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QCP US Stars
(55764569)

Created by: AntonioPorsia2 AntonioPorsia2
Started: 12/2010
Stocks
Last trade: 1,645 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 $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.

5.5%
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.

(17.3%)
Max Drawdown
935
Num Trades
60.9%
Win Trades
1.5 : 1
Profit Factor
34.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                                             +3.7%+3.7%
2011+2.3%+3.2%(1.1%)+2.9%(0.7%)(1.2%)+0.5%+5.8%+12.9%+2.2%+2.6%+2.8%+36.2%
2012+2.0%(2.4%)+2.1%+2.8%(6.2%)+2.7%+1.1%+4.8%+1.3%+3.0%+1.8%+0.7%+14.2%
2013+5.0%+1.1%+3.5%(0.8%)+1.5%+0.6%(0.2%)+1.4%+2.6%+0.6%+0.4%(0.1%)+16.6%
2014(1.3%)+3.1%(0.3%)+0.4%(0.9%)(0.2%)+0.3%+1.1%(1.8%)+0.4%+1.4%+0.5%+2.8%
2015(1.5%)(1.2%)(1.6%)(6.7%)+3.5%+2.1%(5.7%)(0.4%)(3.6%)(0.8%)  -    -  (15.2%)
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -                                                        

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 858 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/1/15 9:30 JOY JOY GLOBAL LONG 297 23.61 10/1 9:31 14.88 1.51%
Trade id #96973721
Max drawdown($2,708)
Time10/1/15 6:05
Quant open297
Worst price14.49
Drawdown as % of equity-1.51%
($2,596)
Includes Typical Broker Commissions trade costs of $2.98
8/3/15 9:30 VLO VALERO ENERGY LONG 122 64.81 10/1 9:31 60.26 0.83%
Trade id #96217432
Max drawdown($1,525)
Time8/24/15 9:36
Quant open110
Worst price51.68
Drawdown as % of equity-0.83%
($558)
Includes Typical Broker Commissions trade costs of $3.00
9/1/15 9:31 NAVI NAVIENT CORPORATION COMMON STO LONG 563 12.51 10/1 9:31 11.24 0.49%
Trade id #96973863
Max drawdown($881)
Time9/30/15 13:49
Quant open563
Worst price10.95
Drawdown as % of equity-0.49%
($721)
Includes Typical Broker Commissions trade costs of $5.62
9/1/15 9:30 MYL MYLAN N.V. ORDINARY SHARES LONG 145 48.56 10/1 9:31 40.60 0.76%
Trade id #96973642
Max drawdown($1,363)
Time9/29/15 15:28
Quant open145
Worst price39.16
Drawdown as % of equity-0.76%
($1,156)
Includes Typical Broker Commissions trade costs of $2.00
9/1/15 9:30 IPG INTERPUBLIC GROUP OF COS LONG 381 18.44 10/1 9:31 19.11 0.06%
Trade id #96973667
Max drawdown($106)
Time9/1/15 15:44
Quant open381
Worst price18.16
Drawdown as % of equity-0.06%
$251
Includes Typical Broker Commissions trade costs of $3.82
9/1/15 9:30 AES AES LONG 600 11.78 10/1 9:31 9.86 0.79%
Trade id #96973608
Max drawdown($1,416)
Time9/29/15 15:43
Quant open600
Worst price9.42
Drawdown as % of equity-0.79%
($1,158)
Includes Typical Broker Commissions trade costs of $6.00
6/1/15 9:32 GT THE GOODYEAR TIRE & RUBBER COM LONG 255 31.84 10/1 9:31 29.62 0.83%
Trade id #94725088
Max drawdown($1,523)
Time8/24/15 9:33
Quant open239
Worst price25.50
Drawdown as % of equity-0.83%
($571)
Includes Typical Broker Commissions trade costs of $5.39
6/13/12 9:55 SPY SPDR S&P 500 SHORT 1,346 148.88 10/1/15 9:30 192.94 32.67%
Trade id #74511253
Max drawdown($66,264)
Time12/18/14 16:00
Quant open-917
Worst price212.97
Drawdown as % of equity-32.67%
($59,330)
Includes Typical Broker Commissions trade costs of $29.55
9/1/15 9:31 FSLR FIRST SOLAR INC LONG 151 46.93 10/1 9:30 42.56 0.54%
Trade id #96973782
Max drawdown($969)
Time9/28/15 14:18
Quant open151
Worst price40.51
Drawdown as % of equity-0.54%
($662)
Includes Typical Broker Commissions trade costs of $2.00
9/1/15 9:31 NWSA NEWS CORPORATION LONG 528 13.31 10/1 9:30 12.77 0.34%
Trade id #96973892
Max drawdown($607)
Time9/29/15 9:48
Quant open528
Worst price12.16
Drawdown as % of equity-0.34%
($290)
Includes Typical Broker Commissions trade costs of $5.28
7/1/15 9:32 MO ALTRIA LONG 157 49.14 10/1 9:30 54.46 0.12%
Trade id #95635584
Max drawdown($221)
Time8/24/15 9:39
Quant open132
Worst price47.41
Drawdown as % of equity-0.12%
$831
Includes Typical Broker Commissions trade costs of $4.00
9/1/15 9:31 FLR FLUOR LONG 158 44.50 10/1 9:30 42.61 0.33%
Trade id #96973882
Max drawdown($600)
Time9/28/15 10:20
Quant open158
Worst price40.70
Drawdown as % of equity-0.33%
($301)
Includes Typical Broker Commissions trade costs of $2.00
9/1/15 9:31 MU MICRON TECHNOLOGY LONG 439 15.80 10/1 9:30 14.99 0.46%
Trade id #96973851
Max drawdown($825)
Time9/28/15 13:56
Quant open439
Worst price13.92
Drawdown as % of equity-0.46%
($360)
Includes Typical Broker Commissions trade costs of $4.38
9/1/15 9:30 ANTM ANTHEM INC LONG 51 138.49 10/1 9:30 140.31 0.11%
Trade id #96973626
Max drawdown($197)
Time9/28/15 14:19
Quant open51
Worst price134.62
Drawdown as % of equity-0.11%
$91
Includes Typical Broker Commissions trade costs of $2.00
9/1/15 9:31 URI UNITED RENTALS LONG 104 67.31 10/1 9:30 60.58 0.5%
Trade id #96973850
Max drawdown($903)
Time9/29/15 9:43
Quant open104
Worst price58.62
Drawdown as % of equity-0.50%
($702)
Includes Typical Broker Commissions trade costs of $2.00
9/1/15 9:31 BBBY BED BATH & BEYOND LONG 116 60.98 10/1 9:30 56.98 0.3%
Trade id #96973776
Max drawdown($546)
Time9/29/15 15:05
Quant open116
Worst price56.27
Drawdown as % of equity-0.30%
($466)
Includes Typical Broker Commissions trade costs of $2.00
9/1/15 9:31 KORS MICHAEL KORS HOLDINGS LONG 166 42.79 10/1 9:30 42.21 0.25%
Trade id #96973917
Max drawdown($443)
Time9/29/15 9:38
Quant open166
Worst price40.12
Drawdown as % of equity-0.25%
($98)
Includes Typical Broker Commissions trade costs of $2.00
9/1/15 9:31 DAL DELTA AIR LINES LONG 164 43.95 10/1 9:30 44.71 0.06%
Trade id #96973928
Max drawdown($106)
Time9/1/15 11:04
Quant open164
Worst price43.30
Drawdown as % of equity-0.06%
$123
Includes Typical Broker Commissions trade costs of $2.00
9/1/15 9:30 LRCX LAM RESEARCH LONG 99 70.83 10/1 9:30 65.28 0.53%
Trade id #96973727
Max drawdown($953)
Time9/24/15 11:05
Quant open99
Worst price61.20
Drawdown as % of equity-0.53%
($551)
Includes Typical Broker Commissions trade costs of $2.00
9/1/15 9:38 RL RALPH LAUREN LONG 65 109.37 10/1 9:30 117.20 0.29%
Trade id #96974272
Max drawdown($525)
Time9/29/15 16:19
Quant open65
Worst price101.28
Drawdown as % of equity-0.29%
$507
Includes Typical Broker Commissions trade costs of $2.00
9/1/15 9:31 AAL AMERICAN AIRLINES GROUP INC. C LONG 185 38.63 10/1 9:30 38.50 0.09%
Trade id #96973926
Max drawdown($168)
Time9/30/15 12:26
Quant open185
Worst price37.72
Drawdown as % of equity-0.09%
($26)
Includes Typical Broker Commissions trade costs of $2.00
9/1/15 9:34 TXT TEXTRON LONG 186 37.93 10/1 9:30 37.59 0.2%
Trade id #96974038
Max drawdown($373)
Time9/22/15 9:31
Quant open186
Worst price35.92
Drawdown as % of equity-0.20%
($65)
Includes Typical Broker Commissions trade costs of $2.00
7/1/15 9:30 GME GAMESTOP LONG 189 43.14 10/1 9:30 41.80 0.39%
Trade id #95635145
Max drawdown($720)
Time8/24/15 9:39
Quant open157
Worst price38.66
Drawdown as % of equity-0.39%
($258)
Includes Typical Broker Commissions trade costs of $4.00
8/3/15 9:30 MS MORGAN STANLEY LONG 209 38.32 10/1 9:30 31.42 0.91%
Trade id #96217335
Max drawdown($1,641)
Time9/29/15 9:48
Quant open209
Worst price30.47
Drawdown as % of equity-0.91%
($1,446)
Includes Typical Broker Commissions trade costs of $3.04
9/1/15 9:31 ESRX EXPRESS SCRIPTS LONG 86 81.91 10/1 9:30 81.34 0.13%
Trade id #96973871
Max drawdown($230)
Time9/28/15 12:51
Quant open86
Worst price79.23
Drawdown as % of equity-0.13%
($51)
Includes Typical Broker Commissions trade costs of $2.00
9/1/15 9:31 VIAB VIACOM INC CLASS B LONG 177 39.99 10/1 9:30 43.56 0.02%
Trade id #96973801
Max drawdown($31)
Time9/1/15 9:33
Quant open177
Worst price39.81
Drawdown as % of equity-0.02%
$630
Includes Typical Broker Commissions trade costs of $2.00
8/3/15 9:32 MHK MOHAWK INDUSTRIES LONG 36 204.00 9/1 9:35 193.50 0.4%
Trade id #96217725
Max drawdown($737)
Time8/24/15 9:35
Quant open36
Worst price183.52
Drawdown as % of equity-0.40%
($380)
Includes Typical Broker Commissions trade costs of $2.00
8/3/15 9:31 UHS UNIVERSAL HEALTH SERVICES LONG 50 145.95 9/1 9:34 134.73 0.38%
Trade id #96217690
Max drawdown($698)
Time8/24/15 15:24
Quant open50
Worst price131.98
Drawdown as % of equity-0.38%
($563)
Includes Typical Broker Commissions trade costs of $2.00
7/1/15 9:31 DRI DARDEN RESTAURANTS LONG 107 71.69 9/1 9:32 67.51 0.36%
Trade id #95635486
Max drawdown($655)
Time8/24/15 8:07
Quant open98
Worst price65.00
Drawdown as % of equity-0.36%
($451)
Includes Typical Broker Commissions trade costs of $3.00
3/2/15 9:30 CI CIGNA LONG 59 121.42 9/1 9:32 141.62 0.01%
Trade id #92848670
Max drawdown($23)
Time3/12/15 9:32
Quant open59
Worst price121.02
Drawdown as % of equity-0.01%
$1,188
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    12/13/2010
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3395.51
  • Age
    113 months ago
  • What it trades
    Stocks
  • # Trades
    935
  • # Profitable
    569
  • % Profitable
    60.90%
  • Avg trade duration
    35.9 days
  • Max peak-to-valley drawdown
    17.32%
  • drawdown period
    Jan 23, 2015 - Feb 24, 2015
  • Annual Return (Compounded)
    5.5%
  • Avg win
    $566.34
  • Avg loss
    $658.94
  • Model Account Values (Raw)
  • Cash
    $178,552
  • Margin Used
    $0
  • Buying Power
    $178,552
  • Ratios
  • W:L ratio
    1.47:1
  • Sharpe Ratio
    0.47
  • Sortino Ratio
    0.78
  • Calmar Ratio
    0.547
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -47.54%
  • Correlation to SP500
    0.17260
  • Return Percent SP500 (cumu) during strategy life
    102.89%
  • Return Statistics
  • Ann Return (w trading costs)
    5.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.18%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.56%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.055%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 100% 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 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)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $659
  • Avg Win
    $566
  • Sum Trade PL (losers)
    $241,173.000
  • Age
  • Num Months filled monthly returns table
    112
  • Win / Loss
  • Sum Trade PL (winners)
    $322,249.000
  • # Winners
    569
  • Num Months Winners
    39
  • Dividends
  • Dividends Received in Model Acct
    -2524
  • Win / Loss
  • # Losers
    366
  • % Winners
    60.9%
  • Frequency
  • Avg Position Time (mins)
    51662.90
  • Avg Position Time (hrs)
    861.05
  • Avg Trade Length
    35.9 days
  • Last Trade Ago
    1643
  • Regression
  • Alpha
    0.01
  • Beta
    0.07
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    50.82
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    61.56
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.01
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.352
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.500
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.411
  • Hold-and-Hope Ratio
    0.157
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04956
  • SD
    0.10401
  • Sharpe ratio (Glass type estimate)
    0.47650
  • Sharpe ratio (Hedges UMVUE)
    0.47196
  • df
    79.00000
  • t
    1.23032
  • p
    0.11112
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28768
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29069
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23461
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01173
  • Upside Potential Ratio
    2.58830
  • Upside part of mean
    0.12679
  • Downside part of mean
    -0.07723
  • Upside SD
    0.09213
  • Downside SD
    0.04899
  • N nonnegative terms
    32.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.10384
  • Mean of criterion
    0.04956
  • SD of predictor
    0.13976
  • SD of criterion
    0.10401
  • Covariance
    0.00372
  • r
    0.25605
  • b (slope, estimate of beta)
    0.19055
  • a (intercept, estimate of alpha)
    0.02977
  • Mean Square Error
    0.01024
  • DF error
    78.00000
  • t(b)
    2.33933
  • p(b)
    0.01094
  • t(a)
    0.74267
  • p(a)
    0.22995
  • Lowerbound of 95% confidence interval for beta
    0.02839
  • Upperbound of 95% confidence interval for beta
    0.35271
  • Lowerbound of 95% confidence interval for alpha
    -0.05004
  • Upperbound of 95% confidence interval for alpha
    0.10959
  • Treynor index (mean / b)
    0.26009
  • Jensen alpha (a)
    0.02977
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04428
  • SD
    0.10027
  • Sharpe ratio (Glass type estimate)
    0.44163
  • Sharpe ratio (Hedges UMVUE)
    0.43743
  • df
    79.00000
  • t
    1.14029
  • p
    0.12881
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32193
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32472
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19957
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.88737
  • Upside Potential Ratio
    2.45599
  • Upside part of mean
    0.12256
  • Downside part of mean
    -0.07828
  • Upside SD
    0.08718
  • Downside SD
    0.04990
  • N nonnegative terms
    32.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.09359
  • Mean of criterion
    0.04428
  • SD of predictor
    0.13972
  • SD of criterion
    0.10027
  • Covariance
    0.00374
  • r
    0.26710
  • b (slope, estimate of beta)
    0.19169
  • a (intercept, estimate of alpha)
    0.02634
  • Mean Square Error
    0.00946
  • DF error
    78.00000
  • t(b)
    2.44792
  • p(b)
    0.00831
  • t(a)
    0.68656
  • p(a)
    0.24720
  • Lowerbound of 95% confidence interval for beta
    0.03579
  • Upperbound of 95% confidence interval for beta
    0.34758
  • Lowerbound of 95% confidence interval for alpha
    -0.05004
  • Upperbound of 95% confidence interval for alpha
    0.10273
  • Treynor index (mean / b)
    0.23101
  • Jensen alpha (a)
    0.02634
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04297
  • Expected Shortfall on VaR
    0.05442
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01652
  • Expected Shortfall on VaR
    0.03264
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    80.00000
  • Minimum
    0.94950
  • Quartile 1
    0.99869
  • Median
    1.00000
  • Quartile 3
    1.01316
  • Maximum
    1.16263
  • Mean of quarter 1
    0.97951
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00461
  • Mean of quarter 4
    1.04176
  • Inter Quartile Range
    0.01447
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.96108
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.08750
  • Mean of outliers high
    1.07204
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50778
  • VaR(95%) (moments method)
    0.01310
  • Expected Shortfall (moments method)
    0.03301
  • Extreme Value Index (regression method)
    -0.46715
  • VaR(95%) (regression method)
    0.02022
  • Expected Shortfall (regression method)
    0.02529
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00090
  • Quartile 1
    0.00443
  • Median
    0.00896
  • Quartile 3
    0.03864
  • Maximum
    0.13114
  • Mean of quarter 1
    0.00292
  • Mean of quarter 2
    0.00865
  • Mean of quarter 3
    0.02554
  • Mean of quarter 4
    0.07495
  • Inter Quartile Range
    0.03421
  • 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
    0.07692
  • Mean of outliers high
    0.13114
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.45065
  • VaR(95%) (moments method)
    0.08396
  • Expected Shortfall (moments method)
    0.15860
  • Extreme Value Index (regression method)
    1.83372
  • VaR(95%) (regression method)
    0.11440
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09272
  • Compounded annual return (geometric extrapolation)
    0.07486
  • Calmar ratio (compounded annual return / max draw down)
    0.57085
  • Compounded annual return / average of 25% largest draw downs
    0.99880
  • Compounded annual return / Expected Shortfall lognormal
    1.37555
  • 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
    0.04748
  • SD
    0.08852
  • Sharpe ratio (Glass type estimate)
    0.53639
  • Sharpe ratio (Hedges UMVUE)
    0.53616
  • df
    1764.00000
  • t
    1.39220
  • p
    0.48344
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29166
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21918
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29151
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78242
  • Upside Potential Ratio
    6.17302
  • Upside part of mean
    0.37460
  • Downside part of mean
    -0.32712
  • Upside SD
    0.06448
  • Downside SD
    0.06068
  • N nonnegative terms
    658.00000
  • N negative terms
    1107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1765.00000
  • Mean of predictor
    0.08215
  • Mean of criterion
    0.04748
  • SD of predictor
    0.18810
  • SD of criterion
    0.08852
  • Covariance
    0.00420
  • r
    0.25229
  • b (slope, estimate of beta)
    0.11873
  • a (intercept, estimate of alpha)
    0.03800
  • Mean Square Error
    0.00734
  • DF error
    1763.00000
  • t(b)
    10.94710
  • p(b)
    0.34111
  • t(a)
    1.14244
  • p(a)
    0.48269
  • Lowerbound of 95% confidence interval for beta
    0.09746
  • Upperbound of 95% confidence interval for beta
    0.14000
  • Lowerbound of 95% confidence interval for alpha
    -0.02704
  • Upperbound of 95% confidence interval for alpha
    0.10249
  • Treynor index (mean / b)
    0.39991
  • Jensen alpha (a)
    0.03773
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04353
  • SD
    0.08894
  • Sharpe ratio (Glass type estimate)
    0.48942
  • Sharpe ratio (Hedges UMVUE)
    0.48922
  • df
    1764.00000
  • t
    1.27030
  • p
    0.48488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26594
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24468
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26609
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24453
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.70194
  • Upside Potential Ratio
    6.00670
  • Upside part of mean
    0.37251
  • Downside part of mean
    -0.32898
  • Upside SD
    0.06378
  • Downside SD
    0.06202
  • N nonnegative terms
    658.00000
  • N negative terms
    1107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1765.00000
  • Mean of predictor
    0.06421
  • Mean of criterion
    0.04353
  • SD of predictor
    0.19009
  • SD of criterion
    0.08894
  • Covariance
    0.00427
  • r
    0.25229
  • b (slope, estimate of beta)
    0.11805
  • a (intercept, estimate of alpha)
    0.03595
  • Mean Square Error
    0.00741
  • DF error
    1763.00000
  • t(b)
    10.94750
  • p(b)
    0.34110
  • t(a)
    1.08364
  • p(a)
    0.48358
  • Lowerbound of 95% confidence interval for beta
    0.09690
  • Upperbound of 95% confidence interval for beta
    0.13920
  • Lowerbound of 95% confidence interval for alpha
    -0.02912
  • Upperbound of 95% confidence interval for alpha
    0.10102
  • Treynor index (mean / b)
    0.36876
  • Jensen alpha (a)
    0.03595
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00883
  • Expected Shortfall on VaR
    0.01110
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00325
  • Expected Shortfall on VaR
    0.00703
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1765.00000
  • Minimum
    0.90629
  • Quartile 1
    0.99911
  • Median
    1.00000
  • Quartile 3
    1.00147
  • Maximum
    1.04688
  • Mean of quarter 1
    0.99539
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00038
  • Mean of quarter 4
    1.00551
  • Inter Quartile Range
    0.00236
  • Number outliers low
    143.00000
  • Percentage of outliers low
    0.08102
  • Mean of outliers low
    0.99073
  • Number of outliers high
    129.00000
  • Percentage of outliers high
    0.07309
  • Mean of outliers high
    1.01164
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33612
  • VaR(95%) (moments method)
    0.00357
  • Expected Shortfall (moments method)
    0.00673
  • Extreme Value Index (regression method)
    0.17305
  • VaR(95%) (regression method)
    0.00418
  • Expected Shortfall (regression method)
    0.00697
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00232
  • Median
    0.00630
  • Quartile 3
    0.01580
  • Maximum
    0.13541
  • Mean of quarter 1
    0.00119
  • Mean of quarter 2
    0.00435
  • Mean of quarter 3
    0.01042
  • Mean of quarter 4
    0.04815
  • Inter Quartile Range
    0.01347
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.13846
  • Mean of outliers high
    0.06910
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49119
  • VaR(95%) (moments method)
    0.04974
  • Expected Shortfall (moments method)
    0.11008
  • Extreme Value Index (regression method)
    0.62339
  • VaR(95%) (regression method)
    0.04319
  • Expected Shortfall (regression method)
    0.11403
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09175
  • Compounded annual return (geometric extrapolation)
    0.07405
  • Calmar ratio (compounded annual return / max draw down)
    0.54688
  • Compounded annual return / average of 25% largest draw downs
    1.53809
  • Compounded annual return / Expected Shortfall lognormal
    6.66878
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00796
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40203
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07503
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41262
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6866170000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -595106000000000064720918823305216.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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 for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • 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?
    -323809000
  • Max Equity Drawdown (num days)
    32
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

QCP US Stars invests in the best 25 companies that are undervalued that should outperform over time in the SP500 universe. Our goal is to outperform Major US Indices over time.

We screen US stocks based on our fundamental investment process and we rank our top investments on the base of fundamentals and technical analysis.

Companies that are selected as long in our portfolio are on our belief top quality companies following our proprietary model. Our Portfolio is a market neutral and our longs will be hedged with SPY ETF short.

Stop loss rules are not strict but measured on a portfolio equilibrium basis. Portfolio will be rebalanced between the last day and the first of every month.

This system doesn't need a lot of work to be followed.

Our goal is to be positive in aboslute terms every year even when indices are negative.

Leverage will be used. We will assume an initial investment of 100 000 Dollars.But this portfolio can be replicated with less capital.

Summary Statistics

Strategy began
2010-12-13
Suggested Minimum Capital
$15,000
# Trades
935
# Profitable
569
% Profitable
60.9%
Net Dividends
Correlation S&P500
0.173
Sharpe Ratio
0.47
Sortino Ratio
0.78
Beta
0.07
Alpha
0.01

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.

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