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The Momentum of Now (75800796)

Created by: Darvas Darvas
Started: 08/2012
Stocks
Last trade: 2 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.

32.0%
Annual Return (Compounded)
24.0%
Max Drawdown
806
Num Trades
36.4%
Win Trades
1.6 : 1
Profit Factor
59.6%
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%+4.2%                                                +12.1%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

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Trading Record

trades in real-life

This strategy has placed 1,049 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/13/17 9:30 CRHM CRH MEDICAL CORP LONG 2,986 6.80 4/24 9:30 7.30 n/a $1,433
Includes Typical Commission and AutoTrade Fees trade costs of $59.72
2/28/17 9:31 LOPE GRAND CANYON EDUCATION LONG 405 61.78 4/17 9:30 69.05 n/a $2,934
Includes Typical Commission and AutoTrade Fees trade costs of $8.10
4/10/17 9:30 MSG MADISON SQUARE GARDEN CO NEW LONG 152 205.22 4/17 9:30 196.54 0.36%
Trade id #110875303
Max drawdown($1,372)
Time4/13/17 15:43
Quant open152
Worst price196.19
Drawdown as % of equity-0.36%
($1,322)
Includes Typical Commission and AutoTrade Fees trade costs of $3.04
1/23/17 9:30 AAOI APPLIED OPTOELECTRONICS INC. LONG 416 30.75 4/6 9:30 44.76 n/a $5,821
Includes Typical Commission and AutoTrade Fees trade costs of $8.32
3/20/17 9:30 BPMC BLUEPRINT MEDICINES CORPORATION COMMON STOCK LONG 343 41.34 4/3 9:30 40.20 0.21%
Trade id #110328582
Max drawdown($803)
Time3/30/17 11:23
Quant open343
Worst price39.00
Drawdown as % of equity-0.21%
($399)
Includes Typical Commission and AutoTrade Fees trade costs of $6.86
1/30/17 9:30 PRI PRIMERICA LONG 391 75.80 3/27 9:30 78.61 n/a $1,090
Includes Typical Commission and AutoTrade Fees trade costs of $7.82
2/10/17 9:30 AQMS AQUA METALS INC. COMMON STOCK LONG 1,332 17.68 3/27 9:30 17.26 0.15%
Trade id #109459612
Max drawdown($568)
Time3/27/17 9:30
Quant open0
Worst price17.26
Drawdown as % of equity-0.15%
($595)
Includes Typical Commission and AutoTrade Fees trade costs of $26.64
3/13/17 9:30 CRBP CORBUS PHARMACEUTICALS HOLDINGS INC. COMMON STOCK LONG 1,065 9.60 3/27 9:30 9.21 0.3%
Trade id #110193933
Max drawdown($1,171)
Time3/24/17 13:28
Quant open1,065
Worst price8.50
Drawdown as % of equity-0.30%
($434)
Includes Typical Commission and AutoTrade Fees trade costs of $21.30
2/17/17 9:30 AVY AVERY DENNISON LONG 241 79.97 3/27 9:30 78.71 0.1%
Trade id #109632183
Max drawdown($361)
Time3/22/17 10:00
Quant open241
Worst price78.47
Drawdown as % of equity-0.10%
($310)
Includes Typical Commission and AutoTrade Fees trade costs of $4.82
1/17/17 9:30 AERI AERIE PHARMACEUTICALS INC. CO LONG 695 44.41 3/27 9:30 44.03 0.23%
Trade id #108685029
Max drawdown($813)
Time1/17/17 9:36
Quant open343
Worst price39.80
Drawdown as % of equity-0.23%
($272)
Includes Typical Commission and AutoTrade Fees trade costs of $13.90
3/7/17 9:30 WAGE WAGEWORKS LONG 368 77.00 3/27 9:30 71.70 0.51%
Trade id #110074411
Max drawdown($1,950)
Time3/27/17 9:30
Quant open0
Worst price71.70
Drawdown as % of equity-0.51%
($1,957)
Includes Typical Commission and AutoTrade Fees trade costs of $7.36
2/6/17 9:30 FAZ DIREXION DAILY FINANCIAL BEAR SHORT 2,999 20.24 3/22 9:31 20.20 0.47%
Trade id #109305299
Max drawdown($1,660)
Time2/9/17 8:01
Quant open-1,953
Worst price21.25
Drawdown as % of equity-0.47%
$59
Includes Typical Commission and AutoTrade Fees trade costs of $59.98
3/20/17 9:30 PEN PENUMBRA INC LONG 219 82.60 3/22 9:31 77.45 0.3%
Trade id #110328524
Max drawdown($1,128)
Time3/22/17 9:31
Quant open0
Worst price77.45
Drawdown as % of equity-0.30%
($1,132)
Includes Typical Commission and AutoTrade Fees trade costs of $4.38
2/27/17 9:30 LNTH LANTHEUS HOLDINGS INC. COMMON STOCK LONG 1,006 13.25 3/22 9:30 11.15 0.56%
Trade id #109869046
Max drawdown($2,113)
Time3/22/17 9:30
Quant open0
Worst price11.15
Drawdown as % of equity-0.56%
($2,133)
Includes Typical Commission and AutoTrade Fees trade costs of $20.12
12/19/16 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X SHORT 4,925 10.55 3/22/17 9:30 9.30 n/a $6,058
Includes Typical Commission and AutoTrade Fees trade costs of $98.50
2/17/17 9:30 PRU PRUDENTIAL FINANCIAL LONG 176 110.31 3/20 9:30 109.64 0.07%
Trade id #109632188
Max drawdown($248)
Time2/24/17 9:35
Quant open176
Worst price108.90
Drawdown as % of equity-0.07%
($123)
Includes Typical Commission and AutoTrade Fees trade costs of $3.52
1/30/17 9:30 XLI INDUSTRIAL SELECT SECTOR SPDR LONG 741 64.17 3/20 9:30 65.74 n/a $1,148
Includes Typical Commission and AutoTrade Fees trade costs of $14.82
3/9/17 9:30 CARB CARBONITE LONG 872 21.06 3/13 9:30 20.19 0.23%
Trade id #110133299
Max drawdown($883)
Time3/10/17 13:41
Quant open872
Worst price20.05
Drawdown as % of equity-0.23%
($776)
Includes Typical Commission and AutoTrade Fees trade costs of $17.44
11/21/16 9:30 FCB FCB FINANCIAL HOLDINGS INC LONG 773 41.55 3/13/17 9:30 48.60 n/a $5,435
Includes Typical Commission and AutoTrade Fees trade costs of $15.46
12/27/16 9:30 HTGC HERCULES CAPITAL INC LONG 1,442 14.00 3/9/17 9:31 14.50 n/a $692
Includes Typical Commission and AutoTrade Fees trade costs of $28.84
2/28/17 9:30 QUAD QUAD/GRAPHICS LONG 675 27.40 3/9 9:30 25.55 0.32%
Trade id #109904328
Max drawdown($1,250)
Time3/9/17 9:30
Quant open0
Worst price25.55
Drawdown as % of equity-0.32%
($1,264)
Includes Typical Commission and AutoTrade Fees trade costs of $13.50
1/23/17 9:30 KLXI KLX INC. COMMON STOCK LONG 262 47.83 3/8 9:30 48.44 0.12%
Trade id #108936227
Max drawdown($471)
Time3/7/17 9:32
Quant open262
Worst price46.03
Drawdown as % of equity-0.12%
$155
Includes Typical Commission and AutoTrade Fees trade costs of $5.24
2/6/17 9:30 EXTN EXTERRAN CORP LONG 537 31.94 2/27 9:31 29.99 0.4%
Trade id #109305296
Max drawdown($1,396)
Time2/8/17 9:59
Quant open537
Worst price29.34
Drawdown as % of equity-0.40%
($1,058)
Includes Typical Commission and AutoTrade Fees trade costs of $10.74
2/22/17 9:30 CRBP CORBUS PHARMACEUTICALS HOLDINGS INC. COMMON STOCK LONG 1,039 8.85 2/27 9:31 8.65 0.22%
Trade id #109742247
Max drawdown($831)
Time2/24/17 12:03
Quant open1,039
Worst price8.05
Drawdown as % of equity-0.22%
($229)
Includes Typical Commission and AutoTrade Fees trade costs of $20.78
2/21/17 9:30 TSRO TESARO LONG 84 189.80 2/27 9:31 184.17 0.18%
Trade id #109703710
Max drawdown($693)
Time2/23/17 11:15
Quant open84
Worst price181.54
Drawdown as % of equity-0.18%
($475)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
2/10/17 9:30 GWPH GW PHARMACEUTICALS PLC AMERICA LONG 162 129.12 2/27 9:30 122.98 0.37%
Trade id #109459619
Max drawdown($1,414)
Time2/24/17 11:59
Quant open162
Worst price120.39
Drawdown as % of equity-0.37%
($998)
Includes Typical Commission and AutoTrade Fees trade costs of $3.24
12/7/16 9:30 MPG METALDYNE PERFORMANCE GROUP IN LONG 1,292 21.10 2/27/17 9:30 22.90 n/a $2,300
Includes Typical Commission and AutoTrade Fees trade costs of $25.84
2/13/17 9:30 TZA DIREXION DAILY SMALL CAP BEAR SHORT 2,180 17.99 2/27 9:30 18.09 0.3%
Trade id #109492663
Max drawdown($1,155)
Time2/24/17 9:14
Quant open-2,180
Worst price18.52
Drawdown as % of equity-0.30%
($262)
Includes Typical Commission and AutoTrade Fees trade costs of $43.60
2/22/17 9:30 APHQF APHRIA INC LONG 3,128 5.06 2/24 9:37 4.63 0.36%
Trade id #109742244
Max drawdown($1,350)
Time2/24/17 9:37
Quant open0
Worst price4.63
Drawdown as % of equity-0.36%
($1,413)
Includes Typical Commission and AutoTrade Fees trade costs of $62.56
2/17/17 9:31 CNAB UNITED CANNABIS CORPORATION COMMON STOCK LONG 4,648 2.04 2/24 9:34 1.72 0.39%
Trade id #109632378
Max drawdown($1,481)
Time2/24/17 9:34
Quant open0
Worst price1.72
Drawdown as % of equity-0.39%
($1,574)
Includes Typical Commission and AutoTrade Fees trade costs of $92.96

Statistics

  • Strategy began
    8/4/2012
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    1725.4
  • Age
    58 months ago
  • What it trades
    Stocks
  • # Trades
    806
  • # Profitable
    293
  • % Profitable
    36.40%
  • Avg trade duration
    30.0 days
  • Max peak-to-valley drawdown
    23.95%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    32.0%
  • Avg win
    $2,783
  • Avg loss
    $1,052
  • Model Account Values (Raw)
  • Cash
    $187,554
  • Margin Used
    $24,747
  • Buying Power
    $214,253
  • Ratios
  • W:L ratio
    1.60:1
  • Sharpe Ratio
    1.445
  • Sortino Ratio
    2.147
  • Calmar Ratio
    1.651
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.18000
  • Return Statistics
  • Ann Return (w trading costs)
    32.0%
  • Ann Return (Compnd, No Fees)
    33.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    45.00%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    3.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    817
  • Popularity (Last 6 weeks)
    957
  • C2 Score
    95.9
  • 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
    $1,053
  • Avg Win
    $2,783
  • # Winners
    293
  • # Losers
    513
  • % Winners
    36.4%
  • Frequency
  • Avg Position Time (mins)
    43192.90
  • Avg Position Time (hrs)
    719.88
  • Avg Trade Length
    30.0 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28986
  • SD
    0.22404
  • Sharpe ratio (Glass type estimate)
    1.29377
  • Sharpe ratio (Hedges UMVUE)
    1.27697
  • df
    58.00000
  • t
    2.86876
  • p
    0.00287
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37396
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20317
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36302
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19093
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.10934
  • Upside Potential Ratio
    4.53803
  • Upside part of mean
    0.42305
  • Downside part of mean
    -0.13319
  • Upside SD
    0.21830
  • Downside SD
    0.09322
  • N nonnegative terms
    42.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    59.00000
  • Mean of predictor
    0.09980
  • Mean of criterion
    0.28986
  • SD of predictor
    0.09540
  • SD of criterion
    0.22404
  • Covariance
    0.00576
  • r
    0.26944
  • b (slope, estimate of beta)
    0.63279
  • a (intercept, estimate of alpha)
    0.22671
  • Mean Square Error
    0.04737
  • DF error
    57.00000
  • t(b)
    2.11237
  • p(b)
    0.01952
  • t(a)
    2.20952
  • p(a)
    0.01559
  • Lowerbound of 95% confidence interval for beta
    0.03292
  • Upperbound of 95% confidence interval for beta
    1.23266
  • Lowerbound of 95% confidence interval for alpha
    0.02125
  • Upperbound of 95% confidence interval for alpha
    0.43217
  • Treynor index (mean / b)
    0.45807
  • Jensen alpha (a)
    0.22671
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26360
  • SD
    0.21246
  • Sharpe ratio (Glass type estimate)
    1.24074
  • Sharpe ratio (Hedges UMVUE)
    1.22462
  • df
    58.00000
  • t
    2.75116
  • p
    0.00396
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32355
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14792
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13620
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.70397
  • Upside Potential Ratio
    4.11631
  • Upside part of mean
    0.40129
  • Downside part of mean
    -0.13769
  • Upside SD
    0.20164
  • Downside SD
    0.09749
  • N nonnegative terms
    42.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    59.00000
  • Mean of predictor
    0.09488
  • Mean of criterion
    0.26360
  • SD of predictor
    0.09503
  • SD of criterion
    0.21246
  • Covariance
    0.00539
  • r
    0.26708
  • b (slope, estimate of beta)
    0.59707
  • a (intercept, estimate of alpha)
    0.20695
  • Mean Square Error
    0.04265
  • DF error
    57.00000
  • t(b)
    2.09243
  • p(b)
    0.02043
  • t(a)
    2.13361
  • p(a)
    0.01860
  • Lowerbound of 95% confidence interval for beta
    0.02567
  • Upperbound of 95% confidence interval for beta
    1.16848
  • Lowerbound of 95% confidence interval for alpha
    0.01272
  • Upperbound of 95% confidence interval for alpha
    0.40118
  • Treynor index (mean / b)
    0.44149
  • Jensen alpha (a)
    0.20695
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07588
  • Expected Shortfall on VaR
    0.09903
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01692
  • Expected Shortfall on VaR
    0.03919
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    59.00000
  • Minimum
    0.87371
  • Quartile 1
    0.99273
  • Median
    1.01828
  • Quartile 3
    1.04033
  • Maximum
    1.25957
  • Mean of quarter 1
    0.95795
  • Mean of quarter 2
    1.00986
  • Mean of quarter 3
    1.02822
  • Mean of quarter 4
    1.10412
  • Inter Quartile Range
    0.04760
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03390
  • Mean of outliers low
    0.89138
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06780
  • Mean of outliers high
    1.19310
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06203
  • VaR(95%) (moments method)
    0.02622
  • Expected Shortfall (moments method)
    0.03961
  • Extreme Value Index (regression method)
    0.24360
  • VaR(95%) (regression method)
    0.04163
  • Expected Shortfall (regression method)
    0.07546
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00698
  • Quartile 1
    0.02327
  • Median
    0.04025
  • Quartile 3
    0.10238
  • Maximum
    0.14936
  • Mean of quarter 1
    0.01089
  • Mean of quarter 2
    0.03312
  • Mean of quarter 3
    0.06909
  • Mean of quarter 4
    0.13270
  • Inter Quartile Range
    0.07911
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.57723
  • Compounded annual return (geometric extrapolation)
    0.31462
  • Calmar ratio (compounded annual return / max draw down)
    2.10652
  • Compounded annual return / average of 25% largest draw downs
    2.37090
  • Compounded annual return / Expected Shortfall lognormal
    3.17706
  • 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
    0.28597
  • SD
    0.18603
  • Sharpe ratio (Glass type estimate)
    1.53723
  • Sharpe ratio (Hedges UMVUE)
    1.53655
  • df
    1700.00000
  • t
    3.41830
  • p
    0.45869
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65409
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41993
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65363
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41946
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31640
  • Upside Potential Ratio
    9.76138
  • Upside part of mean
    1.20510
  • Downside part of mean
    -0.91913
  • Upside SD
    0.13994
  • Downside SD
    0.12346
  • N nonnegative terms
    831.00000
  • N negative terms
    870.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1701.00000
  • Mean of predictor
    0.10684
  • Mean of criterion
    0.28597
  • SD of predictor
    0.12158
  • SD of criterion
    0.18603
  • Covariance
    0.00408
  • r
    0.18023
  • b (slope, estimate of beta)
    0.27578
  • a (intercept, estimate of alpha)
    0.25700
  • Mean Square Error
    0.03350
  • DF error
    1699.00000
  • t(b)
    7.55241
  • p(b)
    0.38589
  • t(a)
    3.11274
  • p(a)
    0.45211
  • Lowerbound of 95% confidence interval for beta
    0.20416
  • Upperbound of 95% confidence interval for beta
    0.34740
  • Lowerbound of 95% confidence interval for alpha
    0.09488
  • Upperbound of 95% confidence interval for alpha
    0.41814
  • Treynor index (mean / b)
    1.03696
  • Jensen alpha (a)
    0.25651
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26860
  • SD
    0.18576
  • Sharpe ratio (Glass type estimate)
    1.44597
  • Sharpe ratio (Hedges UMVUE)
    1.44534
  • df
    1700.00000
  • t
    3.21539
  • p
    0.46113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56304
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32850
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56259
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32808
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14705
  • Upside Potential Ratio
    9.55589
  • Upside part of mean
    1.19546
  • Downside part of mean
    -0.92686
  • Upside SD
    0.13800
  • Downside SD
    0.12510
  • N nonnegative terms
    831.00000
  • N negative terms
    870.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1701.00000
  • Mean of predictor
    0.09943
  • Mean of criterion
    0.26860
  • SD of predictor
    0.12167
  • SD of criterion
    0.18576
  • Covariance
    0.00407
  • r
    0.18021
  • b (slope, estimate of beta)
    0.27514
  • a (intercept, estimate of alpha)
    0.24124
  • Mean Square Error
    0.03340
  • DF error
    1699.00000
  • t(b)
    7.55172
  • p(b)
    0.38590
  • t(a)
    2.93226
  • p(a)
    0.45486
  • Lowerbound of 95% confidence interval for beta
    0.20368
  • Upperbound of 95% confidence interval for beta
    0.34660
  • Lowerbound of 95% confidence interval for alpha
    0.07988
  • Upperbound of 95% confidence interval for alpha
    0.40261
  • Treynor index (mean / b)
    0.97623
  • Jensen alpha (a)
    0.24124
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01557
  • Expected Shortfall on VaR
    0.01967
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00614
  • Expected Shortfall on VaR
    0.01298
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1701.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99766
  • Median
    1.00000
  • Quartile 3
    1.00462
  • Maximum
    1.09168
  • Mean of quarter 1
    0.98985
  • Mean of quarter 2
    0.99954
  • Mean of quarter 3
    1.00187
  • Mean of quarter 4
    1.01221
  • Inter Quartile Range
    0.00696
  • Number outliers low
    120.00000
  • Percentage of outliers low
    0.07055
  • Mean of outliers low
    0.97916
  • Number of outliers high
    109.00000
  • Percentage of outliers high
    0.06408
  • Mean of outliers high
    1.02341
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40058
  • VaR(95%) (moments method)
    0.00861
  • Expected Shortfall (moments method)
    0.01744
  • Extreme Value Index (regression method)
    0.09346
  • VaR(95%) (regression method)
    0.00941
  • Expected Shortfall (regression method)
    0.01462
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    52.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00309
  • Median
    0.01272
  • Quartile 3
    0.03969
  • Maximum
    0.19455
  • Mean of quarter 1
    0.00094
  • Mean of quarter 2
    0.00865
  • Mean of quarter 3
    0.02131
  • Mean of quarter 4
    0.10315
  • Inter Quartile Range
    0.03660
  • 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
    0.09615
  • Mean of outliers high
    0.15694
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.12248
  • VaR(95%) (moments method)
    0.09652
  • Expected Shortfall (moments method)
    0.10308
  • Extreme Value Index (regression method)
    -0.74284
  • VaR(95%) (regression method)
    0.09857
  • Expected Shortfall (regression method)
    0.10965
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.59951
  • Compounded annual return (geometric extrapolation)
    0.32121
  • Calmar ratio (compounded annual return / max draw down)
    1.65107
  • Compounded annual return / average of 25% largest draw downs
    3.11405
  • Compounded annual return / Expected Shortfall lognormal
    16.32600
  • 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
    0.35235
  • SD
    0.18165
  • Sharpe ratio (Glass type estimate)
    1.93970
  • Sharpe ratio (Hedges UMVUE)
    1.93118
  • df
    171.00000
  • t
    1.37158
  • p
    0.43371
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.71638
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84817
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.71053
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.92481
  • Upside Potential Ratio
    9.88650
  • Upside part of mean
    1.19103
  • Downside part of mean
    -0.83868
  • Upside SD
    0.13658
  • Downside SD
    0.12047
  • N nonnegative terms
    82.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.26511
  • Mean of criterion
    0.35235
  • SD of predictor
    0.07447
  • SD of criterion
    0.18165
  • Covariance
    0.00445
  • r
    0.32894
  • b (slope, estimate of beta)
    0.80239
  • a (intercept, estimate of alpha)
    0.13963
  • Mean Square Error
    0.02960
  • DF error
    170.00000
  • t(b)
    4.54155
  • p(b)
    0.33553
  • t(a)
    0.56352
  • p(a)
    0.47841
  • Lowerbound of 95% confidence interval for beta
    0.45362
  • Upperbound of 95% confidence interval for beta
    1.15115
  • Lowerbound of 95% confidence interval for alpha
    -0.34949
  • Upperbound of 95% confidence interval for alpha
    0.62875
  • Treynor index (mean / b)
    0.43913
  • Jensen alpha (a)
    0.13963
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33576
  • SD
    0.18173
  • Sharpe ratio (Glass type estimate)
    1.84764
  • Sharpe ratio (Hedges UMVUE)
    1.83952
  • df
    171.00000
  • t
    1.30648
  • p
    0.43682
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93372
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62371
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93913
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61817
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.74739
  • Upside Potential Ratio
    9.67022
  • Upside part of mean
    1.18181
  • Downside part of mean
    -0.84605
  • Upside SD
    0.13500
  • Downside SD
    0.12221
  • N nonnegative terms
    82.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.26226
  • Mean of criterion
    0.33576
  • SD of predictor
    0.07422
  • SD of criterion
    0.18173
  • Covariance
    0.00443
  • r
    0.32851
  • b (slope, estimate of beta)
    0.80439
  • a (intercept, estimate of alpha)
    0.12480
  • Mean Square Error
    0.02963
  • DF error
    170.00000
  • t(b)
    4.53500
  • p(b)
    0.33574
  • t(a)
    0.50353
  • p(a)
    0.48070
  • Lowerbound of 95% confidence interval for beta
    0.45425
  • Upperbound of 95% confidence interval for beta
    1.15453
  • Lowerbound of 95% confidence interval for alpha
    -0.36446
  • Upperbound of 95% confidence interval for alpha
    0.61407
  • Treynor index (mean / b)
    0.41741
  • Jensen alpha (a)
    0.12480
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01503
  • Expected Shortfall on VaR
    0.01904
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00566
  • Expected Shortfall on VaR
    0.01217
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.95388
  • Quartile 1
    0.99820
  • Median
    1.00001
  • Quartile 3
    1.00488
  • Maximum
    1.03773
  • Mean of quarter 1
    0.99082
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00171
  • Mean of quarter 4
    1.01219
  • Inter Quartile Range
    0.00668
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.05233
  • Mean of outliers low
    0.97629
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.05814
  • Mean of outliers high
    1.02361
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40540
  • VaR(95%) (moments method)
    0.00704
  • Expected Shortfall (moments method)
    0.01457
  • Extreme Value Index (regression method)
    0.37443
  • VaR(95%) (regression method)
    0.00842
  • Expected Shortfall (regression method)
    0.01719
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00087
  • Median
    0.01091
  • Quartile 3
    0.02918
  • Maximum
    0.07800
  • Mean of quarter 1
    0.00010
  • Mean of quarter 2
    0.00517
  • Mean of quarter 3
    0.01631
  • Mean of quarter 4
    0.06730
  • Inter Quartile Range
    0.02831
  • 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
    0.12500
  • Mean of outliers high
    0.07800
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37739
  • Compounded annual return (geometric extrapolation)
    0.41300
  • Calmar ratio (compounded annual return / max draw down)
    5.29501
  • Compounded annual return / average of 25% largest draw downs
    6.13629
  • Compounded annual return / Expected Shortfall lognormal
    21.68640

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
$25,000
# Trades
806
# Profitable
293
% Profitable
36.4%
Net Dividends
Correlation S&P500
0.180
Sharpe Ratio
1.445

Latest Subscribers

#PERSONNAME#
subscribed on #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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