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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/20/2020
Most recent certification approved 4/20/20 13:35 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 272
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 272
Percent signals followed since 04/20/2020 100%
This information was last updated 6/12/21 10:11 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/20/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how AGM - Access to Global Markets calculates the hypothetical results you see on this web site.

ALPS 1
(128415506)

Created by: TerryWhalen TerryWhalen
Started: 04/2020
Stocks
Last trade: 2 days ago
Trading style: Equity Trend-following

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 $299.00 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.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
61.5%
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.

(32.0%)
Max Drawdown
108
Num Trades
64.8%
Win Trades
1.8 : 1
Profit Factor
53.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                       -  (0.7%)+12.6%(5.5%)+22.7%+19.4%(5.7%)+30.3%+6.0%+101.7%
2021+0.3%+0.8%+5.6%(7.9%)(10.7%)(2.1%)                                    (13.9%)

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 48 hours.

Trading Record

This strategy has placed 264 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
6/18/20 11:14 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 3,000 19.51 6/9/21 10:34 29.23 0.21%
Trade id #129637169
Max drawdown($728)
Time7/17/20 0:00
Quant open500
Worst price9.13
Drawdown as % of equity-0.21%
$29,141
Includes Typical Broker Commissions trade costs of $30.25
4/26/21 14:31 SI SILVERGATE CAPITAL CORP LONG 1,450 111.34 6/3 9:55 112.00 8.2%
Trade id #135323788
Max drawdown($44,309)
Time5/12/21 0:00
Quant open1,450
Worst price80.78
Drawdown as % of equity-8.20%
$946
Includes Typical Broker Commissions trade costs of $14.50
5/28/21 11:33 LABU DIREXION DAILY S&P BIOTECH BULL LONG 1,050 64.50 6/1 10:23 60.61 0.8%
Trade id #135822757
Max drawdown($4,300)
Time6/1/21 10:22
Quant open1,050
Worst price60.40
Drawdown as % of equity-0.80%
($4,088)
Includes Typical Broker Commissions trade costs of $11.00
12/3/20 14:20 LTCN GRAYSCALE LITECOIN TR LTC COMMON STOCK LONG 235 215.00 5/28/21 14:51 306.56 0.66%
Trade id #132623360
Max drawdown($3,760)
Time12/9/20 0:00
Quant open235
Worst price199.00
Drawdown as % of equity-0.66%
$21,513
Includes Typical Broker Commissions trade costs of $3.21
4/27/21 9:17 SPCE VIRGIN GALACTIC HOLDINGS INC LONG 2,000 23.50 5/26 10:15 27.50 3.42%
Trade id #135333282
Max drawdown($18,460)
Time5/11/21 0:00
Quant open2,000
Worst price14.27
Drawdown as % of equity-3.42%
$7,980
Includes Typical Broker Commissions trade costs of $20.00
3/1/21 9:38 SVM SILVERCORP METALS INC LONG 1,700 5.93 5/25 12:57 6.35 0.35%
Trade id #134337211
Max drawdown($2,298)
Time3/30/21 0:00
Quant open1,700
Worst price4.58
Drawdown as % of equity-0.35%
$694
Includes Typical Broker Commissions trade costs of $17.50
2/26/21 13:36 FSRVU FINSERV ACQUISITION CORP. UNIT LONG 700 16.85 5/5 11:09 15.00 0.44%
Trade id #134315026
Max drawdown($2,496)
Time3/4/21 0:00
Quant open700
Worst price13.28
Drawdown as % of equity-0.44%
($1,299)
Includes Typical Broker Commissions trade costs of $7.00
4/15/21 10:15 INTZ INTRUSION INC. COMMON STOCK LONG 2,000 19.40 5/5 10:03 10.25 3.14%
Trade id #135165258
Max drawdown($18,372)
Time5/5/21 9:55
Quant open1,898
Worst price9.72
Drawdown as % of equity-3.14%
($18,324)
Includes Typical Broker Commissions trade costs of $20.49
5/3/21 9:43 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,350 37.10 5/4 10:00 32.61 1.06%
Trade id #135419593
Max drawdown($6,210)
Time5/4/21 10:00
Quant open1,350
Worst price32.50
Drawdown as % of equity-1.06%
($6,076)
Includes Typical Broker Commissions trade costs of $13.50
2/26/21 10:28 OTRK ONTRAK INC LONG 300 57.71 4/20 11:03 28.56 1.92%
Trade id #134308510
Max drawdown($10,673)
Time3/5/21 0:00
Quant open300
Worst price22.13
Drawdown as % of equity-1.92%
($8,748)
Includes Typical Broker Commissions trade costs of $3.00
4/13/21 15:42 GAN GAN LTD LONG 5,000 18.94 4/20 10:57 16.11 2.34%
Trade id #135131330
Max drawdown($14,889)
Time4/20/21 10:54
Quant open5,000
Worst price15.96
Drawdown as % of equity-2.34%
($14,190)
Includes Typical Broker Commissions trade costs of $50.00
4/1/21 14:30 GRVY GRAVITY CO LONG 1,000 123.00 4/20 10:56 116.06 1.1%
Trade id #134974212
Max drawdown($6,990)
Time4/20/21 10:56
Quant open1,000
Worst price116.01
Drawdown as % of equity-1.10%
($6,953)
Includes Typical Broker Commissions trade costs of $10.00
4/13/21 9:32 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 3,000 49.21 4/20 10:55 36.98 5.81%
Trade id #135121422
Max drawdown($36,940)
Time4/20/21 10:54
Quant open3,000
Worst price36.90
Drawdown as % of equity-5.81%
($36,730)
Includes Typical Broker Commissions trade costs of $30.00
4/15/21 10:14 SPCE VIRGIN GALACTIC HOLDINGS INC LONG 3,000 23.91 4/19 11:10 22.05 0.94%
Trade id #135165194
Max drawdown($5,940)
Time4/19/21 11:10
Quant open3,000
Worst price21.93
Drawdown as % of equity-0.94%
($5,610)
Includes Typical Broker Commissions trade costs of $30.00
4/13/21 10:07 ETCG GRAYSCALE ETHEREUM CLASSIC TRUST (ETC) COMMON STOC LONG 3,443 17.71 4/15 10:32 20.25 n/a $8,722
Includes Typical Broker Commissions trade costs of $34.42
4/15/21 9:54 NTLA INTELLIA THERAPEUTICS INC. COMMON STOCK SHORT 1,000 75.54 4/15 10:01 75.15 0.1%
Trade id #135164276
Max drawdown($702)
Time4/15/21 9:57
Quant open1,000
Worst price76.24
Drawdown as % of equity-0.10%
$375
Includes Typical Broker Commissions trade costs of $10.00
4/9/21 9:28 NTLA INTELLIA THERAPEUTICS INC. COMMON STOCK LONG 1,000 72.50 4/15 9:43 78.00 1.35%
Trade id #135077293
Max drawdown($9,170)
Time4/12/21 0:00
Quant open1,000
Worst price63.33
Drawdown as % of equity-1.35%
$5,490
Includes Typical Broker Commissions trade costs of $10.00
2/12/21 10:21 XERI XERIANT INC. COMMON STOCK LONG 60,000 0.45 4/13 9:46 0.24 2.19%
Trade id #134034273
Max drawdown($14,928)
Time4/13/21 9:30
Quant open60,000
Worst price0.20
Drawdown as % of equity-2.19%
($13,194)
Includes Typical Broker Commissions trade costs of $600.00
4/8/21 15:12 MAXR MAXAR TECHNOLOGIES INC LONG 2,000 38.70 4/12 11:11 37.00 0.53%
Trade id #135066946
Max drawdown($3,560)
Time4/12/21 11:08
Quant open2,000
Worst price36.92
Drawdown as % of equity-0.53%
($3,420)
Includes Typical Broker Commissions trade costs of $20.00
3/24/21 14:58 ETCG GRAYSCALE ETHEREUM CLASSIC TRUST (ETC) COMMON STOC LONG 5,000 12.55 4/8 14:47 17.15 1.7%
Trade id #134842463
Max drawdown($10,250)
Time3/25/21 0:00
Quant open5,000
Worst price10.50
Drawdown as % of equity-1.70%
$22,956
Includes Typical Broker Commissions trade costs of $50.80
8/5/20 9:50 ETHE GRAYSCALE ETHEREUM TR ETH COMMON UNITS OF FRACTION LONG 6,835 15.84 4/8/21 14:36 19.87 2.29%
Trade id #130468200
Max drawdown($13,869)
Time1/4/21 0:00
Quant open3,600
Worst price11.99
Drawdown as % of equity-2.29%
$27,473
Includes Typical Broker Commissions trade costs of $68.34
3/31/21 9:52 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 16,000 9.95 4/1 9:41 9.07 2.49%
Trade id #134945916
Max drawdown($16,160)
Time4/1/21 0:00
Quant open16,000
Worst price8.94
Drawdown as % of equity-2.49%
($14,240)
Includes Typical Broker Commissions trade costs of $160.00
3/25/21 10:55 SOXL DIREXION DAILY SEMICONDCT BULL LONG 4,275 30.40 3/26 15:32 36.50 0.22%
Trade id #134860158
Max drawdown($1,282)
Time3/25/21 11:10
Quant open4,275
Worst price30.10
Drawdown as % of equity-0.22%
$26,035
Includes Typical Broker Commissions trade costs of $42.76
3/3/21 8:48 ACND.U ASCENDANT DIGITAL ACQUISITION CORP LONG 5,000 10.60 3/25 10:30 10.26 0.28%
Trade id #134384725
Max drawdown($1,750)
Time3/24/21 0:00
Quant open5,000
Worst price10.25
Drawdown as % of equity-0.28%
($1,750)
Includes Typical Broker Commissions trade costs of $50.00
3/22/21 16:39 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 10,000 10.50 3/23 14:36 11.28 0.22%
Trade id #134774784
Max drawdown($1,400)
Time3/23/21 0:00
Quant open10,000
Worst price10.36
Drawdown as % of equity-0.22%
$7,720
Includes Typical Broker Commissions trade costs of $100.00
3/17/21 15:08 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 5,000 10.18 3/22 10:55 10.63 n/a $2,227
Includes Typical Broker Commissions trade costs of $50.00
3/15/21 16:13 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 10,000 10.93 3/17 7:35 11.25 0.73%
Trade id #134627831
Max drawdown($4,625)
Time3/16/21 0:00
Quant open5,000
Worst price10.28
Drawdown as % of equity-0.73%
$3,150
Includes Typical Broker Commissions trade costs of $100.00
3/11/21 15:41 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 5,000 11.60 3/12 15:34 12.06 n/a $2,253
Includes Typical Broker Commissions trade costs of $50.00
3/11/21 9:02 TZA DIREXION DAILY SMALL CAP BEAR LONG 3,500 31.60 3/11 10:51 30.77 0.49%
Trade id #134557969
Max drawdown($3,097)
Time3/11/21 10:50
Quant open3,500
Worst price30.71
Drawdown as % of equity-0.49%
($2,940)
Includes Typical Broker Commissions trade costs of $35.00
2/23/21 10:52 CGNT COGNYTE SOFTWARE LTD LONG 535 29.44 3/10 13:57 31.58 0.36%
Trade id #134227753
Max drawdown($2,002)
Time3/5/21 0:00
Quant open535
Worst price25.70
Drawdown as % of equity-0.36%
$1,139
Includes Typical Broker Commissions trade costs of $5.36

Statistics

  • Strategy began
    4/20/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    417.9
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    108
  • # Profitable
    70
  • % Profitable
    64.80%
  • Avg trade duration
    26.0 days
  • Max peak-to-valley drawdown
    31.96%
  • drawdown period
    April 13, 2021 - May 19, 2021
  • Annual Return (Compounded)
    62.5%
  • Avg win
    $7,474
  • Avg loss
    $7,710
  • Model Account Values (Raw)
  • Cash
    $412,332
  • Margin Used
    $0
  • Buying Power
    $401,390
  • Ratios
  • W:L ratio
    1.79:1
  • Sharpe Ratio
    1.21
  • Sortino Ratio
    1.96
  • Calmar Ratio
    2.299
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    24.54%
  • Correlation to SP500
    0.20750
  • Return Percent SP500 (cumu) during strategy life
    50.45%
  • Return Statistics
  • Ann Return (w trading costs)
    62.5%
  • Slump
  • Current Slump as Pcnt Equity
    34.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.625%
  • Instruments
  • Percent Trades Options
    0.04%
  • Percent Trades Stocks
    0.77%
  • Percent Trades Forex
    0.19%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    64.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    57.00%
  • Chance of 20% account loss
    32.00%
  • Chance of 30% account loss
    8.50%
  • Chance of 40% account loss
    0.50%
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    872
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    824
  • Popularity (7 days, Percentile 1000 scale)
    650
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $7,710
  • Avg Win
    $7,475
  • Sum Trade PL (losers)
    $292,981.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $523,216.000
  • # Winners
    70
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    43
  • Win / Loss
  • # Losers
    38
  • % Winners
    64.8%
  • Frequency
  • Avg Position Time (mins)
    37414.40
  • Avg Position Time (hrs)
    623.57
  • Avg Trade Length
    26.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.11
  • Daily leverage (max)
    3.09
  • Regression
  • Alpha
    0.11
  • Beta
    0.44
  • Treynor Index
    0.34
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.05
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.342
  • 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
    0.759
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.095
  • Hold-and-Hope Ratio
    0.300
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58427
  • SD
    0.34620
  • Sharpe ratio (Glass type estimate)
    1.68765
  • Sharpe ratio (Hedges UMVUE)
    1.57955
  • df
    12.00000
  • t
    1.75657
  • p
    0.27387
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34121
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.65480
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40673
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56582
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.05457
  • Upside Potential Ratio
    5.87970
  • Upside part of mean
    0.84727
  • Downside part of mean
    -0.26300
  • Upside SD
    0.34397
  • Downside SD
    0.14410
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.34508
  • Mean of criterion
    0.58427
  • SD of predictor
    0.08665
  • SD of criterion
    0.34620
  • Covariance
    0.00190
  • r
    0.06343
  • b (slope, estimate of beta)
    0.25344
  • a (intercept, estimate of alpha)
    0.49682
  • Mean Square Error
    0.13023
  • DF error
    11.00000
  • t(b)
    0.21080
  • p(b)
    0.41845
  • t(a)
    0.91887
  • p(a)
    0.18893
  • Lowerbound of 95% confidence interval for beta
    -2.39275
  • Upperbound of 95% confidence interval for beta
    2.89962
  • Lowerbound of 95% confidence interval for alpha
    -0.69321
  • Upperbound of 95% confidence interval for alpha
    1.68684
  • Treynor index (mean / b)
    2.30541
  • Jensen alpha (a)
    0.49682
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51865
  • SD
    0.33183
  • Sharpe ratio (Glass type estimate)
    1.56296
  • Sharpe ratio (Hedges UMVUE)
    1.46284
  • df
    12.00000
  • t
    1.62678
  • p
    0.28746
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51595
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50908
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43476
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.44229
  • Upside Potential Ratio
    5.25682
  • Upside part of mean
    0.79204
  • Downside part of mean
    -0.27339
  • Upside SD
    0.31837
  • Downside SD
    0.15067
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.33615
  • Mean of criterion
    0.51865
  • SD of predictor
    0.08440
  • SD of criterion
    0.33183
  • Covariance
    0.00180
  • r
    0.06442
  • b (slope, estimate of beta)
    0.25328
  • a (intercept, estimate of alpha)
    0.43350
  • Mean Square Error
    0.11963
  • DF error
    11.00000
  • t(b)
    0.21410
  • p(b)
    0.41719
  • t(a)
    0.83651
  • p(a)
    0.21033
  • Lowerbound of 95% confidence interval for beta
    -2.35047
  • Upperbound of 95% confidence interval for beta
    2.85704
  • Lowerbound of 95% confidence interval for alpha
    -0.70712
  • Upperbound of 95% confidence interval for alpha
    1.57412
  • Treynor index (mean / b)
    2.04768
  • Jensen alpha (a)
    0.43350
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10805
  • Expected Shortfall on VaR
    0.14251
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04307
  • Expected Shortfall on VaR
    0.08414
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.89814
  • Quartile 1
    0.98031
  • Median
    1.07297
  • Quartile 3
    1.11417
  • Maximum
    1.22391
  • Mean of quarter 1
    0.93506
  • Mean of quarter 2
    1.03528
  • Mean of quarter 3
    1.09745
  • Mean of quarter 4
    1.17492
  • Inter Quartile Range
    0.13386
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -8.20037
  • VaR(95%) (moments method)
    0.04973
  • Expected Shortfall (moments method)
    0.04973
  • Extreme Value Index (regression method)
    -1.78653
  • VaR(95%) (regression method)
    0.12027
  • Expected Shortfall (regression method)
    0.12326
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01353
  • Quartile 1
    0.05557
  • Median
    0.09760
  • Quartile 3
    0.13964
  • Maximum
    0.18168
  • Mean of quarter 1
    0.01353
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18168
  • Inter Quartile Range
    0.08407
  • 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)
    0.74564
  • Compounded annual return (geometric extrapolation)
    0.72729
  • Calmar ratio (compounded annual return / max draw down)
    4.00322
  • Compounded annual return / average of 25% largest draw downs
    4.00322
  • Compounded annual return / Expected Shortfall lognormal
    5.10332
  • 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
    0.55055
  • SD
    0.38324
  • Sharpe ratio (Glass type estimate)
    1.43654
  • Sharpe ratio (Hedges UMVUE)
    1.43290
  • df
    296.00000
  • t
    1.52949
  • p
    0.06361
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40912
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27986
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41157
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27737
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.40574
  • Upside Potential Ratio
    10.82070
  • Upside part of mean
    2.47628
  • Downside part of mean
    -1.92573
  • Upside SD
    0.30849
  • Downside SD
    0.22885
  • N nonnegative terms
    148.00000
  • N negative terms
    149.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    297.00000
  • Mean of predictor
    0.34872
  • Mean of criterion
    0.55055
  • SD of predictor
    0.17896
  • SD of criterion
    0.38324
  • Covariance
    0.01425
  • r
    0.20782
  • b (slope, estimate of beta)
    0.44505
  • a (intercept, estimate of alpha)
    0.39500
  • Mean Square Error
    0.14101
  • DF error
    295.00000
  • t(b)
    3.64904
  • p(b)
    0.00016
  • t(a)
    1.11288
  • p(a)
    0.13333
  • Lowerbound of 95% confidence interval for beta
    0.20502
  • Upperbound of 95% confidence interval for beta
    0.68508
  • Lowerbound of 95% confidence interval for alpha
    -0.30379
  • Upperbound of 95% confidence interval for alpha
    1.09449
  • Treynor index (mean / b)
    1.23705
  • Jensen alpha (a)
    0.39535
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47770
  • SD
    0.37984
  • Sharpe ratio (Glass type estimate)
    1.25765
  • Sharpe ratio (Hedges UMVUE)
    1.25446
  • df
    296.00000
  • t
    1.33903
  • p
    0.09079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58700
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10029
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58916
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09809
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04987
  • Upside Potential Ratio
    10.42760
  • Upside part of mean
    2.43006
  • Downside part of mean
    -1.95235
  • Upside SD
    0.30059
  • Downside SD
    0.23304
  • N nonnegative terms
    148.00000
  • N negative terms
    149.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    297.00000
  • Mean of predictor
    0.33242
  • Mean of criterion
    0.47770
  • SD of predictor
    0.17972
  • SD of criterion
    0.37984
  • Covariance
    0.01406
  • r
    0.20597
  • b (slope, estimate of beta)
    0.43532
  • a (intercept, estimate of alpha)
    0.33299
  • Mean Square Error
    0.13862
  • DF error
    295.00000
  • t(b)
    3.61514
  • p(b)
    0.00018
  • t(a)
    0.94606
  • p(a)
    0.17245
  • Lowerbound of 95% confidence interval for beta
    0.19834
  • Upperbound of 95% confidence interval for beta
    0.67231
  • Lowerbound of 95% confidence interval for alpha
    -0.35972
  • Upperbound of 95% confidence interval for alpha
    1.02571
  • Treynor index (mean / b)
    1.09736
  • Jensen alpha (a)
    0.33299
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03611
  • Expected Shortfall on VaR
    0.04548
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01706
  • Expected Shortfall on VaR
    0.03225
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    297.00000
  • Minimum
    0.93407
  • Quartile 1
    0.98909
  • Median
    1.00009
  • Quartile 3
    1.01309
  • Maximum
    1.09202
  • Mean of quarter 1
    0.97520
  • Mean of quarter 2
    0.99585
  • Mean of quarter 3
    1.00536
  • Mean of quarter 4
    1.03279
  • Inter Quartile Range
    0.02400
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01347
  • Mean of outliers low
    0.94453
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.05387
  • Mean of outliers high
    1.06408
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10399
  • VaR(95%) (moments method)
    0.02385
  • Expected Shortfall (moments method)
    0.03055
  • Extreme Value Index (regression method)
    -0.14844
  • VaR(95%) (regression method)
    0.02331
  • Expected Shortfall (regression method)
    0.02922
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00187
  • Quartile 1
    0.01082
  • Median
    0.03993
  • Quartile 3
    0.07968
  • Maximum
    0.28623
  • Mean of quarter 1
    0.00552
  • Mean of quarter 2
    0.01913
  • Mean of quarter 3
    0.05301
  • Mean of quarter 4
    0.14278
  • Inter Quartile Range
    0.06887
  • 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
    0.04545
  • Mean of outliers high
    0.28623
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.20114
  • VaR(95%) (moments method)
    0.16082
  • Expected Shortfall (moments method)
    0.23622
  • Extreme Value Index (regression method)
    0.75732
  • VaR(95%) (regression method)
    0.18415
  • Expected Shortfall (regression method)
    0.62990
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68266
  • Compounded annual return (geometric extrapolation)
    0.65800
  • Calmar ratio (compounded annual return / max draw down)
    2.29886
  • Compounded annual return / average of 25% largest draw downs
    4.60846
  • Compounded annual return / Expected Shortfall lognormal
    14.46890
  • 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
    -0.13057
  • SD
    0.39913
  • Sharpe ratio (Glass type estimate)
    -0.32714
  • Sharpe ratio (Hedges UMVUE)
    -0.32525
  • df
    130.00000
  • t
    -0.23132
  • p
    0.51014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.09863
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.09733
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44684
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.48041
  • Upside Potential Ratio
    8.84813
  • Upside part of mean
    2.40479
  • Downside part of mean
    -2.53536
  • Upside SD
    0.29032
  • Downside SD
    0.27178
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25603
  • Mean of criterion
    -0.13057
  • SD of predictor
    0.13494
  • SD of criterion
    0.39913
  • Covariance
    0.00750
  • r
    0.13917
  • b (slope, estimate of beta)
    0.41163
  • a (intercept, estimate of alpha)
    -0.23596
  • Mean Square Error
    0.15743
  • DF error
    129.00000
  • t(b)
    1.59618
  • p(b)
    0.41169
  • t(a)
    -0.41763
  • p(a)
    0.52339
  • Lowerbound of 95% confidence interval for beta
    -0.09860
  • Upperbound of 95% confidence interval for beta
    0.92187
  • Lowerbound of 95% confidence interval for alpha
    -1.35381
  • Upperbound of 95% confidence interval for alpha
    0.88189
  • Treynor index (mean / b)
    -0.31720
  • Jensen alpha (a)
    -0.23596
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20929
  • SD
    0.39779
  • Sharpe ratio (Glass type estimate)
    -0.52613
  • Sharpe ratio (Hedges UMVUE)
    -0.52309
  • df
    130.00000
  • t
    -0.37203
  • p
    0.51631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.29771
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24738
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.29563
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24944
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.75619
  • Upside Potential Ratio
    8.54015
  • Upside part of mean
    2.36363
  • Downside part of mean
    -2.57292
  • Upside SD
    0.28389
  • Downside SD
    0.27677
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24684
  • Mean of criterion
    -0.20929
  • SD of predictor
    0.13501
  • SD of criterion
    0.39779
  • Covariance
    0.00744
  • r
    0.13847
  • b (slope, estimate of beta)
    0.40798
  • a (intercept, estimate of alpha)
    -0.31000
  • Mean Square Error
    0.15640
  • DF error
    129.00000
  • t(b)
    1.58800
  • p(b)
    0.41213
  • t(a)
    -0.55074
  • p(a)
    0.53082
  • VAR (95 Confidence Intrvl)
    0.03600
  • Lowerbound of 95% confidence interval for beta
    -0.10033
  • Upperbound of 95% confidence interval for beta
    0.91629
  • Lowerbound of 95% confidence interval for alpha
    -1.42367
  • Upperbound of 95% confidence interval for alpha
    0.80367
  • Treynor index (mean / b)
    -0.51299
  • Jensen alpha (a)
    -0.31000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04038
  • Expected Shortfall on VaR
    0.05015
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02364
  • Expected Shortfall on VaR
    0.04126
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94249
  • Quartile 1
    0.98415
  • Median
    0.99720
  • Quartile 3
    1.01399
  • Maximum
    1.07378
  • Mean of quarter 1
    0.96949
  • Mean of quarter 2
    0.99255
  • Mean of quarter 3
    1.00484
  • Mean of quarter 4
    1.03172
  • Inter Quartile Range
    0.02984
  • 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
    0.00763
  • Mean of outliers high
    1.07378
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.54226
  • VaR(95%) (moments method)
    0.03185
  • Expected Shortfall (moments method)
    0.03596
  • Extreme Value Index (regression method)
    -0.28677
  • VaR(95%) (regression method)
    0.02982
  • Expected Shortfall (regression method)
    0.03510
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01097
  • Quartile 1
    0.04258
  • Median
    0.05593
  • Quartile 3
    0.17482
  • Maximum
    0.28623
  • Mean of quarter 1
    0.02678
  • Mean of quarter 2
    0.05593
  • Mean of quarter 3
    0.17482
  • Mean of quarter 4
    0.28623
  • Inter Quartile Range
    0.13224
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -312044000
  • Max Equity Drawdown (num days)
    36
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.17340
  • Compounded annual return (geometric extrapolation)
    -0.16588
  • Calmar ratio (compounded annual return / max draw down)
    -0.57955
  • Compounded annual return / average of 25% largest draw downs
    -0.57955
  • Compounded annual return / Expected Shortfall lognormal
    -3.30786

Strategy Description

Growth based on asset diversification – or concentration?

Which one is better? Jim Rogers was the co-founder of the Quantum Fund, one of the world's most successful hedge funds, and used the concentration method.

Investing 101 is all about diversification and reducing your risk by spreading money around. Mr. Rogers said, “that it's much smarter to really concentrate your risks, and understand your risks and manage them that way. If you want to succeed, put all of your eggs in one basket... It has to be the right basket, and you better watch that basket very, very closely. But that's how you succeed. You don't get rich diversifying”.

I employ the same strategy here utilizing the concentration method for our funds. I trade my own funds with every trade. This is not a hypothetical trading account, I use my own money and the risk is very real. If you are opposed to the risk and do not want this type of trading please do not follow me, I understand that this type of trading is not for everyone.

I have been trading and investing since 1991 and have had the opportunity of starting and running my own successful registered investment advisory firm. I have retired and only trade/invest in my own personal accounts currently.

My strategy is a three-pronged strategy. First, I establish a long-term wealth-building strategy by buying investments/crypto's at discounted valuations to build our base (by receiving price appreciation and dividends over long periods of time, holding period (1- 10 yrs)). Next, I trade higher risk stocks & leveraged ETFs to build capital and to add additional growth to the portfolio (view these stocks as trading vehicles only to produce monthly income, holding period (1 day - weeks)). Sometimes, I utilize the Options market to take advantage of price and value oversold and overbought conditions in the market, (growth and income generator, holding period (days - multi-weeks)).

If you would like to follow me, I welcome you.
Sit Down, Strap In, and Enjoy the Ride.

Summary Statistics

Strategy began
2020-04-20
Suggested Minimum Capital
$100,000
# Trades
108
# Profitable
70
% Profitable
64.8%
Net Dividends
Correlation S&P500
0.207
Sharpe Ratio
1.21
Sortino Ratio
1.96
Beta
0.44
Alpha
0.11
Leverage
1.11 Average
3.09 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

AGM - Access to Global Markets 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.

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.

0