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

Kagi Capital Growth
(53660202)

Created by: IanAnderson IanAnderson
Started: 10/2010
Stocks
Last trade: 2,530 days ago
Trading style: Equity Momentum
Subscriptions not currently available.

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 $149.00 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.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
11.9%
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.

(23.1%)
Max Drawdown
92
Num Trades
59.8%
Win Trades
5.9 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                               +6.2%+7.7%+0.7%+15.2%
2011+2.6%+4.7%+4.9%+2.4%+3.3%+0.2%(0.6%)(0.6%)(2.7%)+8.8%(6.3%)+2.3%+19.9%
2012+4.6%+3.7%+2.4%+0.5%(5.1%)(0.6%)(4.5%)+2.5%+1.8%(3.3%)+3.8%(2.1%)+3.4%
2013(0.5%)(1%)+0.4%(0.4%)+6.4%(4.6%)+11.4%+2.5%+1.0%+2.7%+0.1%+0.9%+19.6%
2014+2.3%(0.7%)(0.8%)(6.3%)+2.0%+9.9%(0.6%)+5.9%(2.1%)+1.4%+0.6%(0.9%)+10.1%
2015(1.4%)+7.1%(1.2%)+3.8%+1.7%+0.2%+2.0%(5.1%)+1.5%+8.8%+2.0%(4.2%)+15.3%
2016(10.3%)(0.6%)+8.8%(1.9%)(2.5%)+0.5%+1.1%+0.1%(1.3%)+0.6%(0.9%)(1.3%)(8.3%)
2017+2.9%+1.4%+1.2%+1.7%+1.4%(1.3%)+0.7%+0.8%(0.1%)+3.0%+0.5%+0.6%+13.4%
2018+3.0%+0.4%(0.7%)+1.4%+1.4%(0.6%)+2.0%+2.8%+1.6%(3.2%)+2.6%(2.6%)+8.1%
2019+2.6%+2.6%+1.4%+2.6%(0.5%)+1.6%+2.3%+0.6%(1.9%)+1.7%+1.9%+2.0%+18.0%
2020+2.8%(3.4%)(4.6%)+7.4%+2.3%+4.3%+0.1%+8.6%(5%)+1.0%+3.6%+0.2%+17.5%
2021+1.0%+1.8%+0.5%+2.9%(0.7%)+3.9%+2.4%+2.7%+0.9%+3.7%(1.9%)+2.2%+21.1%
2022(9.2%)(0.3%)+3.1%(6.5%)(3.4%)(2.3%)+5.0%(4.1%)(3.8%)+0.7%+2.9%(2.8%)(19.7%)
2023+3.9%+0.3%+4.8%+6.3%+3.1%(0.9%)+0.9%(0.1%)(3.1%)+1.4%+9.1%+1.0%+29.6%
2024+4.9%+0.5%+1.2%                                                      +6.6%

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 168 hours.

Trading Record

This strategy has placed 100 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2976 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/2/16 10:08 FB META PLATFORMS INC LONG 300 110.30 4/24/17 9:30 145.00 0.55%
Trade id #100946346
Max drawdown($1,197)
Time4/27/16 10:08
Quant open300
Worst price106.31
Drawdown as % of equity-0.55%
$10,404
Includes Typical Broker Commissions trade costs of $6.00
4/5/16 9:59 EQIX EQUINIX INC. COMMON STOCK REI LONG 100 329.42 10/13 15:12 361.13 0.6%
Trade id #101657977
Max drawdown($1,312)
Time4/22/16 10:50
Quant open100
Worst price316.30
Drawdown as % of equity-0.60%
$3,169
Includes Typical Broker Commissions trade costs of $2.00
3/29/16 10:54 SQ BLOCK INC LONG 1,800 13.93 5/18 14:52 9.32 4.51%
Trade id #101544483
Max drawdown($9,540)
Time5/17/16 9:51
Quant open1,800
Worst price8.63
Drawdown as % of equity-4.51%
($8,303)
Includes Typical Broker Commissions trade costs of $5.00
10/2/15 10:34 AAPL APPLE LONG 300 107.98 5/5/16 14:37 92.92 2.13%
Trade id #97576057
Max drawdown($4,674)
Time5/2/16 10:07
Quant open300
Worst price92.40
Drawdown as % of equity-2.13%
($4,524)
Includes Typical Broker Commissions trade costs of $6.00
10/2/15 10:29 WDAY WORKDAY LONG 400 71.55 4/5/16 9:56 78.11 0.46%
Trade id #97575794
Max drawdown($995)
Time3/16/16 9:33
Quant open400
Worst price69.06
Drawdown as % of equity-0.46%
$2,616
Includes Typical Broker Commissions trade costs of $8.00
11/20/15 11:10 DATA TABLEAU SOFTWARE INC LONG 300 94.14 1/25/16 11:13 79.95 2.86%
Trade id #98469806
Max drawdown($5,796)
Time1/20/16 12:51
Quant open300
Worst price74.82
Drawdown as % of equity-2.86%
($4,263)
Includes Typical Broker Commissions trade costs of $6.00
10/2/15 10:36 ULTI ULTIMATE SOFTWARE GROUP LONG 255 182.70 1/25/16 11:10 175.68 2.12%
Trade id #97576099
Max drawdown($4,406)
Time1/20/16 10:53
Quant open255
Worst price165.42
Drawdown as % of equity-2.12%
($1,795)
Includes Typical Broker Commissions trade costs of $5.10
11/25/15 9:30 QLIK QLIK TECHNOLOGIES LONG 600 32.51 1/7/16 10:18 28.92 1.27%
Trade id #98523536
Max drawdown($2,790)
Time1/7/16 9:31
Quant open600
Worst price27.86
Drawdown as % of equity-1.27%
($2,158)
Includes Typical Broker Commissions trade costs of $5.00
10/6/14 9:30 TSLA TESLA INC. LONG 100 259.13 12/11/15 15:40 217.45 2.33%
Trade id #90082506
Max drawdown($5,388)
Time11/16/15 9:27
Quant open100
Worst price205.25
Drawdown as % of equity-2.33%
($4,170)
Includes Typical Broker Commissions trade costs of $2.00
6/10/15 13:16 LNKD LINKEDIN LONG 225 209.50 12/7 11:25 240.17 2.35%
Trade id #94929651
Max drawdown($5,044)
Time10/2/15 9:48
Quant open150
Worst price183.34
Drawdown as % of equity-2.35%
$6,898
Includes Typical Broker Commissions trade costs of $4.50
1/15/15 12:46 BABA ALIBABA GROUP HOLDING LIMITED LONG 150 97.14 8/24 9:30 58.15 2.74%
Trade id #91892309
Max drawdown($5,871)
Time8/24/15 9:30
Quant open150
Worst price58.00
Drawdown as % of equity-2.74%
($5,852)
Includes Typical Broker Commissions trade costs of $3.00
6/10/15 13:19 FB META PLATFORMS INC LONG 400 82.24 7/20 13:24 98.00 0.16%
Trade id #94929745
Max drawdown($344)
Time6/18/15 9:08
Quant open400
Worst price81.38
Drawdown as % of equity-0.16%
$6,296
Includes Typical Broker Commissions trade costs of $8.00
3/10/14 10:14 CRM SALESFORCE INC LONG 1,500 56.88 4/29/15 14:47 69.03 4.47%
Trade id #86373344
Max drawdown($7,506)
Time4/29/14 10:02
Quant open600
Worst price48.18
Drawdown as % of equity-4.47%
$18,206
Includes Typical Broker Commissions trade costs of $16.00
9/24/13 9:30 SBUX STARBUCKS LONG 1,320 37.65 3/19/15 11:16 45.14 0.63%
Trade id #83105842
Max drawdown($1,062)
Time5/7/14 13:01
Quant open165
Worst price69.14
Drawdown as % of equity-0.63%
$9,866
Includes Typical Broker Commissions trade costs of $18.20
3/10/14 10:20 FCX FREEPORT-MCMORAN INC LONG 1,500 31.52 10/15 13:25 32.27 1.11%
Trade id #86373647
Max drawdown($2,010)
Time10/15/14 13:22
Quant open1,000
Worst price29.51
Drawdown as % of equity-1.11%
$1,108
Includes Typical Broker Commissions trade costs of $22.50
5/20/14 9:47 TSLA TESLA INC. LONG 104 197.72 9/2 10:52 280.00 0.18%
Trade id #87655393
Max drawdown($304)
Time5/21/14 9:34
Quant open104
Worst price194.79
Drawdown as % of equity-0.18%
$8,555
Includes Typical Broker Commissions trade costs of $2.08
5/20/14 9:50 FB META PLATFORMS INC LONG 500 59.75 7/24 9:30 75.99 0.44%
Trade id #87655500
Max drawdown($750)
Time5/21/14 9:45
Quant open500
Worst price58.25
Drawdown as % of equity-0.44%
$8,110
Includes Typical Broker Commissions trade costs of $10.00
9/24/13 9:30 GOOG ALPHABET INC CLASS C LONG 25 887.53 4/3/14 9:30 747.46 2.02%
Trade id #83105785
Max drawdown($3,502)
Time4/3/14 9:30
Quant open10
Worst price569.65
Drawdown as % of equity-2.02%
($3,503)
Includes Typical Broker Commissions trade costs of $0.50
11/7/13 10:13 LNKD LINKEDIN LONG 116 215.07 2/12/14 13:13 207.68 0.88%
Trade id #83946322
Max drawdown($1,596)
Time2/12/14 13:12
Quant open80
Worst price195.11
Drawdown as % of equity-0.88%
($859)
Includes Typical Broker Commissions trade costs of $2.32
12/10/13 10:51 TSLA TESLA INC. LONG 150 143.31 1/23/14 13:19 181.00 0.56%
Trade id #84517540
Max drawdown($995)
Time1/14/14 9:52
Quant open150
Worst price136.67
Drawdown as % of equity-0.56%
$5,651
Includes Typical Broker Commissions trade costs of $3.00
6/10/13 12:28 CRM SALESFORCE INC LONG 700 39.04 12/30 10:13 50.44 0.61%
Trade id #81395989
Max drawdown($917)
Time7/2/13 13:48
Quant open700
Worst price37.73
Drawdown as % of equity-0.61%
$7,971
Includes Typical Broker Commissions trade costs of $9.50
1/16/13 9:30 CSCO CISCO SYSTEMS LONG 1,450 21.28 12/6 13:35 22.27 0.95%
Trade id #78678668
Max drawdown($1,435)
Time5/7/13 15:15
Quant open1,450
Worst price20.29
Drawdown as % of equity-0.95%
$1,432
Includes Typical Broker Commissions trade costs of $10.00
7/5/13 9:30 TSLA TESLA INC. LONG 175 118.32 9/19 10:21 157.48 1.54%
Trade id #81864555
Max drawdown($2,418)
Time7/17/13 9:31
Quant open175
Worst price104.50
Drawdown as % of equity-1.54%
$6,851
Includes Typical Broker Commissions trade costs of $3.50
2/20/13 14:23 AAPL APPLE LONG 964 63.29 8/1 9:30 63.80 3.8%
Trade id #79314719
Max drawdown($5,752)
Time7/2/13 9:31
Quant open135
Worst price409.47
Drawdown as % of equity-3.80%
$487
Includes Typical Broker Commissions trade costs of $8.21
8/23/12 9:52 SBUX STARBUCKS LONG 900 24.09 7/8/13 11:15 30.01 1.2%
Trade id #76203213
Max drawdown($1,764)
Time10/23/12 10:45
Quant open450
Worst price44.27
Drawdown as % of equity-1.20%
$5,313
Includes Typical Broker Commissions trade costs of $11.50
7/5/12 11:25 AMZN AMAZON.COM LONG 270 240.11 6/14/13 14:22 266.71 1.71%
Trade id #75034612
Max drawdown($2,480)
Time7/26/12 16:01
Quant open90
Worst price202.00
Drawdown as % of equity-1.71%
$7,175
Includes Typical Broker Commissions trade costs of $5.40
4/12/12 9:45 FCX FREEPORT-MCMORAN INC LONG 800 38.13 6/10/13 12:32 32.41 4.17%
Trade id #72595871
Max drawdown($6,074)
Time12/6/12 15:25
Quant open800
Worst price30.54
Drawdown as % of equity-4.17%
($4,594)
Includes Typical Broker Commissions trade costs of $16.00
4/18/13 9:30 CRM SALESFORCE INC SHORT 3,000 41.17 4/22 10:01 40.62 1.62%
Trade id #80327040
Max drawdown($2,220)
Time4/18/13 10:55
Quant open-3,000
Worst price41.91
Drawdown as % of equity-1.62%
$1,645
Includes Typical Broker Commissions trade costs of $5.00
4/2/13 14:36 CRM SALESFORCE INC LONG 1,000 44.06 4/2 14:37 44.05 2.64%
Trade id #80012458
Max drawdown($3,735)
Time4/5/13 9:33
Quant open250
Worst price161.32
Drawdown as % of equity-2.64%
($18)
Includes Typical Broker Commissions trade costs of $5.00
1/16/13 9:30 ABX BARRICK GOLD LONG 900 34.43 2/7 9:46 32.63 1.62%
Trade id #78678906
Max drawdown($2,394)
Time2/1/13 10:09
Quant open900
Worst price31.77
Drawdown as % of equity-1.62%
($1,625)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    10/8/2010
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4911.19
  • Age
    164 months ago
  • What it trades
    Stocks
  • # Trades
    92
  • # Profitable
    55
  • % Profitable
    59.80%
  • Avg trade duration
    166.1 days
  • Max peak-to-valley drawdown
    23.15%
  • drawdown period
    Nov 19, 2021 - Oct 13, 2022
  • Annual Return (Compounded)
    11.9%
  • Avg win
    $7,724
  • Avg loss
    $2,012
  • Model Account Values (Raw)
  • Cash
    $199,764
  • Margin Used
    $0
  • Buying Power
    $434,981
  • Ratios
  • W:L ratio
    5.94:1
  • Sharpe Ratio
    0.7
  • Sortino Ratio
    1.08
  • Calmar Ratio
    0.79
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.81%
  • Correlation to SP500
    0.59500
  • Return Percent SP500 (cumu) during strategy life
    350.46%
  • Return Statistics
  • Ann Return (w trading costs)
    11.9%
  • 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)
    0.119%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    18.00%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    0.50%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • 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
    $2,013
  • Avg Win
    $7,725
  • Sum Trade PL (losers)
    $74,471.000
  • Age
  • Num Months filled monthly returns table
    162
  • Win / Loss
  • Sum Trade PL (winners)
    $424,865.000
  • # Winners
    55
  • Num Months Winners
    108
  • Dividends
  • Dividends Received in Model Acct
    17187
  • Win / Loss
  • # Losers
    37
  • % Winners
    59.8%
  • Frequency
  • Avg Position Time (mins)
    239117.00
  • Avg Position Time (hrs)
    3985.28
  • Avg Trade Length
    166.1 days
  • Last Trade Ago
    2535
  • Regression
  • Alpha
    0.02
  • Beta
    0.43
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    39.88
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    90.62
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -3.18
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    0.546
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.216
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.316
  • Hold-and-Hope Ratio
    0.964
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13699
  • SD
    0.16378
  • Sharpe ratio (Glass type estimate)
    0.83643
  • Sharpe ratio (Hedges UMVUE)
    0.82928
  • df
    88.00000
  • t
    2.27790
  • p
    0.01258
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10394
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56432
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09924
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55932
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28787
  • Upside Potential Ratio
    2.66706
  • Upside part of mean
    0.28370
  • Downside part of mean
    -0.14671
  • Upside SD
    0.12951
  • Downside SD
    0.10637
  • N nonnegative terms
    56.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    89.00000
  • Mean of predictor
    0.14669
  • Mean of criterion
    0.13699
  • SD of predictor
    0.16517
  • SD of criterion
    0.16378
  • Covariance
    0.01989
  • r
    0.73536
  • b (slope, estimate of beta)
    0.72917
  • a (intercept, estimate of alpha)
    0.03003
  • Mean Square Error
    0.01246
  • DF error
    87.00000
  • t(b)
    10.12140
  • p(b)
    -0.00000
  • t(a)
    0.70954
  • p(a)
    0.23994
  • Lowerbound of 95% confidence interval for beta
    0.58598
  • Upperbound of 95% confidence interval for beta
    0.87236
  • Lowerbound of 95% confidence interval for alpha
    -0.05410
  • Upperbound of 95% confidence interval for alpha
    0.11417
  • Treynor index (mean / b)
    0.18788
  • Jensen alpha (a)
    0.03003
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12260
  • SD
    0.16538
  • Sharpe ratio (Glass type estimate)
    0.74133
  • Sharpe ratio (Hedges UMVUE)
    0.73499
  • df
    88.00000
  • t
    2.01889
  • p
    0.02327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01133
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46722
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00716
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46282
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08599
  • Upside Potential Ratio
    2.43663
  • Upside part of mean
    0.27508
  • Downside part of mean
    -0.15248
  • Upside SD
    0.12470
  • Downside SD
    0.11289
  • N nonnegative terms
    56.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    89.00000
  • Mean of predictor
    0.13223
  • Mean of criterion
    0.12260
  • SD of predictor
    0.16412
  • SD of criterion
    0.16538
  • Covariance
    0.02016
  • r
    0.74286
  • b (slope, estimate of beta)
    0.74855
  • a (intercept, estimate of alpha)
    0.02362
  • Mean Square Error
    0.01240
  • DF error
    87.00000
  • t(b)
    10.35030
  • p(b)
    -0.00000
  • t(a)
    0.56247
  • p(a)
    0.28762
  • Lowerbound of 95% confidence interval for beta
    0.60480
  • Upperbound of 95% confidence interval for beta
    0.89229
  • Lowerbound of 95% confidence interval for alpha
    -0.05984
  • Upperbound of 95% confidence interval for alpha
    0.10708
  • Treynor index (mean / b)
    0.16378
  • Jensen alpha (a)
    0.02362
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06603
  • Expected Shortfall on VaR
    0.08433
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02246
  • Expected Shortfall on VaR
    0.05003
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    89.00000
  • Minimum
    0.82674
  • Quartile 1
    0.99214
  • Median
    1.01422
  • Quartile 3
    1.04139
  • Maximum
    1.11187
  • Mean of quarter 1
    0.95762
  • Mean of quarter 2
    1.00258
  • Mean of quarter 3
    1.02862
  • Mean of quarter 4
    1.06871
  • Inter Quartile Range
    0.04926
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02247
  • Mean of outliers low
    0.85358
  • 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)
    0.68232
  • VaR(95%) (moments method)
    0.03829
  • Expected Shortfall (moments method)
    0.13673
  • Extreme Value Index (regression method)
    0.31474
  • VaR(95%) (regression method)
    0.04362
  • Expected Shortfall (regression method)
    0.08451
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00331
  • Quartile 1
    0.02213
  • Median
    0.07378
  • Quartile 3
    0.11756
  • Maximum
    0.18089
  • Mean of quarter 1
    0.00886
  • Mean of quarter 2
    0.04393
  • Mean of quarter 3
    0.09678
  • Mean of quarter 4
    0.15791
  • Inter Quartile Range
    0.09543
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -164.91600
  • VaR(95%) (moments method)
    0.16678
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.81479
  • VaR(95%) (regression method)
    0.25147
  • Expected Shortfall (regression method)
    0.25169
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27687
  • Compounded annual return (geometric extrapolation)
    0.16242
  • Calmar ratio (compounded annual return / max draw down)
    0.89791
  • Compounded annual return / average of 25% largest draw downs
    1.02857
  • Compounded annual return / Expected Shortfall lognormal
    1.92596
  • 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
    0.16112
  • SD
    0.19820
  • Sharpe ratio (Glass type estimate)
    0.81296
  • Sharpe ratio (Hedges UMVUE)
    0.81265
  • df
    1961.00000
  • t
    2.22469
  • p
    0.46807
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09619
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52954
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09598
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52933
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12267
  • Upside Potential Ratio
    6.50313
  • Upside part of mean
    0.93333
  • Downside part of mean
    -0.77220
  • Upside SD
    0.13698
  • Downside SD
    0.14352
  • N nonnegative terms
    1058.00000
  • N negative terms
    904.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1962.00000
  • Mean of predictor
    0.18380
  • Mean of criterion
    0.16112
  • SD of predictor
    0.25503
  • SD of criterion
    0.19820
  • Covariance
    0.03218
  • r
    0.63656
  • b (slope, estimate of beta)
    0.49471
  • a (intercept, estimate of alpha)
    0.07000
  • Mean Square Error
    0.02338
  • DF error
    1960.00000
  • t(b)
    36.54180
  • p(b)
    0.18172
  • t(a)
    1.25521
  • p(a)
    0.48583
  • Lowerbound of 95% confidence interval for beta
    0.46816
  • Upperbound of 95% confidence interval for beta
    0.52126
  • Lowerbound of 95% confidence interval for alpha
    -0.03948
  • Upperbound of 95% confidence interval for alpha
    0.17988
  • Treynor index (mean / b)
    0.32570
  • Jensen alpha (a)
    0.07020
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14088
  • SD
    0.20264
  • Sharpe ratio (Glass type estimate)
    0.69523
  • Sharpe ratio (Hedges UMVUE)
    0.69496
  • df
    1961.00000
  • t
    1.90250
  • p
    0.47268
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02139
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41172
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02159
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41152
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92628
  • Upside Potential Ratio
    6.07610
  • Upside part of mean
    0.92411
  • Downside part of mean
    -0.78323
  • Upside SD
    0.13411
  • Downside SD
    0.15209
  • N nonnegative terms
    1058.00000
  • N negative terms
    904.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1962.00000
  • Mean of predictor
    0.15180
  • Mean of criterion
    0.14088
  • SD of predictor
    0.25189
  • SD of criterion
    0.20264
  • Covariance
    0.03239
  • r
    0.63458
  • b (slope, estimate of beta)
    0.51050
  • a (intercept, estimate of alpha)
    0.06338
  • Mean Square Error
    0.02454
  • DF error
    1960.00000
  • t(b)
    36.35060
  • p(b)
    0.18271
  • t(a)
    1.10648
  • p(a)
    0.48751
  • Lowerbound of 95% confidence interval for beta
    0.48295
  • Upperbound of 95% confidence interval for beta
    0.53804
  • Lowerbound of 95% confidence interval for alpha
    -0.04896
  • Upperbound of 95% confidence interval for alpha
    0.17572
  • Treynor index (mean / b)
    0.27596
  • Jensen alpha (a)
    0.06338
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01985
  • Expected Shortfall on VaR
    0.02496
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00622
  • Expected Shortfall on VaR
    0.01402
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1962.00000
  • Minimum
    0.77119
  • Quartile 1
    0.99713
  • Median
    1.00046
  • Quartile 3
    1.00413
  • Maximum
    1.11219
  • Mean of quarter 1
    0.98937
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00205
  • Mean of quarter 4
    1.01238
  • Inter Quartile Range
    0.00700
  • Number outliers low
    99.00000
  • Percentage of outliers low
    0.05046
  • Mean of outliers low
    0.97256
  • Number of outliers high
    127.00000
  • Percentage of outliers high
    0.06473
  • Mean of outliers high
    1.02586
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53617
  • VaR(95%) (moments method)
    0.01011
  • Expected Shortfall (moments method)
    0.02458
  • Extreme Value Index (regression method)
    0.41472
  • VaR(95%) (regression method)
    0.00910
  • Expected Shortfall (regression method)
    0.01815
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    91.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00319
  • Median
    0.00820
  • Quartile 3
    0.02251
  • Maximum
    0.23275
  • Mean of quarter 1
    0.00143
  • Mean of quarter 2
    0.00585
  • Mean of quarter 3
    0.01454
  • Mean of quarter 4
    0.08194
  • Inter Quartile Range
    0.01933
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.13187
  • Mean of outliers high
    0.12554
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.46090
  • VaR(95%) (moments method)
    0.08023
  • Expected Shortfall (moments method)
    0.17326
  • Extreme Value Index (regression method)
    0.06308
  • VaR(95%) (regression method)
    0.07692
  • Expected Shortfall (regression method)
    0.11380
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33910
  • Compounded annual return (geometric extrapolation)
    0.18387
  • Calmar ratio (compounded annual return / max draw down)
    0.78998
  • Compounded annual return / average of 25% largest draw downs
    2.24380
  • Compounded annual return / Expected Shortfall lognormal
    7.36710
  • 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
    0.50159
  • SD
    0.33511
  • Sharpe ratio (Glass type estimate)
    1.49679
  • Sharpe ratio (Hedges UMVUE)
    1.48814
  • df
    130.00000
  • t
    1.05839
  • p
    0.45378
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28377
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27178
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28957
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26584
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30500
  • Upside Potential Ratio
    10.71010
  • Upside part of mean
    2.33062
  • Downside part of mean
    -1.82903
  • Upside SD
    0.25505
  • Downside SD
    0.21761
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61853
  • Mean of criterion
    0.50159
  • SD of predictor
    0.42155
  • SD of criterion
    0.33511
  • Covariance
    0.11367
  • r
    0.80468
  • b (slope, estimate of beta)
    0.63968
  • a (intercept, estimate of alpha)
    0.10593
  • Mean Square Error
    0.03989
  • DF error
    129.00000
  • t(b)
    15.39370
  • p(b)
    0.05027
  • t(a)
    0.37347
  • p(a)
    0.47908
  • Lowerbound of 95% confidence interval for beta
    0.55746
  • Upperbound of 95% confidence interval for beta
    0.72189
  • Lowerbound of 95% confidence interval for alpha
    -0.45523
  • Upperbound of 95% confidence interval for alpha
    0.66709
  • Treynor index (mean / b)
    0.78413
  • Jensen alpha (a)
    0.10593
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44559
  • SD
    0.33432
  • Sharpe ratio (Glass type estimate)
    1.33284
  • Sharpe ratio (Hedges UMVUE)
    1.32513
  • df
    130.00000
  • t
    0.94246
  • p
    0.45881
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44624
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10684
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.10162
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01180
  • Upside Potential Ratio
    10.37820
  • Upside part of mean
    2.29867
  • Downside part of mean
    -1.85308
  • Upside SD
    0.25023
  • Downside SD
    0.22149
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.53019
  • Mean of criterion
    0.44559
  • SD of predictor
    0.41991
  • SD of criterion
    0.33432
  • Covariance
    0.11264
  • r
    0.80237
  • b (slope, estimate of beta)
    0.63882
  • a (intercept, estimate of alpha)
    0.10690
  • Mean Square Error
    0.04012
  • DF error
    129.00000
  • t(b)
    15.26960
  • p(b)
    0.05114
  • t(a)
    0.37623
  • p(a)
    0.47893
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    0.55604
  • Upperbound of 95% confidence interval for beta
    0.72159
  • Lowerbound of 95% confidence interval for alpha
    -0.45527
  • Upperbound of 95% confidence interval for alpha
    0.66906
  • Treynor index (mean / b)
    0.69753
  • Jensen alpha (a)
    0.10690
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03176
  • Expected Shortfall on VaR
    0.04005
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01563
  • Expected Shortfall on VaR
    0.02982
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93412
  • Quartile 1
    0.98986
  • Median
    1.00068
  • Quartile 3
    1.01431
  • Maximum
    1.07496
  • Mean of quarter 1
    0.97647
  • Mean of quarter 2
    0.99608
  • Mean of quarter 3
    1.00820
  • Mean of quarter 4
    1.02752
  • Inter Quartile Range
    0.02445
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.93412
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.07496
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14892
  • VaR(95%) (moments method)
    0.02301
  • Expected Shortfall (moments method)
    0.02899
  • Extreme Value Index (regression method)
    -0.20703
  • VaR(95%) (regression method)
    0.02478
  • Expected Shortfall (regression method)
    0.03089
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00413
  • Quartile 1
    0.00716
  • Median
    0.00953
  • Quartile 3
    0.04414
  • Maximum
    0.22448
  • Mean of quarter 1
    0.00481
  • Mean of quarter 2
    0.00860
  • Mean of quarter 3
    0.02667
  • Mean of quarter 4
    0.13487
  • Inter Quartile Range
    0.03698
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.22448
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -334566000
  • Max Equity Drawdown (num days)
    328
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53425
  • Compounded annual return (geometric extrapolation)
    0.60560
  • Calmar ratio (compounded annual return / max draw down)
    2.69784
  • Compounded annual return / average of 25% largest draw downs
    4.49014
  • Compounded annual return / Expected Shortfall lognormal
    15.12130

Strategy Description

Long term discretionary position trading system. Actively manage winning positions by increasing trade size, and taking profit along the way. Focused on high beta stocks. Strategy is simple buy positions, add to winners on pull backs, lighten position on way up, add on pull back and repeat. More importantly,I cut losing trades quickly. I will rarely average down, unless the trade has previously been positive. Long only system, Follows market long term trend, if the market goes bearish I will look to trade inverse etf's. Preference is for long individual stocks. Will hold a maximum of 6 positions but will re-allocate funds out of laggards into the winners.

Summary Statistics

Strategy began
2010-10-08
Suggested Minimum Capital
$45,000
# Trades
92
# Profitable
55
% Profitable
59.8%
Net Dividends
Correlation S&P500
0.595
Sharpe Ratio
0.70
Sortino Ratio
1.08
Beta
0.43
Alpha
0.02

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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