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

RetireEarly
(111329339)

Created by: HuseyinGokmen2 HuseyinGokmen2
Started: 04/2017
Stocks, Forex
Last trade: 2,332 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 $69.00 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.

12.8%
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.

(19.9%)
Max Drawdown
240
Num Trades
60.0%
Win Trades
14.7 : 1
Profit Factor
66.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                     +0.3%+31.9%(2.1%)+5.2%(0.4%)(0.3%)+3.5%+0.9%+0.4%+42.1%
2018+2.7%(3.1%)(0.8%)  -  +1.7%+0.2%+2.2%+2.0%  -  (4.6%)+1.1%(3.7%)(2.5%)
2019+5.0%+3.2%+1.5%+1.7%(1%)  -  +0.1%+3.4%+0.7%+0.8%+1.9%+20.9%
2020+2.5%(7.4%)(12%)+9.1%+4.0%  -  +3.6%+3.4%(2.5%)(1.2%)+7.8%+1.9%+7.3%
2021(1.1%)+2.3%+3.4%+3.4%+1.0%+0.5%+2.3%+0.6%(2.2%)+3.0%+1.7%+3.3%+19.8%
2022(5.2%)(2%)+4.3%(5%)(1.8%)(3.1%)+2.7%+3.9%(8%)+2.1%+5.3%(1.9%)(9.2%)
2023+2.4%(2.6%)+1.5%+2.0%(1%)+3.5%+2.0%(11%)+7.0%(1.2%)+5.5%+3.4%+10.7%
2024+1.8%+3.0%+1.8%                                                      +6.7%

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.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/9/17 9:31 HUM HUMANA LONG 3 242.00 11/8 9:32 252.86 0.03%
Trade id #114108321
Max drawdown($18)
Time10/13/17 9:33
Quant open3
Worst price235.70
Drawdown as % of equity-0.03%
$33
Includes Typical Broker Commissions trade costs of $0.06
10/9/17 9:30 HSIC HENRY SCHEIN LONG 9 80.91 11/8 9:31 70.75 0.14%
Trade id #114108246
Max drawdown($102)
Time11/6/17 9:34
Quant open9
Worst price69.51
Drawdown as % of equity-0.14%
($91)
Includes Typical Broker Commissions trade costs of $0.18
10/9/17 9:30 DATA TABLEAU SOFTWARE INC LONG 14 77.44 11/8 9:31 70.10 0.18%
Trade id #114108271
Max drawdown($126)
Time11/3/17 8:34
Quant open14
Worst price68.40
Drawdown as % of equity-0.18%
($103)
Includes Typical Broker Commissions trade costs of $0.28
10/9/17 9:31 WNS WNS HOLDINGS LONG 28 37.49 11/8 9:31 39.00 0.06%
Trade id #114108312
Max drawdown($43)
Time10/26/17 16:01
Quant open28
Worst price35.94
Drawdown as % of equity-0.06%
$41
Includes Typical Broker Commissions trade costs of $0.56
10/9/17 9:30 EVHC ENVISION HEALTHCARE HOLDINGS LONG 18 44.33 11/8 9:31 25.54 0.48%
Trade id #114108221
Max drawdown($344)
Time11/1/17 8:18
Quant open18
Worst price25.17
Drawdown as % of equity-0.48%
($338)
Includes Typical Broker Commissions trade costs of $0.36
10/9/17 9:30 SNAP SNAP INC LONG 50 14.81 11/8 9:31 13.47 0.21%
Trade id #114108195
Max drawdown($151)
Time11/7/17 16:19
Quant open50
Worst price11.78
Drawdown as % of equity-0.21%
($68)
Includes Typical Broker Commissions trade costs of $1.00
10/9/17 9:31 HTA HEALTHCARE TRUST OF AMERI LONG 25 29.83 11/8 9:31 30.37 0.02%
Trade id #114108345
Max drawdown($15)
Time10/25/17 11:58
Quant open25
Worst price29.21
Drawdown as % of equity-0.02%
$14
Includes Typical Broker Commissions trade costs of $0.50
10/9/17 9:30 KR KROGER LONG 35 20.75 11/8 9:31 21.31 0.04%
Trade id #114108293
Max drawdown($26)
Time10/10/17 11:08
Quant open35
Worst price19.99
Drawdown as % of equity-0.04%
$19
Includes Typical Broker Commissions trade costs of $0.70
10/9/17 9:31 ADSK AUTODESK LONG 7 116.80 11/8 9:31 123.49 0%
Trade id #114108327
Max drawdown($3)
Time10/10/17 13:45
Quant open7
Worst price116.32
Drawdown as % of equity-0.00%
$47
Includes Typical Broker Commissions trade costs of $0.14
10/9/17 9:30 XPER XPERI INC. LONG 25 26.10 11/8 9:31 20.65 0.33%
Trade id #114108264
Max drawdown($235)
Time11/3/17 15:33
Quant open25
Worst price16.70
Drawdown as % of equity-0.33%
($137)
Includes Typical Broker Commissions trade costs of $0.50
10/9/17 9:31 ABX BARRICK GOLD LONG 50 16.67 11/8 9:31 14.10 0.2%
Trade id #114108308
Max drawdown($143)
Time11/3/17 10:46
Quant open50
Worst price13.80
Drawdown as % of equity-0.20%
($130)
Includes Typical Broker Commissions trade costs of $1.00
10/9/17 9:31 RXN REXNORD LONG 40 25.51 11/8 9:31 24.65 0.05%
Trade id #114108303
Max drawdown($39)
Time11/2/17 9:32
Quant open40
Worst price24.52
Drawdown as % of equity-0.05%
($35)
Includes Typical Broker Commissions trade costs of $0.80
10/9/17 9:31 CHTR CHARTER COMMUNICATIONS LONG 2 368.10 11/8 9:31 342.58 0.17%
Trade id #114108305
Max drawdown($119)
Time10/27/17 9:59
Quant open2
Worst price308.30
Drawdown as % of equity-0.17%
($51)
Includes Typical Broker Commissions trade costs of $0.04
10/9/17 9:30 EEFT EURONET WORLDWIDE LONG 6 97.37 11/8 9:30 90.00 0.06%
Trade id #114108226
Max drawdown($44)
Time11/8/17 9:30
Quant open0
Worst price90.00
Drawdown as % of equity-0.06%
($44)
Includes Typical Broker Commissions trade costs of $0.12
10/9/17 9:31 APTO APTOSE BIOSCIENCES INC. COMMO LONG 650 1.43 11/8 9:30 1.58 0.19%
Trade id #114108310
Max drawdown($136)
Time10/26/17 19:00
Quant open650
Worst price1.22
Drawdown as % of equity-0.19%
$93
Includes Typical Broker Commissions trade costs of $5.00
10/9/17 9:30 SNPS SYNOPSYS LONG 12 82.48 11/8 9:30 86.89 0.01%
Trade id #114108262
Max drawdown($3)
Time10/10/17 9:58
Quant open12
Worst price82.18
Drawdown as % of equity-0.01%
$53
Includes Typical Broker Commissions trade costs of $0.24
10/9/17 9:30 BRX BRIXMOR PROPERTY GROUP INC LONG 35 18.68 11/8 9:30 17.60 0.07%
Trade id #114108268
Max drawdown($50)
Time10/31/17 10:22
Quant open35
Worst price17.23
Drawdown as % of equity-0.07%
($39)
Includes Typical Broker Commissions trade costs of $0.70
10/9/17 9:30 FOLD AMICUS THERAPEUTICS LONG 65 15.09 11/8 9:30 14.20 0.2%
Trade id #114108279
Max drawdown($143)
Time10/24/17 9:56
Quant open65
Worst price12.89
Drawdown as % of equity-0.20%
($59)
Includes Typical Broker Commissions trade costs of $1.30
10/9/17 9:30 POR PORTLAND GENERAL ELECTRIC LONG 18 46.16 11/8 9:30 48.25 0.04%
Trade id #114108237
Max drawdown($26)
Time10/16/17 15:25
Quant open18
Worst price44.70
Drawdown as % of equity-0.04%
$38
Includes Typical Broker Commissions trade costs of $0.36
10/9/17 9:30 AIV APARTMENT INVESTMENT LONG 15 44.47 11/8 9:30 44.84 0.03%
Trade id #114108282
Max drawdown($19)
Time10/26/17 10:51
Quant open15
Worst price43.19
Drawdown as % of equity-0.03%
$6
Includes Typical Broker Commissions trade costs of $0.30
10/9/17 9:30 CONE CYRUS ONE INC LONG 10 60.73 11/8 9:30 62.26 0.03%
Trade id #114108152
Max drawdown($20)
Time10/31/17 9:35
Quant open10
Worst price58.69
Drawdown as % of equity-0.03%
$15
Includes Typical Broker Commissions trade costs of $0.20
10/9/17 9:31 TAP MOLSON COORS BEVERAGE CO LONG 9 83.15 11/8 9:30 79.20 0.06%
Trade id #114108681
Max drawdown($45)
Time10/27/17 14:47
Quant open9
Worst price78.10
Drawdown as % of equity-0.06%
($36)
Includes Typical Broker Commissions trade costs of $0.18
10/9/17 9:31 BEAT HEARTBEAM INC. COMMON STOCK LONG 25 33.20 11/8 9:30 25.20 0.37%
Trade id #114108311
Max drawdown($265)
Time11/7/17 16:38
Quant open25
Worst price22.60
Drawdown as % of equity-0.37%
($201)
Includes Typical Broker Commissions trade costs of $0.50
10/9/17 9:31 ESS ESSEX PROPERTY LONG 3 256.73 11/8 9:30 255.72 0.02%
Trade id #114108319
Max drawdown($16)
Time11/3/17 9:35
Quant open3
Worst price251.20
Drawdown as % of equity-0.02%
($3)
Includes Typical Broker Commissions trade costs of $0.06
10/9/17 9:58 VIRC VIRCO MANUFACTURING LONG 190 5.82 11/8 9:30 5.40 0.12%
Trade id #114109890
Max drawdown($90)
Time10/13/17 14:34
Quant open190
Worst price5.35
Drawdown as % of equity-0.12%
($85)
Includes Typical Broker Commissions trade costs of $3.80
9/26/17 9:30 FLR FLUOR LONG 25 41.60 10/9 9:31 43.10 0%
Trade id #113861423
Max drawdown($3)
Time9/26/17 10:47
Quant open25
Worst price41.47
Drawdown as % of equity-0.00%
$38
Includes Typical Broker Commissions trade costs of $0.50
9/26/17 9:31 QCP QUALITY CARE PROPERTIES INC LONG 60 15.60 10/9 9:31 15.80 0.04%
Trade id #113861510
Max drawdown($25)
Time9/26/17 10:53
Quant open60
Worst price15.18
Drawdown as % of equity-0.04%
$11
Includes Typical Broker Commissions trade costs of $1.20
9/26/17 9:31 JKHY JACK HENRY & ASSOCIATES LONG 10 101.79 10/9 9:31 104.54 0.01%
Trade id #113861484
Max drawdown($6)
Time9/26/17 15:58
Quant open10
Worst price101.16
Drawdown as % of equity-0.01%
$28
Includes Typical Broker Commissions trade costs of $0.20
9/26/17 9:30 CVG CONVERGYS LONG 40 25.66 10/9 9:31 25.81 0.01%
Trade id #113861378
Max drawdown($4)
Time9/26/17 10:00
Quant open40
Worst price25.54
Drawdown as % of equity-0.01%
$5
Includes Typical Broker Commissions trade costs of $0.80
9/26/17 9:31 M MACY'S LONG 45 21.88 10/9 9:31 20.98 0.1%
Trade id #113861526
Max drawdown($67)
Time10/2/17 10:42
Quant open45
Worst price20.37
Drawdown as % of equity-0.10%
($42)
Includes Typical Broker Commissions trade costs of $0.90

Statistics

  • Strategy began
    4/28/2017
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2524.93
  • Age
    84 months ago
  • What it trades
    Stocks, Forex
  • # Trades
    240
  • # Profitable
    144
  • % Profitable
    60.00%
  • Avg trade duration
    96.9 days
  • Max peak-to-valley drawdown
    19.94%
  • drawdown period
    Feb 18, 2020 - March 31, 2020
  • Annual Return (Compounded)
    12.8%
  • Avg win
    $443.43
  • Avg loss
    $51.50
  • Model Account Values (Raw)
  • Cash
    $54,703
  • Margin Used
    $0
  • Buying Power
    $93,147
  • Ratios
  • W:L ratio
    14.73:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    1.1
  • Calmar Ratio
    2.863
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.66%
  • Correlation to SP500
    0.58780
  • Return Percent SP500 (cumu) during strategy life
    120.25%
  • Return Statistics
  • Ann Return (w trading costs)
    12.8%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.128%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.45%
  • Percent Trades Forex
    0.55%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
  • Automation
  • Percentage Signals Automated
    50.09%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $52
  • Avg Win
    $443
  • Sum Trade PL (losers)
    $4,944.000
  • Age
  • Num Months filled monthly returns table
    84
  • Win / Loss
  • Sum Trade PL (winners)
    $63,854.000
  • # Winners
    144
  • Num Months Winners
    55
  • Dividends
  • Dividends Received in Model Acct
    8983
  • Win / Loss
  • # Losers
    96
  • % Winners
    60.0%
  • Frequency
  • Avg Position Time (mins)
    139511.00
  • Avg Position Time (hrs)
    2325.18
  • Avg Trade Length
    96.9 days
  • Last Trade Ago
    2332
  • Regression
  • Alpha
    0.02
  • Beta
    0.52
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    59.13
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    35.62
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.54
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.522
  • 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
    0.352
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.574
  • Hold-and-Hope Ratio
    0.853
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42922
  • SD
    0.29889
  • Sharpe ratio (Glass type estimate)
    1.43602
  • Sharpe ratio (Hedges UMVUE)
    1.38640
  • df
    22.00000
  • t
    1.98808
  • p
    0.02969
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05612
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08738
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86019
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.36184
  • Upside Potential Ratio
    6.77138
  • Upside part of mean
    0.54205
  • Downside part of mean
    -0.11283
  • Upside SD
    0.30724
  • Downside SD
    0.08005
  • N nonnegative terms
    15.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.37955
  • Mean of criterion
    0.42922
  • SD of predictor
    0.28643
  • SD of criterion
    0.29889
  • Covariance
    0.04468
  • r
    0.52183
  • b (slope, estimate of beta)
    0.54453
  • a (intercept, estimate of alpha)
    0.22254
  • Mean Square Error
    0.06811
  • DF error
    21.00000
  • t(b)
    2.80326
  • p(b)
    0.18355
  • t(a)
    1.09945
  • p(a)
    0.35284
  • Lowerbound of 95% confidence interval for beta
    0.14057
  • Upperbound of 95% confidence interval for beta
    0.94850
  • Lowerbound of 95% confidence interval for alpha
    -0.19839
  • Upperbound of 95% confidence interval for alpha
    0.64347
  • Treynor index (mean / b)
    0.78823
  • Jensen alpha (a)
    0.22254
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38476
  • SD
    0.26816
  • Sharpe ratio (Glass type estimate)
    1.43481
  • Sharpe ratio (Hedges UMVUE)
    1.38524
  • df
    22.00000
  • t
    1.98641
  • p
    0.02979
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05722
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89705
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85893
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.61916
  • Upside Potential Ratio
    6.01111
  • Upside part of mean
    0.50071
  • Downside part of mean
    -0.11595
  • Upside SD
    0.27237
  • Downside SD
    0.08330
  • N nonnegative terms
    15.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.33503
  • Mean of criterion
    0.38476
  • SD of predictor
    0.28350
  • SD of criterion
    0.26816
  • Covariance
    0.04401
  • r
    0.57895
  • b (slope, estimate of beta)
    0.54762
  • a (intercept, estimate of alpha)
    0.20130
  • Mean Square Error
    0.05008
  • DF error
    21.00000
  • t(b)
    3.25384
  • p(b)
    0.15321
  • t(a)
    1.17577
  • p(a)
    0.34343
  • Lowerbound of 95% confidence interval for beta
    0.19762
  • Upperbound of 95% confidence interval for beta
    0.89761
  • Lowerbound of 95% confidence interval for alpha
    -0.15474
  • Upperbound of 95% confidence interval for alpha
    0.55733
  • Treynor index (mean / b)
    0.70261
  • Jensen alpha (a)
    0.20130
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09087
  • Expected Shortfall on VaR
    0.11945
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01653
  • Expected Shortfall on VaR
    0.03699
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.90556
  • Quartile 1
    0.99567
  • Median
    1.01621
  • Quartile 3
    1.05809
  • Maximum
    1.35494
  • Mean of quarter 1
    0.96810
  • Mean of quarter 2
    1.00591
  • Mean of quarter 3
    1.03286
  • Mean of quarter 4
    1.14464
  • Inter Quartile Range
    0.06241
  • 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
    0.04348
  • Mean of outliers high
    1.35494
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.74622
  • VaR(95%) (moments method)
    0.01699
  • Expected Shortfall (moments method)
    0.01765
  • Extreme Value Index (regression method)
    0.60874
  • VaR(95%) (regression method)
    0.04279
  • Expected Shortfall (regression method)
    0.13793
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00405
  • Quartile 1
    0.00931
  • Median
    0.02103
  • Quartile 3
    0.03212
  • Maximum
    0.10880
  • Mean of quarter 1
    0.00541
  • Mean of quarter 2
    0.01695
  • Mean of quarter 3
    0.02511
  • Mean of quarter 4
    0.07163
  • Inter Quartile Range
    0.02281
  • 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
    0.16667
  • Mean of outliers high
    0.10880
  • 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)
    0.62895
  • Compounded annual return (geometric extrapolation)
    0.51084
  • Calmar ratio (compounded annual return / max draw down)
    4.69522
  • Compounded annual return / average of 25% largest draw downs
    7.13165
  • Compounded annual return / Expected Shortfall lognormal
    4.27670
  • 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
    0.45006
  • SD
    0.27196
  • Sharpe ratio (Glass type estimate)
    1.65489
  • Sharpe ratio (Hedges UMVUE)
    1.65245
  • df
    508.00000
  • t
    2.30663
  • p
    0.01074
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24426
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06394
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24261
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.06229
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.71251
  • Upside Potential Ratio
    7.77486
  • Upside part of mean
    1.29000
  • Downside part of mean
    -0.83994
  • Upside SD
    0.21693
  • Downside SD
    0.16592
  • N nonnegative terms
    290.00000
  • N negative terms
    219.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    509.00000
  • Mean of predictor
    0.43108
  • Mean of criterion
    0.45006
  • SD of predictor
    0.32051
  • SD of criterion
    0.27196
  • Covariance
    0.05502
  • r
    0.63118
  • b (slope, estimate of beta)
    0.53556
  • a (intercept, estimate of alpha)
    0.21900
  • Mean Square Error
    0.04458
  • DF error
    507.00000
  • t(b)
    18.32280
  • p(b)
    -0.00000
  • t(a)
    1.44192
  • p(a)
    0.07497
  • Lowerbound of 95% confidence interval for beta
    0.47814
  • Upperbound of 95% confidence interval for beta
    0.59299
  • Lowerbound of 95% confidence interval for alpha
    -0.07946
  • Upperbound of 95% confidence interval for alpha
    0.51784
  • Treynor index (mean / b)
    0.84035
  • Jensen alpha (a)
    0.21919
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41357
  • SD
    0.26763
  • Sharpe ratio (Glass type estimate)
    1.54532
  • Sharpe ratio (Hedges UMVUE)
    1.54304
  • df
    508.00000
  • t
    2.15391
  • p
    0.01586
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13519
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95396
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95241
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41976
  • Upside Potential Ratio
    7.41741
  • Upside part of mean
    1.26775
  • Downside part of mean
    -0.85417
  • Upside SD
    0.20719
  • Downside SD
    0.17092
  • N nonnegative terms
    290.00000
  • N negative terms
    219.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    509.00000
  • Mean of predictor
    0.37826
  • Mean of criterion
    0.41357
  • SD of predictor
    0.32643
  • SD of criterion
    0.26763
  • Covariance
    0.05646
  • r
    0.64632
  • b (slope, estimate of beta)
    0.52990
  • a (intercept, estimate of alpha)
    0.21313
  • Mean Square Error
    0.04179
  • DF error
    507.00000
  • t(b)
    19.07150
  • p(b)
    -0.00000
  • t(a)
    1.44952
  • p(a)
    0.07391
  • Lowerbound of 95% confidence interval for beta
    0.47531
  • Upperbound of 95% confidence interval for beta
    0.58449
  • Lowerbound of 95% confidence interval for alpha
    -0.07574
  • Upperbound of 95% confidence interval for alpha
    0.50201
  • Treynor index (mean / b)
    0.78047
  • Jensen alpha (a)
    0.21313
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02529
  • Expected Shortfall on VaR
    0.03199
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00642
  • Expected Shortfall on VaR
    0.01479
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    509.00000
  • Minimum
    0.90411
  • Quartile 1
    0.99812
  • Median
    1.00071
  • Quartile 3
    1.00519
  • Maximum
    1.18479
  • Mean of quarter 1
    0.98782
  • Mean of quarter 2
    0.99973
  • Mean of quarter 3
    1.00250
  • Mean of quarter 4
    1.01735
  • Inter Quartile Range
    0.00707
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.06287
  • Mean of outliers low
    0.96689
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.08055
  • Mean of outliers high
    1.03362
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.87833
  • VaR(95%) (moments method)
    0.01073
  • Expected Shortfall (moments method)
    0.09518
  • Extreme Value Index (regression method)
    0.65147
  • VaR(95%) (regression method)
    0.00959
  • Expected Shortfall (regression method)
    0.03173
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    38.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00172
  • Median
    0.00429
  • Quartile 3
    0.01521
  • Maximum
    0.19387
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00272
  • Mean of quarter 3
    0.00821
  • Mean of quarter 4
    0.06825
  • Inter Quartile Range
    0.01349
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.15790
  • Mean of outliers high
    0.09822
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.35837
  • VaR(95%) (moments method)
    0.05791
  • Expected Shortfall (moments method)
    0.11243
  • Extreme Value Index (regression method)
    0.23178
  • VaR(95%) (regression method)
    0.07884
  • Expected Shortfall (regression method)
    0.13877
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.69886
  • Compounded annual return (geometric extrapolation)
    0.55501
  • Calmar ratio (compounded annual return / max draw down)
    2.86272
  • Compounded annual return / average of 25% largest draw downs
    8.13228
  • Compounded annual return / Expected Shortfall lognormal
    17.35200
  • 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
    0.53480
  • SD
    0.35758
  • Sharpe ratio (Glass type estimate)
    1.49562
  • Sharpe ratio (Hedges UMVUE)
    1.48698
  • df
    130.00000
  • t
    1.05756
  • p
    0.45382
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28492
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27060
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29072
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26467
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.13566
  • Upside Potential Ratio
    8.05587
  • Upside part of mean
    2.01731
  • Downside part of mean
    -1.48251
  • Upside SD
    0.25548
  • Downside SD
    0.25041
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.76053
  • Mean of criterion
    0.53480
  • SD of predictor
    0.43164
  • SD of criterion
    0.35758
  • Covariance
    0.10609
  • r
    0.68738
  • b (slope, estimate of beta)
    0.56944
  • a (intercept, estimate of alpha)
    0.10173
  • Mean Square Error
    0.06797
  • DF error
    129.00000
  • t(b)
    10.74930
  • p(b)
    0.09985
  • t(a)
    0.27427
  • p(a)
    0.48463
  • Lowerbound of 95% confidence interval for beta
    0.46463
  • Upperbound of 95% confidence interval for beta
    0.67425
  • Lowerbound of 95% confidence interval for alpha
    -0.63210
  • Upperbound of 95% confidence interval for alpha
    0.83556
  • Treynor index (mean / b)
    0.93917
  • Jensen alpha (a)
    0.10173
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47061
  • SD
    0.35870
  • Sharpe ratio (Glass type estimate)
    1.31200
  • Sharpe ratio (Hedges UMVUE)
    1.30441
  • df
    130.00000
  • t
    0.92772
  • p
    0.45945
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46681
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08597
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47193
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.08075
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81942
  • Upside Potential Ratio
    7.67686
  • Upside part of mean
    1.98570
  • Downside part of mean
    -1.51508
  • Upside SD
    0.24824
  • Downside SD
    0.25866
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.66623
  • Mean of criterion
    0.47061
  • SD of predictor
    0.43477
  • SD of criterion
    0.35870
  • Covariance
    0.10794
  • r
    0.69217
  • b (slope, estimate of beta)
    0.57106
  • a (intercept, estimate of alpha)
    0.09015
  • Mean Square Error
    0.06754
  • DF error
    129.00000
  • t(b)
    10.89240
  • p(b)
    0.09764
  • t(a)
    0.24419
  • p(a)
    0.48632
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.46733
  • Upperbound of 95% confidence interval for beta
    0.67479
  • Lowerbound of 95% confidence interval for alpha
    -0.64031
  • Upperbound of 95% confidence interval for alpha
    0.82061
  • Treynor index (mean / b)
    0.82410
  • Jensen alpha (a)
    0.09015
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03406
  • Expected Shortfall on VaR
    0.04293
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01067
  • Expected Shortfall on VaR
    0.02415
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90411
  • Quartile 1
    0.99656
  • Median
    1.00112
  • Quartile 3
    1.01056
  • Maximum
    1.10490
  • Mean of quarter 1
    0.97852
  • Mean of quarter 2
    0.99952
  • Mean of quarter 3
    1.00614
  • Mean of quarter 4
    1.02452
  • Inter Quartile Range
    0.01401
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.95154
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.05551
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.69159
  • VaR(95%) (moments method)
    0.01796
  • Expected Shortfall (moments method)
    0.06643
  • Extreme Value Index (regression method)
    0.37651
  • VaR(95%) (regression method)
    0.02178
  • Expected Shortfall (regression method)
    0.04598
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00311
  • Quartile 1
    0.00502
  • Median
    0.00831
  • Quartile 3
    0.02668
  • Maximum
    0.15685
  • Mean of quarter 1
    0.00378
  • Mean of quarter 2
    0.00813
  • Mean of quarter 3
    0.02274
  • Mean of quarter 4
    0.09416
  • Inter Quartile Range
    0.02166
  • 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
    0.11111
  • Mean of outliers high
    0.15685
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.74122
  • VaR(95%) (moments method)
    0.09713
  • Expected Shortfall (moments method)
    0.39876
  • Extreme Value Index (regression method)
    3.70812
  • VaR(95%) (regression method)
    0.46797
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -376784000
  • Max Equity Drawdown (num days)
    42
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.56615
  • Compounded annual return (geometric extrapolation)
    0.64628
  • Calmar ratio (compounded annual return / max draw down)
    4.12044
  • Compounded annual return / average of 25% largest draw downs
    6.86339
  • Compounded annual return / Expected Shortfall lognormal
    15.05360

Strategy Description

My strategy is to analyse The Dow Jones Industrial Average and invest the stocks that would follow the index.
In the long run it is highly expected that the index will move up. My job is to invest in stock that moves faster than index while market moving up. While the market is flat or moving down I rather stay in cash until new bull market have been confirmed by my indicators.

I have experience on technical analyse for about 20 years. I use many different tools to measure the market strength. However I believe technical indicator can not be a decision maker by themselves. Technical analyse helps me to decide the enter point and pause moments until fundamental analyses tell me to exist completely for the stock. I also use indicator to avoid corrections to increase outcome of my strategy.

At the very base I work with fundamental imputes and look how the sector will move forward for current year. If sector looks okay than it comes to doing fundamental analyses for the stock.

I make sure that I'm making right decisions I read recommendations from many different experts to make a good strategy that wont fail in long run.

I'm confident that I as I earn good amount of income from stock market and retire early, I also will help you to do same.

Last but not least, I like to diversify my portfolio and not invest to single stock at any time. If you follow me you'll see 15-20 different stock in the portfolio.

Thank you.

Summary Statistics

Strategy began
2017-04-28
Suggested Minimum Capital
$15,000
# Trades
240
# Profitable
144
% Profitable
60.0%
Net Dividends
Correlation S&P500
0.588
Sharpe Ratio
0.65
Sortino Ratio
1.10
Beta
0.52
Alpha
0.02

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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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.
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  • "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.

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