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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.

28.5%
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.

(24.1%)
Max Drawdown
1271
Num Trades
35.7%
Win Trades
1.5 : 1
Profit Factor
56.6%
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%)+0.5%      +7.5%

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 2,047 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/29/18 9:30 AMRN AMARIN LONG 335 23.06 11/12 9:37 18.99 0.35%
Trade id #120593790
Max drawdown($1,772)
Time11/12/18 8:29
Quant open335
Worst price17.77
Drawdown as % of equity-0.35%
($1,366)
Includes Typical Broker Commissions trade costs of $3.36
10/22/18 9:30 LKQ LKQ SHORT 688 27.88 11/8 9:30 28.22 0.08%
Trade id #120466102
Max drawdown($399)
Time11/7/18 15:40
Quant open-688
Worst price28.46
Drawdown as % of equity-0.08%
($242)
Includes Typical Broker Commissions trade costs of $6.88
10/1/18 9:30 NWL NEWELL BRANDS INC SHORT 1,005 20.38 11/5 9:30 19.09 n/a $1,286
Includes Typical Broker Commissions trade costs of $10.06
10/22/18 9:30 MTSI MACOM TECHNOLOGY SOLUTION SHORT 504 14.95 11/2 9:30 16.00 0.11%
Trade id #120466111
Max drawdown($529)
Time11/2/18 9:30
Quant open0
Worst price16.00
Drawdown as % of equity-0.11%
($534)
Includes Typical Broker Commissions trade costs of $5.04
10/23/18 9:30 JEF JEFFERIES FINANCIAL GROUP INC SHORT 809 20.52 11/2 9:30 21.58 0.22%
Trade id #120485199
Max drawdown($1,107)
Time10/31/18 14:56
Quant open-809
Worst price21.89
Drawdown as % of equity-0.22%
($865)
Includes Typical Broker Commissions trade costs of $8.08
10/26/18 9:30 HOG HARLEY-DAVIDSON SHORT 433 37.01 11/1 12:58 39.63 0.23%
Trade id #120560045
Max drawdown($1,135)
Time11/1/18 12:58
Quant open0
Worst price39.63
Drawdown as % of equity-0.23%
($1,139)
Includes Typical Broker Commissions trade costs of $4.34
10/31/18 9:30 BITA BITAUTO HOLDINGS SHORT 384 17.91 11/1 11:53 20.24 0.18%
Trade id #120639302
Max drawdown($894)
Time11/1/18 11:53
Quant open0
Worst price20.24
Drawdown as % of equity-0.18%
($898)
Includes Typical Broker Commissions trade costs of $3.84
10/23/18 9:30 BSIG BRIGHTSPHERE INVESTMENT GROUP PLC SHORT 1,587 11.49 11/1 11:37 12.68 0.38%
Trade id #120485243
Max drawdown($1,891)
Time11/1/18 11:37
Quant open0
Worst price12.68
Drawdown as % of equity-0.38%
($1,907)
Includes Typical Broker Commissions trade costs of $15.88
10/22/18 9:30 GVA GRANITE CONSTRUCTION SHORT 374 41.30 10/26 9:49 43.84 0.19%
Trade id #120466201
Max drawdown($950)
Time10/26/18 9:49
Quant open0
Worst price43.84
Drawdown as % of equity-0.19%
($954)
Includes Typical Broker Commissions trade costs of $3.74
9/26/18 9:30 WHR WHIRLPOOL SHORT 231 121.75 10/26 9:32 108.78 0.02%
Trade id #120040590
Max drawdown($110)
Time9/26/18 9:38
Quant open-231
Worst price122.23
Drawdown as % of equity-0.02%
$2,994
Includes Typical Broker Commissions trade costs of $2.32
9/26/18 9:30 MTBC MEDICAL TRANSCRIPTION BILLING LONG 5,606 5.42 10/25 9:30 4.71 0.8%
Trade id #120040704
Max drawdown($4,092)
Time10/25/18 9:30
Quant open5,606
Worst price4.69
Drawdown as % of equity-0.80%
($4,036)
Includes Typical Broker Commissions trade costs of $56.06
10/22/18 9:30 PRQR PROQR THERAPEUTICS N.V. ORDINA LONG 418 19.33 10/25 9:30 17.28 0.17%
Trade id #120466152
Max drawdown($857)
Time10/25/18 9:30
Quant open0
Worst price17.28
Drawdown as % of equity-0.17%
($861)
Includes Typical Broker Commissions trade costs of $4.18
10/15/18 9:30 CGC CANOPY GROWTH CORP LONG 150 50.32 10/19 9:30 49.84 0.06%
Trade id #120349482
Max drawdown($303)
Time10/17/18 9:43
Quant open150
Worst price48.30
Drawdown as % of equity-0.06%
($74)
Includes Typical Broker Commissions trade costs of $2.00
10/8/18 9:30 XPER XPERI CORPORATION COMMON STOCK SHORT 874 14.21 10/18 9:30 14.55 0.1%
Trade id #120229659
Max drawdown($520)
Time10/17/18 13:59
Quant open-874
Worst price14.81
Drawdown as % of equity-0.10%
($300)
Includes Typical Broker Commissions trade costs of $8.74
10/1/18 9:31 LLY ELI LILLY LONG 384 107.50 10/12 9:30 108.68 0.07%
Trade id #120114687
Max drawdown($353)
Time10/11/18 14:47
Quant open384
Worst price106.58
Drawdown as % of equity-0.07%
$449
Includes Typical Broker Commissions trade costs of $3.84
10/8/18 9:33 PFE PFIZER LONG 987 44.82 10/11 10:11 43.80 0.25%
Trade id #120229911
Max drawdown($1,248)
Time10/11/18 7:21
Quant open987
Worst price43.56
Drawdown as % of equity-0.25%
($1,018)
Includes Typical Broker Commissions trade costs of $9.88
8/6/18 9:30 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 444 259.17 10/11 9:30 256.74 0.38%
Trade id #119293966
Max drawdown($1,926)
Time10/11/18 5:12
Quant open259
Worst price251.73
Drawdown as % of equity-0.38%
($1,083)
Includes Typical Broker Commissions trade costs of $4.58
10/1/18 9:30 FATE FATE THERAPEUTICS INC. COMMON LONG 1,713 16.78 10/9 13:01 14.30 0.83%
Trade id #120114539
Max drawdown($4,254)
Time10/9/18 13:01
Quant open0
Worst price14.30
Drawdown as % of equity-0.83%
($4,271)
Includes Typical Broker Commissions trade costs of $17.12
9/27/18 9:30 GKOS GLAUKOS CORPORATION LONG 347 64.63 10/9 9:30 60.36 0.34%
Trade id #120062541
Max drawdown($1,733)
Time10/5/18 13:39
Quant open347
Worst price59.63
Drawdown as % of equity-0.34%
($1,485)
Includes Typical Broker Commissions trade costs of $3.48
5/3/18 9:30 PDI PIMCO DYNAMIC INCOME FUND COMM LONG 2,131 31.08 10/5 9:30 33.04 n/a $4,157
Includes Typical Broker Commissions trade costs of $21.30
8/2/18 11:24 FLIR FLIR SYSTEMS LONG 383 59.44 10/5 9:30 60.28 n/a $318
Includes Typical Broker Commissions trade costs of $3.84
8/13/18 9:30 ROKU ROKU INC. CLASS A COMMON STOCK LONG 361 58.17 10/5 9:30 66.59 0.15%
Trade id #119405901
Max drawdown($811)
Time8/15/18 14:13
Quant open184
Worst price53.61
Drawdown as % of equity-0.15%
$3,038
Includes Typical Broker Commissions trade costs of $3.80
8/10/18 9:30 HIIQ HEALTH INSURANCE INNOVATIONS LONG 859 48.97 10/5 9:30 52.78 0.41%
Trade id #119376025
Max drawdown($2,209)
Time9/21/18 8:01
Quant open557
Worst price45.00
Drawdown as % of equity-0.41%
$3,268
Includes Typical Broker Commissions trade costs of $8.60
9/24/18 9:30 WST WEST PHARMACEUTICAL LONG 301 122.13 10/5 9:30 119.34 0.17%
Trade id #119999652
Max drawdown($882)
Time10/4/18 14:26
Quant open301
Worst price119.20
Drawdown as % of equity-0.17%
($844)
Includes Typical Broker Commissions trade costs of $3.02
9/26/18 9:30 JNK SPDR BARCLAYS HIGH YIELD BOND LONG 2,168 35.97 10/5 9:30 35.71 0.12%
Trade id #120040536
Max drawdown($628)
Time10/4/18 13:40
Quant open2,168
Worst price35.68
Drawdown as % of equity-0.12%
($586)
Includes Typical Broker Commissions trade costs of $21.68
9/26/18 9:30 FRPT FRESHPET INC. COMMON STOCK LONG 759 37.00 10/4 9:30 35.24 0.26%
Trade id #120040564
Max drawdown($1,343)
Time10/4/18 9:30
Quant open0
Worst price35.24
Drawdown as % of equity-0.26%
($1,351)
Includes Typical Broker Commissions trade costs of $7.58
9/18/18 9:30 JNCE JOUNCE THERAPEUTICS INC. COMMON STOCK SHORT 1,399 6.42 10/4 9:30 6.96 0.15%
Trade id #119905912
Max drawdown($808)
Time9/20/18 10:26
Quant open-1,399
Worst price7.00
Drawdown as % of equity-0.15%
($772)
Includes Typical Broker Commissions trade costs of $14.00
9/25/18 9:30 IRMD IRADIMED CORP LONG 379 34.20 10/3 11:32 30.80 0.25%
Trade id #120019630
Max drawdown($1,287)
Time10/3/18 11:32
Quant open0
Worst price30.80
Drawdown as % of equity-0.25%
($1,291)
Includes Typical Broker Commissions trade costs of $3.80
9/25/18 9:30 MOH MOLINA HEALTHCARE LONG 156 152.24 10/3 10:11 144.72 0.23%
Trade id #120019736
Max drawdown($1,172)
Time10/3/18 10:11
Quant open0
Worst price144.72
Drawdown as % of equity-0.23%
($1,174)
Includes Typical Broker Commissions trade costs of $2.00
9/25/18 9:30 MYOK MYOKARDIA INC. COMMON STOCK LONG 204 65.40 10/3 9:30 60.21 0.21%
Trade id #120019676
Max drawdown($1,091)
Time10/2/18 15:25
Quant open204
Worst price60.05
Drawdown as % of equity-0.21%
($1,061)
Includes Typical Broker Commissions trade costs of $2.04

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2292.11
  • Age
    76 months ago
  • What it trades
    Stocks
  • # Trades
    1271
  • # Profitable
    454
  • % Profitable
    35.70%
  • Avg trade duration
    31.3 days
  • Max peak-to-valley drawdown
    24.06%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    28.2%
  • Avg win
    $2,798
  • Avg loss
    $1,105
  • Model Account Values (Raw)
  • Cash
    $307,839
  • Margin Used
    $215,516
  • Buying Power
    $106,452
  • Ratios
  • W:L ratio
    1.50:1
  • Sharpe Ratio
    1.359
  • Sortino Ratio
    1.989
  • Calmar Ratio
    1.52
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.19500
  • Return Statistics
  • Ann Return (w trading costs)
    28.2%
  • Ann Return (Compnd, No Fees)
    29.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.00%
  • Chance of 20% account loss
    18.00%
  • Chance of 30% account loss
    3.00%
  • Chance of 40% account loss
    2.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    867
  • Popularity (Last 6 weeks)
    988
  • C2 Score
    98.2
  • 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
    $1,106
  • Avg Win
    $2,799
  • # Winners
    454
  • # Losers
    817
  • % Winners
    35.7%
  • Frequency
  • Avg Position Time (mins)
    45077.30
  • Avg Position Time (hrs)
    751.29
  • Avg Trade Length
    31.3 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26606
  • SD
    0.24587
  • Sharpe ratio (Glass type estimate)
    1.08209
  • Sharpe ratio (Hedges UMVUE)
    1.07094
  • df
    73.00000
  • t
    2.68713
  • p
    0.00446
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27008
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88706
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26278
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87909
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.47351
  • Upside Potential Ratio
    4.22053
  • Upside part of mean
    0.45397
  • Downside part of mean
    -0.18791
  • Upside SD
    0.23230
  • Downside SD
    0.10756
  • N nonnegative terms
    44.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    74.00000
  • Mean of predictor
    0.08231
  • Mean of criterion
    0.26606
  • SD of predictor
    0.10316
  • SD of criterion
    0.24587
  • Covariance
    0.00348
  • r
    0.13705
  • b (slope, estimate of beta)
    0.32665
  • a (intercept, estimate of alpha)
    0.23917
  • Mean Square Error
    0.06014
  • DF error
    72.00000
  • t(b)
    1.17401
  • p(b)
    0.12213
  • t(a)
    2.35922
  • p(a)
    0.01051
  • Lowerbound of 95% confidence interval for beta
    -0.22800
  • Upperbound of 95% confidence interval for beta
    0.88130
  • Lowerbound of 95% confidence interval for alpha
    0.03708
  • Upperbound of 95% confidence interval for alpha
    0.44126
  • Treynor index (mean / b)
    0.81450
  • Jensen alpha (a)
    0.23917
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23522
  • SD
    0.23330
  • Sharpe ratio (Glass type estimate)
    1.00824
  • Sharpe ratio (Hedges UMVUE)
    0.99785
  • df
    73.00000
  • t
    2.50375
  • p
    0.00726
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19897
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81091
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19216
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80354
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10491
  • Upside Potential Ratio
    3.83697
  • Upside part of mean
    0.42877
  • Downside part of mean
    -0.19355
  • Upside SD
    0.21404
  • Downside SD
    0.11175
  • N nonnegative terms
    44.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    74.00000
  • Mean of predictor
    0.07661
  • Mean of criterion
    0.23522
  • SD of predictor
    0.10339
  • SD of criterion
    0.23330
  • Covariance
    0.00342
  • r
    0.14198
  • b (slope, estimate of beta)
    0.32040
  • a (intercept, estimate of alpha)
    0.21068
  • Mean Square Error
    0.05407
  • DF error
    72.00000
  • t(b)
    1.21709
  • p(b)
    0.11377
  • t(a)
    2.19943
  • p(a)
    0.01553
  • Lowerbound of 95% confidence interval for beta
    -0.20438
  • Upperbound of 95% confidence interval for beta
    0.84517
  • Lowerbound of 95% confidence interval for alpha
    0.01973
  • Upperbound of 95% confidence interval for alpha
    0.40162
  • Treynor index (mean / b)
    0.73415
  • Jensen alpha (a)
    0.21068
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08714
  • Expected Shortfall on VaR
    0.11220
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03164
  • Expected Shortfall on VaR
    0.06284
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    74.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97843
  • Median
    1.02316
  • Quartile 3
    1.05184
  • Maximum
    1.27878
  • Mean of quarter 1
    0.94844
  • Mean of quarter 2
    0.99864
  • Mean of quarter 3
    1.03720
  • Mean of quarter 4
    1.11302
  • Inter Quartile Range
    0.07341
  • 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
    0.05405
  • Mean of outliers high
    1.22021
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12571
  • VaR(95%) (moments method)
    0.05097
  • Expected Shortfall (moments method)
    0.07425
  • Extreme Value Index (regression method)
    -0.10840
  • VaR(95%) (regression method)
    0.05693
  • Expected Shortfall (regression method)
    0.07481
  • 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
    0.14344
  • 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)
    -0.85957
  • VaR(95%) (moments method)
    0.15400
  • Expected Shortfall (moments method)
    0.16079
  • Extreme Value Index (regression method)
    0.03878
  • VaR(95%) (regression method)
    0.16290
  • Expected Shortfall (regression method)
    0.19307
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.65941
  • Compounded annual return (geometric extrapolation)
    0.30099
  • Calmar ratio (compounded annual return / max draw down)
    1.78093
  • Compounded annual return / average of 25% largest draw downs
    2.09836
  • Compounded annual return / Expected Shortfall lognormal
    2.68269
  • 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
    0.24921
  • SD
    0.18325
  • Sharpe ratio (Glass type estimate)
    1.35992
  • Sharpe ratio (Hedges UMVUE)
    1.35930
  • df
    1629.00000
  • t
    3.39201
  • p
    0.44675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57256
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14690
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57212
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14647
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98876
  • Upside Potential Ratio
    9.32473
  • Upside part of mean
    1.16848
  • Downside part of mean
    -0.91927
  • Upside SD
    0.13452
  • Downside SD
    0.12531
  • N nonnegative terms
    914.00000
  • N negative terms
    716.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1630.00000
  • Mean of predictor
    0.08743
  • Mean of criterion
    0.24921
  • SD of predictor
    0.12452
  • SD of criterion
    0.18325
  • Covariance
    0.00423
  • r
    0.18548
  • b (slope, estimate of beta)
    0.27297
  • a (intercept, estimate of alpha)
    0.22500
  • Mean Square Error
    0.03245
  • DF error
    1628.00000
  • t(b)
    7.61594
  • p(b)
    0.40726
  • t(a)
    3.11746
  • p(a)
    0.46148
  • Lowerbound of 95% confidence interval for beta
    0.20267
  • Upperbound of 95% confidence interval for beta
    0.34327
  • Lowerbound of 95% confidence interval for alpha
    0.08356
  • Upperbound of 95% confidence interval for alpha
    0.36713
  • Treynor index (mean / b)
    0.91296
  • Jensen alpha (a)
    0.22535
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23228
  • SD
    0.18338
  • Sharpe ratio (Glass type estimate)
    1.26664
  • Sharpe ratio (Hedges UMVUE)
    1.26606
  • df
    1629.00000
  • t
    3.15935
  • p
    0.45037
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05344
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05305
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82947
  • Upside Potential Ratio
    9.13181
  • Upside part of mean
    1.15944
  • Downside part of mean
    -0.92716
  • Upside SD
    0.13302
  • Downside SD
    0.12697
  • N nonnegative terms
    914.00000
  • N negative terms
    716.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1630.00000
  • Mean of predictor
    0.07964
  • Mean of criterion
    0.23228
  • SD of predictor
    0.12473
  • SD of criterion
    0.18338
  • Covariance
    0.00425
  • r
    0.18589
  • b (slope, estimate of beta)
    0.27331
  • a (intercept, estimate of alpha)
    0.21052
  • Mean Square Error
    0.03249
  • DF error
    1628.00000
  • t(b)
    7.63333
  • p(b)
    0.40706
  • t(a)
    2.91093
  • p(a)
    0.46402
  • Lowerbound of 95% confidence interval for beta
    0.20308
  • Upperbound of 95% confidence interval for beta
    0.34354
  • Lowerbound of 95% confidence interval for alpha
    0.06867
  • Upperbound of 95% confidence interval for alpha
    0.35236
  • Treynor index (mean / b)
    0.84989
  • Jensen alpha (a)
    0.21052
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01759
  • Expected Shortfall on VaR
    0.02222
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00737
  • Expected Shortfall on VaR
    0.01523
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1630.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99611
  • Median
    1.00104
  • Quartile 3
    1.00647
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98748
  • Mean of quarter 2
    0.99883
  • Mean of quarter 3
    1.00353
  • Mean of quarter 4
    1.01439
  • Inter Quartile Range
    0.01036
  • Number outliers low
    69.00000
  • Percentage of outliers low
    0.04233
  • Mean of outliers low
    0.97228
  • Number of outliers high
    55.00000
  • Percentage of outliers high
    0.03374
  • Mean of outliers high
    1.02957
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20821
  • VaR(95%) (moments method)
    0.01113
  • Expected Shortfall (moments method)
    0.01782
  • Extreme Value Index (regression method)
    0.10095
  • VaR(95%) (regression method)
    0.01158
  • Expected Shortfall (regression method)
    0.01733
  • 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
    0.19548
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.00842
  • Mean of quarter 3
    0.02456
  • Mean of quarter 4
    0.10969
  • 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
    0.15557
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.17061
  • VaR(95%) (moments method)
    0.09753
  • Expected Shortfall (moments method)
    0.10325
  • Extreme Value Index (regression method)
    -0.84550
  • VaR(95%) (regression method)
    0.08752
  • Expected Shortfall (regression method)
    0.09483
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.65045
  • Compounded annual return (geometric extrapolation)
    0.29718
  • Calmar ratio (compounded annual return / max draw down)
    1.52024
  • Compounded annual return / average of 25% largest draw downs
    2.70930
  • Compounded annual return / Expected Shortfall lognormal
    13.37220
  • 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
    -0.14797
  • SD
    0.15366
  • Sharpe ratio (Glass type estimate)
    -0.96295
  • Sharpe ratio (Hedges UMVUE)
    -0.95738
  • df
    130.00000
  • t
    -0.68091
  • p
    0.52981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.73541
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81314
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.73163
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81687
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.19987
  • Upside Potential Ratio
    6.27892
  • Upside part of mean
    0.77431
  • Downside part of mean
    -0.92228
  • Upside SD
    0.09114
  • Downside SD
    0.12332
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02550
  • Mean of criterion
    -0.14797
  • SD of predictor
    0.12860
  • SD of criterion
    0.15366
  • Covariance
    0.00262
  • r
    0.13274
  • b (slope, estimate of beta)
    0.15861
  • a (intercept, estimate of alpha)
    -0.14392
  • Mean Square Error
    0.02338
  • DF error
    129.00000
  • t(b)
    1.52113
  • p(b)
    0.41574
  • t(a)
    -0.66558
  • p(a)
    0.53722
  • Lowerbound of 95% confidence interval for beta
    -0.04769
  • Upperbound of 95% confidence interval for beta
    0.36491
  • Lowerbound of 95% confidence interval for alpha
    -0.57175
  • Upperbound of 95% confidence interval for alpha
    0.28390
  • Treynor index (mean / b)
    -0.93291
  • Jensen alpha (a)
    -0.14392
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15978
  • SD
    0.15430
  • Sharpe ratio (Glass type estimate)
    -1.03549
  • Sharpe ratio (Hedges UMVUE)
    -1.02950
  • df
    130.00000
  • t
    -0.73220
  • p
    0.53204
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.80822
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74111
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.80413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74513
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.28127
  • Upside Potential Ratio
    6.17569
  • Upside part of mean
    0.77012
  • Downside part of mean
    -0.92990
  • Upside SD
    0.09041
  • Downside SD
    0.12470
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03374
  • Mean of criterion
    -0.15978
  • SD of predictor
    0.12904
  • SD of criterion
    0.15430
  • Covariance
    0.00264
  • r
    0.13280
  • b (slope, estimate of beta)
    0.15880
  • a (intercept, estimate of alpha)
    -0.15442
  • Mean Square Error
    0.02357
  • DF error
    129.00000
  • t(b)
    1.52184
  • p(b)
    0.41570
  • t(a)
    -0.71113
  • p(a)
    0.53976
  • Lowerbound of 95% confidence interval for beta
    -0.04765
  • Upperbound of 95% confidence interval for beta
    0.36525
  • Lowerbound of 95% confidence interval for alpha
    -0.58405
  • Upperbound of 95% confidence interval for alpha
    0.27521
  • Treynor index (mean / b)
    -1.00616
  • Jensen alpha (a)
    -0.15442
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01616
  • Expected Shortfall on VaR
    0.02006
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00779
  • Expected Shortfall on VaR
    0.01577
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96238
  • Quartile 1
    0.99708
  • Median
    1.00070
  • Quartile 3
    1.00417
  • Maximum
    1.03011
  • Mean of quarter 1
    0.98733
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00223
  • Mean of quarter 4
    1.00973
  • Inter Quartile Range
    0.00709
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.97902
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02125
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37364
  • VaR(95%) (moments method)
    0.00922
  • Expected Shortfall (moments method)
    0.01133
  • Extreme Value Index (regression method)
    -0.28020
  • VaR(95%) (regression method)
    0.01403
  • Expected Shortfall (regression method)
    0.01829
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00356
  • Median
    0.00679
  • Quartile 3
    0.02744
  • Maximum
    0.19548
  • Mean of quarter 1
    0.00139
  • Mean of quarter 2
    0.00559
  • Mean of quarter 3
    0.01834
  • Mean of quarter 4
    0.11601
  • Inter Quartile Range
    0.02389
  • 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
    0.14286
  • Mean of outliers high
    0.19548
  • 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)
    -0.12762
  • Compounded annual return (geometric extrapolation)
    -0.12355
  • Calmar ratio (compounded annual return / max draw down)
    -0.63201
  • Compounded annual return / average of 25% largest draw downs
    -1.06491
  • Compounded annual return / Expected Shortfall lognormal
    -6.15787

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
1271
# Profitable
454
% Profitable
35.7%
Net Dividends
Correlation S&P500
0.195
Sharpe Ratio
1.359

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.

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