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

The Momentum of Now
(75800796)

Created by: Danny Danny
Started: 08/2012
Stocks
Last trade: 2 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $50.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

22.0%
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.

(24.2%)
Max Drawdown
2671
Num Trades
36.4%
Win Trades
1.4 : 1
Profit Factor
56.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.8%+7.5%+0.9%+1.6%(0.5%)+14.0%
2013+13.8%+0.7%+9.1%(1.6%)  -  (5.5%)(2.7%)(2.3%)+22.0%+8.2%+21.0%(0.5%)+75.6%
2014+10.3%(2.2%)(2.2%)(3%)+1.4%(1.2%)(8.5%)+4.2%(0.7%)+2.8%+3.2%+2.5%+5.4%
2015(1.3%)+7.0%+4.6%(5.4%)+20.4%+2.7%+17.4%(4.1%)+3.6%(1.8%)+2.6%+1.8%+54.4%
2016(0.2%)(4.8%)(5.3%)+3.8%(3.9%)+3.4%(0.5%)+0.7%+1.8%+0.5%+9.3%(2.5%)+1.2%
2017(2%)+8.6%+1.0%+5.4%+10.4%(7.3%)+6.9%+6.6%+2.7%+2.6%(3.1%)(1.3%)+33.2%
2018+9.0%(1.4%)+1.2%(2.6%)+15.6%(2.2%)(5.6%)+7.9%(5%)(7.4%)(0.4%)+0.5%+7.4%
2019  -  +4.2%(4%)+3.2%  -  +2.2%+1.4%(2.7%)(2.9%)(0.7%)+0.3%+7.1%+7.7%
2020+2.5%(4.4%)+5.8%(2.4%)(3%)+4.1%+3.9%+6.8%(8.3%)(2.3%)  -  +16.6%+18.2%
2021(4.2%)+0.3%+1.1%+2.3%+1.6%+1.4%(6.9%)+4.0%+2.3%(2.1%)(4.5%)(0.3%)(5.6%)
2022+10.7%+6.3%+3.6%+10.7%(2.3%)+9.5%(5.5%)+0.7%+3.9%+0.1%(3.1%)(0.2%)+38.2%

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 4,621 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/22/22 9:50 OILD MICROSCTRS OIL & GAS EXP. & PROD. -3X LVRGD ETN SHORT 6,694 2.27 11/29 9:30 2.36 0.17%
Trade id #142644979
Max drawdown($1,304)
Time11/28/22 0:00
Quant open6,694
Worst price2.46
Drawdown as % of equity-0.17%
($629)
Includes Typical Broker Commissions trade costs of $7.50
9/16/22 9:30 ONCR ONCORUS INC. SHORT 9,714 0.95 11/28 9:30 0.72 0.07%
Trade id #141827920
Max drawdown($566)
Time9/16/22 15:36
Quant open6,299
Worst price1.15
Drawdown as % of equity-0.07%
$2,206
Includes Typical Broker Commissions trade costs of $15.00
11/1/22 9:30 SST SYSTEM 1 INC SHORT 1,642 5.17 11/16 9:30 5.27 0.03%
Trade id #142392361
Max drawdown($242)
Time11/16/22 9:30
Quant open1,642
Worst price5.32
Drawdown as % of equity-0.03%
($166)
Includes Typical Broker Commissions trade costs of $5.00
11/2/22 10:42 FIGS FIGS INC SHORT 1,470 6.95 11/16 9:30 6.49 0.03%
Trade id #142408976
Max drawdown($205)
Time11/2/22 14:30
Quant open1,470
Worst price7.08
Drawdown as % of equity-0.03%
$664
Includes Typical Broker Commissions trade costs of $5.00
10/10/22 9:30 NLTX NEOLEUKIN THERAPEUTICS INC SHORT 12,873 0.58 11/15 9:30 0.48 0.13%
Trade id #142103094
Max drawdown($1,081)
Time10/19/22 0:00
Quant open12,873
Worst price0.67
Drawdown as % of equity-0.13%
$1,353
Includes Typical Broker Commissions trade costs of $5.00
11/4/22 10:16 MCD MCDONALD'S LONG 159 275.27 11/15 9:30 270.25 0.12%
Trade id #142441804
Max drawdown($968)
Time11/11/22 0:00
Quant open159
Worst price269.18
Drawdown as % of equity-0.12%
($802)
Includes Typical Broker Commissions trade costs of $3.18
11/1/22 9:30 FSLR FIRST SOLAR INC LONG 114 148.01 11/14 9:46 149.68 0.07%
Trade id #142392373
Max drawdown($527)
Time11/1/22 9:51
Quant open114
Worst price143.38
Drawdown as % of equity-0.07%
$188
Includes Typical Broker Commissions trade costs of $2.28
10/31/22 10:45 VAXX VAXXINITY INC. CLASS A COMMON STOCK SHORT 6,173 1.41 11/14 9:46 1.68 0.23%
Trade id #142380902
Max drawdown($1,762)
Time11/14/22 9:46
Quant open6,173
Worst price1.70
Drawdown as % of equity-0.23%
($1,633)
Includes Typical Broker Commissions trade costs of $5.00
10/26/22 9:30 MUSA MURPHY USA INC LONG 95 292.08 11/14 9:30 295.47 0.11%
Trade id #142318191
Max drawdown($908)
Time10/26/22 9:49
Quant open95
Worst price282.52
Drawdown as % of equity-0.11%
$320
Includes Typical Broker Commissions trade costs of $1.90
10/7/22 9:30 GGR GOGORO INC. ORDINARY SHARES SHORT 2,320 3.68 11/14 9:30 3.41 0.04%
Trade id #142080140
Max drawdown($348)
Time10/7/22 10:17
Quant open2,320
Worst price3.83
Drawdown as % of equity-0.04%
$621
Includes Typical Broker Commissions trade costs of $5.00
8/22/22 9:30 OTLY OATLY GROUP AB ADS SHORT 2,746 3.35 11/14 9:30 2.00 0.06%
Trade id #141492522
Max drawdown($439)
Time8/25/22 0:00
Quant open2,746
Worst price3.51
Drawdown as % of equity-0.06%
$3,702
Includes Typical Broker Commissions trade costs of $5.00
11/3/22 9:30 GOEV CANOO INC SHORT 6,180 1.31 11/14 9:30 1.65 0.29%
Trade id #142423589
Max drawdown($2,280)
Time11/14/22 9:30
Quant open6,180
Worst price1.68
Drawdown as % of equity-0.29%
($2,100)
Includes Typical Broker Commissions trade costs of $5.00
8/16/22 9:30 PLBY PLBY GROUP INC SHORT 1,332 5.31 11/14 9:30 3.86 0.04%
Trade id #141430607
Max drawdown($319)
Time8/16/22 14:07
Quant open1,332
Worst price5.55
Drawdown as % of equity-0.04%
$1,929
Includes Typical Broker Commissions trade costs of $5.00
8/29/22 9:30 ISPO INSPIRATO INCORPORATED CLASS A SHORT 2,145 2.90 11/14 9:30 2.20 0.14%
Trade id #141574553
Max drawdown($1,072)
Time8/31/22 0:00
Quant open2,145
Worst price3.40
Drawdown as % of equity-0.14%
$1,497
Includes Typical Broker Commissions trade costs of $5.00
11/8/22 9:30 LMT LOCKHEED MARTIN LONG 70 488.88 11/14 9:30 468.04 0.23%
Trade id #142480715
Max drawdown($1,838)
Time11/11/22 0:00
Quant open70
Worst price462.61
Drawdown as % of equity-0.23%
($1,460)
Includes Typical Broker Commissions trade costs of $1.40
11/2/22 10:52 BNR BURNING ROCK BIOTECH LIMITED SHORT 4,059 2.01 11/14 9:30 2.34 0.19%
Trade id #142409248
Max drawdown($1,461)
Time11/14/22 9:30
Quant open4,059
Worst price2.37
Drawdown as % of equity-0.19%
($1,359)
Includes Typical Broker Commissions trade costs of $5.00
11/10/22 9:30 MASI MASIMO SHORT 147 117.63 11/14 9:30 129.06 0.24%
Trade id #142517878
Max drawdown($1,938)
Time11/11/22 0:00
Quant open147
Worst price130.82
Drawdown as % of equity-0.24%
($1,683)
Includes Typical Broker Commissions trade costs of $2.94
11/8/22 9:30 PLTR PALANTIR TECHNOLOGIES INC SHORT 1,674 7.08 11/14 9:30 8.20 0.28%
Trade id #142480723
Max drawdown($2,243)
Time11/11/22 0:00
Quant open1,674
Worst price8.42
Drawdown as % of equity-0.28%
($1,880)
Includes Typical Broker Commissions trade costs of $5.00
11/4/22 9:30 SLB SCHLUMBERGER LONG 436 53.47 11/11 14:50 54.85 0.07%
Trade id #142439590
Max drawdown($540)
Time11/4/22 12:44
Quant open436
Worst price52.23
Drawdown as % of equity-0.07%
$593
Includes Typical Broker Commissions trade costs of $8.72
8/12/22 9:30 TMF DIREXION DAILY 20+ YR TRSY BUL SHORT 6,324 11.46 11/11 9:30 8.03 0.14%
Trade id #141398543
Max drawdown($1,085)
Time8/15/22 0:00
Quant open2,064
Worst price12.99
Drawdown as % of equity-0.14%
$21,667
Includes Typical Broker Commissions trade costs of $20.00
8/18/22 9:30 BOXD BOXED INC SHORT 3,362 1.46 11/11 9:30 0.73 n/a $2,454
Includes Typical Broker Commissions trade costs of $5.00
10/19/22 12:56 NRK NUVEEN NEW YORK AMT FREE QUALITY MUNI SHORT 14,348 9.64 11/11 9:30 9.98 1.17%
Trade id #142231137
Max drawdown($9,315)
Time11/11/22 9:30
Quant open14,348
Worst price10.29
Drawdown as % of equity-1.17%
($4,889)
Includes Typical Broker Commissions trade costs of $7.50
10/3/22 9:30 SHYD VANECK VECTORS SHORT HIGH YIEL SHORT 4,970 21.78 11/11 9:30 21.95 0.19%
Trade id #142009846
Max drawdown($1,513)
Time10/11/22 0:00
Quant open4,970
Worst price22.08
Drawdown as % of equity-0.19%
($872)
Includes Typical Broker Commissions trade costs of $5.00
11/3/22 9:30 U UNITY SOFTWARE INC SHORT 352 26.52 11/11 9:30 27.14 0.08%
Trade id #142423562
Max drawdown($686)
Time11/10/22 0:00
Quant open352
Worst price28.47
Drawdown as % of equity-0.08%
($225)
Includes Typical Broker Commissions trade costs of $7.04
9/14/22 9:30 MUNI PIMCO INTERMEDIATE MUNICIPAL B SHORT 5,755 51.16 11/10 9:30 50.12 0.01%
Trade id #141780063
Max drawdown($57)
Time9/14/22 9:47
Quant open5,755
Worst price51.17
Drawdown as % of equity-0.01%
$5,956
Includes Typical Broker Commissions trade costs of $10.00
11/7/22 9:30 OPRX OPTIMIZERX CORPORATION COMMON STOCK SHORT 1,017 14.07 11/10 9:30 18.58 0.62%
Trade id #142464605
Max drawdown($5,029)
Time11/9/22 0:00
Quant open1,017
Worst price19.02
Drawdown as % of equity-0.62%
($4,593)
Includes Typical Broker Commissions trade costs of $5.00
10/31/22 10:09 DICE DICE THERAPEUTICS INC. COMMON STOCK LONG 278 35.06 11/8 9:30 31.17 0.16%
Trade id #142379990
Max drawdown($1,279)
Time11/7/22 0:00
Quant open278
Worst price30.46
Drawdown as % of equity-0.16%
($1,088)
Includes Typical Broker Commissions trade costs of $5.56
9/14/22 9:30 BLI BERKELEY LIGHTS INC. SHORT 2,439 3.57 11/8 9:30 2.39 0.07%
Trade id #141780067
Max drawdown($512)
Time9/15/22 0:00
Quant open2,439
Worst price3.78
Drawdown as % of equity-0.07%
$2,873
Includes Typical Broker Commissions trade costs of $5.00
10/28/22 9:39 DDL DINGDONG (CAYMAN) LTD SHORT 2,558 2.66 11/7 9:30 3.48 0.26%
Trade id #142357936
Max drawdown($2,097)
Time11/4/22 0:00
Quant open2,558
Worst price3.48
Drawdown as % of equity-0.26%
($2,103)
Includes Typical Broker Commissions trade costs of $5.00
10/26/22 9:30 RYTM RHYTHM PHARMACEUTICALS INC. LONG 417 24.33 11/3 9:30 22.61 0.09%
Trade id #142318195
Max drawdown($733)
Time11/3/22 9:30
Quant open417
Worst price22.57
Drawdown as % of equity-0.09%
($724)
Includes Typical Broker Commissions trade costs of $8.34

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    3770.61
  • Age
    126 months ago
  • What it trades
    Stocks
  • # Trades
    2671
  • # Profitable
    971
  • % Profitable
    36.40%
  • Avg trade duration
    18.6 days
  • Max peak-to-valley drawdown
    24.22%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    22.0%
  • Avg win
    $2,604
  • Avg loss
    $1,108
  • Model Account Values (Raw)
  • Cash
    $203,170
  • Margin Used
    $201,420
  • Buying Power
    $5,809
  • Ratios
  • W:L ratio
    1.39:1
  • Sharpe Ratio
    0.92
  • Sortino Ratio
    1.32
  • Calmar Ratio
    1.16
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    490.18%
  • Correlation to SP500
    0.06490
  • Return Percent SP500 (cumu) during strategy life
    193.32%
  • Return Statistics
  • Ann Return (w trading costs)
    22.0%
  • Slump
  • Current Slump as Pcnt Equity
    5.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.220%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    22.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    58.00%
  • Chance of 20% account loss
    30.50%
  • Chance of 30% account loss
    16.00%
  • Chance of 40% account loss
    6.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    901
  • Popularity (Last 6 weeks)
    986
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    331
  • Popularity (7 days, Percentile 1000 scale)
    960
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,109
  • Avg Win
    $2,604
  • Sum Trade PL (losers)
    $1,884,820.000
  • Age
  • Num Months filled monthly returns table
    125
  • Win / Loss
  • Sum Trade PL (winners)
    $2,528,760.000
  • # Winners
    971
  • Num Months Winners
    72
  • Dividends
  • Dividends Received in Model Acct
    87846
  • AUM
  • AUM (AutoTrader live capital)
    3619330
  • Win / Loss
  • # Losers
    1700
  • % Winners
    36.4%
  • Frequency
  • Avg Position Time (mins)
    37906.20
  • Avg Position Time (hrs)
    631.77
  • Avg Trade Length
    26.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.61
  • Daily leverage (max)
    3.69
  • Regression
  • Alpha
    0.05
  • Beta
    0.07
  • Treynor Index
    0.81
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.65
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    17.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.74
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    7.485
  • 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
    0.213
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.216
  • Hold-and-Hope Ratio
    0.135
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20778
  • SD
    0.21677
  • Sharpe ratio (Glass type estimate)
    0.95857
  • Sharpe ratio (Hedges UMVUE)
    0.95262
  • df
    121.00000
  • t
    3.05642
  • p
    0.33163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33026
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58309
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32632
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57892
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07297
  • Upside Potential Ratio
    3.84609
  • Upside part of mean
    0.38551
  • Downside part of mean
    -0.17773
  • Upside SD
    0.20038
  • Downside SD
    0.10024
  • N nonnegative terms
    71.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    122.00000
  • Mean of predictor
    0.08226
  • Mean of criterion
    0.20778
  • SD of predictor
    0.15698
  • SD of criterion
    0.21677
  • Covariance
    0.00062
  • r
    0.01833
  • b (slope, estimate of beta)
    0.02531
  • a (intercept, estimate of alpha)
    0.20570
  • Mean Square Error
    0.04736
  • DF error
    120.00000
  • t(b)
    0.20080
  • p(b)
    0.49084
  • t(a)
    2.97960
  • p(a)
    0.36877
  • Lowerbound of 95% confidence interval for beta
    -0.22423
  • Upperbound of 95% confidence interval for beta
    0.27485
  • Lowerbound of 95% confidence interval for alpha
    0.06901
  • Upperbound of 95% confidence interval for alpha
    0.34239
  • Treynor index (mean / b)
    8.21035
  • Jensen alpha (a)
    0.20570
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18391
  • SD
    0.20709
  • Sharpe ratio (Glass type estimate)
    0.88808
  • Sharpe ratio (Hedges UMVUE)
    0.88256
  • df
    121.00000
  • t
    2.83166
  • p
    0.34295
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26154
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51110
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25789
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50723
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76930
  • Upside Potential Ratio
    3.52576
  • Upside part of mean
    0.36649
  • Downside part of mean
    -0.18258
  • Upside SD
    0.18587
  • Downside SD
    0.10395
  • N nonnegative terms
    71.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    122.00000
  • Mean of predictor
    0.06937
  • Mean of criterion
    0.18391
  • SD of predictor
    0.15972
  • SD of criterion
    0.20709
  • Covariance
    0.00067
  • r
    0.02013
  • b (slope, estimate of beta)
    0.02610
  • a (intercept, estimate of alpha)
    0.18210
  • Mean Square Error
    0.04323
  • DF error
    120.00000
  • t(b)
    0.22056
  • p(b)
    0.48994
  • t(a)
    2.77086
  • p(a)
    0.37739
  • Lowerbound of 95% confidence interval for beta
    -0.20820
  • Upperbound of 95% confidence interval for beta
    0.26041
  • Lowerbound of 95% confidence interval for alpha
    0.05198
  • Upperbound of 95% confidence interval for alpha
    0.31223
  • Treynor index (mean / b)
    7.04623
  • Jensen alpha (a)
    0.18210
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07966
  • Expected Shortfall on VaR
    0.10214
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03060
  • Expected Shortfall on VaR
    0.05998
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    122.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97847
  • Median
    1.01693
  • Quartile 3
    1.04622
  • Maximum
    1.27878
  • Mean of quarter 1
    0.95259
  • Mean of quarter 2
    0.99606
  • Mean of quarter 3
    1.03255
  • Mean of quarter 4
    1.09703
  • Inter Quartile Range
    0.06774
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.04098
  • Mean of outliers high
    1.20712
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29795
  • VaR(95%) (moments method)
    0.05121
  • Expected Shortfall (moments method)
    0.08435
  • Extreme Value Index (regression method)
    0.07694
  • VaR(95%) (regression method)
    0.04549
  • Expected Shortfall (regression method)
    0.06244
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00377
  • Quartile 1
    0.02020
  • Median
    0.04566
  • Quartile 3
    0.10811
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01334
  • Mean of quarter 2
    0.03256
  • Mean of quarter 3
    0.07043
  • Mean of quarter 4
    0.13856
  • Inter Quartile Range
    0.08791
  • 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)
    -2.15872
  • VaR(95%) (moments method)
    0.15140
  • Expected Shortfall (moments method)
    0.15246
  • Extreme Value Index (regression method)
    -0.31356
  • VaR(95%) (regression method)
    0.15250
  • Expected Shortfall (regression method)
    0.16595
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.74902
  • Compounded annual return (geometric extrapolation)
    0.23593
  • Calmar ratio (compounded annual return / max draw down)
    1.39594
  • Compounded annual return / average of 25% largest draw downs
    1.70274
  • Compounded annual return / Expected Shortfall lognormal
    2.30979
  • 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
    0.19271
  • SD
    0.16447
  • Sharpe ratio (Glass type estimate)
    1.17168
  • Sharpe ratio (Hedges UMVUE)
    1.17136
  • df
    2679.00000
  • t
    3.74737
  • p
    0.00009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78521
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78498
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70285
  • Upside Potential Ratio
    8.89429
  • Upside part of mean
    1.00656
  • Downside part of mean
    -0.81385
  • Upside SD
    0.11990
  • Downside SD
    0.11317
  • N nonnegative terms
    1475.00000
  • N negative terms
    1205.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2680.00000
  • Mean of predictor
    0.09241
  • Mean of criterion
    0.19271
  • SD of predictor
    0.17469
  • SD of criterion
    0.16447
  • Covariance
    0.00180
  • r
    0.06274
  • b (slope, estimate of beta)
    0.05907
  • a (intercept, estimate of alpha)
    0.18700
  • Mean Square Error
    0.02695
  • DF error
    2678.00000
  • t(b)
    3.25331
  • p(b)
    0.00058
  • t(a)
    3.64578
  • p(a)
    0.00014
  • Lowerbound of 95% confidence interval for beta
    0.02347
  • Upperbound of 95% confidence interval for beta
    0.09468
  • Lowerbound of 95% confidence interval for alpha
    0.08654
  • Upperbound of 95% confidence interval for alpha
    0.28796
  • Treynor index (mean / b)
    3.26220
  • Jensen alpha (a)
    0.18725
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17909
  • SD
    0.16460
  • Sharpe ratio (Glass type estimate)
    1.08802
  • Sharpe ratio (Hedges UMVUE)
    1.08772
  • df
    2679.00000
  • t
    3.47981
  • p
    0.00025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47442
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70144
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47421
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70123
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.56276
  • Upside Potential Ratio
    8.72048
  • Upside part of mean
    0.99937
  • Downside part of mean
    -0.82028
  • Upside SD
    0.11863
  • Downside SD
    0.11460
  • N nonnegative terms
    1475.00000
  • N negative terms
    1205.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2680.00000
  • Mean of predictor
    0.07707
  • Mean of criterion
    0.17909
  • SD of predictor
    0.17531
  • SD of criterion
    0.16460
  • Covariance
    0.00182
  • r
    0.06324
  • b (slope, estimate of beta)
    0.05938
  • a (intercept, estimate of alpha)
    0.17452
  • Mean Square Error
    0.02700
  • DF error
    2678.00000
  • t(b)
    3.27918
  • p(b)
    0.00053
  • t(a)
    3.39581
  • p(a)
    0.00035
  • Lowerbound of 95% confidence interval for beta
    0.02387
  • Upperbound of 95% confidence interval for beta
    0.09489
  • Lowerbound of 95% confidence interval for alpha
    0.07374
  • Upperbound of 95% confidence interval for alpha
    0.27529
  • Treynor index (mean / b)
    3.01611
  • Jensen alpha (a)
    0.17452
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01592
  • Expected Shortfall on VaR
    0.02008
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00662
  • Expected Shortfall on VaR
    0.01373
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2680.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99650
  • Median
    1.00084
  • Quartile 3
    1.00535
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98894
  • Mean of quarter 2
    0.99892
  • Mean of quarter 3
    1.00282
  • Mean of quarter 4
    1.01268
  • Inter Quartile Range
    0.00885
  • Number outliers low
    118.00000
  • Percentage of outliers low
    0.04403
  • Mean of outliers low
    0.97467
  • Number of outliers high
    106.00000
  • Percentage of outliers high
    0.03955
  • Mean of outliers high
    1.02614
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32605
  • VaR(95%) (moments method)
    0.01045
  • Expected Shortfall (moments method)
    0.01868
  • Extreme Value Index (regression method)
    0.12879
  • VaR(95%) (regression method)
    0.01028
  • Expected Shortfall (regression method)
    0.01563
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    81.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00528
  • Median
    0.01834
  • Quartile 3
    0.05508
  • Maximum
    0.19820
  • Mean of quarter 1
    0.00226
  • Mean of quarter 2
    0.01119
  • Mean of quarter 3
    0.03271
  • Mean of quarter 4
    0.10621
  • Inter Quartile Range
    0.04980
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.06173
  • Mean of outliers high
    0.17645
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.01657
  • VaR(95%) (moments method)
    0.10632
  • Expected Shortfall (moments method)
    0.13938
  • Extreme Value Index (regression method)
    -0.06591
  • VaR(95%) (regression method)
    0.08906
  • Expected Shortfall (regression method)
    0.10755
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.71458
  • Compounded annual return (geometric extrapolation)
    0.22998
  • Calmar ratio (compounded annual return / max draw down)
    1.16035
  • Compounded annual return / average of 25% largest draw downs
    2.16526
  • Compounded annual return / Expected Shortfall lognormal
    11.45260
  • 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
    0.06849
  • SD
    0.11471
  • Sharpe ratio (Glass type estimate)
    0.59702
  • Sharpe ratio (Hedges UMVUE)
    0.59357
  • df
    130.00000
  • t
    0.42216
  • p
    0.48150
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17682
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36870
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.17917
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36632
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87559
  • Upside Potential Ratio
    8.64188
  • Upside part of mean
    0.67593
  • Downside part of mean
    -0.60745
  • Upside SD
    0.08342
  • Downside SD
    0.07822
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00682
  • Mean of criterion
    0.06849
  • SD of predictor
    0.25182
  • SD of criterion
    0.11471
  • Covariance
    -0.01598
  • r
    -0.55337
  • b (slope, estimate of beta)
    -0.25208
  • a (intercept, estimate of alpha)
    0.06677
  • Mean Square Error
    0.00920
  • DF error
    129.00000
  • t(b)
    -7.54563
  • p(b)
    0.83337
  • t(a)
    0.49221
  • p(a)
    0.47245
  • Lowerbound of 95% confidence interval for beta
    -0.31817
  • Upperbound of 95% confidence interval for beta
    -0.18598
  • Lowerbound of 95% confidence interval for alpha
    -0.20161
  • Upperbound of 95% confidence interval for alpha
    0.33515
  • Treynor index (mean / b)
    -0.27168
  • Jensen alpha (a)
    0.06677
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06195
  • SD
    0.11457
  • Sharpe ratio (Glass type estimate)
    0.54072
  • Sharpe ratio (Hedges UMVUE)
    0.53759
  • df
    130.00000
  • t
    0.38235
  • p
    0.48324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.23283
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31234
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.23498
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31017
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78673
  • Upside Potential Ratio
    8.53914
  • Upside part of mean
    0.67242
  • Downside part of mean
    -0.61047
  • Upside SD
    0.08271
  • Downside SD
    0.07875
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03823
  • Mean of criterion
    0.06195
  • SD of predictor
    0.25155
  • SD of criterion
    0.11457
  • Covariance
    -0.01597
  • r
    -0.55420
  • b (slope, estimate of beta)
    -0.25242
  • a (intercept, estimate of alpha)
    0.05230
  • Mean Square Error
    0.00917
  • DF error
    129.00000
  • t(b)
    -7.56195
  • p(b)
    0.83381
  • t(a)
    0.38627
  • p(a)
    0.47837
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.31846
  • Upperbound of 95% confidence interval for beta
    -0.18638
  • Lowerbound of 95% confidence interval for alpha
    -0.21559
  • Upperbound of 95% confidence interval for alpha
    0.32019
  • Treynor index (mean / b)
    -0.24543
  • Jensen alpha (a)
    0.05230
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01134
  • Expected Shortfall on VaR
    0.01426
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00510
  • Expected Shortfall on VaR
    0.01016
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98047
  • Quartile 1
    0.99699
  • Median
    1.00077
  • Quartile 3
    1.00369
  • Maximum
    1.03189
  • Mean of quarter 1
    0.99198
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00194
  • Mean of quarter 4
    1.00852
  • Inter Quartile Range
    0.00670
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98320
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02272
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33550
  • VaR(95%) (moments method)
    0.00828
  • Expected Shortfall (moments method)
    0.01463
  • Extreme Value Index (regression method)
    -0.35567
  • VaR(95%) (regression method)
    0.00862
  • Expected Shortfall (regression method)
    0.01050
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04753
  • Quartile 1
    0.05370
  • Median
    0.05987
  • Quartile 3
    0.06605
  • Maximum
    0.07222
  • Mean of quarter 1
    0.04753
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07222
  • Inter Quartile Range
    0.01235
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -357890000
  • Max Equity Drawdown (num days)
    195
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09191
  • Compounded annual return (geometric extrapolation)
    0.09402
  • Calmar ratio (compounded annual return / max draw down)
    1.30185
  • Compounded annual return / average of 25% largest draw downs
    1.30185
  • Compounded annual return / Expected Shortfall lognormal
    6.59414

Strategy Description

Combines the art of trading the most explosive breakouts the market has to offer with the science of turtle trader position sizing and risk management.


What to expect:

Every day, I run stock scans that comb through 10,000 stocks to find just one or two that are ready to move right now.

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

The system buys strong, liquid US stocks and ETFs, and short sells the weakest. Losses are cut very short, which contributes to a lower win rate.

For more information on my trading style, please visit Twitter.com/ChartingTrends


Frequently asked questions:

Does this system need to be auto-traded?

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


Do you short stocks?

Yes.


Do you use leverage?

Rarely, but yes during strongly trending markets.


Do you use stops?

Yes. All signals come with a stop loss order attached.


How has the system performed during backtesting?

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


What will happen during bear markets?

I can short stocks and ETFs, so the system is not dependant on a rising stock market. The system is more likely to struggle during a choppy, range bound market.

Summary Statistics

Strategy began
2012-08-04
Suggested Minimum Capital
$5,000
# Trades
2671
# Profitable
971
% Profitable
36.4%
Net Dividends
Correlation S&P500
0.065
Sharpe Ratio
0.92
Sortino Ratio
1.32
Beta
0.07
Alpha
0.05
Leverage
1.61 Average
3.69 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.