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The Momentum of Now (75800796)

Created by: Darvas Darvas
Started: 08/2012
Stocks
Last trade: 4 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 $25.00 per month.

32.9%
Annual Return (Compounded)
24.0%
Max Drawdown
858
Num Trades
36.5%
Win Trades
1.6 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.9%+7.6%+1.0%+1.6%(0.4%)+14.2%
2013+13.8%+0.7%+9.1%(1.6%)+0.1%(5.4%)(2.6%)(2.3%)+22.0%+8.2%+20.9%(0.5%)+76.1%
2014+10.2%(2.2%)(2.2%)(3%)+1.4%(1.2%)(8.4%)+4.2%(0.6%)+2.8%+3.2%+2.5%+5.8%
2015(1.2%)+6.9%+4.6%(5.4%)+20.3%+2.7%+17.3%(4.1%)+3.6%(1.8%)+2.6%+1.8%+54.3%
2016(0.2%)(4.8%)(5.3%)+3.8%(3.8%)+3.4%(0.5%)+0.7%+1.8%+0.5%+9.2%(2.4%)+1.4%
2017(2%)+8.6%+1.0%+5.3%+10.3%(7.2%)+7.1%                              +24.2%

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 1,156 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/11/17 9:30 C CITIGROUP LONG 732 67.50 7/24 9:30 65.92 0.34%
Trade id #112517263
Max drawdown($1,449)
Time7/14/17 9:32
Quant open732
Worst price65.52
Drawdown as % of equity-0.34%
($1,162)
Includes Typical Broker Commissions trade costs of $5.00
7/17/17 9:30 MDXG MIMEDX GROUP LONG 1,333 15.64 7/24 9:30 14.85 0.26%
Trade id #112637545
Max drawdown($1,119)
Time7/19/17 13:42
Quant open1,333
Worst price14.80
Drawdown as % of equity-0.26%
($1,058)
Includes Typical Broker Commissions trade costs of $5.00
7/10/17 9:30 CALA CALITHERA BIOSCIENCES INC. CO LONG 351 18.12 7/20 10:17 15.65 0.2%
Trade id #112492941
Max drawdown($868)
Time7/20/17 10:17
Quant open0
Worst price15.65
Drawdown as % of equity-0.20%
($875)
Includes Typical Broker Commissions trade costs of $7.02
7/10/17 9:30 CLVS CLOVIS ONCOLOGY LONG 98 96.12 7/17 9:30 91.44 0.17%
Trade id #112492912
Max drawdown($731)
Time7/13/17 11:29
Quant open98
Worst price88.65
Drawdown as % of equity-0.17%
($460)
Includes Typical Broker Commissions trade costs of $1.96
7/10/17 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 115 40.64 7/17 9:30 32.96 n/a $881
Includes Typical Broker Commissions trade costs of $2.30
6/26/17 9:30 TBPH THERAVANCE BIOPHARMA INC LONG 238 43.23 7/11 9:30 40.45 0.23%
Trade id #112211261
Max drawdown($962)
Time6/29/17 14:57
Quant open238
Worst price39.18
Drawdown as % of equity-0.23%
($665)
Includes Typical Broker Commissions trade costs of $4.76
6/23/17 9:30 MDXG MIMEDX GROUP LONG 1,309 15.75 7/10 9:31 14.61 0.39%
Trade id #112189487
Max drawdown($1,633)
Time7/6/17 15:09
Quant open1,309
Worst price14.50
Drawdown as % of equity-0.39%
($1,496)
Includes Typical Broker Commissions trade costs of $5.00
3/6/17 9:30 TRU TRANSUNION LONG 629 38.00 7/3 9:30 43.40 n/a $3,392
Includes Typical Broker Commissions trade costs of $5.00
6/20/17 9:30 TSLA TESLA INC. LONG 37 376.96 7/3 9:30 369.07 0.21%
Trade id #112132385
Max drawdown($845)
Time6/29/17 13:33
Quant open37
Worst price354.10
Drawdown as % of equity-0.21%
($293)
Includes Typical Broker Commissions trade costs of $0.74
6/20/17 9:30 GLYC GLYCOMIMETICS INC. COMMON STO LONG 344 12.12 7/3 9:30 11.13 0.1%
Trade id #112132402
Max drawdown($402)
Time6/29/17 13:53
Quant open344
Worst price10.95
Drawdown as % of equity-0.10%
($347)
Includes Typical Broker Commissions trade costs of $6.88
5/15/17 9:30 CTLT CATALENT INC LONG 829 33.02 7/3 9:30 35.12 n/a $1,736
Includes Typical Broker Commissions trade costs of $5.00
3/8/17 9:30 ANET ARISTA NETWORKS INC LONG 209 121.51 7/3 9:30 151.06 n/a $6,172
Includes Typical Broker Commissions trade costs of $4.18
6/20/17 9:30 CYOU CHANGYOU.COM LONG 759 40.66 6/28 10:05 38.08 0.47%
Trade id #112132414
Max drawdown($1,963)
Time6/28/17 10:05
Quant open0
Worst price38.08
Drawdown as % of equity-0.47%
($1,968)
Includes Typical Broker Commissions trade costs of $5.00
6/23/17 9:30 CARB CARBONITE LONG 929 24.34 6/28 9:39 22.26 0.47%
Trade id #112189518
Max drawdown($1,933)
Time6/28/17 9:39
Quant open0
Worst price22.26
Drawdown as % of equity-0.47%
($1,938)
Includes Typical Broker Commissions trade costs of $5.00
5/23/17 9:30 NBEV NEW AGE BEVERAGES CORPORATION COMMON LONG 2,011 5.75 6/19 9:30 6.11 0.33%
Trade id #111727007
Max drawdown($1,404)
Time5/24/17 9:37
Quant open2,011
Worst price5.05
Drawdown as % of equity-0.33%
$723
Includes Typical Broker Commissions trade costs of $5.00
5/15/17 9:30 WB WEIBO CORPORATION AMERICAN DEP LONG 735 63.58 6/19 9:30 72.06 n/a $6,226
Includes Typical Broker Commissions trade costs of $5.00
5/8/17 9:30 BZUN BAOZUN INC. AMERICAN DEPOSITARY SHARES LONG 1,218 19.84 6/19 9:30 20.43 0.17%
Trade id #111455910
Max drawdown($708)
Time6/15/17 10:32
Quant open852
Worst price19.01
Drawdown as % of equity-0.17%
$706
Includes Typical Broker Commissions trade costs of $12.32
4/10/17 9:30 VEEV VEEVA SYSTEMS INC LONG 570 51.63 6/19 9:30 60.00 n/a $4,766
Includes Typical Broker Commissions trade costs of $5.00
5/23/17 9:30 CHGG CHEGG INC LONG 1,902 12.16 6/15 9:30 11.62 0.48%
Trade id #111726955
Max drawdown($2,073)
Time5/23/17 18:24
Quant open1,902
Worst price11.07
Drawdown as % of equity-0.48%
($1,032)
Includes Typical Broker Commissions trade costs of $5.00
5/30/17 9:30 GRUB GRUBHUB INC LONG 288 43.83 6/12 9:30 42.93 0.08%
Trade id #111828532
Max drawdown($365)
Time5/31/17 10:07
Quant open288
Worst price42.56
Drawdown as % of equity-0.08%
($265)
Includes Typical Broker Commissions trade costs of $5.76
5/8/17 9:30 AAOI APPLIED OPTOELECTRONICS INC. LONG 417 66.28 6/12 9:30 65.10 0.12%
Trade id #111455852
Max drawdown($494)
Time6/12/17 9:30
Quant open216
Worst price63.22
Drawdown as % of equity-0.12%
($502)
Includes Typical Broker Commissions trade costs of $8.34
6/5/17 9:30 Z ZILLOW GROUP INC. CLASS C CAPITAL STOCK LONG 727 45.13 6/12 9:30 43.55 0.36%
Trade id #111912795
Max drawdown($1,532)
Time6/12/17 8:12
Quant open727
Worst price43.02
Drawdown as % of equity-0.36%
($1,152)
Includes Typical Broker Commissions trade costs of $5.00
6/5/17 9:31 JD JD.COM INC LONG 788 41.26 6/12 9:30 39.32 0.36%
Trade id #111912851
Max drawdown($1,525)
Time6/12/17 9:30
Quant open355
Worst price38.97
Drawdown as % of equity-0.36%
($1,541)
Includes Typical Broker Commissions trade costs of $15.76
1/9/17 9:30 SHOP SHOPIFY INC LONG 833 47.15 6/12 9:30 89.76 n/a $35,489
Includes Typical Broker Commissions trade costs of $5.00
5/2/17 9:30 LNTH LANTHEUS HOLDINGS INC. COMMON STOCK LONG 2,075 14.93 6/12 9:30 15.24 n/a $629
Includes Typical Broker Commissions trade costs of $7.50
3/28/17 9:30 MIME MIMECAST LIMITED ORDINARY SHARES LONG 1,638 23.66 6/12 9:30 25.71 0.04%
Trade id #110476779
Max drawdown($161)
Time4/11/17 10:04
Quant open770
Worst price21.65
Drawdown as % of equity-0.04%
$3,350
Includes Typical Broker Commissions trade costs of $7.50
6/5/17 9:31 PFF ISHARES S&P U.S. PREFERRED STO LONG 1,923 38.99 6/12 9:30 38.79 0.09%
Trade id #111912865
Max drawdown($403)
Time6/9/17 15:50
Quant open1,923
Worst price38.78
Drawdown as % of equity-0.09%
($390)
Includes Typical Broker Commissions trade costs of $5.00
3/28/17 9:30 MZOR MAZOR ROBOTICS LTD. AMERICAN D LONG 981 29.59 6/9 9:30 33.28 0.13%
Trade id #110476749
Max drawdown($496)
Time3/29/17 10:34
Quant open534
Worst price27.81
Drawdown as % of equity-0.13%
$3,606
Includes Typical Broker Commissions trade costs of $9.47
3/16/17 9:30 MOMO MOMO INC. AMERICAN DEPOSITARY LONG 389 34.22 5/30 9:30 39.42 n/a $2,015
Includes Typical Broker Commissions trade costs of $7.78
4/3/17 9:30 TWOU 2U INC. COMMON STOCK LONG 620 40.04 5/22 9:30 41.68 0.07%
Trade id #110644035
Max drawdown($283)
Time5/18/17 9:31
Quant open620
Worst price39.58
Drawdown as % of equity-0.07%
$1,012
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/4/2012
  • Starting Unit Size
    $6,500
  • Strategy Age (days)
    1818.6
  • Age
    61 months ago
  • What it trades
    Stocks
  • # Trades
    858
  • # Profitable
    313
  • % Profitable
    36.50%
  • Avg trade duration
    30.1 days
  • Max peak-to-valley drawdown
    23.95%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    32.9%
  • Avg win
    $2,872
  • Avg loss
    $1,070
  • Model Account Values (Raw)
  • Cash
    $134,412
  • Margin Used
    $112,018
  • Buying Power
    $72,489
  • Ratios
  • W:L ratio
    1.63:1
  • Sharpe Ratio
    1.522
  • Sortino Ratio
    2.244
  • Calmar Ratio
    1.794
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.18700
  • Return Statistics
  • Ann Return (w trading costs)
    32.9%
  • Ann Return (Compnd, No Fees)
    34.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.00%
  • Chance of 20% account loss
    20.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    2.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    959
  • Popularity (Last 6 weeks)
    979
  • C2 Score
    97.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,070
  • Avg Win
    $2,873
  • # Winners
    313
  • # Losers
    545
  • % Winners
    36.5%
  • Frequency
  • Avg Position Time (mins)
    43284.70
  • Avg Position Time (hrs)
    721.41
  • Avg Trade Length
    30.1 days
  • Last Trade Ago
    4
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30516
  • SD
    0.25302
  • Sharpe ratio (Glass type estimate)
    1.20605
  • Sharpe ratio (Hedges UMVUE)
    1.19038
  • df
    58.00000
  • t
    2.67423
  • p
    0.00486
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29050
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11181
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28031
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10046
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.82596
  • Upside Potential Ratio
    4.42796
  • Upside part of mean
    0.47815
  • Downside part of mean
    -0.17299
  • Upside SD
    0.24297
  • Downside SD
    0.10798
  • N nonnegative terms
    37.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    59.00000
  • Mean of predictor
    0.09365
  • Mean of criterion
    0.30516
  • SD of predictor
    0.09591
  • SD of criterion
    0.25302
  • Covariance
    0.00099
  • r
    0.04074
  • b (slope, estimate of beta)
    0.10747
  • a (intercept, estimate of alpha)
    0.29509
  • Mean Square Error
    0.06504
  • DF error
    57.00000
  • t(b)
    0.30782
  • p(b)
    0.37967
  • t(a)
    2.46797
  • p(a)
    0.00831
  • Lowerbound of 95% confidence interval for beta
    -0.59167
  • Upperbound of 95% confidence interval for beta
    0.80662
  • Lowerbound of 95% confidence interval for alpha
    0.05566
  • Upperbound of 95% confidence interval for alpha
    0.53453
  • Treynor index (mean / b)
    2.83938
  • Jensen alpha (a)
    0.29509
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27203
  • SD
    0.23913
  • Sharpe ratio (Glass type estimate)
    1.13762
  • Sharpe ratio (Hedges UMVUE)
    1.12285
  • df
    58.00000
  • t
    2.52251
  • p
    0.00721
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22525
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04072
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21562
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03007
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41663
  • Upside Potential Ratio
    4.00449
  • Upside part of mean
    0.45078
  • Downside part of mean
    -0.17874
  • Upside SD
    0.22295
  • Downside SD
    0.11257
  • N nonnegative terms
    37.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    59.00000
  • Mean of predictor
    0.08862
  • Mean of criterion
    0.27203
  • SD of predictor
    0.09533
  • SD of criterion
    0.23913
  • Covariance
    0.00102
  • r
    0.04466
  • b (slope, estimate of beta)
    0.11203
  • a (intercept, estimate of alpha)
    0.26211
  • Mean Square Error
    0.05807
  • DF error
    57.00000
  • t(b)
    0.33754
  • p(b)
    0.36847
  • t(a)
    2.32805
  • p(a)
    0.01174
  • Lowerbound of 95% confidence interval for beta
    -0.55261
  • Upperbound of 95% confidence interval for beta
    0.77668
  • Lowerbound of 95% confidence interval for alpha
    0.03666
  • Upperbound of 95% confidence interval for alpha
    0.48756
  • Treynor index (mean / b)
    2.42813
  • Jensen alpha (a)
    0.26211
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08687
  • Expected Shortfall on VaR
    0.11254
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02715
  • Expected Shortfall on VaR
    0.05710
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    59.00000
  • Minimum
    0.89129
  • Quartile 1
    0.98814
  • Median
    1.02716
  • Quartile 3
    1.05359
  • Maximum
    1.27878
  • Mean of quarter 1
    0.94911
  • Mean of quarter 2
    1.00617
  • Mean of quarter 3
    1.03942
  • Mean of quarter 4
    1.11710
  • Inter Quartile Range
    0.06545
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06780
  • Mean of outliers high
    1.22021
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10333
  • VaR(95%) (moments method)
    0.04145
  • Expected Shortfall (moments method)
    0.05551
  • Extreme Value Index (regression method)
    -0.16747
  • VaR(95%) (regression method)
    0.05088
  • Expected Shortfall (regression method)
    0.06741
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00377
  • Quartile 1
    0.02099
  • Median
    0.04039
  • Quartile 3
    0.11403
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01059
  • Mean of quarter 2
    0.03564
  • Mean of quarter 3
    0.10219
  • Mean of quarter 4
    0.15201
  • Inter Quartile Range
    0.09304
  • 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)
    -2.35646
  • VaR(95%) (moments method)
    0.15835
  • Expected Shortfall (moments method)
    0.15930
  • Extreme Value Index (regression method)
    -0.30466
  • VaR(95%) (regression method)
    0.17962
  • Expected Shortfall (regression method)
    0.20071
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68538
  • Compounded annual return (geometric extrapolation)
    0.34978
  • Calmar ratio (compounded annual return / max draw down)
    2.06959
  • Compounded annual return / average of 25% largest draw downs
    2.30099
  • Compounded annual return / Expected Shortfall lognormal
    3.10799
  • 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
    0.28979
  • SD
    0.19029
  • Sharpe ratio (Glass type estimate)
    1.52287
  • Sharpe ratio (Hedges UMVUE)
    1.52199
  • df
    1292.00000
  • t
    3.38307
  • p
    0.45315
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63838
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40679
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40620
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24356
  • Upside Potential Ratio
    9.48285
  • Upside part of mean
    1.22486
  • Downside part of mean
    -0.93507
  • Upside SD
    0.14078
  • Downside SD
    0.12917
  • N nonnegative terms
    728.00000
  • N negative terms
    565.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1293.00000
  • Mean of predictor
    0.09597
  • Mean of criterion
    0.28979
  • SD of predictor
    0.12268
  • SD of criterion
    0.19029
  • Covariance
    0.00405
  • r
    0.17338
  • b (slope, estimate of beta)
    0.26893
  • a (intercept, estimate of alpha)
    0.26400
  • Mean Square Error
    0.03515
  • DF error
    1291.00000
  • t(b)
    6.32552
  • p(b)
    0.39018
  • t(a)
    3.12430
  • p(a)
    0.44492
  • Lowerbound of 95% confidence interval for beta
    0.18553
  • Upperbound of 95% confidence interval for beta
    0.35234
  • Lowerbound of 95% confidence interval for alpha
    0.09822
  • Upperbound of 95% confidence interval for alpha
    0.42974
  • Treynor index (mean / b)
    1.07756
  • Jensen alpha (a)
    0.26398
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27151
  • SD
    0.19042
  • Sharpe ratio (Glass type estimate)
    1.42582
  • Sharpe ratio (Hedges UMVUE)
    1.42499
  • df
    1292.00000
  • t
    3.16748
  • p
    0.45611
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54157
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30953
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54102
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30897
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07322
  • Upside Potential Ratio
    9.27745
  • Upside part of mean
    1.21497
  • Downside part of mean
    -0.94347
  • Upside SD
    0.13915
  • Downside SD
    0.13096
  • N nonnegative terms
    728.00000
  • N negative terms
    565.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1293.00000
  • Mean of predictor
    0.08842
  • Mean of criterion
    0.27151
  • SD of predictor
    0.12279
  • SD of criterion
    0.19042
  • Covariance
    0.00406
  • r
    0.17381
  • b (slope, estimate of beta)
    0.26954
  • a (intercept, estimate of alpha)
    0.24768
  • Mean Square Error
    0.03519
  • DF error
    1291.00000
  • t(b)
    6.34144
  • p(b)
    0.38991
  • t(a)
    2.93007
  • p(a)
    0.44831
  • Lowerbound of 95% confidence interval for beta
    0.18616
  • Upperbound of 95% confidence interval for beta
    0.35293
  • Lowerbound of 95% confidence interval for alpha
    0.08185
  • Upperbound of 95% confidence interval for alpha
    0.41351
  • Treynor index (mean / b)
    1.00729
  • Jensen alpha (a)
    0.24768
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01815
  • Expected Shortfall on VaR
    0.02295
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00746
  • Expected Shortfall on VaR
    0.01551
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1293.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99616
  • Median
    1.00103
  • Quartile 3
    1.00676
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98723
  • Mean of quarter 2
    0.99886
  • Mean of quarter 3
    1.00372
  • Mean of quarter 4
    1.01509
  • Inter Quartile Range
    0.01059
  • Number outliers low
    56.00000
  • Percentage of outliers low
    0.04331
  • Mean of outliers low
    0.97144
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.03635
  • Mean of outliers high
    1.03039
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27199
  • VaR(95%) (moments method)
    0.01153
  • Expected Shortfall (moments method)
    0.01965
  • Extreme Value Index (regression method)
    0.06350
  • VaR(95%) (regression method)
    0.01216
  • Expected Shortfall (regression method)
    0.01797
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    50.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00449
  • Median
    0.01467
  • Quartile 3
    0.05121
  • Maximum
    0.19455
  • Mean of quarter 1
    0.00198
  • Mean of quarter 2
    0.00972
  • Mean of quarter 3
    0.02442
  • Mean of quarter 4
    0.10768
  • Inter Quartile Range
    0.04672
  • 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
    0.10000
  • Mean of outliers high
    0.15694
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.27724
  • VaR(95%) (moments method)
    0.11212
  • Expected Shortfall (moments method)
    0.13485
  • Extreme Value Index (regression method)
    -0.11821
  • VaR(95%) (regression method)
    0.09008
  • Expected Shortfall (regression method)
    0.10751
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68542
  • Compounded annual return (geometric extrapolation)
    0.34907
  • Calmar ratio (compounded annual return / max draw down)
    1.79424
  • Compounded annual return / average of 25% largest draw downs
    3.24173
  • Compounded annual return / Expected Shortfall lognormal
    15.20800
  • 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
    0.41412
  • SD
    0.17654
  • Sharpe ratio (Glass type estimate)
    2.34575
  • Sharpe ratio (Hedges UMVUE)
    2.33219
  • df
    130.00000
  • t
    1.65870
  • p
    0.42802
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44505
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.12770
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45407
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.11846
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.38594
  • Upside Potential Ratio
    9.97149
  • Upside part of mean
    1.21956
  • Downside part of mean
    -0.80544
  • Upside SD
    0.12893
  • Downside SD
    0.12230
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12442
  • Mean of criterion
    0.41412
  • SD of predictor
    0.06941
  • SD of criterion
    0.17654
  • Covariance
    0.00593
  • r
    0.48360
  • b (slope, estimate of beta)
    1.23008
  • a (intercept, estimate of alpha)
    0.26107
  • Mean Square Error
    0.02406
  • DF error
    129.00000
  • t(b)
    6.27523
  • p(b)
    0.20459
  • t(a)
    1.18280
  • p(a)
    0.43418
  • Lowerbound of 95% confidence interval for beta
    0.84225
  • Upperbound of 95% confidence interval for beta
    1.61792
  • Lowerbound of 95% confidence interval for alpha
    -0.17564
  • Upperbound of 95% confidence interval for alpha
    0.69778
  • Treynor index (mean / b)
    0.33666
  • Jensen alpha (a)
    0.26107
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39822
  • SD
    0.17717
  • Sharpe ratio (Glass type estimate)
    2.24764
  • Sharpe ratio (Hedges UMVUE)
    2.23465
  • df
    130.00000
  • t
    1.58932
  • p
    0.43097
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54185
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.02863
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55044
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.01973
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.20573
  • Upside Potential Ratio
    9.75037
  • Upside part of mean
    1.21122
  • Downside part of mean
    -0.81299
  • Upside SD
    0.12777
  • Downside SD
    0.12422
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12198
  • Mean of criterion
    0.39822
  • SD of predictor
    0.06943
  • SD of criterion
    0.17717
  • Covariance
    0.00595
  • r
    0.48361
  • b (slope, estimate of beta)
    1.23402
  • a (intercept, estimate of alpha)
    0.24769
  • Mean Square Error
    0.02424
  • DF error
    129.00000
  • t(b)
    6.27537
  • p(b)
    0.20459
  • t(a)
    1.11843
  • p(a)
    0.43771
  • Lowerbound of 95% confidence interval for beta
    0.84495
  • Upperbound of 95% confidence interval for beta
    1.62309
  • Lowerbound of 95% confidence interval for alpha
    -0.19048
  • Upperbound of 95% confidence interval for alpha
    0.68587
  • Treynor index (mean / b)
    0.32271
  • Jensen alpha (a)
    0.24769
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01635
  • Expected Shortfall on VaR
    0.02083
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00627
  • Expected Shortfall on VaR
    0.01353
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95106
  • Quartile 1
    0.99654
  • Median
    1.00130
  • Quartile 3
    1.00798
  • Maximum
    1.03543
  • Mean of quarter 1
    0.98924
  • Mean of quarter 2
    0.99894
  • Mean of quarter 3
    1.00440
  • Mean of quarter 4
    1.01424
  • Inter Quartile Range
    0.01144
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96536
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03067
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66724
  • VaR(95%) (moments method)
    0.01178
  • Expected Shortfall (moments method)
    0.03717
  • Extreme Value Index (regression method)
    0.74248
  • VaR(95%) (regression method)
    0.01034
  • Expected Shortfall (regression method)
    0.03856
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00481
  • Median
    0.01036
  • Quartile 3
    0.02361
  • Maximum
    0.10877
  • Mean of quarter 1
    0.00170
  • Mean of quarter 2
    0.00755
  • Mean of quarter 3
    0.01715
  • Mean of quarter 4
    0.06606
  • Inter Quartile Range
    0.01879
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.08192
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.54262
  • VaR(95%) (moments method)
    0.07315
  • Expected Shortfall (moments method)
    0.07750
  • Extreme Value Index (regression method)
    0.37135
  • VaR(95%) (regression method)
    0.10784
  • Expected Shortfall (regression method)
    0.20807
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.47493
  • Compounded annual return (geometric extrapolation)
    0.53132
  • Calmar ratio (compounded annual return / max draw down)
    4.88487
  • Compounded annual return / average of 25% largest draw downs
    8.04345
  • Compounded annual return / Expected Shortfall lognormal
    25.50750

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:

My system generates 70 to 90 trades a year. Every weekend, 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.


In addition, as a subscriber, you will receive a free weekly newsletter that will explain my strategy in more detail, outline my view of the market, and highlight high-potential stocks on my watch-list.

What I trade:

I trade liquid US stocks and ETFs.



For more info:

Trading stocks is my passion, and I would be happy to answer any questions or discuss any comments you may have.



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.


Do you use stops?

Yes. All signals come with a stop loss order attached.


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?

I can short stocks and ETFs, so the system is not dependant on a rising stock market.





Summary Statistics

Strategy began
2012-08-04
Minimum Capital Required
$6,500
# Trades
858
# Profitable
313
% Profitable
36.5%
Net Dividends
Correlation S&P500
0.187
Sharpe Ratio
1.522

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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