    0.19022
  • Extreme Value Index (regression method)
    2.47624
  • VaR(95%) (regression method)
    0.19781
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.71491
  • Compounded annual return (geometric extrapolation)
    0.30752
  • Calmar ratio (compounded annual return / max draw down)
    1.59053
  • Compounded annual return / average of 25% largest draw downs
    2.21516
  • Compounded annual return / Expected Shortfall lognormal
    3.16701
  • 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
    0.26633
  • SD
    0.21210
  • Sharpe ratio (Glass type estimate)
    1.25571
  • Sharpe ratio (Hedges UMVUE)
    1.25515
  • df
    1695.00000
  • t
    3.19486
  • p
    0.45080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48404
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02705
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48365
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02666
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85149
  • Upside Potential Ratio
    8.65372
  • Upside part of mean
    1.24482
  • Downside part of mean
    -0.97849
  • Upside SD
    0.15665
  • Downside SD
    0.14385
  • N nonnegative terms
    950.00000
  • N negative terms
    746.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1696.00000
  • Mean of predictor
    0.08579
  • Mean of criterion
    0.26633
  • SD of predictor
    0.12921
  • SD of criterion
    0.21210
  • Covariance
    0.00403
  • r
    0.14709
  • b (slope, estimate of beta)
    0.24146
  • a (intercept, estimate of alpha)
    0.24600
  • Mean Square Error
    0.04404
  • DF error
    1694.00000
  • t(b)
    6.12058
  • p(b)
    0.42645
  • t(a)
    2.97540
  • p(a)
    0.46395
  • Lowerbound of 95% confidence interval for beta
    0.16408
  • Upperbound of 95% confidence interval for beta
    0.31883
  • Lowerbound of 95% confidence interval for alpha
    0.08371
  • Upperbound of 95% confidence interval for alpha
    0.40753
  • Treynor index (mean / b)
    1.10304
  • Jensen alpha (a)
    0.24562
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24370
  • SD
    0.21218
  • Sharpe ratio (Glass type estimate)
    1.14856
  • Sharpe ratio (Hedges UMVUE)
    1.14805
  • df
    1695.00000
  • t
    2.92224
  • p
    0.45496
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91973
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37674
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91937
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66191
  • Upside Potential Ratio
    8.40634
  • Upside part of mean
    1.23270
  • Downside part of mean
    -0.98900
  • Upside SD
    0.15400
  • Downside SD
    0.14664
  • N nonnegative terms
    950.00000
  • N negative terms
    746.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1696.00000
  • Mean of predictor
    0.07741
  • Mean of criterion
    0.24370
  • SD of predictor
    0.12940
  • SD of criterion
    0.21218
  • Covariance
    0.00405
  • r
    0.14742
  • b (slope, estimate of beta)
    0.24171
  • a (intercept, estimate of alpha)
    0.22499
  • Mean Square Error
    0.04407
  • DF error
    1694.00000
  • t(b)
    6.13439
  • p(b)
    0.42629
  • t(a)
    2.72503
  • p(a)
    0.46697
  • Lowerbound of 95% confidence interval for beta
    0.16443
  • Upperbound of 95% confidence interval for beta
    0.31899
  • Lowerbound of 95% confidence interval for alpha
    0.06305
  • Upperbound of 95% confidence interval for alpha
    0.38693
  • Treynor index (mean / b)
    1.00823
  • Jensen alpha (a)
    0.22499
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02042
  • Expected Shortfall on VaR
    0.02576
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00779
  • Expected Shortfall on VaR
    0.01656
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1696.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99610
  • Median
    1.00092
  • Quartile 3
    1.00642
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98647
  • Mean of quarter 2
    0.99890
  • Mean of quarter 3
    1.00340
  • Mean of quarter 4
    1.01573
  • Inter Quartile Range
    0.01032
  • Number outliers low
    75.00000
  • Percentage of outliers low
    0.04422
  • Mean of outliers low
    0.96759
  • Number of outliers high
    83.00000
  • Percentage of outliers high
    0.04894
  • Mean of outliers high
    1.03263
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23458
  • VaR(95%) (moments method)
    0.01165
  • Expected Shortfall (moments method)
    0.01921
  • Extreme Value Index (regression method)
    0.17824
  • VaR(95%) (regression method)
    0.01214
  • Expected Shortfall (regression method)
    0.01932
  • 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)
    0.74181
  • Compounded annual return (geometric extrapolation)
    0.31207
  • Calmar ratio (compounded annual return / max draw down)
    1.41922
  • Compounded annual return / average of 25% largest draw downs
    2.94095
  • Compounded annual return / Expected Shortfall lognormal
    12.11490
  • 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
    0.00809
  • SD
    0.11525
  • Sharpe ratio (Glass type estimate)
    0.07015
  • Sharpe ratio (Hedges UMVUE)
    0.06975
  • df
    130.00000
  • t
    0.04960
  • p
    0.49783
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.70179
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84185
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.70207
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84156
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.09540
  • Upside Potential Ratio
    7.82386
  • Upside part of mean
    0.66309
  • Downside part of mean
    -0.65501
  • Upside SD
    0.07746
  • Downside SD
    0.08475
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12345
  • Mean of criterion
    0.00809
  • SD of predictor
    0.12785
  • SD of criterion
    0.11525
  • Covariance
    0.00220
  • r
    0.14937
  • b (slope, estimate of beta)
    0.13465
  • a (intercept, estimate of alpha)
    -0.00854
  • Mean Square Error
    0.01309
  • DF error
    129.00000
  • t(b)
    1.71573
  • p(b)
    0.40526
  • t(a)
    -0.05268
  • p(a)
    0.50295
  • Lowerbound of 95% confidence interval for beta
    -0.02062
  • Upperbound of 95% confidence interval for beta
    0.28993
  • Lowerbound of 95% confidence interval for alpha
    -0.32921
  • Upperbound of 95% confidence interval for alpha
    0.31214
  • Treynor index (mean / b)
    0.06004
  • Jensen alpha (a)
    -0.00854
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00148
  • SD
    0.11544
  • Sharpe ratio (Glass type estimate)
    0.01281
  • Sharpe ratio (Hedges UMVUE)
    0.01274
  • df
    130.00000
  • t
    0.00906
  • p
    0.49960
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.75899
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.75907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78455
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01732
  • Upside Potential Ratio
    7.72741
  • Upside part of mean
    0.66005
  • Downside part of mean
    -0.65857
  • Upside SD
    0.07700
  • Downside SD
    0.08542
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11526
  • Mean of criterion
    0.00148
  • SD of predictor
    0.12833
  • SD of criterion
    0.11544
  • Covariance
    0.00220
  • r
    0.14883
  • b (slope, estimate of beta)
    0.13389
  • a (intercept, estimate of alpha)
    -0.01395
  • Mean Square Error
    0.01313
  • DF error
    129.00000
  • t(b)
    1.70945
  • p(b)
    0.40560
  • t(a)
    -0.08596
  • p(a)
    0.50482
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.02108
  • Upperbound of 95% confidence interval for beta
    0.28886
  • Lowerbound of 95% confidence interval for alpha
    -0.33511
  • Upperbound of 95% confidence interval for alpha
    0.30720
  • Treynor index (mean / b)
    0.01105
  • Jensen alpha (a)
    -0.01395
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01166
  • Expected Shortfall on VaR
    0.01459
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00549
  • Expected Shortfall on VaR
    0.01098
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97273
  • Quartile 1
    0.99673
  • Median
    1.00042
  • Quartile 3
    1.00298
  • Maximum
    1.01730
  • Mean of quarter 1
    0.99136
  • Mean of quarter 2
    0.99897
  • Mean of quarter 3
    1.00164
  • Mean of quarter 4
    1.00862
  • Inter Quartile Range
    0.00625
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98261
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01407
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20697
  • VaR(95%) (moments method)
    0.00837
  • Expected Shortfall (moments method)
    0.01313
  • Extreme Value Index (regression method)
    0.15751
  • VaR(95%) (regression method)
    0.00872
  • Expected Shortfall (regression method)
    0.01327
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03179
  • Quartile 1
    0.03293
  • Median
    0.03406
  • Quartile 3
    0.07361
  • Maximum
    0.11316
  • Mean of quarter 1
    0.03179
  • Mean of quarter 2
    0.03406
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11316
  • Inter Quartile Range
    0.04068
  • 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)
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -294893000
  • Max Equity Drawdown (num days)
    198
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02960
  • Compounded annual return (geometric extrapolation)
    0.02982
  • Calmar ratio (compounded annual return / max draw down)
    0.26354
  • Compounded annual return / average of 25% largest draw downs
    0.26354
  • Compounded annual return / Expected Shortfall lognormal
    2.04333

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 system 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, I short sell individual stocks and ETFs of all asset classes.

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.

What will happen during bear markets?

This is a long/short system that can buy and short individual stocks, as well as other asset classes, such as bond or commodity ETFs, so it is not dependant on a risking stock market.

Where can I get more information?

Follow me on Twitter, or ask me a question through Twitter: @ChartingTrends

Summary Statistics

Strategy began
2013-07-07
Suggested Minimum Capital
$35,000
Rank at C2 
#93
# Trades
1608
# Profitable
585
% Profitable
36.4%
Net Dividends
Correlation S&P500
0.138
Sharpe Ratio
0.97
Sortino Ratio
1.44
Beta
0.25
Alpha
0.07
Leverage
1.59 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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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.