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

The Momentum of Now
(75800796)

Created by: Danny Danny
Started: 08/2012
Stocks
Last trade: 7 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 $100.00 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.

19.7%
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.

(24.5%)
Max Drawdown
2946
Num Trades
37.2%
Win Trades
1.4 : 1
Profit Factor
56.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.8%+7.5%+0.9%+1.5%(0.5%)+13.7%
2013+13.7%+0.6%+9.1%(1.7%)  -  (5.6%)(2.8%)(2.4%)+22.1%+8.3%+21.0%(0.5%)+75.2%
2014+10.3%(2.3%)(2.3%)(3.1%)+1.4%(1.3%)(8.6%)+4.2%(0.7%)+2.8%+3.2%+2.5%+5.2%
2015(1.3%)+7.0%+4.6%(5.5%)+20.6%+2.7%+17.5%(4.2%)+3.6%(1.9%)+2.6%+1.8%+54.5%
2016(0.2%)(4.9%)(5.4%)+3.8%(3.9%)+3.4%(0.5%)+0.6%+1.8%+0.5%+9.3%(2.5%)+1.1%
2017(2%)+8.7%+1.0%+5.4%+10.5%(7.3%)+6.9%+6.6%+2.7%+2.6%(3.1%)(1.4%)+33.3%
2018+9.1%(1.4%)+1.2%(2.6%)+15.7%(2.2%)(5.7%)+7.9%(5%)(7.5%)(0.4%)+0.5%+7.3%
2019(0.1%)+4.2%(4%)+3.2%  -  +2.2%+1.4%(2.8%)(2.9%)(0.8%)+0.3%+7.2%+7.7%
2020+2.5%(4.4%)+5.8%(2.4%)(3.1%)+4.2%+3.9%+6.9%(8.4%)(2.4%)  -  +16.7%+18.3%
2021(4.3%)+0.3%+1.1%+2.3%+1.6%+1.4%(7%)+4.0%+2.3%(2.2%)(4.6%)(0.3%)(5.7%)
2022+10.8%+6.3%+3.6%+10.8%(2.4%)+9.5%(5.6%)+0.7%+4.0%+0.1%(3.1%)+1.1%+40.3%
2023(1.2%)+1.3%+1.3%+1.7%(1%)(0.1%)(0.5%)+1.4%+3.9%+2.3%(2.2%)(2.7%)+4.1%
2024(2.2%)+0.9%+0.5%                                                      (0.9%)

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 5,285 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 24 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/22/24 9:30 NYCB NEW YORK COMMUNITY BANCORP INC SHORT 1,498 4.52 3/1 9:39 4.41 0.04%
Trade id #147408680
Max drawdown($284)
Time2/23/24 0:00
Quant open1,498
Worst price4.71
Drawdown as % of equity-0.04%
$159
Includes Typical Broker Commissions trade costs of $5.81
11/20/23 11:02 TTWO2416N140 TTWO Feb16'24 140 put SHORT 5 2.67 2/17/24 9:35 0.00 0%
Trade id #146489526
Max drawdown($41)
Time11/20/23 11:49
Quant open5
Worst price2.75
Drawdown as % of equity-0.00%
$1,331
Includes Typical Broker Commissions trade costs of $3.50
2/6/24 9:51 AAOI APPLIED OPTOELECTRONICS INC. LONG 475 20.06 2/14 9:30 20.17 0.14%
Trade id #147237173
Max drawdown($1,113)
Time2/9/24 0:00
Quant open475
Worst price17.72
Drawdown as % of equity-0.14%
$41
Includes Typical Broker Commissions trade costs of $9.50
2/7/24 9:37 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 700 7.07 2/14 9:30 7.69 0.16%
Trade id #147246533
Max drawdown($1,286)
Time2/13/24 0:00
Quant open700
Worst price8.91
Drawdown as % of equity-0.16%
($438)
Includes Typical Broker Commissions trade costs of $5.00
1/16/24 9:30 HTZ HERTZ GLOBAL HOLDINGS INC COMMON STOCK SHORT 1,741 8.30 2/7 9:37 8.98 0.21%
Trade id #147010717
Max drawdown($1,680)
Time1/18/24 0:00
Quant open1,741
Worst price9.27
Drawdown as % of equity-0.21%
($1,185)
Includes Typical Broker Commissions trade costs of $5.00
2/2/24 9:55 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 525 7.75 2/5 10:43 8.00 0.02%
Trade id #147203147
Max drawdown($140)
Time2/5/24 10:42
Quant open525
Worst price8.02
Drawdown as % of equity-0.02%
($135)
Includes Typical Broker Commissions trade costs of $7.75
1/11/24 10:35 MDRX ALLSCRIPTS-MISYS SHORT 1,731 9.21 2/1 10:35 9.20 0.11%
Trade id #146974668
Max drawdown($900)
Time1/23/24 0:00
Quant open1,731
Worst price9.73
Drawdown as % of equity-0.11%
$17
Includes Typical Broker Commissions trade costs of $5.00
12/19/23 9:56 VERU VERU INC SHORT 9,239 0.69 2/1/24 10:33 0.52 0.08%
Trade id #146744231
Max drawdown($672)
Time12/28/23 0:00
Quant open9,239
Worst price0.76
Drawdown as % of equity-0.08%
$1,608
Includes Typical Broker Commissions trade costs of $5.00
12/26/23 10:56 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 4,380 8.28 2/1/24 9:30 8.00 0%
Trade id #146808705
Max drawdown($22)
Time12/26/23 11:02
Quant open1,135
Worst price9.26
Drawdown as % of equity-0.00%
$1,221
Includes Typical Broker Commissions trade costs of $30.40
1/25/24 9:54 OPI OFFICE PROPERTIES INCOME TRUST SHORT 4,710 3.56 1/30 10:23 3.86 0.21%
Trade id #147124164
Max drawdown($1,698)
Time1/30/24 9:37
Quant open4,710
Worst price3.92
Drawdown as % of equity-0.21%
($1,391)
Includes Typical Broker Commissions trade costs of $7.50
1/17/24 10:02 SLRN ACELYRIN INC. SHORT 3,052 6.24 1/23 10:08 6.79 0.25%
Trade id #147026911
Max drawdown($1,993)
Time1/18/24 0:00
Quant open3,052
Worst price6.89
Drawdown as % of equity-0.25%
($1,690)
Includes Typical Broker Commissions trade costs of $10.00
11/8/23 10:27 DASH2419M75 DASH Jan19'24 75 put SHORT 5 1.54 1/20/24 9:35 0.00 0.03%
Trade id #146365949
Max drawdown($258)
Time11/9/23 0:00
Quant open5
Worst price2.06
Drawdown as % of equity-0.03%
$768
Includes Typical Broker Commissions trade costs of $3.50
11/22/23 10:38 PHM2419M77.5 PHM Jan19'24 77.5 put SHORT 8 0.76 1/20/24 9:35 0.00 0.01%
Trade id #146510979
Max drawdown($73)
Time11/30/23 0:00
Quant open8
Worst price0.85
Drawdown as % of equity-0.01%
$601
Includes Typical Broker Commissions trade costs of $5.60
10/9/23 9:50 DELL2419M57.5 DELL Jan19'24 57.5 put SHORT 10 1.38 1/20/24 9:35 0.00 0.05%
Trade id #146074212
Max drawdown($420)
Time10/26/23 0:00
Quant open10
Worst price1.80
Drawdown as % of equity-0.05%
$1,373
Includes Typical Broker Commissions trade costs of $7.00
9/11/23 10:22 CHPT2419A7 CHPT Jan19'24 7 call SHORT 35 0.38 1/20/24 9:35 0.00 0.07%
Trade id #145786844
Max drawdown($595)
Time9/14/23 0:00
Quant open35
Worst price0.55
Drawdown as % of equity-0.07%
$1,306
Includes Typical Broker Commissions trade costs of $24.50
1/16/24 10:31 SERA SERA PROGNOSTICS INC. LONG 1,157 6.54 1/17 10:22 6.08 0.1%
Trade id #147013070
Max drawdown($805)
Time1/17/24 9:41
Quant open1,157
Worst price5.84
Drawdown as % of equity-0.10%
($538)
Includes Typical Broker Commissions trade costs of $5.00
12/22/23 11:32 PNNT PENNANT PARK INVESTMENT LONG 34,800 6.86 1/16/24 15:13 7.04 0.32%
Trade id #146789238
Max drawdown($2,690)
Time12/22/23 15:58
Quant open34,800
Worst price6.78
Drawdown as % of equity-0.32%
$6,328
Includes Typical Broker Commissions trade costs of $25.00
12/18/23 9:56 DDL DINGDONG (CAYMAN) LTD SHORT 7,589 1.58 1/8/24 9:53 1.46 0.13%
Trade id #146729159
Max drawdown($1,085)
Time12/22/23 0:00
Quant open7,589
Worst price1.72
Drawdown as % of equity-0.13%
$883
Includes Typical Broker Commissions trade costs of $5.00
12/27/23 9:47 SAIC SCIENCE APPLICATIONS INTERNATIONAL CORPORATION LONG 360 125.13 1/8/24 9:52 124.14 0.09%
Trade id #146818299
Max drawdown($751)
Time1/4/24 0:00
Quant open360
Worst price123.04
Drawdown as % of equity-0.09%
($363)
Includes Typical Broker Commissions trade costs of $7.20
12/28/23 11:30 CMPX COMPASS THERAPEUTICS INC. COMMON STOCK SHORT 15,088 1.40 1/8/24 9:52 1.71 0.64%
Trade id #146832916
Max drawdown($5,093)
Time1/8/24 9:52
Quant open15,088
Worst price1.74
Drawdown as % of equity-0.64%
($4,732)
Includes Typical Broker Commissions trade costs of $7.50
12/20/23 9:44 RDN RADIAN GROUP LONG 2,997 28.53 1/8/24 9:51 28.95 0.15%
Trade id #146757879
Max drawdown($1,270)
Time12/21/23 0:00
Quant open2,997
Worst price28.11
Drawdown as % of equity-0.15%
$1,249
Includes Typical Broker Commissions trade costs of $5.00
12/22/23 9:56 C.RML RUSORO MINING LTD LONG 31,000 0.58 1/8/24 9:39 0.59 0.19%
Trade id #146787268
Max drawdown($1,550)
Time12/27/23 0:00
Quant open31,000
Worst price0.53
Drawdown as % of equity-0.19%
$305
Includes Typical Broker Commissions trade costs of $5.00
12/21/23 9:54 LIAN LIANBIO AMERICAN DEPOSITARY SHARES LONG 3,772 4.38 1/8/24 9:30 4.09 0.14%
Trade id #146774113
Max drawdown($1,115)
Time1/8/24 9:30
Quant open3,772
Worst price4.08
Drawdown as % of equity-0.14%
($1,083)
Includes Typical Broker Commissions trade costs of $5.00
12/26/23 11:12 GPS GAP LONG 1,188 21.63 1/4/24 9:30 20.34 0.25%
Trade id #146808902
Max drawdown($2,026)
Time1/2/24 0:00
Quant open1,188
Worst price19.92
Drawdown as % of equity-0.25%
($1,533)
Includes Typical Broker Commissions trade costs of $5.00
12/22/23 9:53 CAMT CAMTEK LONG 1,115 68.65 1/3/24 9:41 67.20 0.36%
Trade id #146787210
Max drawdown($2,981)
Time1/2/24 0:00
Quant open1,115
Worst price65.98
Drawdown as % of equity-0.36%
($1,621)
Includes Typical Broker Commissions trade costs of $5.00
12/19/23 11:25 BCSF BAIN CAPITAL SPECIALTY FINANCE INC LONG 8,600 15.59 1/3/24 9:41 15.01 0.64%
Trade id #146746494
Max drawdown($5,118)
Time1/3/24 9:41
Quant open8,600
Worst price14.99
Drawdown as % of equity-0.64%
($4,956)
Includes Typical Broker Commissions trade costs of $10.00
12/18/23 9:55 BECN BEACON ROOFING SUPPLY LONG 384 84.74 1/3/24 9:40 84.75 0.04%
Trade id #146729137
Max drawdown($309)
Time12/18/23 10:53
Quant open384
Worst price83.93
Drawdown as % of equity-0.04%
($1)
Includes Typical Broker Commissions trade costs of $7.68
12/27/23 9:51 SLNO SOLENO THERAPEUTICS INC. COMMON STOCK LONG 402 40.32 1/3/24 9:40 35.98 0.23%
Trade id #146818387
Max drawdown($1,857)
Time1/3/24 9:32
Quant open402
Worst price35.70
Drawdown as % of equity-0.23%
($1,752)
Includes Typical Broker Commissions trade costs of $8.04
12/26/23 10:44 BOIL PROSHARES ULTRA BLOOMBERG NATU SHORT 570 26.47 1/3/24 9:40 32.48 0.43%
Trade id #146808585
Max drawdown($3,496)
Time1/3/24 9:33
Quant open570
Worst price32.60
Drawdown as % of equity-0.43%
($3,434)
Includes Typical Broker Commissions trade costs of $8.20
12/28/23 9:51 OC OWENS-CORNING LONG 887 148.81 1/3/24 9:39 144.66 0.47%
Trade id #146831457
Max drawdown($3,799)
Time1/3/24 9:39
Quant open887
Worst price144.53
Drawdown as % of equity-0.47%
($3,696)
Includes Typical Broker Commissions trade costs of $7.96

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $820,000
  • Strategy Age (days)
    4244.28
  • Age
    141 months ago
  • What it trades
    Stocks
  • # Trades
    2946
  • # Profitable
    1095
  • % Profitable
    37.20%
  • Avg trade duration
    16.9 days
  • Max peak-to-valley drawdown
    24.45%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    19.7%
  • Avg win
    $2,459
  • Avg loss
    $1,136
  • Model Account Values (Raw)
  • Cash
    $46
  • Margin Used
    $511
  • Buying Power
    ($426)
  • Ratios
  • W:L ratio
    1.37:1
  • Sharpe Ratio
    0.86
  • Sortino Ratio
    1.23
  • Calmar Ratio
    1.049
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    442.60%
  • Correlation to SP500
    0.05820
  • Return Percent SP500 (cumu) during strategy life
    270.20%
  • Return Statistics
  • Ann Return (w trading costs)
    19.7%
  • Slump
  • Current Slump as Pcnt Equity
    11.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.197%
  • Instruments
  • Percent Trades Options
    0.04%
  • Percent Trades Stocks
    0.96%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    20.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.00%
  • Chance of 20% account loss
    27.00%
  • Chance of 30% account loss
    19.50%
  • Chance of 40% account loss
    3.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    718
  • Popularity (Last 6 weeks)
    935
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    297
  • Popularity (7 days, Percentile 1000 scale)
    801
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,136
  • Avg Win
    $2,460
  • Sum Trade PL (losers)
    $2,102,880.000
  • Age
  • Num Months filled monthly returns table
    140
  • Win / Loss
  • Sum Trade PL (winners)
    $2,693,450.000
  • # Winners
    1095
  • Num Months Winners
    80
  • Dividends
  • Dividends Received in Model Acct
    181977
  • Win / Loss
  • # Losers
    1851
  • % Winners
    37.2%
  • Frequency
  • Avg Position Time (mins)
    38962.80
  • Avg Position Time (hrs)
    649.38
  • Avg Trade Length
    27.1 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    1.69
  • Daily leverage (max)
    3.69
  • Regression
  • Alpha
    0.05
  • Beta
    0.06
  • Treynor Index
    0.83
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.65
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    17.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    19.89
  • MAE:Equity, average, winning trades
    0.07
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    207.829
  • 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
    23.582
  • Avg(MAE) / Avg(PL) - Losing trades
    -4.346
  • Hold-and-Hope Ratio
    0.005
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18217
  • SD
    0.20731
  • Sharpe ratio (Glass type estimate)
    0.87874
  • Sharpe ratio (Hedges UMVUE)
    0.87389
  • df
    136.00000
  • t
    2.96914
  • p
    0.37663
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28782
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46655
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28459
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46318
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87570
  • Upside Potential Ratio
    3.63363
  • Upside part of mean
    0.35290
  • Downside part of mean
    -0.17073
  • Upside SD
    0.18972
  • Downside SD
    0.09712
  • N nonnegative terms
    79.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    137.00000
  • Mean of predictor
    0.09821
  • Mean of criterion
    0.18217
  • SD of predictor
    0.15630
  • SD of criterion
    0.20731
  • Covariance
    -0.00052
  • r
    -0.01602
  • b (slope, estimate of beta)
    -0.02124
  • a (intercept, estimate of alpha)
    0.18426
  • Mean Square Error
    0.04328
  • DF error
    135.00000
  • t(b)
    -0.18612
  • p(b)
    0.51020
  • t(a)
    2.94407
  • p(a)
    0.34522
  • Lowerbound of 95% confidence interval for beta
    -0.24697
  • Upperbound of 95% confidence interval for beta
    0.20449
  • Lowerbound of 95% confidence interval for alpha
    0.06048
  • Upperbound of 95% confidence interval for alpha
    0.30803
  • Treynor index (mean / b)
    -8.57528
  • Jensen alpha (a)
    0.18426
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16055
  • SD
    0.19815
  • Sharpe ratio (Glass type estimate)
    0.81026
  • Sharpe ratio (Hedges UMVUE)
    0.80578
  • df
    136.00000
  • t
    2.73775
  • p
    0.38573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39681
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21787
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39370
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.59538
  • Upside Potential Ratio
    3.33702
  • Upside part of mean
    0.33582
  • Downside part of mean
    -0.17527
  • Upside SD
    0.17606
  • Downside SD
    0.10064
  • N nonnegative terms
    79.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    137.00000
  • Mean of predictor
    0.08532
  • Mean of criterion
    0.16055
  • SD of predictor
    0.15857
  • SD of criterion
    0.19815
  • Covariance
    -0.00045
  • r
    -0.01421
  • b (slope, estimate of beta)
    -0.01776
  • a (intercept, estimate of alpha)
    0.16207
  • Mean Square Error
    0.03955
  • DF error
    135.00000
  • t(b)
    -0.16517
  • p(b)
    0.50905
  • t(a)
    2.72083
  • p(a)
    0.35612
  • Lowerbound of 95% confidence interval for beta
    -0.23044
  • Upperbound of 95% confidence interval for beta
    0.19491
  • Lowerbound of 95% confidence interval for alpha
    0.04427
  • Upperbound of 95% confidence interval for alpha
    0.27987
  • Treynor index (mean / b)
    -9.03898
  • Jensen alpha (a)
    0.16207
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07754
  • Expected Shortfall on VaR
    0.09912
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02960
  • Expected Shortfall on VaR
    0.05818
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    137.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97901
  • Median
    1.01318
  • Quartile 3
    1.04160
  • Maximum
    1.27878
  • Mean of quarter 1
    0.95418
  • Mean of quarter 2
    0.99606
  • Mean of quarter 3
    1.02923
  • Mean of quarter 4
    1.09243
  • Inter Quartile Range
    0.06259
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03650
  • Mean of outliers high
    1.20712
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27740
  • VaR(95%) (moments method)
    0.04919
  • Expected Shortfall (moments method)
    0.07936
  • Extreme Value Index (regression method)
    0.07679
  • VaR(95%) (regression method)
    0.04446
  • Expected Shortfall (regression method)
    0.06111
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00377
  • Quartile 1
    0.01994
  • Median
    0.04039
  • Quartile 3
    0.09035
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01373
  • Mean of quarter 2
    0.03360
  • Mean of quarter 3
    0.07115
  • Mean of quarter 4
    0.13856
  • Inter Quartile Range
    0.07041
  • 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)
    -4.49568
  • VaR(95%) (moments method)
    0.13663
  • Expected Shortfall (moments method)
    0.13666
  • Extreme Value Index (regression method)
    -0.87126
  • VaR(95%) (regression method)
    0.14889
  • Expected Shortfall (regression method)
    0.15694
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.66556
  • Compounded annual return (geometric extrapolation)
    0.20739
  • Calmar ratio (compounded annual return / max draw down)
    1.22709
  • Compounded annual return / average of 25% largest draw downs
    1.49677
  • Compounded annual return / Expected Shortfall lognormal
    2.09224
  • 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
    0.17339
  • SD
    0.15651
  • Sharpe ratio (Glass type estimate)
    1.10785
  • Sharpe ratio (Hedges UMVUE)
    1.10757
  • df
    2999.00000
  • t
    3.74878
  • p
    0.00009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52787
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68765
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52768
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68746
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60753
  • Upside Potential Ratio
    8.62804
  • Upside part of mean
    0.93064
  • Downside part of mean
    -0.75724
  • Upside SD
    0.11388
  • Downside SD
    0.10786
  • N nonnegative terms
    1662.00000
  • N negative terms
    1338.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3000.00000
  • Mean of predictor
    0.10089
  • Mean of criterion
    0.17339
  • SD of predictor
    0.17094
  • SD of criterion
    0.15651
  • Covariance
    0.00151
  • r
    0.05653
  • b (slope, estimate of beta)
    0.05176
  • a (intercept, estimate of alpha)
    0.16800
  • Mean Square Error
    0.02443
  • DF error
    2998.00000
  • t(b)
    3.10017
  • p(b)
    0.00098
  • t(a)
    3.63868
  • p(a)
    0.00014
  • Lowerbound of 95% confidence interval for beta
    0.01902
  • Upperbound of 95% confidence interval for beta
    0.08449
  • Lowerbound of 95% confidence interval for alpha
    0.07755
  • Upperbound of 95% confidence interval for alpha
    0.25879
  • Treynor index (mean / b)
    3.34999
  • Jensen alpha (a)
    0.16817
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16107
  • SD
    0.15663
  • Sharpe ratio (Glass type estimate)
    1.02831
  • Sharpe ratio (Hedges UMVUE)
    1.02805
  • df
    2999.00000
  • t
    3.47962
  • p
    0.00025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44842
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60784
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47481
  • Upside Potential Ratio
    8.46201
  • Upside part of mean
    0.92414
  • Downside part of mean
    -0.76308
  • Upside SD
    0.11268
  • Downside SD
    0.10921
  • N nonnegative terms
    1662.00000
  • N negative terms
    1338.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3000.00000
  • Mean of predictor
    0.08620
  • Mean of criterion
    0.16107
  • SD of predictor
    0.17150
  • SD of criterion
    0.15663
  • Covariance
    0.00153
  • r
    0.05702
  • b (slope, estimate of beta)
    0.05208
  • a (intercept, estimate of alpha)
    0.15658
  • Mean Square Error
    0.02446
  • DF error
    2998.00000
  • t(b)
    3.12728
  • p(b)
    0.00089
  • t(a)
    3.38596
  • p(a)
    0.00036
  • Lowerbound of 95% confidence interval for beta
    0.01943
  • Upperbound of 95% confidence interval for beta
    0.08473
  • Lowerbound of 95% confidence interval for alpha
    0.06591
  • Upperbound of 95% confidence interval for alpha
    0.24725
  • Treynor index (mean / b)
    3.09270
  • Jensen alpha (a)
    0.15658
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01519
  • Expected Shortfall on VaR
    0.01915
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00611
  • Expected Shortfall on VaR
    0.01281
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3000.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99690
  • Median
    1.00069
  • Quartile 3
    1.00471
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98960
  • Mean of quarter 2
    0.99911
  • Mean of quarter 3
    1.00245
  • Mean of quarter 4
    1.01191
  • Inter Quartile Range
    0.00781
  • Number outliers low
    156.00000
  • Percentage of outliers low
    0.05200
  • Mean of outliers low
    0.97702
  • Number of outliers high
    148.00000
  • Percentage of outliers high
    0.04933
  • Mean of outliers high
    1.02367
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33474
  • VaR(95%) (moments method)
    0.00959
  • Expected Shortfall (moments method)
    0.01744
  • Extreme Value Index (regression method)
    0.14534
  • VaR(95%) (regression method)
    0.00958
  • Expected Shortfall (regression method)
    0.01486
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    88.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00435
  • Median
    0.01823
  • Quartile 3
    0.04985
  • Maximum
    0.19820
  • Mean of quarter 1
    0.00187
  • Mean of quarter 2
    0.01020
  • Mean of quarter 3
    0.03021
  • Mean of quarter 4
    0.10243
  • Inter Quartile Range
    0.04550
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.07955
  • Mean of outliers high
    0.16131
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.02583
  • VaR(95%) (moments method)
    0.10441
  • Expected Shortfall (moments method)
    0.13747
  • Extreme Value Index (regression method)
    -0.01623
  • VaR(95%) (regression method)
    0.08641
  • Expected Shortfall (regression method)
    0.10546
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.67284
  • Compounded annual return (geometric extrapolation)
    0.20801
  • Calmar ratio (compounded annual return / max draw down)
    1.04949
  • Compounded annual return / average of 25% largest draw downs
    2.03081
  • Compounded annual return / Expected Shortfall lognormal
    10.86010
  • 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
    -0.02436
  • SD
    0.06538
  • Sharpe ratio (Glass type estimate)
    -0.37261
  • Sharpe ratio (Hedges UMVUE)
    -0.37045
  • df
    130.00000
  • t
    -0.26347
  • p
    0.51155
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.14418
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40018
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.14262
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40172
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45480
  • Upside Potential Ratio
    5.97671
  • Upside part of mean
    0.32016
  • Downside part of mean
    -0.34452
  • Upside SD
    0.03708
  • Downside SD
    0.05357
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25479
  • Mean of criterion
    -0.02436
  • SD of predictor
    0.12184
  • SD of criterion
    0.06538
  • Covariance
    -0.00119
  • r
    -0.14888
  • b (slope, estimate of beta)
    -0.07990
  • a (intercept, estimate of alpha)
    -0.00401
  • Mean Square Error
    0.00421
  • DF error
    129.00000
  • t(b)
    -1.70996
  • p(b)
    0.59443
  • t(a)
    -0.04328
  • p(a)
    0.50243
  • Lowerbound of 95% confidence interval for beta
    -0.17234
  • Upperbound of 95% confidence interval for beta
    0.01255
  • Lowerbound of 95% confidence interval for alpha
    -0.18714
  • Upperbound of 95% confidence interval for alpha
    0.17913
  • Treynor index (mean / b)
    0.30493
  • Jensen alpha (a)
    -0.00401
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02649
  • SD
    0.06556
  • Sharpe ratio (Glass type estimate)
    -0.40408
  • Sharpe ratio (Hedges UMVUE)
    -0.40175
  • df
    130.00000
  • t
    -0.28573
  • p
    0.51253
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.17560
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36888
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.17398
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37049
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.49187
  • Upside Potential Ratio
    5.93149
  • Upside part of mean
    0.31944
  • Downside part of mean
    -0.34593
  • Upside SD
    0.03697
  • Downside SD
    0.05386
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24729
  • Mean of criterion
    -0.02649
  • SD of predictor
    0.12175
  • SD of criterion
    0.06556
  • Covariance
    -0.00118
  • r
    -0.14839
  • b (slope, estimate of beta)
    -0.07990
  • a (intercept, estimate of alpha)
    -0.00673
  • Mean Square Error
    0.00424
  • DF error
    129.00000
  • t(b)
    -1.70426
  • p(b)
    0.59412
  • t(a)
    -0.07257
  • p(a)
    0.50407
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.17265
  • Upperbound of 95% confidence interval for beta
    0.01286
  • Lowerbound of 95% confidence interval for alpha
    -0.19027
  • Upperbound of 95% confidence interval for alpha
    0.17680
  • Treynor index (mean / b)
    0.33154
  • Jensen alpha (a)
    -0.00673
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00674
  • Expected Shortfall on VaR
    0.00842
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00247
  • Expected Shortfall on VaR
    0.00547
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98232
  • Quartile 1
    0.99937
  • Median
    1.00042
  • Quartile 3
    1.00172
  • Maximum
    1.00956
  • Mean of quarter 1
    0.99505
  • Mean of quarter 2
    1.00003
  • Mean of quarter 3
    1.00087
  • Mean of quarter 4
    1.00412
  • Inter Quartile Range
    0.00235
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.99115
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.00688
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.38436
  • VaR(95%) (moments method)
    0.00326
  • Expected Shortfall (moments method)
    0.00420
  • Extreme Value Index (regression method)
    -0.30692
  • VaR(95%) (regression method)
    0.00522
  • Expected Shortfall (regression method)
    0.00713
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00046
  • Quartile 1
    0.00073
  • Median
    0.00231
  • Quartile 3
    0.00937
  • Maximum
    0.07402
  • Mean of quarter 1
    0.00059
  • Mean of quarter 2
    0.00231
  • Mean of quarter 3
    0.00937
  • Mean of quarter 4
    0.07402
  • Inter Quartile Range
    0.00864
  • 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
    0.20000
  • Mean of outliers high
    0.07402
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -353552000
  • Max Equity Drawdown (num days)
    195
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00142
  • Compounded annual return (geometric extrapolation)
    0.00142
  • Calmar ratio (compounded annual return / max draw down)
    0.01916
  • Compounded annual return / average of 25% largest draw downs
    0.01916
  • Compounded annual return / Expected Shortfall lognormal
    0.16848

Strategy Description

Combines the art of trading the most explosive breakouts the market has to offer with the science of turtle trader position sizing and risk management.


What to expect:

Every day, I run stock scans that comb through 10,000 stocks to find just one or two that are ready to move right now.

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

The system buys strong, liquid US stocks and ETFs, and short sells the weakest. Losses are cut very short, which contributes to a lower win rate.


Frequently asked questions:

Where can I learn more about your strategy?

I send out a newsletter each Sunday that discusses Trend Following trading and my thoughts on the market. By joining my system, you will receive this newsletter at no extra cost.

Does this system need to be auto-traded?

No. Most signals will be sent out after the market has closed, 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. The portfolio of stocks held contains longs and shorts, potentially lowering the correlation to the S&P 500.


Do you use leverage?

Rarely, but yes during strongly trending markets.


Do you use stops?

No, trades are exited based on end of day closing prices.

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 17 years of intensive study.


What will happen during bear markets?

I can short stocks and ETFs, so the system is not dependant on a rising stock market. The system is more likely to struggle during a choppy, range bound market.

Summary Statistics

Strategy began
2012-08-04
Suggested Minimum Capital
$820,000
# Trades
2946
# Profitable
1095
% Profitable
37.2%
Net Dividends
Correlation S&P500
0.058
Sharpe Ratio
0.86
Sortino Ratio
1.23
Beta
0.06
Alpha
0.05
Leverage
1.69 Average
3.69 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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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.