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The Spirit of Nicolas Darvas.
(81877382)

Created by: Danny Danny
Started: 07/2013
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 $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.

27.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(29.2%)
Max Drawdown
1694
Num Trades
35.3%
Win Trades
1.5 : 1
Profit Factor
58.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                          +11.4%(2.7%)+18.0%+7.5%+1.9%+1.6%+42.4%
2014+17.4%(2.1%)+0.8%(2.2%)+0.7%+6.0%(6.4%)+5.0%(7.7%)(3.2%)+3.3%+2.9%+13.0%
2015(4.3%)(0.1%)(9%)+2.3%+14.2%+14.2%+16.2%(6.9%)+7.4%(4.7%)(1.2%)+0.9%+28.1%
2016+2.1%(0.3%)(0.3%)(1.6%)(2.3%)(2.6%)+7.4%(2.2%)(2.2%)+2.0%+32.1%(7.6%)+21.5%
2017+4.8%+12.0%+2.1%+1.2%+6.6%(2.9%)+1.7%+9.4%+5.4%+3.9%+4.6%+5.3%+68.5%
2018+8.4%(0.1%)+0.9%(0.3%)+10.4%+3.4%(1.9%)+8.2%+2.6%(10.3%)(1.4%)+1.3%+21.3%
2019(0.4%)+4.1%(0.8%)(2.3%)+1.5%+0.9%+3.5%+3.8%(6.2%)(1.4%)(1.1%)+3.9%+5.1%
2020+0.6%(2.7%)+4.4%(5.3%)                                                (3.3%)

Model Account Details

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

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 3,275 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/6/20 9:30 LAKE LAKELAND INDUSTRIES LONG 420 17.47 4/8 9:30 15.15 0.21%
Trade id #128430392
Max drawdown($1,121)
Time4/7/20 0:00
Quant open420
Worst price14.80
Drawdown as % of equity-0.21%
($983)
Includes Typical Broker Commissions trade costs of $8.40
2/20/20 9:30 STAY EXTENDED STAY AMERICA INC. PAIRED SHARES SHORT 2,222 12.87 4/8 9:30 8.10 n/a $10,592
Includes Typical Broker Commissions trade costs of $5.00
3/27/20 9:30 UGAZ VELOCITYSHARES 3X LONG NATURAL SHORT 341 25.88 4/8 9:30 34.45 0.62%
Trade id #128283736
Max drawdown($3,314)
Time4/7/20 0:00
Quant open341
Worst price35.60
Drawdown as % of equity-0.62%
($2,929)
Includes Typical Broker Commissions trade costs of $6.82
4/2/20 9:30 FTCH FARFETCH LTD SHORT 557 7.01 4/7 9:30 8.76 0.19%
Trade id #128375627
Max drawdown($1,005)
Time4/7/20 9:30
Quant open557
Worst price8.82
Drawdown as % of equity-0.19%
($977)
Includes Typical Broker Commissions trade costs of $5.00
3/31/20 9:30 BOOM DMC GLOBAL INC. COMMON STOCK SHORT 215 21.57 4/7 9:30 26.29 0.16%
Trade id #128336121
Max drawdown($890)
Time4/6/20 0:00
Quant open215
Worst price25.71
Drawdown as % of equity-0.16%
($1,019)
Includes Typical Broker Commissions trade costs of $4.30
3/31/20 9:30 DOCU DOCUSIGN INC. COMMON STOCK LONG 86 88.00 4/6 9:30 81.63 0.15%
Trade id #128336135
Max drawdown($798)
Time4/3/20 0:00
Quant open86
Worst price78.72
Drawdown as % of equity-0.15%
($550)
Includes Typical Broker Commissions trade costs of $1.72
3/27/20 9:30 USO UNITED STATES OIL SHORT 2,750 4.51 4/6 9:30 5.62 0.76%
Trade id #128283731
Max drawdown($4,152)
Time4/3/20 0:00
Quant open2,750
Worst price6.02
Drawdown as % of equity-0.76%
($3,058)
Includes Typical Broker Commissions trade costs of $5.00
3/16/20 9:45 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 59 105.00 4/3 9:30 124.01 0.03%
Trade id #128062225
Max drawdown($177)
Time3/17/20 0:00
Quant open59
Worst price102.00
Drawdown as % of equity-0.03%
$1,121
Includes Typical Broker Commissions trade costs of $1.18
4/1/20 9:30 GSX GSX TECHEDU INC LONG 195 42.36 4/3 9:30 37.56 0.27%
Trade id #128357269
Max drawdown($1,513)
Time4/2/20 0:00
Quant open195
Worst price34.60
Drawdown as % of equity-0.27%
($940)
Includes Typical Broker Commissions trade costs of $3.90
3/2/20 9:30 BPT BP PRUDHOE BAY SHORT 1,888 6.37 3/27 9:30 5.27 0.21%
Trade id #127802293
Max drawdown($1,096)
Time3/3/20 0:00
Quant open1,888
Worst price6.95
Drawdown as % of equity-0.21%
$2,075
Includes Typical Broker Commissions trade costs of $5.00
3/17/20 9:30 ANAB ANAPTYSBIO INC. COMMON STOCK SHORT 387 13.17 3/27 9:30 14.21 0.14%
Trade id #128084302
Max drawdown($739)
Time3/26/20 0:00
Quant open387
Worst price15.08
Drawdown as % of equity-0.14%
($410)
Includes Typical Broker Commissions trade costs of $7.74
3/17/20 9:30 AHPI ALLIED HEALTHCARE PRODUCT LONG 116 14.09 3/26 9:30 13.85 0.03%
Trade id #128084242
Max drawdown($184)
Time3/25/20 0:00
Quant open116
Worst price12.50
Drawdown as % of equity-0.03%
($30)
Includes Typical Broker Commissions trade costs of $2.32
3/11/20 9:30 PAM PAMPA ENERGIA SHORT 621 11.39 3/26 9:30 11.94 0.07%
Trade id #127970984
Max drawdown($360)
Time3/25/20 0:00
Quant open621
Worst price11.97
Drawdown as % of equity-0.07%
($347)
Includes Typical Broker Commissions trade costs of $5.00
3/20/20 9:30 SPY SPDR S&P 500 LONG 74 242.59 3/23 9:30 226.65 0.2%
Trade id #128157544
Max drawdown($1,079)
Time3/23/20 9:30
Quant open74
Worst price228.00
Drawdown as % of equity-0.20%
($1,180)
Includes Typical Broker Commissions trade costs of $1.48
3/20/20 9:30 GSX GSX TECHEDU INC LONG 166 41.88 3/23 9:30 39.49 0.08%
Trade id #128157548
Max drawdown($428)
Time3/20/20 15:05
Quant open166
Worst price39.30
Drawdown as % of equity-0.08%
($400)
Includes Typical Broker Commissions trade costs of $3.32
1/16/20 9:30 TMV DIREXION DAILY 20+ YR TRSY BEA SHORT 6,498 9.85 3/19 9:30 7.83 0.14%
Trade id #127035234
Max drawdown($814)
Time1/17/20 0:00
Quant open1,771
Worst price11.35
Drawdown as % of equity-0.14%
$13,091
Includes Typical Broker Commissions trade costs of $12.50
3/18/20 11:12 PTLC PACER TRENDPIOLT 750 ETF LONG 12,136 27.02 3/18 13:11 26.61 0.31%
Trade id #128113585
Max drawdown($1,746)
Time3/18/20 11:57
Quant open12,136
Worst price26.88
Drawdown as % of equity-0.31%
($4,996)
Includes Typical Broker Commissions trade costs of $5.00
3/12/20 9:30 IAU ISHARES GOLD TRUST LONG 2,060 15.40 3/13 9:30 15.16 0.38%
Trade id #128000886
Max drawdown($2,121)
Time3/13/20 0:00
Quant open2,060
Worst price14.37
Drawdown as % of equity-0.38%
($499)
Includes Typical Broker Commissions trade costs of $5.00
3/11/20 9:32 DG DOLLAR GENERAL LONG 103 162.58 3/12 9:30 152.01 0.42%
Trade id #127971239
Max drawdown($2,310)
Time3/12/20 0:00
Quant open103
Worst price140.15
Drawdown as % of equity-0.42%
($1,091)
Includes Typical Broker Commissions trade costs of $2.06
3/6/20 9:30 MINT PIMCO ENHANCED SHORT MATURITY LONG 1,474 101.74 3/12 9:30 100.77 0.61%
Trade id #127887416
Max drawdown($3,331)
Time3/9/20 0:00
Quant open1,474
Worst price99.48
Drawdown as % of equity-0.61%
($1,435)
Includes Typical Broker Commissions trade costs of $5.00
2/27/20 9:30 FTSM FIRST TRUST EXCHANGE-TRADED FU LONG 5,018 60.20 3/12 9:30 60.00 2.01%
Trade id #127739994
Max drawdown($11,014)
Time3/9/20 0:00
Quant open5,018
Worst price58.00
Drawdown as % of equity-2.01%
($987)
Includes Typical Broker Commissions trade costs of $7.50
2/27/20 9:30 UGAZ VELOCITYSHARES 3X LONG NATURAL SHORT 256 34.56 3/11 9:30 47.39 0.6%
Trade id #127740067
Max drawdown($3,281)
Time3/11/20 9:30
Quant open256
Worst price47.38
Drawdown as % of equity-0.60%
($3,289)
Includes Typical Broker Commissions trade costs of $5.12
3/2/20 9:30 DXCM DEXCOM LONG 37 278.10 3/10 9:30 270.86 0.12%
Trade id #127802320
Max drawdown($669)
Time3/9/20 0:00
Quant open37
Worst price260.00
Drawdown as % of equity-0.12%
($269)
Includes Typical Broker Commissions trade costs of $0.74
3/9/20 9:30 MRNA MODERNA INC. COMMON STOCK LONG 189 30.00 3/10 9:30 25.71 0.3%
Trade id #127916564
Max drawdown($1,648)
Time3/10/20 0:00
Quant open189
Worst price21.28
Drawdown as % of equity-0.30%
($815)
Includes Typical Broker Commissions trade costs of $3.78
3/2/20 9:30 KOD KODIAK SCIENCES LTD LONG 106 64.90 3/10 9:30 62.36 0.14%
Trade id #127802323
Max drawdown($757)
Time3/9/20 0:00
Quant open106
Worst price57.75
Drawdown as % of equity-0.14%
($271)
Includes Typical Broker Commissions trade costs of $2.12
2/6/20 9:30 BTAI BIOXCEL THERAPEUTICS INC. COMMON STOCK LONG 344 20.65 3/10 9:30 33.95 0.15%
Trade id #127391610
Max drawdown($825)
Time2/12/20 0:00
Quant open344
Worst price18.25
Drawdown as % of equity-0.15%
$4,568
Includes Typical Broker Commissions trade costs of $6.88
2/10/20 9:30 FTSV FORTY SEVEN INC. COMMON STOCK LONG 178 43.33 3/3 9:30 93.89 0.07%
Trade id #127435696
Max drawdown($411)
Time2/11/20 0:00
Quant open178
Worst price41.02
Drawdown as % of equity-0.07%
$8,996
Includes Typical Broker Commissions trade costs of $3.56
2/21/20 9:30 SPPP SPROTT PHYSICAL PLATINUM AND P LONG 1,227 18.35 3/2 9:30 16.37 0.53%
Trade id #127635710
Max drawdown($2,858)
Time2/28/20 0:00
Quant open1,227
Worst price16.02
Drawdown as % of equity-0.53%
($2,435)
Includes Typical Broker Commissions trade costs of $5.00
12/30/19 9:30 NEA NUVEEN AMT FREE MUNI INCOME FD LONG 9,333 14.32 3/2/20 9:30 14.61 0.05%
Trade id #126787994
Max drawdown($279)
Time12/30/19 13:50
Quant open9,333
Worst price14.29
Drawdown as % of equity-0.05%
$2,701
Includes Typical Broker Commissions trade costs of $7.50
1/16/20 9:30 SWCH SWITCH INC LONG 1,416 16.18 2/28 9:36 15.06 0.09%
Trade id #127035224
Max drawdown($481)
Time1/27/20 0:00
Quant open1,416
Worst price15.84
Drawdown as % of equity-0.09%
($1,586)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2468.6
  • Age
    82 months ago
  • What it trades
    Stocks
  • # Trades
    1694
  • # Profitable
    598
  • % Profitable
    35.30%
  • Avg trade duration
    27.5 days
  • Max peak-to-valley drawdown
    29.2%
  • drawdown period
    Sept 09, 2014 - March 26, 2015
  • Annual Return (Compounded)
    27.6%
  • Avg win
    $2,516
  • Avg loss
    $1,003
  • Model Account Values (Raw)
  • Cash
    $175,671
  • Margin Used
    $113,078
  • Buying Power
    $61,531
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0.91
  • Sortino Ratio
    1.35
  • Calmar Ratio
    1.32
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    348.97%
  • Correlation to SP500
    0.08460
  • Return Percent SP500 (cumu) during strategy life
    70.96%
  • Return Statistics
  • Ann Return (w trading costs)
    27.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.13%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.276%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    28.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    52.50%
  • Chance of 20% account loss
    26.50%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    2.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    870
  • Popularity (Last 6 weeks)
    976
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    221
  • Popularity (7 days, Percentile 1000 scale)
    940
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,004
  • Avg Win
    $2,517
  • Sum Trade PL (losers)
    $1,099,880.000
  • AUM
  • AUM (AutoTrader num accounts)
    8
  • Age
  • Num Months filled monthly returns table
    82
  • Win / Loss
  • Sum Trade PL (winners)
    $1,504,910.000
  • # Winners
    598
  • Num Months Winners
    48
  • Dividends
  • Dividends Received in Model Acct
    44086
  • AUM
  • AUM (AutoTrader live capital)
    686610
  • Win / Loss
  • # Losers
    1096
  • % Winners
    35.3%
  • Frequency
  • Avg Position Time (mins)
    39626.10
  • Avg Position Time (hrs)
    660.43
  • Avg Trade Length
    27.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.59
  • Daily leverage (max)
    4.08
  • Regression
  • Alpha
    0.07
  • Beta
    0.11
  • Treynor Index
    0.60
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.36
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.72
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.72
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    5.235
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.189
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.255
  • Hold-and-Hope Ratio
    0.193
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25452
  • SD
    0.21031
  • Sharpe ratio (Glass type estimate)
    1.21017
  • Sharpe ratio (Hedges UMVUE)
    1.19864
  • df
    79.00000
  • t
    3.12464
  • p
    0.00124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42445
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98868
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41688
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98040
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61097
  • Upside Potential Ratio
    4.08788
  • Upside part of mean
    0.39848
  • Downside part of mean
    -0.14397
  • Upside SD
    0.19894
  • Downside SD
    0.09748
  • N nonnegative terms
    51.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.05373
  • Mean of criterion
    0.25452
  • SD of predictor
    0.13375
  • SD of criterion
    0.21031
  • Covariance
    0.00698
  • r
    0.24802
  • b (slope, estimate of beta)
    0.39000
  • a (intercept, estimate of alpha)
    0.23356
  • Mean Square Error
    0.04204
  • DF error
    78.00000
  • t(b)
    2.26107
  • p(b)
    0.01327
  • t(a)
    2.92122
  • p(a)
    0.00228
  • Lowerbound of 95% confidence interval for beta
    0.04661
  • Upperbound of 95% confidence interval for beta
    0.73340
  • Lowerbound of 95% confidence interval for alpha
    0.07439
  • Upperbound of 95% confidence interval for alpha
    0.39273
  • Treynor index (mean / b)
    0.65260
  • Jensen alpha (a)
    0.23356
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23083
  • SD
    0.20265
  • Sharpe ratio (Glass type estimate)
    1.13910
  • Sharpe ratio (Hedges UMVUE)
    1.12825
  • df
    79.00000
  • t
    2.94113
  • p
    0.00214
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35616
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91521
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34904
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90746
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25963
  • Upside Potential Ratio
    3.71509
  • Upside part of mean
    0.37952
  • Downside part of mean
    -0.14868
  • Upside SD
    0.18590
  • Downside SD
    0.10215
  • N nonnegative terms
    51.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.04456
  • Mean of criterion
    0.23083
  • SD of predictor
    0.13533
  • SD of criterion
    0.20265
  • Covariance
    0.00704
  • r
    0.25657
  • b (slope, estimate of beta)
    0.38420
  • a (intercept, estimate of alpha)
    0.21371
  • Mean Square Error
    0.03885
  • DF error
    78.00000
  • t(b)
    2.34447
  • p(b)
    0.01080
  • t(a)
    2.78669
  • p(a)
    0.00334
  • Lowerbound of 95% confidence interval for beta
    0.05795
  • Upperbound of 95% confidence interval for beta
    0.71045
  • Lowerbound of 95% confidence interval for alpha
    0.06103
  • Upperbound of 95% confidence interval for alpha
    0.36639
  • Treynor index (mean / b)
    0.60082
  • Jensen alpha (a)
    0.21371
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07410
  • Expected Shortfall on VaR
    0.09624
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02188
  • Expected Shortfall on VaR
    0.04780
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    80.00000
  • Minimum
    0.86117
  • Quartile 1
    0.99238
  • Median
    1.01820
  • Quartile 3
    1.05046
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95694
  • Mean of quarter 2
    1.00351
  • Mean of quarter 3
    1.03287
  • Mean of quarter 4
    1.10083
  • Inter Quartile Range
    0.05809
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03750
  • Mean of outliers low
    0.88917
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05000
  • Mean of outliers high
    1.18775
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.64206
  • VaR(95%) (moments method)
    0.02679
  • Expected Shortfall (moments method)
    0.03114
  • Extreme Value Index (regression method)
    -0.02281
  • VaR(95%) (regression method)
    0.04245
  • Expected Shortfall (regression method)
    0.06335
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00618
  • Quartile 1
    0.02264
  • Median
    0.03903
  • Quartile 3
    0.08566
  • Maximum
    0.19334
  • Mean of quarter 1
    0.00980
  • Mean of quarter 2
    0.02895
  • Mean of quarter 3
    0.06160
  • Mean of quarter 4
    0.13882
  • Inter Quartile Range
    0.06302
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.19334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.04987
  • VaR(95%) (moments method)
    0.15128
  • Expected Shortfall (moments method)
    0.19022
  • Extreme Value Index (regression method)
    2.47624
  • VaR(95%) (regression method)
    0.19781
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.69183
  • Compounded annual return (geometric extrapolation)
    0.29530
  • Calmar ratio (compounded annual return / max draw down)
    1.52733
  • Compounded annual return / average of 25% largest draw downs
    2.12715
  • Compounded annual return / Expected Shortfall lognormal
    3.06820
  • 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
    0.24943
  • SD
    0.21116
  • Sharpe ratio (Glass type estimate)
    1.18124
  • Sharpe ratio (Hedges UMVUE)
    1.18074
  • df
    1749.00000
  • t
    3.05286
  • p
    0.45369
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42172
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94047
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94011
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73435
  • Upside Potential Ratio
    8.59411
  • Upside part of mean
    1.23599
  • Downside part of mean
    -0.98656
  • Upside SD
    0.15530
  • Downside SD
    0.14382
  • N nonnegative terms
    976.00000
  • N negative terms
    774.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1750.00000
  • Mean of predictor
    0.06632
  • Mean of criterion
    0.24943
  • SD of predictor
    0.17112
  • SD of criterion
    0.21116
  • Covariance
    0.00331
  • r
    0.09169
  • b (slope, estimate of beta)
    0.11315
  • a (intercept, estimate of alpha)
    0.24200
  • Mean Square Error
    0.04424
  • DF error
    1748.00000
  • t(b)
    3.84977
  • p(b)
    0.45415
  • t(a)
    2.97184
  • p(a)
    0.46455
  • Lowerbound of 95% confidence interval for beta
    0.05550
  • Upperbound of 95% confidence interval for beta
    0.17079
  • Lowerbound of 95% confidence interval for alpha
    0.08226
  • Upperbound of 95% confidence interval for alpha
    0.40159
  • Treynor index (mean / b)
    2.20447
  • Jensen alpha (a)
    0.24193
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22701
  • SD
    0.21126
  • Sharpe ratio (Glass type estimate)
    1.07456
  • Sharpe ratio (Hedges UMVUE)
    1.07410
  • df
    1749.00000
  • t
    2.77714
  • p
    0.45785
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31521
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83362
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31489
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83330
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.54874
  • Upside Potential Ratio
    8.35103
  • Upside part of mean
    1.22407
  • Downside part of mean
    -0.99706
  • Upside SD
    0.15270
  • Downside SD
    0.14658
  • N nonnegative terms
    976.00000
  • N negative terms
    774.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1750.00000
  • Mean of predictor
    0.05159
  • Mean of criterion
    0.22701
  • SD of predictor
    0.17191
  • SD of criterion
    0.21126
  • Covariance
    0.00333
  • r
    0.09174
  • b (slope, estimate of beta)
    0.11274
  • a (intercept, estimate of alpha)
    0.22119
  • Mean Square Error
    0.04428
  • DF error
    1748.00000
  • t(b)
    3.85190
  • p(b)
    0.45413
  • t(a)
    2.71620
  • p(a)
    0.46758
  • Lowerbound of 95% confidence interval for beta
    0.05534
  • Upperbound of 95% confidence interval for beta
    0.17015
  • Lowerbound of 95% confidence interval for alpha
    0.06147
  • Upperbound of 95% confidence interval for alpha
    0.38091
  • Treynor index (mean / b)
    2.01352
  • Jensen alpha (a)
    0.22119
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02039
  • Expected Shortfall on VaR
    0.02571
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00789
  • Expected Shortfall on VaR
    0.01671
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1750.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99595
  • Median
    1.00089
  • Quartile 3
    1.00646
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98641
  • Mean of quarter 2
    0.99884
  • Mean of quarter 3
    1.00339
  • Mean of quarter 4
    1.01560
  • Inter Quartile Range
    0.01051
  • Number outliers low
    74.00000
  • Percentage of outliers low
    0.04229
  • Mean of outliers low
    0.96703
  • Number of outliers high
    80.00000
  • Percentage of outliers high
    0.04571
  • Mean of outliers high
    1.03302
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23645
  • VaR(95%) (moments method)
    0.01191
  • Expected Shortfall (moments method)
    0.01959
  • Extreme Value Index (regression method)
    0.17436
  • VaR(95%) (regression method)
    0.01230
  • Expected Shortfall (regression method)
    0.01941
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    56.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00838
  • Median
    0.03146
  • Quartile 3
    0.07073
  • Maximum
    0.21989
  • Mean of quarter 1
    0.00372
  • Mean of quarter 2
    0.01814
  • Mean of quarter 3
    0.04725
  • Mean of quarter 4
    0.10857
  • Inter Quartile Range
    0.06236
  • 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
    0.01786
  • Mean of outliers high
    0.21989
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.07877
  • VaR(95%) (moments method)
    0.11752
  • Expected Shortfall (moments method)
    0.15096
  • Extreme Value Index (regression method)
    0.19598
  • VaR(95%) (regression method)
    0.10811
  • Expected Shortfall (regression method)
    0.14006
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.67202
  • Compounded annual return (geometric extrapolation)
    0.29035
  • Calmar ratio (compounded annual return / max draw down)
    1.32045
  • Compounded annual return / average of 25% largest draw downs
    2.67425
  • Compounded annual return / Expected Shortfall lognormal
    11.29460
  • 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
    -0.04236
  • SD
    0.14258
  • Sharpe ratio (Glass type estimate)
    -0.29708
  • Sharpe ratio (Hedges UMVUE)
    -0.29536
  • df
    130.00000
  • t
    -0.21007
  • p
    0.50921
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.06864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47544
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.06740
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47667
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38655
  • Upside Potential Ratio
    7.59722
  • Upside part of mean
    0.83249
  • Downside part of mean
    -0.87485
  • Upside SD
    0.09041
  • Downside SD
    0.10958
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01030
  • Mean of criterion
    -0.04236
  • SD of predictor
    0.42444
  • SD of criterion
    0.14258
  • Covariance
    -0.00613
  • r
    -0.10136
  • b (slope, estimate of beta)
    -0.03405
  • a (intercept, estimate of alpha)
    -0.04271
  • Mean Square Error
    0.02028
  • DF error
    129.00000
  • t(b)
    -1.15719
  • p(b)
    0.56442
  • t(a)
    -0.21208
  • p(a)
    0.51189
  • Lowerbound of 95% confidence interval for beta
    -0.09227
  • Upperbound of 95% confidence interval for beta
    0.02417
  • Lowerbound of 95% confidence interval for alpha
    -0.44114
  • Upperbound of 95% confidence interval for alpha
    0.35572
  • Treynor index (mean / b)
    1.24401
  • Jensen alpha (a)
    -0.04271
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05249
  • SD
    0.14311
  • Sharpe ratio (Glass type estimate)
    -0.36682
  • Sharpe ratio (Hedges UMVUE)
    -0.36469
  • df
    130.00000
  • t
    -0.25938
  • p
    0.51137
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.13838
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40595
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40747
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.47409
  • Upside Potential Ratio
    7.48115
  • Upside part of mean
    0.82835
  • Downside part of mean
    -0.88084
  • Upside SD
    0.08985
  • Downside SD
    0.11073
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10058
  • Mean of criterion
    -0.05249
  • SD of predictor
    0.42785
  • SD of criterion
    0.14311
  • Covariance
    -0.00616
  • r
    -0.10068
  • b (slope, estimate of beta)
    -0.03367
  • a (intercept, estimate of alpha)
    -0.05588
  • Mean Square Error
    0.02043
  • DF error
    129.00000
  • t(b)
    -1.14932
  • p(b)
    0.56398
  • t(a)
    -0.27642
  • p(a)
    0.51549
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.09164
  • Upperbound of 95% confidence interval for beta
    0.02430
  • Lowerbound of 95% confidence interval for alpha
    -0.45585
  • Upperbound of 95% confidence interval for alpha
    0.34409
  • Treynor index (mean / b)
    1.55886
  • Jensen alpha (a)
    -0.05588
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01463
  • Expected Shortfall on VaR
    0.01826
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00751
  • Expected Shortfall on VaR
    0.01471
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96228
  • Quartile 1
    0.99552
  • Median
    1.00037
  • Quartile 3
    1.00531
  • Maximum
    1.01997
  • Mean of quarter 1
    0.98870
  • Mean of quarter 2
    0.99827
  • Mean of quarter 3
    1.00260
  • Mean of quarter 4
    1.01028
  • Inter Quartile Range
    0.00979
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97086
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16785
  • VaR(95%) (moments method)
    0.01141
  • Expected Shortfall (moments method)
    0.01688
  • Extreme Value Index (regression method)
    0.24839
  • VaR(95%) (regression method)
    0.01017
  • Expected Shortfall (regression method)
    0.01527
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02637
  • Quartile 1
    0.03986
  • Median
    0.04477
  • Quartile 3
    0.05999
  • Maximum
    0.10445
  • Mean of quarter 1
    0.02637
  • Mean of quarter 2
    0.04436
  • Mean of quarter 3
    0.04517
  • Mean of quarter 4
    0.10445
  • Inter Quartile Range
    0.02013
  • 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
    0.25000
  • Mean of outliers high
    0.10445
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -295718000
  • Max Equity Drawdown (num days)
    198
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02444
  • Compounded annual return (geometric extrapolation)
    -0.02429
  • Calmar ratio (compounded annual return / max draw down)
    -0.23253
  • Compounded annual return / average of 25% largest draw downs
    -0.23253
  • Compounded annual return / Expected Shortfall lognormal
    -1.32984

Strategy Description

Combines elements of breakout trading, trend following and turtle trading risk management.


What to expect:

Everyday, I run scans that comb through over 10,000 stocks to find just one or two that are ready to move immediately.

The system buys strength, short sells weakness and cuts losses very quickly.

I also use a sophisticated risk management strategy that was developed in the 1980's by William Eckhardt, who taught a group of traders now known as The Turtles.


FAQ:

Does this system need to be auto-traded?

No. All signals will be sent out after the market has closed, mostly on the weekends, so you should have time to enter the trades manually in the evening or in the morning before the market opens.

Do you short stocks?

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

Do you use leverage?

Rarely, but yes during strongly trending markets I do to a limited extent.

Do you use stops?

No, but positions are sold if they close below a pre-determined level the next day.

How has the system performed during backtesting?

My system is not an algorithm or black box. It is a rules based, discretionary strategy that I have developed through 10 years of intensive study.

What will happen during bear markets?

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

Where can I get more information?

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

Summary Statistics

Strategy began
2013-07-07
Suggested Minimum Capital
$35,000
# Trades
1694
# Profitable
598
% Profitable
35.3%
Net Dividends
Correlation S&P500
0.085
Sharpe Ratio
0.91
Sortino Ratio
1.35
Beta
0.11
Alpha
0.07
Leverage
1.59 Average
4.08 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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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.