Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

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

The Spirit of Nicolas Darvas.
(81877382)

Created by: Danny Danny
Started: 07/2013
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.

21.1%
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.

(29.4%)
Max Drawdown
3409
Num Trades
36.7%
Win Trades
1.4 : 1
Profit Factor
59.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                          +11.4%(2.8%)+18.0%+7.5%+1.9%+1.6%+42.2%
2014+17.4%(2.1%)+0.7%(2.2%)+0.7%+6.0%(6.4%)+5.0%(7.7%)(3.3%)+3.3%+2.9%+12.7%
2015(4.3%)(0.1%)(9.1%)+2.3%+14.3%+14.2%+16.3%(7%)+7.4%(4.7%)(1.2%)+0.9%+27.9%
2016+2.1%(0.3%)(0.3%)(1.6%)(2.3%)(2.6%)+7.5%(2.2%)(2.2%)+2.0%+32.3%(7.7%)+21.4%
2017+4.8%+12.1%+2.1%+1.2%+6.6%(2.9%)+1.7%+9.5%+5.5%+3.9%+4.6%+5.3%+68.7%
2018+8.5%(0.1%)+0.9%(0.3%)+10.4%+3.4%(1.9%)+8.2%+2.6%(10.3%)(1.4%)+1.3%+21.3%
2019(0.4%)+4.1%(0.8%)(2.3%)+1.5%+0.9%+3.5%+3.8%(6.2%)(1.4%)(1.1%)+3.9%+5.0%
2020+0.6%(2.8%)+4.4%(4.9%)(1.9%)+5.5%+9.8%+9.5%(6.8%)(2.2%)+1.1%+18.4%+31.7%
2021  -  (0.5%)+0.2%+0.5%(1%)+3.0%(6.4%)(0.5%)+0.3%+1.2%(3.6%)+1.1%(5.8%)
2022(0.2%)+2.8%+0.2%+8.7%(1.1%)+7.1%(3.5%)(0.2%)+2.5%+0.3%(1.9%)+1.6%+16.7%
2023(0.8%)+1.2%+1.3%+1.4%(0.4%)+0.2%+0.8%+0.8%+3.7%+2.4%(0.7%)(2.8%)+7.2%
2024(2.2%)+1.2%+1.8%+1.8%(4.7%)+0.5%+1.7%                              (0.2%)

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 7,693 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
7/4/24 11:04 TSX.AEM AGNICO EAGLE MINES LIMITED LONG 200 CAD 93.57 7/10 12:41 CAD 99.13 n/a $778
Includes Typical Broker Commissions trade costs of $38.55
5/20/24 10:06 RSKD RISKIFIED LTD LONG 3,556 6.09 7/10 12:41 6.07 0.11%
Trade id #148207248
Max drawdown($902)
Time5/29/24 0:00
Quant open3,556
Worst price5.84
Drawdown as % of equity-0.11%
($99)
Includes Typical Broker Commissions trade costs of $12.08
6/27/24 10:41 RNA AVIDITY BIOSCIENCES INC. COMMON STOCK LONG 768 40.43 7/10 12:41 41.06 0.18%
Trade id #148516471
Max drawdown($1,457)
Time7/5/24 0:00
Quant open384
Worst price36.63
Drawdown as % of equity-0.18%
$471
Includes Typical Broker Commissions trade costs of $15.36
4/2/24 9:54 NAAS NAAS TECHNOLOGY INC. ADS SHORT 1,477 21.18 7/10 12:26 5.06 0.32%
Trade id #147783173
Max drawdown($2,691)
Time4/9/24 0:00
Quant open1,477
Worst price23.00
Drawdown as % of equity-0.32%
$23,797
Includes Typical Broker Commissions trade costs of $12.38
6/28/24 10:13 ESI ELEMENT SOLUTIONS INC LONG 1,441 27.22 7/4 13:19 26.73 0.1%
Trade id #148530083
Max drawdown($835)
Time7/1/24 0:00
Quant open1,441
Worst price26.64
Drawdown as % of equity-0.10%
($710)
Includes Typical Broker Commissions trade costs of $5.00
7/4/24 10:01 TSX.AEM AGNICO EAGLE MINES LIMITED LONG 700 CAD 93.47 7/4 11:04 CAD 93.55 n/a ($92)
Includes Typical Broker Commissions trade costs of $130.91
6/28/24 10:04 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 69 391.64 7/2 9:47 384.18 0.12%
Trade id #148529902
Max drawdown($946)
Time7/1/24 0:00
Quant open69
Worst price377.92
Drawdown as % of equity-0.12%
($516)
Includes Typical Broker Commissions trade costs of $1.38
6/28/24 9:40 HIMX HIMAX TECHNOLOGIES LONG 2,883 8.08 7/1 10:03 7.68 0.15%
Trade id #148529411
Max drawdown($1,210)
Time7/1/24 10:03
Quant open2,883
Worst price7.66
Drawdown as % of equity-0.15%
($1,157)
Includes Typical Broker Commissions trade costs of $10.00
6/28/24 10:15 GME GAMESTOP LONG 182 25.30 7/1 9:30 23.35 0.05%
Trade id #148530134
Max drawdown($375)
Time7/1/24 9:30
Quant open182
Worst price23.23
Drawdown as % of equity-0.05%
($358)
Includes Typical Broker Commissions trade costs of $3.64
5/21/24 13:28 FNA PARAGON 28 INC SHORT 2,886 7.33 7/1 9:30 6.89 0.24%
Trade id #148218655
Max drawdown($1,964)
Time5/30/24 0:00
Quant open2,886
Worst price8.01
Drawdown as % of equity-0.24%
$1,250
Includes Typical Broker Commissions trade costs of $10.00
5/22/24 9:42 TFLO ISHARES TREASURY FLOATING RATE LONG 18,000 50.64 6/28 9:50 50.60 0.3%
Trade id #148224820
Max drawdown($2,395)
Time6/3/24 0:00
Quant open15,000
Worst price50.48
Drawdown as % of equity-0.30%
($702)
Includes Typical Broker Commissions trade costs of $65.00
4/29/24 10:17 SN SHARKNINJA INC LONG 1,112 64.28 6/28 9:30 73.01 0.15%
Trade id #148037965
Max drawdown($1,290)
Time4/30/24 0:00
Quant open1,112
Worst price63.12
Drawdown as % of equity-0.15%
$9,690
Includes Typical Broker Commissions trade costs of $13.12
5/10/24 11:35 MVIS MICROVISION SHORT 6,976 1.20 6/27 9:34 1.07 0.41%
Trade id #148141850
Max drawdown($3,418)
Time5/14/24 0:00
Quant open6,976
Worst price1.69
Drawdown as % of equity-0.41%
$902
Includes Typical Broker Commissions trade costs of $5.00
6/14/24 13:42 SLV2517A50 SLV Jan17'25 50 call LONG 290 0.23 6/26 9:48 0.13 0.35%
Trade id #148412282
Max drawdown($2,834)
Time6/26/24 9:30
Quant open290
Worst price0.13
Drawdown as % of equity-0.35%
($3,238)
Includes Typical Broker Commissions trade costs of $406.00
6/14/24 13:37 ZSL PROSHARES ULTRASHORT SILVER SHORT 2,426 11.04 6/26 9:47 11.72 0.21%
Trade id #148412241
Max drawdown($1,703)
Time6/26/24 9:41
Quant open2,426
Worst price11.74
Drawdown as % of equity-0.21%
($1,675)
Includes Typical Broker Commissions trade costs of $7.50
6/17/24 10:23 PINC PREMIER INC. CLASS A COMMON S SHORT 2,219 18.10 6/21 15:26 18.26 0.13%
Trade id #148427354
Max drawdown($1,088)
Time6/21/24 9:56
Quant open2,219
Worst price18.59
Drawdown as % of equity-0.13%
($361)
Includes Typical Broker Commissions trade costs of $5.00
6/14/24 10:05 IRWD IRONWOOD PHARMACEUTICALS SHORT 2,234 5.74 6/21 15:23 6.01 0.1%
Trade id #148409160
Max drawdown($791)
Time6/21/24 13:58
Quant open2,234
Worst price6.09
Drawdown as % of equity-0.10%
($625)
Includes Typical Broker Commissions trade costs of $5.00
6/6/24 11:02 PAYC PAYCOM SOFTWARE INC SHORT 162 144.07 6/21 15:20 146.32 0.08%
Trade id #148345203
Max drawdown($604)
Time6/12/24 0:00
Quant open162
Worst price147.80
Drawdown as % of equity-0.08%
($368)
Includes Typical Broker Commissions trade costs of $3.24
6/14/24 10:09 LKQ LKQ SHORT 949 39.93 6/18 15:58 41.00 0.17%
Trade id #148409216
Max drawdown($1,340)
Time6/18/24 10:12
Quant open949
Worst price41.34
Drawdown as % of equity-0.17%
($1,025)
Includes Typical Broker Commissions trade costs of $5.00
3/11/24 10:22 MBIO MUSTANG BIO INC. COMMON STOCK SHORT 8,384 1.13 6/18 9:44 1.20 0.21%
Trade id #147591655
Max drawdown($1,796)
Time3/21/24 0:00
Quant open8,384
Worst price1.34
Drawdown as % of equity-0.21%
($628)
Includes Typical Broker Commissions trade costs of $5.00
5/10/24 11:16 NRDY NERDY INC SHORT 4,830 2.25 6/14 9:41 1.98 0.03%
Trade id #148141706
Max drawdown($244)
Time5/14/24 0:00
Quant open4,830
Worst price2.31
Drawdown as % of equity-0.03%
$1,332
Includes Typical Broker Commissions trade costs of $5.00
4/8/24 10:06 SLRN ACELYRIN INC. SHORT 3,360 5.96 6/10 9:30 4.45 0.12%
Trade id #147836335
Max drawdown($1,027)
Time4/9/24 0:00
Quant open3,360
Worst price6.27
Drawdown as % of equity-0.12%
$5,081
Includes Typical Broker Commissions trade costs of $7.50
5/29/24 15:26 MNRO MONRO INC SHORT 759 22.49 6/7 9:49 24.79 0.24%
Trade id #148282521
Max drawdown($1,922)
Time6/3/24 0:00
Quant open759
Worst price25.02
Drawdown as % of equity-0.24%
($1,753)
Includes Typical Broker Commissions trade costs of $5.00
5/20/24 11:28 SLV2517A47 SLV Jan17'25 47 call LONG 140 0.67 6/7 9:43 0.31 0.63%
Trade id #148208262
Max drawdown($5,110)
Time6/4/24 0:00
Quant open140
Worst price0.30
Drawdown as % of equity-0.63%
($5,159)
Includes Typical Broker Commissions trade costs of $196.00
6/6/24 10:54 JDST DIREXION DAILY JR GOLD BEAR 2X SHORT 4,163 3.56 6/7 9:43 3.76 0.11%
Trade id #148345101
Max drawdown($910)
Time6/7/24 9:38
Quant open4,163
Worst price3.78
Drawdown as % of equity-0.11%
($826)
Includes Typical Broker Commissions trade costs of $5.00
6/6/24 11:19 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 2,048 7.22 6/7 9:41 7.64 0.12%
Trade id #148345359
Max drawdown($958)
Time6/7/24 9:38
Quant open2,048
Worst price7.69
Drawdown as % of equity-0.12%
($870)
Includes Typical Broker Commissions trade costs of $5.00
5/20/24 11:04 GLD2420L300 GLD Dec20'24 300 call LONG 69 1.13 6/7 9:38 0.42 0.61%
Trade id #148207915
Max drawdown($4,893)
Time6/7/24 9:38
Quant open69
Worst price0.42
Drawdown as % of equity-0.61%
($4,987)
Includes Typical Broker Commissions trade costs of $96.60
5/21/24 10:13 REPL REPLIMUNE GROUP INC. COMMON STOCK SHORT 1,973 5.69 6/6 10:51 6.93 0.39%
Trade id #148216204
Max drawdown($3,112)
Time6/6/24 10:37
Quant open1,973
Worst price7.27
Drawdown as % of equity-0.39%
($2,451)
Includes Typical Broker Commissions trade costs of $5.00
5/10/24 11:25 TIXT TELUS INTERNATIONAL (CDA) INC SHORT 2,310 6.23 6/5 14:36 5.88 0.1%
Trade id #148141760
Max drawdown($854)
Time5/13/24 0:00
Quant open2,310
Worst price6.60
Drawdown as % of equity-0.10%
$804
Includes Typical Broker Commissions trade costs of $5.00
5/20/24 9:39 SGRP SPAR GROUP LONG 7,025 2.12 6/5 14:33 2.36 0.13%
Trade id #148206659
Max drawdown($1,087)
Time5/20/24 15:53
Quant open7,025
Worst price1.97
Drawdown as % of equity-0.13%
$1,611
Includes Typical Broker Commissions trade costs of $14.87

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $840,000
  • Strategy Age (days)
    4023.2
  • Age
    134 months ago
  • What it trades
    Stocks
  • # Trades
    3409
  • # Profitable
    1251
  • % Profitable
    36.70%
  • Avg trade duration
    14.6 days
  • Max peak-to-valley drawdown
    29.38%
  • drawdown period
    Sept 08, 2014 - March 26, 2015
  • Annual Return (Compounded)
    21.1%
  • Avg win
    $2,469
  • Avg loss
    $1,148
  • Model Account Values (Raw)
  • Cash
    $1,061,200
  • Margin Used
    $1,099,620
  • Buying Power
    $424
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    0.77
  • Sortino Ratio
    1.14
  • Calmar Ratio
    1.021
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    483.94%
  • Correlation to SP500
    0.04280
  • Return Percent SP500 (cumu) during strategy life
    242.21%
  • Return Statistics
  • Ann Return (w trading costs)
    21.1%
  • Slump
  • Current Slump as Pcnt Equity
    4.80%
  • 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)
    0.211%
  • Instruments
  • Percent Trades Options
    0.07%
  • Percent Trades Stocks
    0.93%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    58.50%
  • Chance of 20% account loss
    36.50%
  • Chance of 30% account loss
    14.00%
  • 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
    3.50%
  • Popularity
  • Popularity (Today)
    612
  • Popularity (Last 6 weeks)
    935
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    442
  • Popularity (7 days, Percentile 1000 scale)
    845
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,149
  • Avg Win
    $2,468
  • Sum Trade PL (losers)
    $2,477,800.000
  • Age
  • Num Months filled monthly returns table
    133
  • Win / Loss
  • Sum Trade PL (winners)
    $3,089,870.000
  • # Winners
    1252
  • Num Months Winners
    80
  • Dividends
  • Dividends Received in Model Acct
    171683
  • AUM
  • AUM (AutoTrader live capital)
    4790630
  • Win / Loss
  • # Losers
    2156
  • % Winners
    36.7%
  • Frequency
  • Avg Position Time (mins)
    35905.70
  • Avg Position Time (hrs)
    598.43
  • Avg Trade Length
    24.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.83
  • Daily leverage (max)
    13.66
  • Regression
  • Alpha
    0.05
  • Beta
    0.05
  • Treynor Index
    1.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.36
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.72
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    6.76
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    78.969
  • 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
    9.245
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.273
  • Hold-and-Hope Ratio
    0.013
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19387
  • SD
    0.19139
  • Sharpe ratio (Glass type estimate)
    1.01300
  • Sharpe ratio (Hedges UMVUE)
    1.00705
  • df
    128.00000
  • t
    3.32133
  • p
    0.35916
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40059
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62162
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39667
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61743
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.17884
  • Upside Potential Ratio
    3.75786
  • Upside part of mean
    0.33437
  • Downside part of mean
    -0.14050
  • Upside SD
    0.17765
  • Downside SD
    0.08898
  • N nonnegative terms
    77.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    0.09707
  • Mean of criterion
    0.19387
  • SD of predictor
    0.14612
  • SD of criterion
    0.19139
  • Covariance
    0.00191
  • r
    0.06838
  • b (slope, estimate of beta)
    0.08956
  • a (intercept, estimate of alpha)
    0.18518
  • Mean Square Error
    0.03674
  • DF error
    127.00000
  • t(b)
    0.77239
  • p(b)
    0.45650
  • t(a)
    3.11028
  • p(a)
    0.33265
  • Lowerbound of 95% confidence interval for beta
    -0.13989
  • Upperbound of 95% confidence interval for beta
    0.31901
  • Lowerbound of 95% confidence interval for alpha
    0.06736
  • Upperbound of 95% confidence interval for alpha
    0.30300
  • Treynor index (mean / b)
    2.16469
  • Jensen alpha (a)
    0.18518
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17482
  • SD
    0.18433
  • Sharpe ratio (Glass type estimate)
    0.94840
  • Sharpe ratio (Hedges UMVUE)
    0.94283
  • df
    128.00000
  • t
    3.10954
  • p
    0.36749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33399
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55167
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88595
  • Upside Potential Ratio
    3.44317
  • Upside part of mean
    0.31917
  • Downside part of mean
    -0.14435
  • Upside SD
    0.16634
  • Downside SD
    0.09270
  • N nonnegative terms
    77.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    0.08592
  • Mean of criterion
    0.17482
  • SD of predictor
    0.14627
  • SD of criterion
    0.18433
  • Covariance
    0.00198
  • r
    0.07361
  • b (slope, estimate of beta)
    0.09277
  • a (intercept, estimate of alpha)
    0.16685
  • Mean Square Error
    0.03406
  • DF error
    127.00000
  • t(b)
    0.83181
  • p(b)
    0.45318
  • t(a)
    2.92214
  • p(a)
    0.34190
  • Lowerbound of 95% confidence interval for beta
    -0.12792
  • Upperbound of 95% confidence interval for beta
    0.31346
  • Lowerbound of 95% confidence interval for alpha
    0.05386
  • Upperbound of 95% confidence interval for alpha
    0.27984
  • Treynor index (mean / b)
    1.88448
  • Jensen alpha (a)
    0.16685
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07036
  • Expected Shortfall on VaR
    0.09063
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02323
  • Expected Shortfall on VaR
    0.04851
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    129.00000
  • Minimum
    0.86117
  • Quartile 1
    0.98977
  • Median
    1.01308
  • Quartile 3
    1.04059
  • Maximum
    1.23937
  • Mean of quarter 1
    0.96031
  • Mean of quarter 2
    1.00064
  • Mean of quarter 3
    1.02512
  • Mean of quarter 4
    1.08968
  • Inter Quartile Range
    0.05082
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.88917
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05426
  • Mean of outliers high
    1.16733
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.20921
  • VaR(95%) (moments method)
    0.03020
  • Expected Shortfall (moments method)
    0.03887
  • Extreme Value Index (regression method)
    -0.17864
  • VaR(95%) (regression method)
    0.04242
  • Expected Shortfall (regression method)
    0.05690
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00618
  • Quartile 1
    0.01871
  • Median
    0.04447
  • Quartile 3
    0.07638
  • Maximum
    0.19334
  • Mean of quarter 1
    0.01167
  • Mean of quarter 2
    0.03220
  • Mean of quarter 3
    0.05785
  • Mean of quarter 4
    0.11769
  • Inter Quartile Range
    0.05767
  • 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
    0.05556
  • Mean of outliers high
    0.19334
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.39958
  • VaR(95%) (moments method)
    0.13344
  • Expected Shortfall (moments method)
    0.15280
  • Extreme Value Index (regression method)
    0.13280
  • VaR(95%) (regression method)
    0.14723
  • Expected Shortfall (regression method)
    0.20064
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.72935
  • Compounded annual return (geometric extrapolation)
    0.22474
  • Calmar ratio (compounded annual return / max draw down)
    1.16240
  • Compounded annual return / average of 25% largest draw downs
    1.90956
  • Compounded annual return / Expected Shortfall lognormal
    2.47984
  • 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
    0.19160
  • SD
    0.18347
  • Sharpe ratio (Glass type estimate)
    1.04427
  • Sharpe ratio (Hedges UMVUE)
    1.04399
  • df
    2819.00000
  • t
    3.42599
  • p
    0.00031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44615
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64221
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44596
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64202
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51540
  • Upside Potential Ratio
    8.19064
  • Upside part of mean
    1.03557
  • Downside part of mean
    -0.84397
  • Upside SD
    0.13344
  • Downside SD
    0.12643
  • N nonnegative terms
    1576.00000
  • N negative terms
    1244.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2820.00000
  • Mean of predictor
    0.10181
  • Mean of criterion
    0.19160
  • SD of predictor
    0.17309
  • SD of criterion
    0.18347
  • Covariance
    0.00134
  • r
    0.04227
  • b (slope, estimate of beta)
    0.04481
  • a (intercept, estimate of alpha)
    0.18700
  • Mean Square Error
    0.03361
  • DF error
    2818.00000
  • t(b)
    2.24615
  • p(b)
    0.01239
  • t(a)
    3.34461
  • p(a)
    0.00042
  • Lowerbound of 95% confidence interval for beta
    0.00569
  • Upperbound of 95% confidence interval for beta
    0.08393
  • Lowerbound of 95% confidence interval for alpha
    0.07738
  • Upperbound of 95% confidence interval for alpha
    0.29669
  • Treynor index (mean / b)
    4.27566
  • Jensen alpha (a)
    0.18704
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17467
  • SD
    0.18364
  • Sharpe ratio (Glass type estimate)
    0.95117
  • Sharpe ratio (Hedges UMVUE)
    0.95092
  • df
    2819.00000
  • t
    3.12057
  • p
    0.00091
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54885
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.35704
  • Upside Potential Ratio
    7.97680
  • Upside part of mean
    1.02674
  • Downside part of mean
    -0.85207
  • Upside SD
    0.13138
  • Downside SD
    0.12872
  • N nonnegative terms
    1576.00000
  • N negative terms
    1244.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2820.00000
  • Mean of predictor
    0.08674
  • Mean of criterion
    0.17467
  • SD of predictor
    0.17367
  • SD of criterion
    0.18364
  • Covariance
    0.00136
  • r
    0.04261
  • b (slope, estimate of beta)
    0.04506
  • a (intercept, estimate of alpha)
    0.17077
  • Mean Square Error
    0.03367
  • DF error
    2818.00000
  • t(b)
    2.26412
  • p(b)
    0.01182
  • t(a)
    3.05152
  • p(a)
    0.00115
  • Lowerbound of 95% confidence interval for beta
    0.00604
  • Upperbound of 95% confidence interval for beta
    0.08408
  • Lowerbound of 95% confidence interval for alpha
    0.06104
  • Upperbound of 95% confidence interval for alpha
    0.28049
  • Treynor index (mean / b)
    3.87661
  • Jensen alpha (a)
    0.17077
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01783
  • Expected Shortfall on VaR
    0.02247
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00672
  • Expected Shortfall on VaR
    0.01437
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2820.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99672
  • Median
    1.00080
  • Quartile 3
    1.00533
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98830
  • Mean of quarter 2
    0.99911
  • Mean of quarter 3
    1.00276
  • Mean of quarter 4
    1.01318
  • Inter Quartile Range
    0.00861
  • Number outliers low
    130.00000
  • Percentage of outliers low
    0.04610
  • Mean of outliers low
    0.97212
  • Number of outliers high
    131.00000
  • Percentage of outliers high
    0.04645
  • Mean of outliers high
    1.02878
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25875
  • VaR(95%) (moments method)
    0.01006
  • Expected Shortfall (moments method)
    0.01700
  • Extreme Value Index (regression method)
    0.16346
  • VaR(95%) (regression method)
    0.01073
  • Expected Shortfall (regression method)
    0.01702
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    74.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00895
  • Median
    0.03146
  • Quartile 3
    0.07039
  • Maximum
    0.21989
  • Mean of quarter 1
    0.00360
  • Mean of quarter 2
    0.01911
  • Mean of quarter 3
    0.05071
  • Mean of quarter 4
    0.10608
  • Inter Quartile Range
    0.06144
  • 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
    0.01351
  • Mean of outliers high
    0.21989
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.04077
  • VaR(95%) (moments method)
    0.11364
  • Expected Shortfall (moments method)
    0.13899
  • Extreme Value Index (regression method)
    -0.11375
  • VaR(95%) (regression method)
    0.10212
  • Expected Shortfall (regression method)
    0.11804
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.72935
  • Compounded annual return (geometric extrapolation)
    0.22456
  • Calmar ratio (compounded annual return / max draw down)
    1.02123
  • Compounded annual return / average of 25% largest draw downs
    2.11684
  • Compounded annual return / Expected Shortfall lognormal
    9.99360
  • 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
    0.05551
  • SD
    0.07797
  • Sharpe ratio (Glass type estimate)
    0.71186
  • Sharpe ratio (Hedges UMVUE)
    0.70774
  • df
    130.00000
  • t
    0.50336
  • p
    0.47795
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.06263
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.48369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.06540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.48088
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99071
  • Upside Potential Ratio
    8.73410
  • Upside part of mean
    0.48935
  • Downside part of mean
    -0.43384
  • Upside SD
    0.05391
  • Downside SD
    0.05603
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33892
  • Mean of criterion
    0.05551
  • SD of predictor
    0.10780
  • SD of criterion
    0.07797
  • Covariance
    -0.00046
  • r
    -0.05513
  • b (slope, estimate of beta)
    -0.03988
  • a (intercept, estimate of alpha)
    0.06902
  • Mean Square Error
    0.00611
  • DF error
    129.00000
  • t(b)
    -0.62714
  • p(b)
    0.53508
  • t(a)
    0.61292
  • p(a)
    0.46571
  • Lowerbound of 95% confidence interval for beta
    -0.16569
  • Upperbound of 95% confidence interval for beta
    0.08593
  • Lowerbound of 95% confidence interval for alpha
    -0.15378
  • Upperbound of 95% confidence interval for alpha
    0.29183
  • Treynor index (mean / b)
    -1.39185
  • Jensen alpha (a)
    0.06902
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05248
  • SD
    0.07804
  • Sharpe ratio (Glass type estimate)
    0.67241
  • Sharpe ratio (Hedges UMVUE)
    0.66852
  • df
    130.00000
  • t
    0.47547
  • p
    0.47917
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.10181
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.44421
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.10447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.44152
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93178
  • Upside Potential Ratio
    8.66254
  • Upside part of mean
    0.48785
  • Downside part of mean
    -0.43538
  • Upside SD
    0.05369
  • Downside SD
    0.05632
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33291
  • Mean of criterion
    0.05248
  • SD of predictor
    0.10771
  • SD of criterion
    0.07804
  • Covariance
    -0.00047
  • r
    -0.05573
  • b (slope, estimate of beta)
    -0.04038
  • a (intercept, estimate of alpha)
    0.06592
  • Mean Square Error
    0.00612
  • DF error
    129.00000
  • t(b)
    -0.63394
  • p(b)
    0.53546
  • t(a)
    0.58523
  • p(a)
    0.46725
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    -0.16640
  • Upperbound of 95% confidence interval for beta
    0.08564
  • Lowerbound of 95% confidence interval for alpha
    -0.15693
  • Upperbound of 95% confidence interval for alpha
    0.28877
  • Treynor index (mean / b)
    -1.29957
  • Jensen alpha (a)
    0.06592
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00770
  • Expected Shortfall on VaR
    0.00970
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00379
  • Expected Shortfall on VaR
    0.00750
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98193
  • Quartile 1
    0.99821
  • Median
    1.00014
  • Quartile 3
    1.00304
  • Maximum
    1.01511
  • Mean of quarter 1
    0.99434
  • Mean of quarter 2
    0.99930
  • Mean of quarter 3
    1.00175
  • Mean of quarter 4
    1.00593
  • Inter Quartile Range
    0.00482
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98652
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01347
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01680
  • VaR(95%) (moments method)
    0.00465
  • Expected Shortfall (moments method)
    0.00640
  • Extreme Value Index (regression method)
    -0.13443
  • VaR(95%) (regression method)
    0.00549
  • Expected Shortfall (regression method)
    0.00731
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00157
  • Median
    0.00241
  • Quartile 3
    0.00698
  • Maximum
    0.07052
  • Mean of quarter 1
    0.00077
  • Mean of quarter 2
    0.00185
  • Mean of quarter 3
    0.00444
  • Mean of quarter 4
    0.02670
  • Inter Quartile Range
    0.00541
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.04507
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.81154
  • VaR(95%) (moments method)
    0.02793
  • Expected Shortfall (moments method)
    0.15829
  • Extreme Value Index (regression method)
    2.80485
  • VaR(95%) (regression method)
    0.04606
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -408540000
  • Max Equity Drawdown (num days)
    199
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08202
  • Compounded annual return (geometric extrapolation)
    0.08370
  • Calmar ratio (compounded annual return / max draw down)
    1.18692
  • Compounded annual return / average of 25% largest draw downs
    3.13468
  • Compounded annual return / Expected Shortfall lognormal
    8.63263

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
2013-07-07
Suggested Minimum Capital
$840,000
# Trades
3409
# Profitable
1251
% Profitable
36.7%
Net Dividends
Correlation S&P500
0.043
Sharpe Ratio
0.77
Sortino Ratio
1.14
Beta
0.05
Alpha
0.05
Leverage
1.83 Average
13.66 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.