The Momentum of Now
(75800796)
Subscription terms. Subscriptions to this system cost $50.00 per month.
C2Star
C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.
You can read more about C2Star certification requirements here.
Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2012  +3.8%  +7.5%  +0.9%  +1.6%  (0.5%)  +14.0%  
2013  +13.8%  +0.7%  +9.1%  (1.6%)    (5.5%)  (2.7%)  (2.3%)  +22.0%  +8.2%  +21.0%  (0.5%)  +75.6% 
2014  +10.3%  (2.2%)  (2.2%)  (3%)  +1.4%  (1.2%)  (8.5%)  +4.2%  (0.7%)  +2.8%  +3.2%  +2.5%  +5.4% 
2015  (1.3%)  +7.0%  +4.6%  (5.4%)  +20.4%  +2.7%  +17.4%  (4.1%)  +3.6%  (1.8%)  +2.6%  +1.8%  +54.4% 
2016  (0.2%)  (4.8%)  (5.3%)  +3.8%  (3.9%)  +3.4%  (0.5%)  +0.7%  +1.8%  +0.5%  +9.3%  (2.5%)  +1.2% 
2017  (2%)  +8.6%  +1.0%  +5.4%  +10.4%  (7.3%)  +6.9%  +6.6%  +2.7%  +2.6%  (3.1%)  (1.3%)  +33.2% 
2018  +9.0%  (1.4%)  +1.2%  (2.6%)  +15.6%  (2.2%)  (5.6%)  +7.9%  (5%)  (7.4%)  (0.4%)  +0.5%  +7.4% 
2019    +4.2%  (4%)  +3.2%    +2.2%  +1.4%  (2.7%)  (2.9%)  (0.7%)  +0.3%  +7.1%  +7.7% 
2020  +2.5%  (4.4%)  +5.8%  (2.4%)  (3%)  +4.1%  +3.9%  +6.8%  (8.3%)  (2.3%)    +16.6%  +18.2% 
2021  (4.2%)  +0.3%  +1.1%  +2.3%  +1.6%  +1.4%  (6.9%)  +4.0%  +0.5%  (0.5%) 
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.
Started  $100,000  
Buy Power  $26,773  
Cash  $1  
Equity  $1  
Cumulative $  $541,518  
Includes dividends and cashsettled expirations:  $83,458  Itemized 
Total System Equity  $641,518  
Margined  $1  
Open P/L  $25,544  
Data has been delayed by 24 hours for nonsubscribers 
System developer has asked us to delay this information by 24 hours.
Trading Record
Statistics

Strategy began8/4/2012

Suggested Minimum Cap$35,000

Strategy Age (days)3331.83

Age111 months ago

What it tradesStocks

# Trades2251

# Profitable794

% Profitable35.30%

Avg trade duration22.1 days

Max peaktovalley drawdown24.22%

drawdown periodJan 21, 2014  Aug 04, 2014

Annual Return (Compounded)21.6%

Avg win$2,565

Avg loss$1,088
 Model Account Values (Raw)

Cash$243,838

Margin Used$240,656

Buying Power$26,773
 Ratios

W:L ratio1.40:1

Sharpe Ratio0.9

Sortino Ratio1.29

Calmar Ratio1.153
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)279.18%

Correlation to SP5000.13280

Return Percent SP500 (cumu) during strategy life218.69%
 Return Statistics

Ann Return (w trading costs)21.6%
 Slump

Current Slump as Pcnt Equity3.90%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.08%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.216%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)22.6%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss54.00%

Chance of 20% account loss23.50%

Chance of 30% account loss9.50%

Chance of 40% account loss3.50%

Chance of 60% account loss (Monte Carlo)n/a

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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account loss0.50%
 Popularity

Popularity (Today)851

Popularity (Last 6 weeks)956
 Trading Style

Any stock shorts? 0/11
 Popularity

C2 Score949

Popularity (7 days, Percentile 1000 scale)903
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$1,089

Avg Win$2,575

Sum Trade PL (losers)$1,586,310.000
 AUM

AUM (AutoTrader num accounts)1
 Age

Num Months filled monthly returns table110
 Win / Loss

Sum Trade PL (winners)$2,044,370.000

# Winners794

Num Months Winners64
 Dividends

Dividends Received in Model Acct83459
 AUM

AUM (AutoTrader live capital)48570
 Win / Loss

# Losers1457

% Winners35.3%
 Frequency

Avg Position Time (mins)14578.20

Avg Position Time (hrs)242.97

Avg Trade Length10.1 days

Last Trade Ago1
 Leverage

Daily leverage (average)1.61

Daily leverage (max)3.69
 Regression

Alpha0.05

Beta0.14

Treynor Index0.37
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  Winning Trades  this strat Percentile of All Strats44.65

MAE:PL  worst single value for strategy

MAE:PL  Losing Trades  this strat Percentile of All Strats17.95

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.72

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades8.276

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.197

Avg(MAE) / Avg(PL)  Losing trades1.178

HoldandHope Ratio0.124
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.20261

SD0.22377

Sharpe ratio (Glass type estimate)0.90545

Sharpe ratio (Hedges UMVUE)0.89909

df107.00000

t2.71635

p0.34006

Lowerbound of 95% confidence interval for Sharpe Ratio0.23896

Upperbound of 95% confidence interval for Sharpe Ratio1.56787

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.23476

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.56342
 Statistics related to Sortino ratio

Sortino ratio1.96755

Upside Potential Ratio3.76548

Upside part of mean0.38775

Downside part of mean0.18514

Upside SD0.20597

Downside SD0.10298

N nonnegative terms61.00000

N negative terms47.00000
 Statistics related to linear regression on benchmark

N of observations108.00000

Mean of predictor0.11505

Mean of criterion0.20261

SD of predictor0.15111

SD of criterion0.22377

Covariance0.00286

r0.08452

b (slope, estimate of beta)0.12515

a (intercept, estimate of alpha)0.18821

Mean Square Error0.05018

DF error106.00000

t(b)0.87330

p(b)0.45774

t(a)2.46122

p(a)0.38375

Lowerbound of 95% confidence interval for beta0.15898

Upperbound of 95% confidence interval for beta0.40929

Lowerbound of 95% confidence interval for alpha0.03660

Upperbound of 95% confidence interval for alpha0.33982

Treynor index (mean / b)1.61887

Jensen alpha (a)0.18821
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.17750

SD0.21337

Sharpe ratio (Glass type estimate)0.83187

Sharpe ratio (Hedges UMVUE)0.82603

df107.00000

t2.49561

p0.35207

Lowerbound of 95% confidence interval for Sharpe Ratio0.16727

Upperbound of 95% confidence interval for Sharpe Ratio1.49273

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.16340

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.48866
 Statistics related to Sortino ratio

Sortino ratio1.66078

Upside Potential Ratio3.44113

Upside part of mean0.36777

Downside part of mean0.19028

Upside SD0.19055

Downside SD0.10688

N nonnegative terms61.00000

N negative terms47.00000
 Statistics related to linear regression on benchmark

N of observations108.00000

Mean of predictor0.10278

Mean of criterion0.17750

SD of predictor0.15366

SD of criterion0.21337

Covariance0.00292

r0.08921

b (slope, estimate of beta)0.12388

a (intercept, estimate of alpha)0.16476

Mean Square Error0.04559

DF error106.00000

t(b)0.92215

p(b)0.45539

t(a)2.27262

p(a)0.39223

Lowerbound of 95% confidence interval for beta0.14245

Upperbound of 95% confidence interval for beta0.39021

Lowerbound of 95% confidence interval for alpha0.02103

Upperbound of 95% confidence interval for alpha0.30850

Treynor index (mean / b)1.43286

Jensen alpha (a)0.16476
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08289

Expected Shortfall on VaR0.10596
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03277

Expected Shortfall on VaR0.06332
 ORDER STATISTICS
 Quartiles of return rates

Number of observations108.00000

Minimum0.89129

Quartile 10.97818

Median1.01599

Quartile 31.04668

Maximum1.27878

Mean of quarter 10.95112

Mean of quarter 20.99329

Mean of quarter 31.03230

Mean of quarter 41.10014

Inter Quartile Range0.06850

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high5.00000

Percentage of outliers high0.04630

Mean of outliers high1.20712
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.26816

VaR(95%) (moments method)0.05151

Expected Shortfall (moments method)0.08296

Extreme Value Index (regression method)0.00465

VaR(95%) (regression method)0.04894

Expected Shortfall (regression method)0.06592
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations16.00000

Minimum0.00377

Quartile 10.02072

Median0.05293

Quartile 30.11847

Maximum0.16901

Mean of quarter 10.01205

Mean of quarter 20.03256

Mean of quarter 30.08621

Mean of quarter 40.14469

Inter Quartile Range0.09775

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.14467

VaR(95%) (moments method)0.15319

Expected Shortfall (moments method)0.16601

Extreme Value Index (regression method)0.89252

VaR(95%) (regression method)0.15795

Expected Shortfall (regression method)0.44758
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.59457

Compounded annual return (geometric extrapolation)0.22802

Calmar ratio (compounded annual return / max draw down)1.34917

Compounded annual return / average of 25% largest draw downs1.57592

Compounded annual return / Expected Shortfall lognormal2.15200

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.19213

SD0.16852

Sharpe ratio (Glass type estimate)1.14012

Sharpe ratio (Hedges UMVUE)1.13976

df2365.00000

t3.42617

p0.00031

Lowerbound of 95% confidence interval for Sharpe Ratio0.48699

Upperbound of 95% confidence interval for Sharpe Ratio1.79304

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.48674

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.79279
 Statistics related to Sortino ratio

Sortino ratio1.65227

Upside Potential Ratio8.82360

Upside part of mean1.02605

Downside part of mean0.83391

Upside SD0.12250

Downside SD0.11628

N nonnegative terms1308.00000

N negative terms1058.00000
 Statistics related to linear regression on benchmark

N of observations2366.00000

Mean of predictor0.11415

Mean of criterion0.19213

SD of predictor0.16655

SD of criterion0.16852

Covariance0.00366

r0.13041

b (slope, estimate of beta)0.13195

a (intercept, estimate of alpha)0.17700

Mean Square Error0.02793

DF error2364.00000

t(b)6.39522

p(b)0.00000

t(a)3.18124

p(a)0.00074

Lowerbound of 95% confidence interval for beta0.09149

Upperbound of 95% confidence interval for beta0.17241

Lowerbound of 95% confidence interval for alpha0.06792

Upperbound of 95% confidence interval for alpha0.28622

Treynor index (mean / b)1.45612

Jensen alpha (a)0.17707
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.17784

SD0.16867

Sharpe ratio (Glass type estimate)1.05437

Sharpe ratio (Hedges UMVUE)1.05403

df2365.00000

t3.16846

p0.00078

Lowerbound of 95% confidence interval for Sharpe Ratio0.40135

Upperbound of 95% confidence interval for Sharpe Ratio1.70717

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.40113

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.70694
 Statistics related to Sortino ratio

Sortino ratio1.50978

Upside Potential Ratio8.64691

Upside part of mean1.01854

Downside part of mean0.84070

Upside SD0.12118

Downside SD0.11779

N nonnegative terms1308.00000

N negative terms1058.00000
 Statistics related to linear regression on benchmark

N of observations2366.00000

Mean of predictor0.10018

Mean of criterion0.17784

SD of predictor0.16725

SD of criterion0.16867

Covariance0.00368

r0.13058

b (slope, estimate of beta)0.13169

a (intercept, estimate of alpha)0.16465

Mean Square Error0.02798

DF error2364.00000

t(b)6.40383

p(b)0.00000

t(a)2.95609

p(a)0.00157

Lowerbound of 95% confidence interval for beta0.09137

Upperbound of 95% confidence interval for beta0.17202

Lowerbound of 95% confidence interval for alpha0.05543

Upperbound of 95% confidence interval for alpha0.27387

Treynor index (mean / b)1.35043

Jensen alpha (a)0.16465
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01633

Expected Shortfall on VaR0.02059
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00675

Expected Shortfall on VaR0.01404
 ORDER STATISTICS
 Quartiles of return rates

Number of observations2366.00000

Minimum0.93891

Quartile 10.99642

Median1.00085

Quartile 31.00542

Maximum1.05556

Mean of quarter 10.98865

Mean of quarter 20.99892

Mean of quarter 31.00285

Mean of quarter 41.01294

Inter Quartile Range0.00900

Number outliers low105.00000

Percentage of outliers low0.04438

Mean of outliers low0.97398

Number of outliers high97.00000

Percentage of outliers high0.04100

Mean of outliers high1.02650
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.34356

VaR(95%) (moments method)0.01081

Expected Shortfall (moments method)0.01971

Extreme Value Index (regression method)0.14473

VaR(95%) (regression method)0.01046

Expected Shortfall (regression method)0.01605
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations71.00000

Minimum0.00007

Quartile 10.00388

Median0.01487

Quartile 30.05587

Maximum0.19820

Mean of quarter 10.00186

Mean of quarter 20.00921

Mean of quarter 30.02871

Mean of quarter 40.11060

Inter Quartile Range0.05199

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high5.00000

Percentage of outliers high0.07042

Mean of outliers high0.17645
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.28069

VaR(95%) (moments method)0.11415

Expected Shortfall (moments method)0.13697

Extreme Value Index (regression method)0.35910

VaR(95%) (regression method)0.10003

Expected Shortfall (regression method)0.11468
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.59919

Compounded annual return (geometric extrapolation)0.22844

Calmar ratio (compounded annual return / max draw down)1.15259

Compounded annual return / average of 25% largest draw downs2.06553

Compounded annual return / Expected Shortfall lognormal11.09310

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

Mean0.03807

SD0.08795

Sharpe ratio (Glass type estimate)0.43285

Sharpe ratio (Hedges UMVUE)0.43035

df130.00000

t0.30607

p0.48658

Lowerbound of 95% confidence interval for Sharpe Ratio2.34018

Upperbound of 95% confidence interval for Sharpe Ratio3.20443

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.34195

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.20265
 Statistics related to Sortino ratio

Sortino ratio0.65847

Upside Potential Ratio8.43722

Upside part of mean0.48780

Downside part of mean0.44973

Upside SD0.06587

Downside SD0.05782

N nonnegative terms69.00000

N negative terms62.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.22602

Mean of criterion0.03807

SD of predictor0.10557

SD of criterion0.08795

Covariance0.00044

r0.04778

b (slope, estimate of beta)0.03981

a (intercept, estimate of alpha)0.02907

Mean Square Error0.00778

DF error129.00000

t(b)0.54334

p(b)0.46959

t(a)0.23107

p(a)0.48705

Lowerbound of 95% confidence interval for beta0.10515

Upperbound of 95% confidence interval for beta0.18477

Lowerbound of 95% confidence interval for alpha0.21986

Upperbound of 95% confidence interval for alpha0.27800

Treynor index (mean / b)0.95629

Jensen alpha (a)0.02907
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03424

SD0.08768

Sharpe ratio (Glass type estimate)0.39055

Sharpe ratio (Hedges UMVUE)0.38829

df130.00000

t0.27616

p0.48789

Lowerbound of 95% confidence interval for Sharpe Ratio2.38239

Upperbound of 95% confidence interval for Sharpe Ratio3.16204

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.38391

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.16050
 Statistics related to Sortino ratio

Sortino ratio0.58942

Upside Potential Ratio8.35898

Upside part of mean0.48561

Downside part of mean0.45137

Upside SD0.06525

Downside SD0.05809

N nonnegative terms69.00000

N negative terms62.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.22038

Mean of criterion0.03424

SD of predictor0.10552

SD of criterion0.08768

Covariance0.00045

r0.04898

b (slope, estimate of beta)0.04070

a (intercept, estimate of alpha)0.02527

Mean Square Error0.00773

DF error129.00000

t(b)0.55702

p(b)0.46883

t(a)0.20160

p(a)0.48870

VAR (95 Confidence Intrvl)0.01600

Lowerbound of 95% confidence interval for beta0.10386

Upperbound of 95% confidence interval for beta0.18526

Lowerbound of 95% confidence interval for alpha0.22276

Upperbound of 95% confidence interval for alpha0.27330

Treynor index (mean / b)0.84134

Jensen alpha (a)0.02527
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00874

Expected Shortfall on VaR0.01098
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00381

Expected Shortfall on VaR0.00758
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.98536

Quartile 10.99817

Median1.00049

Quartile 31.00280

Maximum1.03198

Mean of quarter 10.99395

Mean of quarter 20.99948

Mean of quarter 31.00142

Mean of quarter 41.00619

Inter Quartile Range0.00463

Number outliers low7.00000

Percentage of outliers low0.05344

Mean of outliers low0.98827

Number of outliers high3.00000

Percentage of outliers high0.02290

Mean of outliers high1.01922
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.11262

VaR(95%) (moments method)0.00522

Expected Shortfall (moments method)0.00686

Extreme Value Index (regression method)0.20441

VaR(95%) (regression method)0.00661

Expected Shortfall (regression method)0.00860
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations7.00000

Minimum0.00013

Quartile 10.00068

Median0.00142

Quartile 30.00550

Maximum0.07765

Mean of quarter 10.00028

Mean of quarter 20.00117

Mean of quarter 30.00513

Mean of quarter 40.04176

Inter Quartile Range0.00482

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.14286

Mean of outliers high0.07765
 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 Negative0.25%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?388528000

Max Equity Drawdown (num days)195
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.06312

Compounded annual return (geometric extrapolation)0.06412

Calmar ratio (compounded annual return / max draw down)0.82573

Compounded annual return / average of 25% largest draw downs1.53560

Compounded annual return / Expected Shortfall lognormal5.84005
Strategy Description
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.
For more information on my trading style, please visit Twitter.com/ChartingTrends
Frequently asked questions:
Does this system need to be autotraded?
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. The system is more likely to struggle during a choppy, range bound market.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
If you designate your strategy as Private, it will no longer be visible to the public.
No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.
Continue to designate your strategy as Private?
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
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.