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

Bottoms up
(22381250)

Created by: SkyCapital SkyCapital
Started: 08/2006
Stocks
Last trade: 3,382 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 $35.00 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.

-4.6%
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.

(73.6%)
Max Drawdown
525
Num Trades
46.5%
Win Trades
1.0 : 1
Profit Factor
29.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006                                                 (1.2%)(0.2%)+12.6%+14.3%+10.6%+40.2%
2007+6.1%+4.3%(4.8%)+2.1%(0.4%)+1.0%+2.1%(6%)+5.0%+5.9%(2.5%)+9.9%+24.0%
2008(1.8%)+13.2%(6.7%)(0.2%)(0.5%)(3%)(2.1%)+3.3%(8.7%)+7.2%(0.3%)+4.0%+2.7%
2009(5.8%)(5.3%)+3.2%(1.3%)(1%)(0.6%)(1.5%)+0.9%  -  (3.5%)(0.1%)(0.5%)(14.6%)
2010(0.6%)+1.6%+2.4%(1.7%)+1.3%(1.8%)+0.5%+2.0%(3.6%)(0.9%)(0.9%)(1%)(3%)
2011(0.1%)+2.7%(0.3%)(0.4%)+0.1%+0.4%  -  +0.4%+1.0%(1.2%)+0.5%(0.9%)+2.1%
2012(0.9%)(0.2%)(0.1%)(0.1%)+0.6%(0.5%)+0.2%(0.4%)(0.3%)(0.1%)(0.1%)(0.2%)(2%)
2013(0.4%)  -  +1.4%+0.1%(0.4%)+0.1%(0.3%)+0.1%(0.3%)  -  (0.1%)(0.1%)+0.2%
2014(3.7%)(0.2%)  -  +0.2%  -  (0.2%)+0.2%(0.2%)+0.2%(0.2%)  -  (0.1%)(4.1%)
2015  -  (0.1%)(0.1%)+0.1%(2.9%)  -    -  +0.2%(11.2%)+0.7%(0.1%)+0.1%(13.1%)
2016+0.3%  -    -  (0.1%)  -  (0.1%)(0.2%)(0.1%)  -  +0.1%(0.3%)(0.1%)(0.4%)
2017  -    -    -    -    -    -    -  +0.1%(0.1%)  -    -    -  (0.3%)
2018  -    -    -    -  (0.1%)  -    -    -    -  +0.1%  -  +0.2%+0.2%
2019(0.1%)(0.1%)  -    -    -    -  (56%)  -  (0.1%)            (56.1%)

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.

Trading Record

This strategy has placed 206 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/28/10 9:30 MAG MAG SILVER CORP LONG 200 10.80 7/14 9:30 11.20 2.49%
Trade id #50622095
Max drawdown($480)
Time6/30/10 14:48
Quant open2,000
Worst price0.84
Drawdown as % of equity-2.49%
$76
Includes Typical Broker Commissions trade costs of $4.00
6/28/10 9:30 PGI PREMIERE GLOBAL SERVICES INC LONG 300 7.09 7/14 9:30 6.73 1.74%
Trade id #50622094
Max drawdown($342)
Time7/7/10 10:43
Quant open300
Worst price5.95
Drawdown as % of equity-1.74%
($114)
Includes Typical Broker Commissions trade costs of $6.00
8/21/09 9:34 CLDX CELLDEX THERAPEUTICS LONG 500 5.35 3/25/10 14:53 6.13 3.14%
Trade id #42637500
Max drawdown($595)
Time10/28/09 11:12
Quant open500
Worst price4.16
Drawdown as % of equity-3.14%
$380
Includes Typical Broker Commissions trade costs of $10.00
8/20/09 9:32 AMRI ALBANY MOLECULAR RESEARCH LONG 500 7.91 10/27 13:01 8.61 0.75%
Trade id #42612823
Max drawdown($145)
Time9/3/09 15:24
Quant open500
Worst price7.62
Drawdown as % of equity-0.75%
$340
Includes Typical Broker Commissions trade costs of $10.00
8/25/09 9:30 PCS MetroPCS Communications, Inc. LONG 150 8.08 9/2 9:30 7.69 0.3%
Trade id #42689096
Max drawdown($59)
Time9/1/09 13:29
Quant open150
Worst price7.71
Drawdown as % of equity-0.30%
($62)
Includes Typical Broker Commissions trade costs of $3.00
3/12/09 9:30 CALM CAL-MAINE FOODS LONG 120 9.04 3/17 9:30 10.53 0.07%
Trade id #39233291
Max drawdown($12)
Time3/12/09 9:49
Quant open60
Worst price17.88
Drawdown as % of equity-0.07%
$176
Includes Typical Broker Commissions trade costs of $2.40
3/12/09 9:30 OMX OFFICEMAX LONG 500 2.24 3/16 9:39 2.70 0.36%
Trade id #39233343
Max drawdown($70)
Time3/12/09 9:57
Quant open500
Worst price2.10
Drawdown as % of equity-0.36%
$220
Includes Typical Broker Commissions trade costs of $10.00
3/12/09 9:31 SM SM ENERGY LONG 100 11.91 3/16 9:30 12.25 0.18%
Trade id #39233434
Max drawdown($35)
Time3/12/09 9:54
Quant open100
Worst price11.55
Drawdown as % of equity-0.18%
$32
Includes Typical Broker Commissions trade costs of $2.00
3/4/09 9:30 SYNA SYNAPTICS LONG 60 20.48 3/12 9:34 24.55 n/a $243
Includes Typical Broker Commissions trade costs of $1.20
3/4/09 9:30 MIC MACQUARIE INFRASTRUCTURE LONG 1,000 1.17 3/10 9:52 1.44 0.31%
Trade id #38992925
Max drawdown($60)
Time3/5/09 10:18
Quant open1,000
Worst price1.11
Drawdown as % of equity-0.31%
$265
Includes Typical Broker Commissions trade costs of $5.00
3/4/09 9:30 NATI NATIONAL INSTRUMENTS LONG 104 11.42 3/9 13:05 10.83 0.32%
Trade id #38992914
Max drawdown($61)
Time3/9/09 13:01
Quant open70
Worst price16.18
Drawdown as % of equity-0.32%
($63)
Includes Typical Broker Commissions trade costs of $2.08
3/4/09 9:34 HXM HOMEX DEVELOPMENT LONG 125 12.49 3/5 12:13 11.09 0.89%
Trade id #38993300
Max drawdown($175)
Time3/5/09 12:12
Quant open125
Worst price11.15
Drawdown as % of equity-0.89%
($178)
Includes Typical Broker Commissions trade costs of $2.50
3/4/09 9:30 AYI ACUITY BRANDS LONG 70 22.81 3/5 11:16 21.94 0.31%
Trade id #38992920
Max drawdown($61)
Time3/5/09 11:15
Quant open70
Worst price21.96
Drawdown as % of equity-0.31%
($62)
Includes Typical Broker Commissions trade costs of $1.40
3/4/09 9:30 AM ANTERO MIDSTREAM CORP LONG 600 3.59 3/5 10:49 3.49 0.31%
Trade id #38992913
Max drawdown($60)
Time3/5/09 10:23
Quant open600
Worst price3.50
Drawdown as % of equity-0.31%
($65)
Includes Typical Broker Commissions trade costs of $5.00
1/29/09 9:30 ANDS Anadys Pharmaceuticals Inc. SHORT 140 5.08 2/6 9:40 5.66 0.41%
Trade id #38074057
Max drawdown($81)
Time2/6/09 9:32
Quant open-140
Worst price5.65
Drawdown as % of equity-0.41%
($84)
Includes Typical Broker Commissions trade costs of $2.80
1/28/09 9:30 ESLR Evergreen Solar Inc. LONG 1,400 2.30 2/6 9:31 1.94 2.59%
Trade id #38045000
Max drawdown($504)
Time2/2/09 14:41
Quant open1,400
Worst price2.01
Drawdown as % of equity-2.59%
($509)
Includes Typical Broker Commissions trade costs of $5.00
1/29/09 9:30 TONE LONG 350 1.78 2/3 10:37 1.54 0.43%
Trade id #38074078
Max drawdown($84)
Time2/3/09 10:32
Quant open350
Worst price1.55
Drawdown as % of equity-0.43%
($91)
Includes Typical Broker Commissions trade costs of $7.00
1/30/09 9:30 TXT TEXTRON LONG 220 9.20 2/2 9:56 8.37 0.91%
Trade id #38102287
Max drawdown($183)
Time2/2/09 9:55
Quant open220
Worst price8.50
Drawdown as % of equity-0.91%
($187)
Includes Typical Broker Commissions trade costs of $4.40
1/28/09 9:30 HPY HEARTLAND PAYMENT SYSTEMS LONG 350 8.76 2/2 9:51 8.59 0.3%
Trade id #38044949
Max drawdown($60)
Time2/2/09 9:48
Quant open350
Worst price8.60
Drawdown as % of equity-0.30%
($67)
Includes Typical Broker Commissions trade costs of $7.00
1/27/09 9:30 BOOM DMC GLOBAL INC. COMMON STOCK LONG 160 11.99 2/2 9:41 11.80 0.15%
Trade id #38019294
Max drawdown($30)
Time1/27/09 10:08
Quant open160
Worst price11.84
Drawdown as % of equity-0.15%
($33)
Includes Typical Broker Commissions trade costs of $3.20
1/29/09 9:30 SFI ISTAR FINANCIAL LONG 700 1.36 1/29 15:43 1.17 0.64%
Trade id #38074077
Max drawdown($133)
Time1/29/09 10:16
Quant open700
Worst price1.28
Drawdown as % of equity-0.64%
($138)
Includes Typical Broker Commissions trade costs of $5.00
1/29/09 9:30 LZB LA-Z-BOY LONG 900 1.16 1/29 15:38 1.14 0.09%
Trade id #38074079
Max drawdown($18)
Time1/29/09 13:23
Quant open900
Worst price1.15
Drawdown as % of equity-0.09%
($23)
Includes Typical Broker Commissions trade costs of $5.00
1/29/09 9:30 THMD Thermadyne Holdings Corp. LONG 250 3.95 1/29 14:38 3.84 0.14%
Trade id #38074009
Max drawdown($28)
Time1/29/09 14:22
Quant open250
Worst price3.88
Drawdown as % of equity-0.14%
($33)
Includes Typical Broker Commissions trade costs of $5.00
1/28/09 9:30 BNE Bowne & Co. Inc. LONG 303 2.57 1/29 12:57 3.25 0%
Trade id #38044995
Max drawdown$0
Time1/28/09 9:32
Quant open300
Worst price2.60
Drawdown as % of equity0.00%
$198
Includes Typical Broker Commissions trade costs of $6.03
1/22/09 9:30 LNY Landry's Restaurants Inc. LONG 320 6.21 1/27 9:31 6.66 0.53%
Trade id #37887481
Max drawdown($108)
Time1/22/09 10:59
Quant open320
Worst price5.87
Drawdown as % of equity-0.53%
$138
Includes Typical Broker Commissions trade costs of $6.40
1/22/09 9:30 UCBH LONG 800 3.81 1/23 9:30 3.12 2.69%
Trade id #37887560
Max drawdown($552)
Time1/22/09 16:00
Quant open800
Worst price3.22
Drawdown as % of equity-2.69%
($557)
Includes Typical Broker Commissions trade costs of $5.00
1/20/09 9:30 INWK INNERWORKINGS LONG 300 4.32 1/20 9:31 4.32 n/a ($6)
Includes Typical Broker Commissions trade costs of $6.00
12/31/08 9:33 GMR General Maritime Corp. LONG 200 10.10 1/15/09 11:43 9.48 0.6%
Trade id #37437111
Max drawdown($124)
Time1/15/09 11:42
Quant open200
Worst price9.53
Drawdown as % of equity-0.60%
($128)
Includes Typical Broker Commissions trade costs of $4.00
12/11/08 9:30 REC Rydex Inverse 2x S&P Select Sector Engy LONG 90 13.58 1/15/09 10:18 14.00 1.69%
Trade id #37099721
Max drawdown($353)
Time1/6/09 12:54
Quant open90
Worst price9.65
Drawdown as % of equity-1.69%
$36
Includes Typical Broker Commissions trade costs of $1.80
1/14/09 9:30 HIW HIGHWOODS PROPERTIES LONG 100 20.81 1/15 9:31 20.60 0.1%
Trade id #37686405
Max drawdown($21)
Time1/14/09 9:33
Quant open100
Worst price20.67
Drawdown as % of equity-0.10%
($23)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    8/23/2006
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    4797.82
  • Age
    160 months ago
  • What it trades
    Stocks
  • # Trades
    525
  • # Profitable
    244
  • % Profitable
    46.50%
  • Avg trade duration
    23.6 days
  • Max peak-to-valley drawdown
    73.61%
  • drawdown period
    March 10, 2008 - Sept 11, 2019
  • Annual Return (Compounded)
    -4.6%
  • Avg win
    $154.17
  • Avg loss
    $138.36
  • Model Account Values (Raw)
  • Cash
    $12,670
  • Margin Used
    $0
  • Buying Power
    $1,677
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    -0.19
  • Sortino Ratio
    -0.21
  • Calmar Ratio
    -0.127
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -175.79%
  • Correlation to SP500
    -0.03830
  • Return Percent SP500 (cumu) during strategy life
    131.93%
  • Return Statistics
  • Ann Return (w trading costs)
    -4.6%
  • Slump
  • Current Slump as Pcnt Equity
    2.78%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.046%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    360
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $138
  • Avg Win
    $154
  • Sum Trade PL (losers)
    $38,880.000
  • Age
  • Num Months (Age strategy)
    158
  • Win / Loss
  • Sum Trade PL (winners)
    $37,617.000
  • # Winners
    244
  • Num Months Winners
    58
  • Dividends
  • Dividends Received in Model Acct
    651
  • Win / Loss
  • # Losers
    281
  • % Winners
    46.5%
  • Frequency
  • Avg Position Time (mins)
    33956.50
  • Avg Position Time (hrs)
    565.94
  • Avg Trade Length
    23.6 days
  • Last Trade Ago
    3378
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.04
  • Treynor Index
    0.30
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    11.78
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    7.70
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.37
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -12.871
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.203
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.021
  • Hold-and-Hope Ratio
    -0.088
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00009
  • SD
    0.21083
  • Sharpe ratio (Glass type estimate)
    -0.00041
  • Sharpe ratio (Hedges UMVUE)
    -0.00041
  • df
    81.00000
  • t
    -0.00108
  • p
    0.50043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75019
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.74936
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75018
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74937
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00054
  • Upside Potential Ratio
    1.01419
  • Upside part of mean
    0.16265
  • Downside part of mean
    -0.16273
  • Upside SD
    0.13487
  • Downside SD
    0.16037
  • N nonnegative terms
    30.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.08205
  • Mean of criterion
    -0.00009
  • SD of predictor
    0.20314
  • SD of criterion
    0.21083
  • Covariance
    0.00942
  • r
    0.22000
  • b (slope, estimate of beta)
    0.22833
  • a (intercept, estimate of alpha)
    -0.01882
  • Mean Square Error
    0.04283
  • DF error
    80.00000
  • t(b)
    2.01717
  • p(b)
    0.02352
  • t(a)
    -0.23613
  • p(a)
    0.59303
  • Lowerbound of 95% confidence interval for beta
    0.00307
  • Upperbound of 95% confidence interval for beta
    0.45359
  • Lowerbound of 95% confidence interval for alpha
    -0.17745
  • Upperbound of 95% confidence interval for alpha
    0.13981
  • Treynor index (mean / b)
    -0.00038
  • Jensen alpha (a)
    -0.01882
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02484
  • SD
    0.23270
  • Sharpe ratio (Glass type estimate)
    -0.10676
  • Sharpe ratio (Hedges UMVUE)
    -0.10577
  • df
    81.00000
  • t
    -0.27909
  • p
    0.60955
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85639
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64350
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64418
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.12663
  • Upside Potential Ratio
    0.78635
  • Upside part of mean
    0.15427
  • Downside part of mean
    -0.17912
  • Upside SD
    0.12267
  • Downside SD
    0.19619
  • N nonnegative terms
    30.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.06069
  • Mean of criterion
    -0.02484
  • SD of predictor
    0.20811
  • SD of criterion
    0.23270
  • Covariance
    0.01228
  • r
    0.25358
  • b (slope, estimate of beta)
    0.28354
  • a (intercept, estimate of alpha)
    -0.04205
  • Mean Square Error
    0.05130
  • DF error
    80.00000
  • t(b)
    2.34474
  • p(b)
    0.01076
  • t(a)
    -0.48359
  • p(a)
    0.68500
  • Lowerbound of 95% confidence interval for beta
    0.04289
  • Upperbound of 95% confidence interval for beta
    0.52419
  • Lowerbound of 95% confidence interval for alpha
    -0.21509
  • Upperbound of 95% confidence interval for alpha
    0.13099
  • Treynor index (mean / b)
    -0.08762
  • Jensen alpha (a)
    -0.04205
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10646
  • Expected Shortfall on VaR
    0.13092
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03538
  • Expected Shortfall on VaR
    0.07825
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    82.00000
  • Minimum
    0.61875
  • Quartile 1
    0.99307
  • Median
    0.99926
  • Quartile 3
    1.01305
  • Maximum
    1.28789
  • Mean of quarter 1
    0.95568
  • Mean of quarter 2
    0.99694
  • Mean of quarter 3
    1.00314
  • Mean of quarter 4
    1.05331
  • Inter Quartile Range
    0.01998
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.06098
  • Mean of outliers low
    0.86977
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.12195
  • Mean of outliers high
    1.08686
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.86286
  • VaR(95%) (moments method)
    0.03723
  • Expected Shortfall (moments method)
    0.29251
  • Extreme Value Index (regression method)
    1.00322
  • VaR(95%) (regression method)
    0.03044
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.04831
  • Quartile 1
    0.06922
  • Median
    0.14772
  • Quartile 3
    0.25975
  • Maximum
    0.38125
  • Mean of quarter 1
    0.04831
  • Mean of quarter 2
    0.07618
  • Mean of quarter 3
    0.21924
  • Mean of quarter 4
    0.38125
  • Inter Quartile Range
    0.19053
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00310
  • Compounded annual return (geometric extrapolation)
    0.00307
  • Calmar ratio (compounded annual return / max draw down)
    0.00805
  • Compounded annual return / average of 25% largest draw downs
    0.00805
  • Compounded annual return / Expected Shortfall lognormal
    0.02344
  • 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
    0.03867
  • SD
    0.52846
  • Sharpe ratio (Glass type estimate)
    0.07317
  • Sharpe ratio (Hedges UMVUE)
    0.07313
  • df
    1806.00000
  • t
    0.19215
  • p
    0.49774
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67315
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.81948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81945
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10649
  • Upside Potential Ratio
    3.56920
  • Upside part of mean
    1.29592
  • Downside part of mean
    -1.25725
  • Upside SD
    0.38379
  • Downside SD
    0.36308
  • N nonnegative terms
    737.00000
  • N negative terms
    1070.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1807.00000
  • Mean of predictor
    0.19992
  • Mean of criterion
    0.03867
  • SD of predictor
    0.52295
  • SD of criterion
    0.52846
  • Covariance
    -0.00937
  • r
    -0.03390
  • b (slope, estimate of beta)
    -0.03425
  • a (intercept, estimate of alpha)
    0.04600
  • Mean Square Error
    0.27911
  • DF error
    1805.00000
  • t(b)
    -1.44093
  • p(b)
    0.52158
  • t(a)
    0.22618
  • p(a)
    0.49661
  • Lowerbound of 95% confidence interval for beta
    -0.08088
  • Upperbound of 95% confidence interval for beta
    0.01237
  • Lowerbound of 95% confidence interval for alpha
    -0.34914
  • Upperbound of 95% confidence interval for alpha
    0.44017
  • Treynor index (mean / b)
    -1.12879
  • Jensen alpha (a)
    0.04551
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10440
  • SD
    0.54180
  • Sharpe ratio (Glass type estimate)
    -0.19268
  • Sharpe ratio (Hedges UMVUE)
    -0.19260
  • df
    1806.00000
  • t
    -0.50602
  • p
    0.50595
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93902
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.55366
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93894
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55373
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.25076
  • Upside Potential Ratio
    2.95826
  • Upside part of mean
    1.23158
  • Downside part of mean
    -1.33597
  • Upside SD
    0.34657
  • Downside SD
    0.41632
  • N nonnegative terms
    737.00000
  • N negative terms
    1070.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1807.00000
  • Mean of predictor
    0.06465
  • Mean of criterion
    -0.10440
  • SD of predictor
    0.52013
  • SD of criterion
    0.54180
  • Covariance
    -0.00858
  • r
    -0.03043
  • b (slope, estimate of beta)
    -0.03170
  • a (intercept, estimate of alpha)
    -0.10235
  • Mean Square Error
    0.29344
  • DF error
    1805.00000
  • t(b)
    -1.29341
  • p(b)
    0.51937
  • t(a)
    -0.49617
  • p(a)
    0.50743
  • Lowerbound of 95% confidence interval for beta
    -0.07976
  • Upperbound of 95% confidence interval for beta
    0.01637
  • Lowerbound of 95% confidence interval for alpha
    -0.50691
  • Upperbound of 95% confidence interval for alpha
    0.30222
  • Treynor index (mean / b)
    3.29349
  • Jensen alpha (a)
    -0.10235
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05395
  • Expected Shortfall on VaR
    0.06701
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01185
  • Expected Shortfall on VaR
    0.02741
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1807.00000
  • Minimum
    0.57769
  • Quartile 1
    0.99884
  • Median
    1.00000
  • Quartile 3
    1.00124
  • Maximum
    1.40861
  • Mean of quarter 1
    0.98141
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00033
  • Mean of quarter 4
    1.01963
  • Inter Quartile Range
    0.00240
  • Number outliers low
    234.00000
  • Percentage of outliers low
    0.12950
  • Mean of outliers low
    0.96648
  • Number of outliers high
    261.00000
  • Percentage of outliers high
    0.14444
  • Mean of outliers high
    1.03199
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.30158
  • VaR(95%) (moments method)
    0.01236
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.90765
  • VaR(95%) (regression method)
    0.01095
  • Expected Shortfall (regression method)
    0.13624
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00141
  • Quartile 1
    0.05350
  • Median
    0.09678
  • Quartile 3
    0.16560
  • Maximum
    0.57865
  • Mean of quarter 1
    0.02520
  • Mean of quarter 2
    0.07904
  • Mean of quarter 3
    0.12690
  • Mean of quarter 4
    0.35224
  • Inter Quartile Range
    0.11211
  • 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
    0.14286
  • Mean of outliers high
    0.49508
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.71905
  • VaR(95%) (moments method)
    0.37378
  • Expected Shortfall (moments method)
    0.38542
  • Extreme Value Index (regression method)
    -0.43257
  • VaR(95%) (regression method)
    0.56613
  • Expected Shortfall (regression method)
    0.67937
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05944
  • Compounded annual return (geometric extrapolation)
    -0.07364
  • Calmar ratio (compounded annual return / max draw down)
    -0.12726
  • Compounded annual return / average of 25% largest draw downs
    -0.20905
  • Compounded annual return / Expected Shortfall lognormal
    -1.09881
  • 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
    -0.87755
  • SD
    0.59723
  • Sharpe ratio (Glass type estimate)
    -1.46939
  • Sharpe ratio (Hedges UMVUE)
    -1.46089
  • df
    130.00000
  • t
    -1.03901
  • p
    0.54538
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.24416
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.31095
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.23838
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31660
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.46895
  • Upside Potential Ratio
    0.02017
  • Upside part of mean
    0.01205
  • Downside part of mean
    -0.88960
  • Upside SD
    0.00240
  • Downside SD
    0.59740
  • N nonnegative terms
    31.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.47032
  • Mean of criterion
    -0.87755
  • SD of predictor
    0.28383
  • SD of criterion
    0.59723
  • Covariance
    -0.00288
  • r
    -0.01701
  • b (slope, estimate of beta)
    -0.03578
  • a (intercept, estimate of alpha)
    -0.86072
  • Mean Square Error
    0.35934
  • DF error
    129.00000
  • t(b)
    -0.19319
  • p(b)
    0.51083
  • t(a)
    -1.00999
  • p(a)
    0.55632
  • Lowerbound of 95% confidence interval for beta
    -0.40228
  • Upperbound of 95% confidence interval for beta
    0.33071
  • Lowerbound of 95% confidence interval for alpha
    -2.54685
  • Upperbound of 95% confidence interval for alpha
    0.82540
  • Treynor index (mean / b)
    24.52300
  • Jensen alpha (a)
    -0.86072
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.13038
  • SD
    0.77599
  • Sharpe ratio (Glass type estimate)
    -1.45669
  • Sharpe ratio (Hedges UMVUE)
    -1.44827
  • df
    130.00000
  • t
    -1.03004
  • p
    0.54499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.23137
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32355
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.22566
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32912
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.45636
  • Upside Potential Ratio
    0.01552
  • Upside part of mean
    0.01204
  • Downside part of mean
    -1.14242
  • Upside SD
    0.00240
  • Downside SD
    0.77617
  • N nonnegative terms
    31.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.42938
  • Mean of criterion
    -1.13038
  • SD of predictor
    0.28681
  • SD of criterion
    0.77599
  • Covariance
    -0.00366
  • r
    -0.01645
  • b (slope, estimate of beta)
    -0.04452
  • a (intercept, estimate of alpha)
    -1.11126
  • Mean Square Error
    0.60667
  • DF error
    129.00000
  • t(b)
    -0.18690
  • p(b)
    0.51047
  • t(a)
    -1.00453
  • p(a)
    0.55601
  • VAR (95 Confidence Intrvl)
    0.05400
  • Lowerbound of 95% confidence interval for beta
    -0.51577
  • Upperbound of 95% confidence interval for beta
    0.42673
  • Lowerbound of 95% confidence interval for alpha
    -3.30001
  • Upperbound of 95% confidence interval for alpha
    1.07748
  • Treynor index (mean / b)
    25.39170
  • Jensen alpha (a)
    -1.11126
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07981
  • Expected Shortfall on VaR
    0.09791
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00989
  • Expected Shortfall on VaR
    0.02300
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.57769
  • Quartile 1
    0.99988
  • Median
    0.99994
  • Quartile 3
    1.00006
  • Maximum
    1.00128
  • Mean of quarter 1
    0.98692
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.00029
  • Inter Quartile Range
    0.00018
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.91496
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.00056
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    3.29405
  • VaR(95%) (moments method)
    -0.00004
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    8.45103
  • VaR(95%) (regression method)
    0.00067
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.42450
  • Quartile 1
    0.42450
  • Median
    0.42450
  • Quartile 3
    0.42450
  • Maximum
    0.42450
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -26
  • Max Equity Drawdown (num days)
    4202
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.84753
  • Compounded annual return (geometric extrapolation)
    -0.66795
  • Calmar ratio (compounded annual return / max draw down)
    -1.57351
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -6.82182

Strategy Description

OLD AND RESPECTED SYSTEM.

Signals are issued after market hours- EASY TO TRADE

My goal is to achieve 35% annualized return consistently while limiting risk. (S&P500 max drawdown 41%, vs. Bottoms up of 18%!!! )

Generally look for 7-13% gain on average trade, if gain doesnt pan out, will close out position between 2 and 4 weeks. Up to 12-15 open positions at any time (with each position averaging between 5-8% of total portfolio- CONSERVATIVE SYSTEM) Targets and stop losses are set with most signals. Average trade length is 2 weeks.

Limit orders are placed above market price to avoid slippage- its basically a market order, but allows the C2 results to mimic real life.
For the most part I usually try to exit the trade within a few days to a couple of weeks. I am available for any further questions and also make myself available for emailing.

As of April 1, 2006, went to an EOD(after market close) signals.

---As of 2/1/2007 the system will no longer trade Options in the system. If when I am sending the signals, and you are interested in buying an option on the underlying security, email me and I will be more than happy to advise. I only did 4 options trades up to this point, and want to target my system to "stock" traders, since I was getting 99% of all my profits from stocks anyways. If you are interested in my options trading service, click on my other system-spy options.

disclaimer: Past results are not indicative of future results.






























Summary Statistics

Strategy began
2006-08-23
Suggested Minimum Capital
$10,000
# Trades
525
# Profitable
244
% Profitable
46.5%
Net Dividends
Correlation S&P500
-0.038
Sharpe Ratio
-0.19
Sortino Ratio
-0.21
Beta
-0.04
Alpha
-0.01

Latest Activity

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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.

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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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