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The Spirit of Nicolas Darvas.
(81877382)

Created by: Danny Danny
Started: 07/2013
Stocks
Last trade: 4 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.

20.7%
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
3546
Num Trades
36.6%
Win Trades
1.4 : 1
Profit Factor
58.8%
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%  -  (11.4%)+14.4%+1.4%            +0.8%

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 8,164 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/2/24 14:03 XOM EXXON MOBIL LONG 320 120.37 10/18 10:35 120.87 0.02%
Trade id #149563083
Max drawdown($187)
Time10/15/24 0:00
Quant open320
Worst price119.78
Drawdown as % of equity-0.02%
 $155
Includes Typical Broker Commissions trade costs of $6.40
10/16/24 9:56 AEYE AUDIOEYE INC. COMMON STOCK LONG 547 25.48 10/18 10:33 25.03 0.09%
Trade id #149673231
Max drawdown($727)
Time10/17/24 0:00
Quant open547
Worst price24.15
Drawdown as % of equity-0.09%
 ($251)
Includes Typical Broker Commissions trade costs of $5.00
10/16/24 9:57 LOCO EL POLLO LOCO HOLDINGS INC. C LONG 2,762 13.84 10/17 12:09 13.61 0.08%
Trade id #149673248
Max drawdown($680)
Time10/17/24 10:34
Quant open2,762
Worst price13.59
Drawdown as % of equity-0.08%
 ($630)
Includes Typical Broker Commissions trade costs of $5.00
10/11/24 15:04 DBD DIEBOLD NIXDORF INC LONG 504 45.88 10/16 9:56 45.48 0.02%
Trade id #149641790
Max drawdown($204)
Time10/16/24 9:56
Quant open504
Worst price45.48
Drawdown as % of equity-0.02%
 ($209)
Includes Typical Broker Commissions trade costs of $5.00
10/11/24 15:09 GLNG GOLAR LNG LONG 830 38.89 10/15 10:36 38.24 0.08%
Trade id #149641824
Max drawdown($686)
Time10/15/24 10:24
Quant open830
Worst price38.06
Drawdown as % of equity-0.08%
 ($544)
Includes Typical Broker Commissions trade costs of $5.00
10/15/24 9:30 UBER UBER TECHNOLOGIES INC LONG 346 84.77 10/15 10:36 82.78 0.09%
Trade id #149661698
Max drawdown($733)
Time10/15/24 10:22
Quant open346
Worst price82.65
Drawdown as % of equity-0.09%
 ($697)
Includes Typical Broker Commissions trade costs of $6.92
10/11/24 14:52 CPNG COUPANG INC LONG 1,257 25.73 10/15 10:21 25.25 0.1%
Trade id #149641712
Max drawdown($818)
Time10/15/24 9:43
Quant open1,257
Worst price25.07
Drawdown as % of equity-0.10%
 ($604)
Includes Typical Broker Commissions trade costs of $5.00
10/1/24 9:30 AAP ADVANCE AUTO PARTS SHORT 461 38.50 10/11 15:10 37.45 0.08%
Trade id #149548105
Max drawdown($654)
Time10/7/24 0:00
Quant open461
Worst price39.92
Drawdown as % of equity-0.08%
 $475
Includes Typical Broker Commissions trade costs of $9.22
9/23/24 13:59 CLM CORNERSTONE STRATEGIC VALUE CO LONG 11,486 7.56 10/11 15:07 7.99 0.03%
Trade id #149486240
Max drawdown($229)
Time9/25/24 0:00
Quant open11,486
Worst price7.54
Drawdown as % of equity-0.03%
 $4,944
Includes Typical Broker Commissions trade costs of $5.00
7/23/24 13:33 LKQ2415K47.5 LKQ Nov15'24 47.5 call SHORT 32 2.03 10/11 15:05 1.61 0.01%
Trade id #148721428
Max drawdown($110)
Time7/23/24 13:53
Quant open16
Worst price2.07
Drawdown as % of equity-0.01%
 $1,293
Includes Typical Broker Commissions trade costs of $45.10
10/10/24 15:31 SHAK SHAKE SHACK INC LONG 223 109.86 10/11 15:03 106.46 0.21%
Trade id #149632111
Max drawdown($1,751)
Time10/11/24 12:36
Quant open223
Worst price102.00
Drawdown as % of equity-0.21%
 ($761)
Includes Typical Broker Commissions trade costs of $4.46
10/4/24 15:39 YMAB Y-MABS THERAPEUTICS INC. COMMON STOCK LONG 1,014 14.13 10/10 15:33 13.81 0.06%
Trade id #149583665
Max drawdown($546)
Time10/7/24 0:00
Quant open1,014
Worst price13.60
Drawdown as % of equity-0.06%
 ($333)
Includes Typical Broker Commissions trade costs of $5.00
9/24/24 13:35 NRG NRG ENERGY LONG 313 88.17 10/10 15:31 87.94 0.03%
Trade id #149495961
Max drawdown($262)
Time9/25/24 0:00
Quant open313
Worst price87.33
Drawdown as % of equity-0.03%
 ($80)
Includes Typical Broker Commissions trade costs of $6.26
10/8/24 14:26 SG SWEETGREEN INC LONG 401 37.62 10/10 15:31 36.19 0.09%
Trade id #149608910
Max drawdown($746)
Time10/10/24 9:50
Quant open401
Worst price35.76
Drawdown as % of equity-0.09%
 ($582)
Includes Typical Broker Commissions trade costs of $8.02
10/4/24 15:39 YMM FULL TRUCK ALLIANCE CO LTD LONG 1,945 10.01 10/10 15:30 9.16 0.22%
Trade id #149583668
Max drawdown($1,811)
Time10/10/24 12:58
Quant open1,945
Worst price9.07
Drawdown as % of equity-0.22%
 ($1,650)
Includes Typical Broker Commissions trade costs of $5.00
10/4/24 15:34 AYI ACUITY BRANDS LONG 110 306.36 10/10 15:30 298.22 0.12%
Trade id #149583614
Max drawdown($957)
Time10/10/24 9:47
Quant open110
Worst price297.66
Drawdown as % of equity-0.12%
 ($897)
Includes Typical Broker Commissions trade costs of $2.20
9/24/24 13:43 CGTX COGNITION THERAPEUTICS INC. SHORT 15,455 0.49 10/10 15:27 0.41 0.08%
Trade id #149496024
Max drawdown($663)
Time9/30/24 0:00
Quant open15,455
Worst price0.53
Drawdown as % of equity-0.08%
 $1,236
Includes Typical Broker Commissions trade costs of $5.00
8/21/24 14:33 GLL PROSHARES ULTRASHORT GOLD SHORT 63,795 18.66 10/10 15:23 17.32 4.85%
Trade id #148988352
Max drawdown($35,101)
Time9/3/24 0:00
Quant open47,095
Worst price19.44
Drawdown as % of equity-4.85%
 $85,413
Includes Typical Broker Commissions trade costs of $149.45
10/2/24 14:00 VKTX VIKING THERAPEUTICS INC. COMMON STOCK LONG 225 64.22 10/9 15:44 62.87 0.05%
Trade id #149563050
Max drawdown($403)
Time10/9/24 15:35
Quant open225
Worst price62.43
Drawdown as % of equity-0.05%
 ($310)
Includes Typical Broker Commissions trade costs of $4.50
10/2/24 14:08 COLL COLLEGIUM PHARMACEUTICAL INC. LONG 680 39.96 10/9 15:40 37.71 0.27%
Trade id #149563151
Max drawdown($2,254)
Time10/8/24 0:00
Quant open680
Worst price36.64
Drawdown as % of equity-0.27%
 ($1,533)
Includes Typical Broker Commissions trade costs of $5.00
10/4/24 9:30 BYRN BYRNA TECHNOLOGIES INC. COMMON STOCK LONG 1,369 18.43 10/9 15:38 14.36 0.89%
Trade id #149577310
Max drawdown($7,302)
Time10/9/24 9:38
Quant open1,369
Worst price13.10
Drawdown as % of equity-0.89%
 ($5,585)
Includes Typical Broker Commissions trade costs of $7.50
10/2/24 14:19 ZSL PROSHARES ULTRASHORT SILVER SHORT 3,126 9.05 10/8 14:45 9.94 0.41%
Trade id #149563219
Max drawdown($3,310)
Time10/8/24 11:36
Quant open3,126
Worst price10.11
Drawdown as % of equity-0.41%
 ($2,770)
Includes Typical Broker Commissions trade costs of $7.50
10/1/24 14:15 RNA AVIDITY BIOSCIENCES INC. COMMON STOCK LONG 362 47.11 10/7 15:28 44.25 0.13%
Trade id #149553441
Max drawdown($1,064)
Time10/7/24 14:49
Quant open362
Worst price44.17
Drawdown as % of equity-0.13%
 ($1,042)
Includes Typical Broker Commissions trade costs of $7.24
10/2/24 13:59 LBPH LONGBOARD PHARMACEUTICALS INC. LONG 273 38.47 10/7 15:28 33.61 0.17%
Trade id #149563025
Max drawdown($1,396)
Time10/7/24 14:59
Quant open273
Worst price33.35
Drawdown as % of equity-0.17%
 ($1,332)
Includes Typical Broker Commissions trade costs of $5.46
10/4/24 15:40 TRV TRAVELERS COMPANIES LONG 407 236.38 10/7 14:52 225.10 0.57%
Trade id #149583672
Max drawdown($4,788)
Time10/7/24 14:48
Quant open407
Worst price224.62
Drawdown as % of equity-0.57%
 ($4,599)
Includes Typical Broker Commissions trade costs of $8.14
10/1/24 13:57 NUVL NUVALENT INC. CLASS A COMMON STOCK LONG 171 103.17 10/7 10:36 103.99 0.05%
Trade id #149553125
Max drawdown($448)
Time10/2/24 0:00
Quant open171
Worst price100.55
Drawdown as % of equity-0.05%
 $136
Includes Typical Broker Commissions trade costs of $3.42
9/20/24 14:33 VST VISTRA CORP LONG 181 107.08 10/7 10:36 137.34 0.01%
Trade id #149472014
Max drawdown($114)
Time9/20/24 15:23
Quant open181
Worst price106.45
Drawdown as % of equity-0.01%
 $5,472
Includes Typical Broker Commissions trade costs of $3.62
10/1/24 13:58 CHPT CHARGEPOINT HOLDINGS INC SHORT 8,019 1.30 10/4 15:40 1.42 0.13%
Trade id #149553147
Max drawdown($1,082)
Time10/4/24 12:17
Quant open8,019
Worst price1.44
Drawdown as % of equity-0.13%
 ($887)
Includes Typical Broker Commissions trade costs of $5.00
10/1/24 13:52 TRV TRAVELERS COMPANIES LONG 405 236.49 10/4 9:30 234.33 0.26%
Trade id #149553058
Max drawdown($2,148)
Time10/3/24 0:00
Quant open405
Worst price231.19
Drawdown as % of equity-0.26%
 ($883)
Includes Typical Broker Commissions trade costs of $8.10
9/20/24 14:52 VERA VERA THERAPEUTICS INC. CLASS A LONG 396 42.67 10/2 14:19 41.51 0.11%
Trade id #149472137
Max drawdown($868)
Time10/1/24 0:00
Quant open396
Worst price40.48
Drawdown as % of equity-0.11%
 ($469)
Includes Typical Broker Commissions trade costs of $7.92
Next

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    4124.7
  • Age
    138 months ago
  • What it trades
    Stocks
  • # Trades
    3546
  • # Profitable
    1298
  • % Profitable
    36.60%
  • Avg trade duration
    14.0 days
  • Max peak-to-valley drawdown
    29.38%
  • drawdown period
    Sept 08, 2014 - March 26, 2015
  • Annual Return (Compounded)
    20.7%
  • Avg win
    $2,517
  • Avg loss
    $1,178
  • Model Account Values (Raw)
  • Cash
    $747,728
  • Margin Used
    $802,691
  • Buying Power
    $5,342
  • Ratios
  • W:L ratio
    1.39:1
  • Sharpe Ratio
    0.75
  • Sortino Ratio
    1.11
  • Calmar Ratio
    1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    478.77%
  • Correlation to SP500
    0.05210
  • Return Percent SP500 (cumu) during strategy life
    258.72%
  • Return Statistics
  • Ann Return (w trading costs)
    20.7%
  • Slump
  • Current Slump as Pcnt Equity
    3.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • 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)
    0.207%
  • Instruments
  • Percent Trades Options
    0.07%
  • Percent Trades Stocks
    0.93%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    64.00%
  • Chance of 20% account loss
    36.50%
  • Chance of 30% account loss
    19.50%
  • Chance of 40% account loss
    15.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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)
    831
  • Popularity (Last 6 weeks)
    920
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    464
  • Popularity (7 days, Percentile 1000 scale)
    817
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,179
  • Avg Win
    $2,518
  • Sum Trade PL (losers)
    $2,648,590.000
  • Age
  • Num Months filled monthly returns table
    136
  • Win / Loss
  • Sum Trade PL (winners)
    $3,268,250.000
  • # Winners
    1298
  • Num Months Winners
    81
  • Dividends
  • Dividends Received in Model Acct
    174176
  • AUM
  • AUM (AutoTrader live capital)
    171541
  • Win / Loss
  • # Losers
    2247
  • % Winners
    36.6%
  • Frequency
  • Avg Position Time (mins)
    35729.70
  • Avg Position Time (hrs)
    595.50
  • Avg Trade Length
    24.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.88
  • Daily leverage (max)
    13.66
  • Regression
  • Alpha
    0.05
  • Beta
    0.06
  • Treynor Index
    0.82
  • 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)
    6.46
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    76.547
  • 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
    8.700
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.269
  • 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
    0.19043
  • SD
    0.19240
  • Sharpe ratio (Glass type estimate)
    0.98976
  • Sharpe ratio (Hedges UMVUE)
    0.98409
  • df
    131.00000
  • t
    3.28267
  • p
    0.32674
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38500
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59091
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38124
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58693
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08651
  • Upside Potential Ratio
    3.67137
  • Upside part of mean
    0.33508
  • Downside part of mean
    -0.14465
  • Upside SD
    0.17729
  • Downside SD
    0.09127
  • N nonnegative terms
    79.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    132.00000
  • Mean of predictor
    0.09859
  • Mean of criterion
    0.19043
  • SD of predictor
    0.14812
  • SD of criterion
    0.19240
  • Covariance
    0.00267
  • r
    0.09362
  • b (slope, estimate of beta)
    0.12161
  • a (intercept, estimate of alpha)
    0.17844
  • Mean Square Error
    0.03698
  • DF error
    130.00000
  • t(b)
    1.07219
  • p(b)
    0.45319
  • t(a)
    3.02205
  • p(a)
    0.37190
  • Lowerbound of 95% confidence interval for beta
    -0.10279
  • Upperbound of 95% confidence interval for beta
    0.34601
  • Lowerbound of 95% confidence interval for alpha
    0.06163
  • Upperbound of 95% confidence interval for alpha
    0.29526
  • Treynor index (mean / b)
    1.56588
  • Jensen alpha (a)
    0.17844
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17122
  • SD
    0.18558
  • Sharpe ratio (Glass type estimate)
    0.92264
  • Sharpe ratio (Hedges UMVUE)
    0.91734
  • df
    131.00000
  • t
    3.06004
  • p
    0.33742
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31955
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52233
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31604
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51864
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80101
  • Upside Potential Ratio
    3.36513
  • Upside part of mean
    0.31992
  • Downside part of mean
    -0.14870
  • Upside SD
    0.16608
  • Downside SD
    0.09507
  • N nonnegative terms
    79.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    132.00000
  • Mean of predictor
    0.08714
  • Mean of criterion
    0.17122
  • SD of predictor
    0.14824
  • SD of criterion
    0.18558
  • Covariance
    0.00277
  • r
    0.10080
  • b (slope, estimate of beta)
    0.12619
  • a (intercept, estimate of alpha)
    0.16023
  • Mean Square Error
    0.03435
  • DF error
    130.00000
  • t(b)
    1.15521
  • p(b)
    0.44960
  • t(a)
    2.82646
  • p(a)
    0.37969
  • Lowerbound of 95% confidence interval for beta
    -0.08992
  • Upperbound of 95% confidence interval for beta
    0.34231
  • Lowerbound of 95% confidence interval for alpha
    0.04808
  • Upperbound of 95% confidence interval for alpha
    0.27238
  • Treynor index (mean / b)
    1.35684
  • Jensen alpha (a)
    0.16023
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07119
  • Expected Shortfall on VaR
    0.09157
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02386
  • Expected Shortfall on VaR
    0.04979
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    132.00000
  • Minimum
    0.86117
  • Quartile 1
    0.98944
  • Median
    1.01360
  • Quartile 3
    1.04069
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95825
  • Mean of quarter 2
    1.00031
  • Mean of quarter 3
    1.02479
  • Mean of quarter 4
    1.08944
  • Inter Quartile Range
    0.05125
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02273
  • Mean of outliers low
    0.88917
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05303
  • Mean of outliers high
    1.16733
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15426
  • VaR(95%) (moments method)
    0.03257
  • Expected Shortfall (moments method)
    0.04275
  • Extreme Value Index (regression method)
    -0.12390
  • VaR(95%) (regression method)
    0.04443
  • Expected Shortfall (regression method)
    0.06093
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00618
  • Quartile 1
    0.01871
  • Median
    0.04447
  • Quartile 3
    0.08990
  • Maximum
    0.19334
  • Mean of quarter 1
    0.01167
  • Mean of quarter 2
    0.03220
  • Mean of quarter 3
    0.06393
  • Mean of quarter 4
    0.12233
  • Inter Quartile Range
    0.07119
  • 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)
    0.15914
  • VaR(95%) (moments method)
    0.13908
  • Expected Shortfall (moments method)
    0.17965
  • Extreme Value Index (regression method)
    0.73894
  • VaR(95%) (regression method)
    0.14489
  • Expected Shortfall (regression method)
    0.34948
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.72172
  • Compounded annual return (geometric extrapolation)
    0.22034
  • Calmar ratio (compounded annual return / max draw down)
    1.13963
  • Compounded annual return / average of 25% largest draw downs
    1.80117
  • Compounded annual return / Expected Shortfall lognormal
    2.40620
  • 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
    0.18808
  • SD
    0.18526
  • Sharpe ratio (Glass type estimate)
    1.01523
  • Sharpe ratio (Hedges UMVUE)
    1.01496
  • df
    2886.00000
  • t
    3.37004
  • p
    0.00038
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42412
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60616
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42394
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60598
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47587
  • Upside Potential Ratio
    8.19442
  • Upside part of mean
    1.04425
  • Downside part of mean
    -0.85618
  • Upside SD
    0.13492
  • Downside SD
    0.12743
  • N nonnegative terms
    1613.00000
  • N negative terms
    1274.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2887.00000
  • Mean of predictor
    0.10256
  • Mean of criterion
    0.18808
  • SD of predictor
    0.17284
  • SD of criterion
    0.18526
  • Covariance
    0.00166
  • r
    0.05192
  • b (slope, estimate of beta)
    0.05565
  • a (intercept, estimate of alpha)
    0.18200
  • Mean Square Error
    0.03424
  • DF error
    2885.00000
  • t(b)
    2.79228
  • p(b)
    0.00263
  • t(a)
    3.26943
  • p(a)
    0.00055
  • Lowerbound of 95% confidence interval for beta
    0.01657
  • Upperbound of 95% confidence interval for beta
    0.09472
  • Lowerbound of 95% confidence interval for alpha
    0.07300
  • Upperbound of 95% confidence interval for alpha
    0.29174
  • Treynor index (mean / b)
    3.37989
  • Jensen alpha (a)
    0.18237
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17083
  • SD
    0.18538
  • Sharpe ratio (Glass type estimate)
    0.92154
  • Sharpe ratio (Hedges UMVUE)
    0.92130
  • df
    2886.00000
  • t
    3.05905
  • p
    0.00112
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51239
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33038
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51222
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31704
  • Upside Potential Ratio
    7.98115
  • Upside part of mean
    1.03523
  • Downside part of mean
    -0.86440
  • Upside SD
    0.13281
  • Downside SD
    0.12971
  • N nonnegative terms
    1613.00000
  • N negative terms
    1274.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2887.00000
  • Mean of predictor
    0.08754
  • Mean of criterion
    0.17083
  • SD of predictor
    0.17342
  • SD of criterion
    0.18538
  • Covariance
    0.00168
  • r
    0.05238
  • b (slope, estimate of beta)
    0.05599
  • a (intercept, estimate of alpha)
    0.16593
  • Mean Square Error
    0.03428
  • DF error
    2885.00000
  • t(b)
    2.81705
  • p(b)
    0.00244
  • t(a)
    2.97340
  • p(a)
    0.00148
  • Lowerbound of 95% confidence interval for beta
    0.01702
  • Upperbound of 95% confidence interval for beta
    0.09496
  • Lowerbound of 95% confidence interval for alpha
    0.05651
  • Upperbound of 95% confidence interval for alpha
    0.27535
  • Treynor index (mean / b)
    3.05123
  • Jensen alpha (a)
    0.16593
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01802
  • Expected Shortfall on VaR
    0.02270
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00682
  • Expected Shortfall on VaR
    0.01456
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2887.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99664
  • Median
    1.00080
  • Quartile 3
    1.00535
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98814
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00276
  • Mean of quarter 4
    1.01331
  • Inter Quartile Range
    0.00871
  • Number outliers low
    135.00000
  • Percentage of outliers low
    0.04676
  • Mean of outliers low
    0.97203
  • Number of outliers high
    135.00000
  • Percentage of outliers high
    0.04676
  • Mean of outliers high
    1.02906
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25649
  • VaR(95%) (moments method)
    0.01025
  • Expected Shortfall (moments method)
    0.01728
  • Extreme Value Index (regression method)
    0.15811
  • VaR(95%) (regression method)
    0.01103
  • Expected Shortfall (regression method)
    0.01743
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    74.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00895
  • Median
    0.03146
  • Quartile 3
    0.07223
  • 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
    0.11223
  • Inter Quartile Range
    0.06328
  • 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
    0.02703
  • Mean of outliers high
    0.20356
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00146
  • VaR(95%) (moments method)
    0.11939
  • Expected Shortfall (moments method)
    0.14880
  • Extreme Value Index (regression method)
    0.07888
  • VaR(95%) (regression method)
    0.10754
  • Expected Shortfall (regression method)
    0.13217
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.72007
  • Compounded annual return (geometric extrapolation)
    0.21986
  • Calmar ratio (compounded annual return / max draw down)
    0.99988
  • Compounded annual return / average of 25% largest draw downs
    1.95914
  • Compounded annual return / Expected Shortfall lognormal
    9.68528
  • 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
    -0.02015
  • SD
    0.18818
  • Sharpe ratio (Glass type estimate)
    -0.10709
  • Sharpe ratio (Hedges UMVUE)
    -0.10647
  • df
    130.00000
  • t
    -0.07572
  • p
    0.50332
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.87880
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66487
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.87830
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66537
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15986
  • Upside Potential Ratio
    7.73181
  • Upside part of mean
    0.97466
  • Downside part of mean
    -0.99482
  • Upside SD
    0.13875
  • Downside SD
    0.12606
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23364
  • Mean of criterion
    -0.02015
  • SD of predictor
    0.13675
  • SD of criterion
    0.18818
  • Covariance
    0.00686
  • r
    0.26655
  • b (slope, estimate of beta)
    0.36679
  • a (intercept, estimate of alpha)
    -0.10585
  • Mean Square Error
    0.03315
  • DF error
    129.00000
  • t(b)
    3.14107
  • p(b)
    0.33234
  • t(a)
    -0.40879
  • p(a)
    0.52289
  • Lowerbound of 95% confidence interval for beta
    0.13575
  • Upperbound of 95% confidence interval for beta
    0.59783
  • Lowerbound of 95% confidence interval for alpha
    -0.61815
  • Upperbound of 95% confidence interval for alpha
    0.40646
  • Treynor index (mean / b)
    -0.05494
  • Jensen alpha (a)
    -0.10585
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03761
  • SD
    0.18734
  • Sharpe ratio (Glass type estimate)
    -0.20078
  • Sharpe ratio (Hedges UMVUE)
    -0.19962
  • df
    130.00000
  • t
    -0.14197
  • p
    0.50623
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.97234
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57150
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97153
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57229
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.29494
  • Upside Potential Ratio
    7.56811
  • Upside part of mean
    0.96516
  • Downside part of mean
    -1.00278
  • Upside SD
    0.13627
  • Downside SD
    0.12753
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22421
  • Mean of criterion
    -0.03761
  • SD of predictor
    0.13698
  • SD of criterion
    0.18734
  • Covariance
    0.00698
  • r
    0.27210
  • b (slope, estimate of beta)
    0.37212
  • a (intercept, estimate of alpha)
    -0.12105
  • Mean Square Error
    0.03275
  • DF error
    129.00000
  • t(b)
    3.21167
  • p(b)
    0.32894
  • t(a)
    -0.47057
  • p(a)
    0.52635
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.14288
  • Upperbound of 95% confidence interval for beta
    0.60137
  • Lowerbound of 95% confidence interval for alpha
    -0.63001
  • Upperbound of 95% confidence interval for alpha
    0.38791
  • Treynor index (mean / b)
    -0.10108
  • Jensen alpha (a)
    -0.12105
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01900
  • Expected Shortfall on VaR
    0.02372
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00845
  • Expected Shortfall on VaR
    0.01668
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96329
  • Quartile 1
    0.99551
  • Median
    1.00036
  • Quartile 3
    1.00433
  • Maximum
    1.06152
  • Mean of quarter 1
    0.98713
  • Mean of quarter 2
    0.99803
  • Mean of quarter 3
    1.00239
  • Mean of quarter 4
    1.01264
  • Inter Quartile Range
    0.00882
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.97382
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02957
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09219
  • VaR(95%) (moments method)
    0.01117
  • Expected Shortfall (moments method)
    0.01475
  • Extreme Value Index (regression method)
    0.11604
  • VaR(95%) (regression method)
    0.01301
  • Expected Shortfall (regression method)
    0.01957
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00169
  • Quartile 1
    0.04807
  • Median
    0.09446
  • Quartile 3
    0.14085
  • Maximum
    0.18724
  • Mean of quarter 1
    0.00169
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18724
  • Inter Quartile Range
    0.09278
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -451612000
  • Max Equity Drawdown (num days)
    199
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00968
  • Compounded annual return (geometric extrapolation)
    -0.00966
  • Calmar ratio (compounded annual return / max draw down)
    -0.05159
  • Compounded annual return / average of 25% largest draw downs
    -0.05159
  • Compounded annual return / Expected Shortfall lognormal
    -0.40723

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.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-07-07
Suggested Minimum Capital
$40,000
# Trades
3546
# Profitable
1298
% Profitable
36.6%
Net Dividends
$174,175
Correlation S&P500
0.052
Sharpe Ratio
0.75
Sortino Ratio
1.11
Beta
0.06
Alpha
0.05
Leverage
1.88 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.

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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.