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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 $100.00 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.

19.2%
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.

(24.5%)
Max Drawdown
3006
Num Trades
36.8%
Win Trades
1.5 : 1
Profit Factor
55.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.8%+7.5%+0.9%+1.5%(0.5%)+13.7%
2013+13.7%+0.6%+9.1%(1.7%)  -  (5.6%)(2.8%)(2.4%)+22.1%+8.3%+21.0%(0.5%)+75.2%
2014+10.3%(2.3%)(2.3%)(3.1%)+1.4%(1.3%)(8.6%)+4.2%(0.7%)+2.8%+3.2%+2.5%+5.2%
2015(1.3%)+7.0%+4.6%(5.5%)+20.6%+2.7%+17.5%(4.2%)+3.6%(1.9%)+2.6%+1.8%+54.5%
2016(0.2%)(4.9%)(5.4%)+3.8%(3.9%)+3.4%(0.5%)+0.6%+1.8%+0.5%+9.3%(2.5%)+1.1%
2017(2%)+8.7%+1.0%+5.4%+10.5%(7.3%)+6.9%+6.6%+2.7%+2.6%(3.1%)(1.4%)+33.3%
2018+9.1%(1.4%)+1.2%(2.6%)+15.7%(2.2%)(5.7%)+7.9%(5%)(7.5%)(0.4%)+0.5%+7.3%
2019(0.1%)+4.2%(4%)+3.2%  -  +2.2%+1.4%(2.8%)(2.9%)(0.8%)+0.3%+7.2%+7.7%
2020+2.5%(4.4%)+5.8%(2.4%)(3.1%)+4.2%+3.9%+6.9%(8.4%)(2.4%)  -  +16.7%+18.3%
2021(4.3%)+0.3%+1.1%+2.3%+1.6%+1.4%(7%)+4.0%+2.3%(2.2%)(4.6%)(0.3%)(5.7%)
2022+10.8%+6.3%+3.6%+10.8%(2.4%)+9.5%(5.6%)+0.7%+4.0%+0.1%(3.1%)+1.1%+40.3%
2023(1.2%)+1.3%+1.3%+1.7%(1%)(0.1%)(0.5%)+1.4%+3.9%+2.3%(2.2%)(2.7%)+4.1%
2024(2.2%)+0.9%+0.9%+1.9%(1.2%)(2.4%)                                    (2.1%)

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 5,285 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 109 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/20/24 10:05 RSKD RISKIFIED LTD LONG 3,556 6.07 6/10 11:44 6.26 0.1%
Trade id #148207211
Max drawdown($817)
Time5/29/24 0:00
Quant open3,556
Worst price5.84
Drawdown as % of equity-0.10%
$651
Includes Typical Broker Commissions trade costs of $7.50
4/29/24 9:59 TPC TUTOR PERINI LONG 2,106 17.53 6/10 9:30 19.51 0.36%
Trade id #148037579
Max drawdown($2,969)
Time5/1/24 0:00
Quant open2,106
Worst price16.12
Drawdown as % of equity-0.36%
$4,163
Includes Typical Broker Commissions trade costs of $7.50
5/29/24 15:25 MNRO MONRO INC SHORT 759 22.48 6/10 9:30 24.80 0.26%
Trade id #148282494
Max drawdown($2,075)
Time6/7/24 0:00
Quant open759
Worst price25.21
Drawdown as % of equity-0.26%
($1,766)
Includes Typical Broker Commissions trade costs of $5.00
5/21/24 10:12 REPL REPLIMUNE GROUP INC. COMMON STOCK SHORT 3,946 5.71 6/6 11:01 7.04 0.76%
Trade id #148216187
Max drawdown($6,155)
Time6/6/24 10:37
Quant open3,946
Worst price7.27
Drawdown as % of equity-0.76%
($5,256)
Includes Typical Broker Commissions trade costs of $7.50
5/20/24 9:38 SGRP SPAR GROUP LONG 7,025 2.07 6/5 14:37 2.17 0.09%
Trade id #148206602
Max drawdown($702)
Time5/20/24 15:53
Quant open7,025
Worst price1.97
Drawdown as % of equity-0.09%
$698
Includes Typical Broker Commissions trade costs of $5.00
4/8/24 10:06 SLRN ACELYRIN INC. SHORT 6,720 5.96 6/3 9:45 4.24 0.26%
Trade id #147836329
Max drawdown($2,083)
Time4/9/24 0:00
Quant open6,720
Worst price6.27
Drawdown as % of equity-0.26%
$11,548
Includes Typical Broker Commissions trade costs of $10.00
5/20/24 10:13 STOK STOKE THERAPEUTICS INC. COMMON STOCK LONG 1,826 14.33 5/29 15:12 13.82 0.18%
Trade id #148207305
Max drawdown($1,442)
Time5/29/24 9:56
Quant open1,826
Worst price13.54
Drawdown as % of equity-0.18%
($939)
Includes Typical Broker Commissions trade costs of $7.50
5/21/24 13:28 FNA PARAGON 28 INC SHORT 1,443 7.33 5/24 9:44 7.72 0.11%
Trade id #148218650
Max drawdown($880)
Time5/23/24 0:00
Quant open1,443
Worst price7.94
Drawdown as % of equity-0.11%
($568)
Includes Typical Broker Commissions trade costs of $5.00
5/20/24 9:44 ELYM ELIEM THERAPEUTICS INC. LONG 865 8.51 5/24 9:44 7.02 0.16%
Trade id #148206798
Max drawdown($1,284)
Time5/24/24 9:43
Quant open865
Worst price7.03
Drawdown as % of equity-0.16%
($1,294)
Includes Typical Broker Commissions trade costs of $5.00
5/21/24 10:14 DYN DYNE THERAPEUTICS INC. LONG 435 35.07 5/24 9:44 30.99 0.26%
Trade id #148216219
Max drawdown($2,105)
Time5/22/24 0:00
Quant open435
Worst price30.23
Drawdown as % of equity-0.26%
($1,784)
Includes Typical Broker Commissions trade costs of $8.70
5/20/24 9:36 CENX CENTURY ALUMINUM LONG 1,097 17.94 5/24 9:44 17.87 0.11%
Trade id #148206538
Max drawdown($877)
Time5/22/24 0:00
Quant open1,097
Worst price17.14
Drawdown as % of equity-0.11%
($82)
Includes Typical Broker Commissions trade costs of $5.00
5/20/24 9:41 ROOT ROOT INC. CLASS A COMMON STOCK LONG 132 66.07 5/24 9:44 56.44 0.17%
Trade id #148206730
Max drawdown($1,389)
Time5/23/24 0:00
Quant open132
Worst price55.54
Drawdown as % of equity-0.17%
($1,274)
Includes Typical Broker Commissions trade costs of $2.64
5/21/24 9:41 JANX JANUX THERAPEUTICS INC. COMMON STOCK LONG 422 47.87 5/21 13:27 45.77 0.12%
Trade id #148215775
Max drawdown($972)
Time5/21/24 13:13
Quant open422
Worst price45.56
Drawdown as % of equity-0.12%
($894)
Includes Typical Broker Commissions trade costs of $8.44
4/12/24 9:50 ABIO ARCA BIOPHARMA INC. COMMON ST LONG 4,236 3.25 5/20 10:12 3.24 0.08%
Trade id #147884884
Max drawdown($677)
Time5/13/24 0:00
Quant open4,236
Worst price3.09
Drawdown as % of equity-0.08%
($47)
Includes Typical Broker Commissions trade costs of $5.00
4/16/24 9:53 LQR LQR HOUSE INC. SHORT 12,428 1.22 5/20 9:35 1.16 0.07%
Trade id #147922368
Max drawdown($621)
Time4/17/24 0:00
Quant open12,428
Worst price1.27
Drawdown as % of equity-0.07%
$739
Includes Typical Broker Commissions trade costs of $7.50
4/17/24 9:57 SPZI SPOOZ INC. LONG 966,667 0.01 5/16 9:55 0.01 0.89%
Trade id #147933512
Max drawdown($7,250)
Time5/15/24 0:00
Quant open966,667
Worst price0.00
Drawdown as % of equity-0.89%
($5)
Includes Typical Broker Commissions trade costs of $5.00
4/29/24 10:17 SN SHARKNINJA INC LONG 1,108 64.26 5/15 9:57 71.91 0.15%
Trade id #148037959
Max drawdown($1,263)
Time4/30/24 0:00
Quant open1,108
Worst price63.12
Drawdown as % of equity-0.15%
$8,469
Includes Typical Broker Commissions trade costs of $7.50
4/29/24 10:03 VTSI VIRTRA INC. COMMON STOCK LONG 1,584 14.93 5/15 9:36 11.60 0.7%
Trade id #148037724
Max drawdown($5,654)
Time5/15/24 9:36
Quant open1,584
Worst price11.36
Drawdown as % of equity-0.70%
($5,283)
Includes Typical Broker Commissions trade costs of $7.50
5/10/24 11:23 TIXT TELUS INTERNATIONAL (CDA) INC SHORT 2,310 6.24 5/14 13:21 6.45 0.1%
Trade id #148141740
Max drawdown($831)
Time5/13/24 0:00
Quant open2,310
Worst price6.60
Drawdown as % of equity-0.10%
($490)
Includes Typical Broker Commissions trade costs of $5.00
5/10/24 11:34 MVIS MICROVISION SHORT 6,976 1.20 5/14 13:21 1.40 0.41%
Trade id #148141846
Max drawdown($3,418)
Time5/14/24 10:04
Quant open6,976
Worst price1.69
Drawdown as % of equity-0.41%
($1,400)
Includes Typical Broker Commissions trade costs of $5.00
5/6/24 14:32 BVN BUENAVENTURA MINING LONG 1,117 17.41 5/14 13:21 17.25 0.08%
Trade id #148103165
Max drawdown($681)
Time5/14/24 9:35
Quant open1,117
Worst price16.80
Drawdown as % of equity-0.08%
($184)
Includes Typical Broker Commissions trade costs of $5.00
5/10/24 15:46 GOOS CANADA GOOSE HOLDINGS INC SHORT 2,356 10.94 5/14 13:21 11.55 0.23%
Trade id #148144523
Max drawdown($1,908)
Time5/14/24 11:25
Quant open2,356
Worst price11.75
Drawdown as % of equity-0.23%
($1,442)
Includes Typical Broker Commissions trade costs of $5.00
4/29/24 10:13 SHAK SHAKE SHACK INC LONG 518 105.42 5/14 13:20 103.25 0.26%
Trade id #148037900
Max drawdown($2,128)
Time5/9/24 0:00
Quant open518
Worst price101.31
Drawdown as % of equity-0.26%
($1,132)
Includes Typical Broker Commissions trade costs of $7.68
4/12/24 10:00 TDOC TELADOC HEALTH INC SHORT 1,552 14.42 5/14 13:19 12.78 0.02%
Trade id #147885117
Max drawdown($155)
Time4/12/24 11:35
Quant open1,552
Worst price14.52
Drawdown as % of equity-0.02%
$2,540
Includes Typical Broker Commissions trade costs of $5.00
4/2/24 9:39 CHTR CHARTER COMMUNICATIONS SHORT 107 282.83 5/14 13:19 275.54 0.02%
Trade id #147782762
Max drawdown($199)
Time5/8/24 0:00
Quant open107
Worst price284.69
Drawdown as % of equity-0.02%
$778
Includes Typical Broker Commissions trade costs of $2.14
5/7/24 12:26 COKE COCA-COLA BOTTLING LONG 33 998.59 5/14 13:03 947.16 0.26%
Trade id #148113099
Max drawdown($2,098)
Time5/9/24 0:00
Quant open33
Worst price935.00
Drawdown as % of equity-0.26%
($1,698)
Includes Typical Broker Commissions trade costs of $0.66
4/29/24 10:09 HE HAWAIIAN ELECTRIC SHORT 3,466 9.96 5/14 13:02 11.33 0.69%
Trade id #148037823
Max drawdown($5,684)
Time5/14/24 10:14
Quant open3,466
Worst price11.60
Drawdown as % of equity-0.69%
($4,756)
Includes Typical Broker Commissions trade costs of $7.50
4/29/24 10:22 STTK SHATTUCK LABS INC. COMMON STOCK LONG 5,248 11.24 5/14 13:02 9.00 1.51%
Trade id #148038063
Max drawdown($12,490)
Time5/14/24 12:49
Quant open5,248
Worst price8.86
Drawdown as % of equity-1.51%
($11,764)
Includes Typical Broker Commissions trade costs of $7.50
4/29/24 11:12 JANX JANUX THERAPEUTICS INC. COMMON STOCK LONG 920 52.80 5/9 12:22 51.95 0.23%
Trade id #148038884
Max drawdown($1,849)
Time5/9/24 10:25
Quant open920
Worst price50.79
Drawdown as % of equity-0.23%
($794)
Includes Typical Broker Commissions trade costs of $11.70
4/16/24 9:39 NVCR NOVOCURE LIMITED ORDINARY SHARES SHORT 985 12.31 5/7 12:40 15.48 0.47%
Trade id #147921843
Max drawdown($3,875)
Time5/7/24 9:54
Quant open985
Worst price16.25
Drawdown as % of equity-0.47%
($3,127)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $800,000
  • Strategy Age (days)
    4329.72
  • Age
    144 months ago
  • What it trades
    Stocks
  • # Trades
    3006
  • # Profitable
    1107
  • % Profitable
    36.80%
  • Avg trade duration
    16.5 days
  • Max peak-to-valley drawdown
    24.45%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    19.2%
  • Avg win
    $2,493
  • Avg loss
    $1,155
  • Model Account Values (Raw)
  • Cash
    $227,308
  • Margin Used
    $260,840
  • Buying Power
    ($667)
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0.84
  • Sortino Ratio
    1.21
  • Calmar Ratio
    1.022
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    415.82%
  • Correlation to SP500
    0.05700
  • Return Percent SP500 (cumu) during strategy life
    286.44%
  • Return Statistics
  • Ann Return (w trading costs)
    19.2%
  • Slump
  • Current Slump as Pcnt Equity
    13.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.06%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.192%
  • Instruments
  • Percent Trades Options
    0.04%
  • Percent Trades Stocks
    0.96%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.00%
  • Chance of 20% account loss
    34.00%
  • Chance of 30% account loss
    17.00%
  • Chance of 40% account loss
    4.00%
  • 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
    1.00%
  • Popularity
  • Popularity (Today)
    550
  • Popularity (Last 6 weeks)
    909
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    290
  • Popularity (7 days, Percentile 1000 scale)
    793
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,159
  • Avg Win
    $2,490
  • Sum Trade PL (losers)
    $2,196,860.000
  • Age
  • Num Months filled monthly returns table
    143
  • Win / Loss
  • Sum Trade PL (winners)
    $2,759,100.000
  • # Winners
    1108
  • Num Months Winners
    81
  • Dividends
  • Dividends Received in Model Acct
    200895
  • Win / Loss
  • # Losers
    1895
  • % Winners
    36.9%
  • Frequency
  • Avg Position Time (mins)
    38734.20
  • Avg Position Time (hrs)
    645.57
  • Avg Trade Length
    26.9 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.71
  • Daily leverage (max)
    3.69
  • Regression
  • Alpha
    0.05
  • Beta
    0.06
  • Treynor Index
    0.82
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • 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)
    19.49
  • MAE:Equity, average, winning trades
    0.07
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    230.695
  • 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
    22.983
  • Avg(MAE) / Avg(PL) - Losing trades
    -4.216
  • Hold-and-Hope Ratio
    0.004
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17814
  • SD
    0.20549
  • Sharpe ratio (Glass type estimate)
    0.86691
  • Sharpe ratio (Hedges UMVUE)
    0.86222
  • df
    139.00000
  • t
    2.96105
  • p
    0.34647
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28264
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44818
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27952
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44492
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84637
  • Upside Potential Ratio
    3.60488
  • Upside part of mean
    0.34780
  • Downside part of mean
    -0.16966
  • Upside SD
    0.18777
  • Downside SD
    0.09648
  • N nonnegative terms
    81.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    140.00000
  • Mean of predictor
    0.10008
  • Mean of criterion
    0.17814
  • SD of predictor
    0.15484
  • SD of criterion
    0.20549
  • Covariance
    -0.00059
  • r
    -0.01852
  • b (slope, estimate of beta)
    -0.02458
  • a (intercept, estimate of alpha)
    0.18060
  • Mean Square Error
    0.04252
  • DF error
    138.00000
  • t(b)
    -0.21758
  • p(b)
    0.50926
  • t(a)
    2.94052
  • p(a)
    0.37859
  • Lowerbound of 95% confidence interval for beta
    -0.24791
  • Upperbound of 95% confidence interval for beta
    0.19876
  • Lowerbound of 95% confidence interval for alpha
    0.05916
  • Upperbound of 95% confidence interval for alpha
    0.30204
  • Treynor index (mean / b)
    -7.24837
  • Jensen alpha (a)
    0.18060
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15693
  • SD
    0.19642
  • Sharpe ratio (Glass type estimate)
    0.79893
  • Sharpe ratio (Hedges UMVUE)
    0.79461
  • df
    139.00000
  • t
    2.72888
  • p
    0.35767
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21611
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37899
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21324
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37599
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57001
  • Upside Potential Ratio
    3.31219
  • Upside part of mean
    0.33107
  • Downside part of mean
    -0.17414
  • Upside SD
    0.17426
  • Downside SD
    0.09995
  • N nonnegative terms
    81.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    140.00000
  • Mean of predictor
    0.08741
  • Mean of criterion
    0.15693
  • SD of predictor
    0.15709
  • SD of criterion
    0.19642
  • Covariance
    -0.00052
  • r
    -0.01678
  • b (slope, estimate of beta)
    -0.02099
  • a (intercept, estimate of alpha)
    0.15876
  • Mean Square Error
    0.03885
  • DF error
    138.00000
  • t(b)
    -0.19720
  • p(b)
    0.50839
  • t(a)
    2.71615
  • p(a)
    0.38736
  • Lowerbound of 95% confidence interval for beta
    -0.23142
  • Upperbound of 95% confidence interval for beta
    0.18945
  • Lowerbound of 95% confidence interval for alpha
    0.04319
  • Upperbound of 95% confidence interval for alpha
    0.27434
  • Treynor index (mean / b)
    -7.47753
  • Jensen alpha (a)
    0.15876
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07706
  • Expected Shortfall on VaR
    0.09847
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02933
  • Expected Shortfall on VaR
    0.05768
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    140.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97883
  • Median
    1.01362
  • Quartile 3
    1.04136
  • Maximum
    1.27878
  • Mean of quarter 1
    0.95398
  • Mean of quarter 2
    0.99557
  • Mean of quarter 3
    1.02816
  • Mean of quarter 4
    1.09098
  • Inter Quartile Range
    0.06252
  • 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
    0.03571
  • Mean of outliers high
    1.20712
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29471
  • VaR(95%) (moments method)
    0.04966
  • Expected Shortfall (moments method)
    0.08103
  • Extreme Value Index (regression method)
    0.10573
  • VaR(95%) (regression method)
    0.04427
  • Expected Shortfall (regression method)
    0.06138
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00377
  • Quartile 1
    0.01994
  • Median
    0.04039
  • Quartile 3
    0.09035
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01373
  • Mean of quarter 2
    0.03360
  • Mean of quarter 3
    0.07115
  • Mean of quarter 4
    0.13856
  • Inter Quartile Range
    0.07041
  • 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)
    -4.49568
  • VaR(95%) (moments method)
    0.13663
  • Expected Shortfall (moments method)
    0.13666
  • Extreme Value Index (regression method)
    -0.87126
  • VaR(95%) (regression method)
    0.14889
  • Expected Shortfall (regression method)
    0.15694
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.65487
  • Compounded annual return (geometric extrapolation)
    0.20302
  • Calmar ratio (compounded annual return / max draw down)
    1.20124
  • Compounded annual return / average of 25% largest draw downs
    1.46525
  • Compounded annual return / Expected Shortfall lognormal
    2.06172
  • 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
    0.16863
  • SD
    0.15544
  • Sharpe ratio (Glass type estimate)
    1.08487
  • Sharpe ratio (Hedges UMVUE)
    1.08461
  • df
    3059.00000
  • t
    3.70757
  • p
    0.00011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51064
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65894
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65876
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57410
  • Upside Potential Ratio
    8.60150
  • Upside part of mean
    0.92146
  • Downside part of mean
    -0.75283
  • Upside SD
    0.11307
  • Downside SD
    0.10713
  • N nonnegative terms
    1689.00000
  • N negative terms
    1371.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3060.00000
  • Mean of predictor
    0.10216
  • Mean of criterion
    0.16863
  • SD of predictor
    0.16994
  • SD of criterion
    0.15544
  • Covariance
    0.00146
  • r
    0.05532
  • b (slope, estimate of beta)
    0.05060
  • a (intercept, estimate of alpha)
    0.16300
  • Mean Square Error
    0.02409
  • DF error
    3058.00000
  • t(b)
    3.06379
  • p(b)
    0.00110
  • t(a)
    3.59637
  • p(a)
    0.00016
  • Lowerbound of 95% confidence interval for beta
    0.01822
  • Upperbound of 95% confidence interval for beta
    0.08298
  • Lowerbound of 95% confidence interval for alpha
    0.07434
  • Upperbound of 95% confidence interval for alpha
    0.25258
  • Treynor index (mean / b)
    3.33279
  • Jensen alpha (a)
    0.16346
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15648
  • SD
    0.15555
  • Sharpe ratio (Glass type estimate)
    1.00592
  • Sharpe ratio (Hedges UMVUE)
    1.00567
  • df
    3059.00000
  • t
    3.43774
  • p
    0.00030
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57992
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43161
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57973
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.44267
  • Upside Potential Ratio
    8.43663
  • Upside part of mean
    0.91505
  • Downside part of mean
    -0.75858
  • Upside SD
    0.11189
  • Downside SD
    0.10846
  • N nonnegative terms
    1689.00000
  • N negative terms
    1371.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3060.00000
  • Mean of predictor
    0.08764
  • Mean of criterion
    0.15648
  • SD of predictor
    0.17050
  • SD of criterion
    0.15555
  • Covariance
    0.00148
  • r
    0.05580
  • b (slope, estimate of beta)
    0.05091
  • a (intercept, estimate of alpha)
    0.15201
  • Mean Square Error
    0.02413
  • DF error
    3058.00000
  • t(b)
    3.09073
  • p(b)
    0.00101
  • t(a)
    3.34269
  • p(a)
    0.00042
  • Lowerbound of 95% confidence interval for beta
    0.01861
  • Upperbound of 95% confidence interval for beta
    0.08321
  • Lowerbound of 95% confidence interval for alpha
    0.06285
  • Upperbound of 95% confidence interval for alpha
    0.24118
  • Treynor index (mean / b)
    3.07336
  • Jensen alpha (a)
    0.15201
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01510
  • Expected Shortfall on VaR
    0.01904
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00609
  • Expected Shortfall on VaR
    0.01276
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3060.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99689
  • Median
    1.00065
  • Quartile 3
    1.00464
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98968
  • Mean of quarter 2
    0.99910
  • Mean of quarter 3
    1.00241
  • Mean of quarter 4
    1.01181
  • Inter Quartile Range
    0.00775
  • Number outliers low
    157.00000
  • Percentage of outliers low
    0.05131
  • Mean of outliers low
    0.97707
  • Number of outliers high
    151.00000
  • Percentage of outliers high
    0.04935
  • Mean of outliers high
    1.02352
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35767
  • VaR(95%) (moments method)
    0.00972
  • Expected Shortfall (moments method)
    0.01809
  • Extreme Value Index (regression method)
    0.15566
  • VaR(95%) (regression method)
    0.00953
  • Expected Shortfall (regression method)
    0.01485
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    88.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00435
  • Median
    0.01823
  • Quartile 3
    0.04985
  • Maximum
    0.19820
  • Mean of quarter 1
    0.00187
  • Mean of quarter 2
    0.01020
  • Mean of quarter 3
    0.03021
  • Mean of quarter 4
    0.10243
  • Inter Quartile Range
    0.04550
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.07955
  • Mean of outliers high
    0.16131
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.02583
  • VaR(95%) (moments method)
    0.10441
  • Expected Shortfall (moments method)
    0.13747
  • Extreme Value Index (regression method)
    -0.01623
  • VaR(95%) (regression method)
    0.08641
  • Expected Shortfall (regression method)
    0.10546
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.65198
  • Compounded annual return (geometric extrapolation)
    0.20247
  • Calmar ratio (compounded annual return / max draw down)
    1.02157
  • Compounded annual return / average of 25% largest draw downs
    1.97679
  • Compounded annual return / Expected Shortfall lognormal
    10.63650
  • 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
    -0.07754
  • SD
    0.07368
  • Sharpe ratio (Glass type estimate)
    -1.05241
  • Sharpe ratio (Hedges UMVUE)
    -1.04633
  • df
    130.00000
  • t
    -0.74417
  • p
    0.53256
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.82524
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72428
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.82105
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72839
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.37632
  • Upside Potential Ratio
    5.94284
  • Upside part of mean
    0.33483
  • Downside part of mean
    -0.41237
  • Upside SD
    0.04729
  • Downside SD
    0.05634
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30422
  • Mean of criterion
    -0.07754
  • SD of predictor
    0.11073
  • SD of criterion
    0.07368
  • Covariance
    -0.00005
  • r
    -0.00638
  • b (slope, estimate of beta)
    -0.00424
  • a (intercept, estimate of alpha)
    -0.07625
  • Mean Square Error
    0.00547
  • DF error
    129.00000
  • t(b)
    -0.07242
  • p(b)
    0.50406
  • t(a)
    -0.71862
  • p(a)
    0.54017
  • Lowerbound of 95% confidence interval for beta
    -0.12015
  • Upperbound of 95% confidence interval for beta
    0.11167
  • Lowerbound of 95% confidence interval for alpha
    -0.28620
  • Upperbound of 95% confidence interval for alpha
    0.13369
  • Treynor index (mean / b)
    18.27830
  • Jensen alpha (a)
    -0.07625
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08025
  • SD
    0.07376
  • Sharpe ratio (Glass type estimate)
    -1.08791
  • Sharpe ratio (Hedges UMVUE)
    -1.08162
  • df
    130.00000
  • t
    -0.76926
  • p
    0.53366
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.86081
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68911
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.85654
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69331
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41670
  • Upside Potential Ratio
    5.89105
  • Upside part of mean
    0.33368
  • Downside part of mean
    -0.41393
  • Upside SD
    0.04707
  • Downside SD
    0.05664
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29794
  • Mean of criterion
    -0.08025
  • SD of predictor
    0.11066
  • SD of criterion
    0.07376
  • Covariance
    -0.00006
  • r
    -0.00676
  • b (slope, estimate of beta)
    -0.00451
  • a (intercept, estimate of alpha)
    -0.07890
  • Mean Square Error
    0.00548
  • DF error
    129.00000
  • t(b)
    -0.07678
  • p(b)
    0.50430
  • t(a)
    -0.74321
  • p(a)
    0.54154
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.12062
  • Upperbound of 95% confidence interval for beta
    0.11161
  • Lowerbound of 95% confidence interval for alpha
    -0.28895
  • Upperbound of 95% confidence interval for alpha
    0.13115
  • Treynor index (mean / b)
    17.80760
  • Jensen alpha (a)
    -0.07890
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00777
  • Expected Shortfall on VaR
    0.00966
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00351
  • Expected Shortfall on VaR
    0.00716
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98232
  • Quartile 1
    0.99830
  • Median
    1.00025
  • Quartile 3
    1.00083
  • Maximum
    1.01503
  • Mean of quarter 1
    0.99433
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00051
  • Mean of quarter 4
    1.00478
  • Inter Quartile Range
    0.00252
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.99026
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.00801
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17649
  • VaR(95%) (moments method)
    0.00506
  • Expected Shortfall (moments method)
    0.00790
  • Extreme Value Index (regression method)
    0.04099
  • VaR(95%) (regression method)
    0.00602
  • Expected Shortfall (regression method)
    0.00882
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00048
  • Quartile 1
    0.00838
  • Median
    0.02586
  • Quartile 3
    0.04173
  • Maximum
    0.04482
  • Mean of quarter 1
    0.00048
  • Mean of quarter 2
    0.01101
  • Mean of quarter 3
    0.04070
  • Mean of quarter 4
    0.04482
  • Inter Quartile Range
    0.03336
  • 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?
    -385307000
  • Max Equity Drawdown (num days)
    195
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05166
  • Compounded annual return (geometric extrapolation)
    -0.05099
  • Calmar ratio (compounded annual return / max draw down)
    -1.13765
  • Compounded annual return / average of 25% largest draw downs
    -1.13765
  • Compounded annual return / Expected Shortfall lognormal
    -5.27998

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.


Frequently asked questions:

Where can I learn more about your strategy?

I send out a newsletter each Sunday that discusses Trend Following trading and my thoughts on the market. By joining my system, you will receive this newsletter at no extra cost.

Does this system need to be auto-traded?

No. Most signals will be sent out after the market has closed, 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. The portfolio of stocks held contains longs and shorts, potentially lowering the correlation to the S&P 500.


Do you use leverage?

Rarely, but yes during strongly trending markets.


Do you use stops?

No, trades are exited based on end of day closing prices.

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 17 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
$800,000
# Trades
3006
# Profitable
1107
% Profitable
36.8%
Net Dividends
Correlation S&P500
0.057
Sharpe Ratio
0.84
Sortino Ratio
1.21
Beta
0.06
Alpha
0.05
Leverage
1.71 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.