Welcome to AGM - Access to Global Markets

Follow these tips for a better experience

Ok, let's start

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

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

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

The Momentum of Now
(75800796)

Created by: Danny Danny
Started: 08/2012
Stocks
Last trade: Yesterday

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.

26.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(24.1%)
Max Drawdown
1433
Num Trades
35.6%
Win Trades
1.5 : 1
Profit Factor
54.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.8%+7.5%+0.9%+1.6%(0.5%)+13.9%
2013+13.8%+0.7%+9.1%(1.6%)  -  (5.4%)(2.7%)(2.3%)+22.2%+8.4%+21.0%(0.3%)+77.1%
2014+10.7%(1.9%)(1.7%)(2.9%)+1.4%(1.1%)(8.1%)+4.2%(0.5%)+2.8%+3.1%+2.5%+7.7%
2015(1.1%)+6.9%+4.5%(5.2%)+19.8%+2.7%+17.0%(4%)+3.5%(1.8%)+2.5%+1.8%+53.8%
2016(0.2%)(4.7%)(5.2%)+3.7%(3.7%)+3.4%(0.4%)+0.7%+1.8%+0.5%+9.0%(2.3%)+1.8%
2017(1.9%)+8.4%+1.0%+5.2%+10.1%(7.1%)+6.7%+6.4%+2.6%+2.5%(3.1%)(1.3%)+32.1%
2018+8.8%(1.4%)+1.2%(2.6%)+15.3%(2.2%)(5.5%)+7.7%(4.9%)(7.3%)(0.4%)+0.5%+7.1%
2019  -  +4.1%(3.9%)+3.1%(2.3%)                                          +0.7%

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 2,289 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/1/19 9:30 BOOM DMC GLOBAL INC. COMMON STOCK LONG 256 50.53 5/23 9:30 67.50 n/a $4,341
Includes Typical Broker Commissions trade costs of $2.56
4/29/19 9:30 ECA ENCANA SHORT 1,909 7.07 5/22 9:31 6.76 0.13%
Trade id #123461940
Max drawdown($687)
Time4/30/19 9:34
Quant open-1,909
Worst price7.43
Drawdown as % of equity-0.13%
$573
Includes Typical Broker Commissions trade costs of $19.08
4/24/19 9:30 CVM CEL-SCI LONG 963 6.90 5/17 9:30 5.76 0.24%
Trade id #123411378
Max drawdown($1,203)
Time5/17/19 8:04
Quant open963
Worst price5.65
Drawdown as % of equity-0.24%
($1,104)
Includes Typical Broker Commissions trade costs of $9.64
2/20/19 9:30 PAYC PAYCOM SOFTWARE INC LONG 91 179.38 5/14 9:30 199.15 n/a $1,797
Includes Typical Broker Commissions trade costs of $2.00
5/7/19 9:30 MDB MONGODB INC. CLASS A COMMON STOCK LONG 78 134.87 5/14 9:30 129.40 0.12%
Trade id #123555805
Max drawdown($602)
Time5/9/19 10:07
Quant open78
Worst price127.14
Drawdown as % of equity-0.12%
($429)
Includes Typical Broker Commissions trade costs of $2.00
2/15/19 9:30 RAMP LIVERAMP HOLDINGS INC LONG 305 52.30 5/14 9:30 53.79 n/a $451
Includes Typical Broker Commissions trade costs of $3.06
3/29/19 9:30 LULU LULULEMON ATHLETICA LONG 93 165.91 5/14 9:30 168.54 n/a $243
Includes Typical Broker Commissions trade costs of $2.00
2/20/19 9:30 FLWS 1-800 FLOWERS.COM LONG 842 17.30 5/14 9:30 18.90 n/a $1,339
Includes Typical Broker Commissions trade costs of $8.42
4/1/19 9:30 MSFT MICROSOFT LONG 267 118.53 5/14 9:30 123.89 n/a $1,428
Includes Typical Broker Commissions trade costs of $2.66
2/15/19 9:30 EEFT EURONET WORLDWIDE LONG 140 130.27 5/14 9:30 147.74 n/a $2,444
Includes Typical Broker Commissions trade costs of $2.00
1/15/19 9:30 VRSN VERISIGN LONG 107 157.98 5/14 9:30 189.73 n/a $3,395
Includes Typical Broker Commissions trade costs of $2.00
3/26/19 9:30 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 193 257.00 5/14 9:30 254.40 0.17%
Trade id #123073518
Max drawdown($851)
Time5/13/19 13:21
Quant open193
Worst price252.59
Drawdown as % of equity-0.17%
($504)
Includes Typical Broker Commissions trade costs of $2.00
5/10/19 9:30 IRDM IRIDIUM COMMUNICATIONS LONG 985 27.00 5/13 10:38 24.95 0.41%
Trade id #123615625
Max drawdown($2,024)
Time5/13/19 10:38
Quant open0
Worst price24.95
Drawdown as % of equity-0.41%
($2,034)
Includes Typical Broker Commissions trade costs of $9.84
5/13/19 9:30 ZEN ZENDESK INC LONG 173 86.22 5/13 10:05 82.55 0.13%
Trade id #123641826
Max drawdown($635)
Time5/13/19 10:05
Quant open0
Worst price82.55
Drawdown as % of equity-0.13%
($637)
Includes Typical Broker Commissions trade costs of $2.00
5/13/19 9:33 ESTC ELASTIC NV LONG 189 85.00 5/13 9:40 82.82 0.08%
Trade id #123641974
Max drawdown($412)
Time5/13/19 9:40
Quant open0
Worst price82.82
Drawdown as % of equity-0.08%
($414)
Includes Typical Broker Commissions trade costs of $2.00
5/10/19 9:30 TPB TURNING POINT BRANDS INC LONG 522 52.87 5/10 14:19 48.70 0.43%
Trade id #123615568
Max drawdown($2,179)
Time5/10/19 14:19
Quant open0
Worst price48.70
Drawdown as % of equity-0.43%
($2,184)
Includes Typical Broker Commissions trade costs of $5.22
5/6/19 9:30 TNET TRINET GROUP INC LONG 673 63.66 5/9 9:30 61.59 0.28%
Trade id #123540089
Max drawdown($1,393)
Time5/9/19 9:30
Quant open0
Worst price61.59
Drawdown as % of equity-0.28%
($1,400)
Includes Typical Broker Commissions trade costs of $6.74
5/6/19 9:30 ETSY ETSY INC. COMMON STOCK LONG 463 68.00 5/9 9:30 63.25 0.6%
Trade id #123540139
Max drawdown($3,051)
Time5/8/19 16:14
Quant open463
Worst price61.41
Drawdown as % of equity-0.60%
($2,204)
Includes Typical Broker Commissions trade costs of $4.62
4/29/19 9:30 IWM ISHARES RUSSELL 2000 INDEX LONG 275 158.64 5/9 9:30 155.51 0.18%
Trade id #123461817
Max drawdown($915)
Time5/9/19 9:09
Quant open275
Worst price155.31
Drawdown as % of equity-0.18%
($864)
Includes Typical Broker Commissions trade costs of $2.76
5/7/19 9:30 NVTA INVITAE CORP LONG 398 24.93 5/8 9:30 19.75 0.5%
Trade id #123555819
Max drawdown($2,531)
Time5/8/19 9:12
Quant open398
Worst price18.57
Drawdown as % of equity-0.50%
($2,066)
Includes Typical Broker Commissions trade costs of $3.98
4/15/19 9:30 FIVE FIVE BELOW INC LONG 139 135.88 5/8 9:30 137.45 0.05%
Trade id #123312674
Max drawdown($267)
Time4/15/19 10:19
Quant open139
Worst price133.95
Drawdown as % of equity-0.05%
$216
Includes Typical Broker Commissions trade costs of $2.00
4/22/19 9:30 X UNITED STATES STEEL SHORT 751 16.39 5/6 9:31 16.55 0.09%
Trade id #123384065
Max drawdown($450)
Time5/3/19 14:51
Quant open-751
Worst price16.99
Drawdown as % of equity-0.09%
($128)
Includes Typical Broker Commissions trade costs of $7.50
4/23/19 9:30 BGCP BGC PARTNERS SHORT 3,454 5.48 5/6 9:30 5.50 0.12%
Trade id #123398893
Max drawdown($587)
Time4/29/19 10:19
Quant open-3,454
Worst price5.65
Drawdown as % of equity-0.12%
($104)
Includes Typical Broker Commissions trade costs of $34.54
4/24/19 9:30 W WAYFAIR INC LONG 102 151.92 5/3 9:30 150.51 0.17%
Trade id #123411522
Max drawdown($838)
Time5/2/19 13:01
Quant open102
Worst price143.70
Drawdown as % of equity-0.17%
($146)
Includes Typical Broker Commissions trade costs of $2.00
4/30/19 9:30 ZS ZSCALER INC. COMMON STOCK LONG 185 67.96 5/3 9:30 66.32 0.13%
Trade id #123475012
Max drawdown($652)
Time5/2/19 11:59
Quant open185
Worst price64.44
Drawdown as % of equity-0.13%
($305)
Includes Typical Broker Commissions trade costs of $2.00
3/13/19 9:30 FOXF FOX FACTORY HOLDING CORP. COMM LONG 551 72.89 5/3 9:30 72.50 0.13%
Trade id #122891556
Max drawdown($650)
Time5/2/19 9:31
Quant open225
Worst price70.00
Drawdown as % of equity-0.13%
($225)
Includes Typical Broker Commissions trade costs of $5.50
5/1/19 9:30 MDB MONGODB INC. CLASS A COMMON STOCK LONG 83 141.28 5/2 9:30 133.12 0.15%
Trade id #123489237
Max drawdown($756)
Time5/1/19 10:25
Quant open83
Worst price132.16
Drawdown as % of equity-0.15%
($679)
Includes Typical Broker Commissions trade costs of $2.00
3/27/19 9:30 AMD ADVANCED MICRO DEVICES INC. C LONG 422 25.71 5/2 9:30 26.90 n/a $498
Includes Typical Broker Commissions trade costs of $4.22
4/23/19 9:31 UNFI UNITED NATURAL FOODS SHORT 991 12.17 5/1 9:30 12.99 0.16%
Trade id #123399119
Max drawdown($817)
Time4/30/19 15:41
Quant open-991
Worst price12.99
Drawdown as % of equity-0.16%
($823)
Includes Typical Broker Commissions trade costs of $9.92
4/29/19 9:30 MGTA MAGENTA THERAPEUTICS INC. COMMON STOCK LONG 386 17.58 4/30 9:30 14.01 0.27%
Trade id #123461780
Max drawdown($1,378)
Time4/30/19 9:30
Quant open0
Worst price14.01
Drawdown as % of equity-0.27%
($1,382)
Includes Typical Broker Commissions trade costs of $3.86

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2484.12
  • Age
    83 months ago
  • What it trades
    Stocks
  • # Trades
    1433
  • # Profitable
    510
  • % Profitable
    35.60%
  • Avg trade duration
    30.9 days
  • Max peak-to-valley drawdown
    24.06%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    25.8%
  • Avg win
    $2,671
  • Avg loss
    $1,082
  • Model Account Values (Raw)
  • Cash
    $237,107
  • Margin Used
    $220,936
  • Buying Power
    $49,717
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    1.02
  • Sortino Ratio
    1.47
  • Calmar Ratio
    1.374
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.18230
  • Return Statistics
  • Ann Return (w trading costs)
    25.8%
  • Ann Return (Compnd, No Fees)
    27.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    44.00%
  • Chance of 20% account loss
    18.00%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    1.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    864
  • Popularity (Last 6 weeks)
    974
  • C2 Score
    95.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,083
  • Avg Win
    $2,671
  • # Winners
    510
  • # Losers
    923
  • % Winners
    35.6%
  • Frequency
  • Avg Position Time (mins)
    44479.60
  • Avg Position Time (hrs)
    741.33
  • Avg Trade Length
    30.9 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.64
  • Daily leverage (max)
    3.69
  • Unknown
  • Alpha
    0.06
  • Beta
    0.26
  • Treynor Index
    0.24
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24728
  • SD
    0.23845
  • Sharpe ratio (Glass type estimate)
    1.03704
  • Sharpe ratio (Hedges UMVUE)
    1.02717
  • df
    79.00000
  • t
    2.67763
  • p
    0.00451
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25785
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80999
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80297
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.36193
  • Upside Potential Ratio
    4.12256
  • Upside part of mean
    0.43162
  • Downside part of mean
    -0.18433
  • Upside SD
    0.22424
  • Downside SD
    0.10470
  • N nonnegative terms
    47.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.09178
  • Mean of criterion
    0.24728
  • SD of predictor
    0.12125
  • SD of criterion
    0.23845
  • Covariance
    0.00280
  • r
    0.09674
  • b (slope, estimate of beta)
    0.19024
  • a (intercept, estimate of alpha)
    0.22982
  • Mean Square Error
    0.05705
  • DF error
    78.00000
  • t(b)
    0.85838
  • p(b)
    0.19666
  • t(a)
    2.42646
  • p(a)
    0.00878
  • Lowerbound of 95% confidence interval for beta
    -0.25099
  • Upperbound of 95% confidence interval for beta
    0.63147
  • Lowerbound of 95% confidence interval for alpha
    0.04126
  • Upperbound of 95% confidence interval for alpha
    0.41839
  • Treynor index (mean / b)
    1.29985
  • Jensen alpha (a)
    0.22982
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21845
  • SD
    0.22629
  • Sharpe ratio (Glass type estimate)
    0.96534
  • Sharpe ratio (Hedges UMVUE)
    0.95614
  • df
    79.00000
  • t
    2.49248
  • p
    0.00739
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18858
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73623
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18255
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72973
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00963
  • Upside Potential Ratio
    3.75437
  • Upside part of mean
    0.40811
  • Downside part of mean
    -0.18966
  • Upside SD
    0.20671
  • Downside SD
    0.10870
  • N nonnegative terms
    47.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.08400
  • Mean of criterion
    0.21845
  • SD of predictor
    0.12141
  • SD of criterion
    0.22629
  • Covariance
    0.00280
  • r
    0.10187
  • b (slope, estimate of beta)
    0.18987
  • a (intercept, estimate of alpha)
    0.20250
  • Mean Square Error
    0.05133
  • DF error
    78.00000
  • t(b)
    0.90436
  • p(b)
    0.18430
  • t(a)
    2.26261
  • p(a)
    0.01322
  • Lowerbound of 95% confidence interval for beta
    -0.22811
  • Upperbound of 95% confidence interval for beta
    0.60784
  • Lowerbound of 95% confidence interval for alpha
    0.02432
  • Upperbound of 95% confidence interval for alpha
    0.38068
  • Treynor index (mean / b)
    1.15055
  • Jensen alpha (a)
    0.20250
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08538
  • Expected Shortfall on VaR
    0.10975
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03143
  • Expected Shortfall on VaR
    0.06198
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    80.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97818
  • Median
    1.02057
  • Quartile 3
    1.05049
  • Maximum
    1.27878
  • Mean of quarter 1
    0.94964
  • Mean of quarter 2
    0.99675
  • Mean of quarter 3
    1.03540
  • Mean of quarter 4
    1.10996
  • Inter Quartile Range
    0.07231
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05000
  • Mean of outliers high
    1.22021
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20074
  • VaR(95%) (moments method)
    0.05129
  • Expected Shortfall (moments method)
    0.07868
  • Extreme Value Index (regression method)
    -0.00564
  • VaR(95%) (regression method)
    0.05334
  • Expected Shortfall (regression method)
    0.07276
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00377
  • Quartile 1
    0.02099
  • Median
    0.04039
  • Quartile 3
    0.11403
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01292
  • Mean of quarter 2
    0.03641
  • Mean of quarter 3
    0.08995
  • Mean of quarter 4
    0.14898
  • Inter Quartile Range
    0.09304
  • 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)
    -3.03640
  • VaR(95%) (moments method)
    0.15347
  • Expected Shortfall (moments method)
    0.15376
  • Extreme Value Index (regression method)
    -0.63735
  • VaR(95%) (regression method)
    0.16554
  • Expected Shortfall (regression method)
    0.17538
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62512
  • Compounded annual return (geometric extrapolation)
    0.27936
  • Calmar ratio (compounded annual return / max draw down)
    1.65291
  • Compounded annual return / average of 25% largest draw downs
    1.87514
  • Compounded annual return / Expected Shortfall lognormal
    2.54539
  • 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
    0.22889
  • SD
    0.17769
  • Sharpe ratio (Glass type estimate)
    1.28812
  • Sharpe ratio (Hedges UMVUE)
    1.28757
  • df
    1766.00000
  • t
    3.34522
  • p
    0.46032
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04385
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53167
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04348
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88018
  • Upside Potential Ratio
    9.15884
  • Upside part of mean
    1.11497
  • Downside part of mean
    -0.88608
  • Upside SD
    0.13014
  • Downside SD
    0.12174
  • N nonnegative terms
    990.00000
  • N negative terms
    777.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1767.00000
  • Mean of predictor
    0.08516
  • Mean of criterion
    0.22889
  • SD of predictor
    0.12863
  • SD of criterion
    0.17769
  • Covariance
    0.00406
  • r
    0.17761
  • b (slope, estimate of beta)
    0.24535
  • a (intercept, estimate of alpha)
    0.20800
  • Mean Square Error
    0.03060
  • DF error
    1765.00000
  • t(b)
    7.58235
  • p(b)
    0.38753
  • t(a)
    3.08551
  • p(a)
    0.45341
  • Lowerbound of 95% confidence interval for beta
    0.18189
  • Upperbound of 95% confidence interval for beta
    0.30881
  • Lowerbound of 95% confidence interval for alpha
    0.07578
  • Upperbound of 95% confidence interval for alpha
    0.34020
  • Treynor index (mean / b)
    0.93290
  • Jensen alpha (a)
    0.20799
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21298
  • SD
    0.17781
  • Sharpe ratio (Glass type estimate)
    1.19778
  • Sharpe ratio (Hedges UMVUE)
    1.19727
  • df
    1766.00000
  • t
    3.11060
  • p
    0.46309
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44189
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44153
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95301
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.72697
  • Upside Potential Ratio
    8.97211
  • Upside part of mean
    1.10650
  • Downside part of mean
    -0.89352
  • Upside SD
    0.12870
  • Downside SD
    0.12333
  • N nonnegative terms
    990.00000
  • N negative terms
    777.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1767.00000
  • Mean of predictor
    0.07685
  • Mean of criterion
    0.21298
  • SD of predictor
    0.12880
  • SD of criterion
    0.17781
  • Covariance
    0.00408
  • r
    0.17816
  • b (slope, estimate of beta)
    0.24596
  • a (intercept, estimate of alpha)
    0.19408
  • Mean Square Error
    0.03063
  • DF error
    1765.00000
  • t(b)
    7.60649
  • p(b)
    0.38718
  • t(a)
    2.87783
  • p(a)
    0.45653
  • Lowerbound of 95% confidence interval for beta
    0.18254
  • Upperbound of 95% confidence interval for beta
    0.30938
  • Lowerbound of 95% confidence interval for alpha
    0.06181
  • Upperbound of 95% confidence interval for alpha
    0.32635
  • Treynor index (mean / b)
    0.86592
  • Jensen alpha (a)
    0.19408
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01711
  • Expected Shortfall on VaR
    0.02160
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00711
  • Expected Shortfall on VaR
    0.01472
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1767.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99631
  • Median
    1.00098
  • Quartile 3
    1.00606
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98791
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00327
  • Mean of quarter 4
    1.01385
  • Inter Quartile Range
    0.00975
  • Number outliers low
    78.00000
  • Percentage of outliers low
    0.04414
  • Mean of outliers low
    0.97330
  • Number of outliers high
    72.00000
  • Percentage of outliers high
    0.04075
  • Mean of outliers high
    1.02767
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23638
  • VaR(95%) (moments method)
    0.01081
  • Expected Shortfall (moments method)
    0.01777
  • Extreme Value Index (regression method)
    0.09395
  • VaR(95%) (regression method)
    0.01133
  • Expected Shortfall (regression method)
    0.01696
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00341
  • Median
    0.01360
  • Quartile 3
    0.03963
  • Maximum
    0.19820
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.00842
  • Mean of quarter 3
    0.02456
  • Mean of quarter 4
    0.10986
  • Inter Quartile Range
    0.03622
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10769
  • Mean of outliers high
    0.15595
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.15662
  • VaR(95%) (moments method)
    0.09767
  • Expected Shortfall (moments method)
    0.10352
  • Extreme Value Index (regression method)
    -0.56478
  • VaR(95%) (regression method)
    0.08824
  • Expected Shortfall (regression method)
    0.09976
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60444
  • Compounded annual return (geometric extrapolation)
    0.27238
  • Calmar ratio (compounded annual return / max draw down)
    1.37426
  • Compounded annual return / average of 25% largest draw downs
    2.47939
  • Compounded annual return / Expected Shortfall lognormal
    12.60910
  • 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
    0.00664
  • SD
    0.08775
  • Sharpe ratio (Glass type estimate)
    0.07564
  • Sharpe ratio (Hedges UMVUE)
    0.07521
  • df
    130.00000
  • t
    0.05349
  • p
    0.49765
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.69630
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84735
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.69661
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84703
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10038
  • Upside Potential Ratio
    7.42805
  • Upside part of mean
    0.49118
  • Downside part of mean
    -0.48455
  • Upside SD
    0.05717
  • Downside SD
    0.06613
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11511
  • Mean of criterion
    0.00664
  • SD of predictor
    0.16983
  • SD of criterion
    0.08775
  • Covariance
    0.00213
  • r
    0.14314
  • b (slope, estimate of beta)
    0.07396
  • a (intercept, estimate of alpha)
    -0.00188
  • Mean Square Error
    0.00760
  • DF error
    129.00000
  • t(b)
    1.64264
  • p(b)
    0.40919
  • t(a)
    -0.01520
  • p(a)
    0.50085
  • Lowerbound of 95% confidence interval for beta
    -0.01512
  • Upperbound of 95% confidence interval for beta
    0.16304
  • Lowerbound of 95% confidence interval for alpha
    -0.24603
  • Upperbound of 95% confidence interval for alpha
    0.24228
  • Treynor index (mean / b)
    0.08975
  • Jensen alpha (a)
    -0.00188
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00281
  • SD
    0.08786
  • Sharpe ratio (Glass type estimate)
    0.03198
  • Sharpe ratio (Hedges UMVUE)
    0.03180
  • df
    130.00000
  • t
    0.02262
  • p
    0.49901
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.73983
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.74001
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.80361
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04224
  • Upside Potential Ratio
    7.35763
  • Upside part of mean
    0.48951
  • Downside part of mean
    -0.48670
  • Upside SD
    0.05687
  • Downside SD
    0.06653
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10079
  • Mean of criterion
    0.00281
  • SD of predictor
    0.16957
  • SD of criterion
    0.08786
  • Covariance
    0.00216
  • r
    0.14528
  • b (slope, estimate of beta)
    0.07528
  • a (intercept, estimate of alpha)
    -0.00478
  • Mean Square Error
    0.00762
  • DF error
    129.00000
  • t(b)
    1.66775
  • p(b)
    0.40784
  • t(a)
    -0.03868
  • p(a)
    0.50217
  • Lowerbound of 95% confidence interval for beta
    -0.01403
  • Upperbound of 95% confidence interval for beta
    0.16458
  • Lowerbound of 95% confidence interval for alpha
    -0.24912
  • Upperbound of 95% confidence interval for alpha
    0.23956
  • Treynor index (mean / b)
    0.03733
  • Jensen alpha (a)
    -0.00478
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00888
  • Expected Shortfall on VaR
    0.01112
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00391
  • Expected Shortfall on VaR
    0.00806
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98258
  • Quartile 1
    0.99825
  • Median
    1.00066
  • Quartile 3
    1.00289
  • Maximum
    1.01990
  • Mean of quarter 1
    0.99346
  • Mean of quarter 2
    0.99949
  • Mean of quarter 3
    1.00167
  • Mean of quarter 4
    1.00595
  • Inter Quartile Range
    0.00464
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98603
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01272
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15351
  • VaR(95%) (moments method)
    0.00530
  • Expected Shortfall (moments method)
    0.00827
  • Extreme Value Index (regression method)
    -0.18229
  • VaR(95%) (regression method)
    0.00710
  • Expected Shortfall (regression method)
    0.00950
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00227
  • Median
    0.00786
  • Quartile 3
    0.02698
  • Maximum
    0.07389
  • Mean of quarter 1
    0.00155
  • Mean of quarter 2
    0.00524
  • Mean of quarter 3
    0.01764
  • Mean of quarter 4
    0.05102
  • Inter Quartile Range
    0.02471
  • 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
    0.11111
  • Mean of outliers high
    0.07389
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43332
  • VaR(95%) (moments method)
    0.05668
  • Expected Shortfall (moments method)
    0.10437
  • Extreme Value Index (regression method)
    4.29406
  • VaR(95%) (regression method)
    0.23585
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03095
  • Compounded annual return (geometric extrapolation)
    0.03119
  • Calmar ratio (compounded annual return / max draw down)
    0.42218
  • Compounded annual return / average of 25% largest draw downs
    0.61142
  • Compounded annual return / Expected Shortfall lognormal
    2.80481

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.

For more information on my trading style, please visit Twitter.com/ChartingTrends


Frequently asked questions:

Does this system need to be auto-traded?

No. All signals will be sent out after the market has closed, mostly on the weekends, 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.


Do you use leverage?

Rarely, but yes during strongly trending markets.


Do you use stops?

Yes. All signals come with a stop loss order attached.


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 10 years of intensive study.


What will happen during bear markets?

I can short stocks and ETFs, so the system is not dependant on a rising stock market. The system is more likely to struggle during a choppy, range bound market.

Summary Statistics

Strategy began
2012-08-04
Suggested Minimum Capital
$35,000
# Trades
1433
# Profitable
510
% Profitable
35.6%
Net Dividends
Correlation S&P500
0.182
Sharpe Ratio
1.02
Sortino Ratio
1.47
Beta
0.26
Alpha
0.06
Leverage
1.64 Average
3.69 Maximum

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 nominal 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.

Okay, gotcha.

Not available

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

Want to see available plans and features?

Please hold...

Strategy is now visible

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

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

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

Continue to designate your strategy as Private?

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.

0