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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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RSC Stocks
(118260385)

Created by: TonyMitchell TonyMitchell
Started: 06/2018
Stocks
Last trade: 1,877 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

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.

0.9%
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.

(5.4%)
Max Drawdown
54
Num Trades
51.9%
Win Trades
1.6 : 1
Profit Factor
7.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                   (0.5%)+3.3%+2.8%+0.4%(3.1%)(0.4%)(0.3%)+2.1%
2019+1.5%+1.6%  -    -    -    -    -    -    -    -    -    -  +3.2%
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/27/19 11:07 BAC BANK OF AMERICA CORPORATION LONG 450 29.49 2/27 15:24 29.56 0%
Trade id #122715438
Max drawdown$0
Time2/27/19 11:09
Quant open450
Worst price29.49
Drawdown as % of equity0.00%
 $23
Includes Typical Broker Commissions trade costs of $9.00
2/25/19 13:02 IBM INTERNATIONAL BUSINESS MACHINES LONG 100 139.86 2/25 14:54 139.61 0.24%
Trade id #122671078
Max drawdown($25)
Time2/25/19 14:54
Quant open0
Worst price139.61
Drawdown as % of equity-0.24%
 ($27)
Includes Typical Broker Commissions trade costs of $2.00
2/25/19 11:07 MNST MONSTER BEVERAGE LONG 300 58.92 2/25 11:37 58.79 0.37%
Trade id #122668736
Max drawdown($39)
Time2/25/19 11:37
Quant open0
Worst price58.79
Drawdown as % of equity-0.37%
 ($45)
Includes Typical Broker Commissions trade costs of $6.00
2/19/19 11:13 MMM 3M LONG 78 208.02 2/19 12:49 208.08 0.1%
Trade id #122586356
Max drawdown($10)
Time2/19/19 11:29
Quant open78
Worst price207.89
Drawdown as % of equity-0.10%
 $3
Includes Typical Broker Commissions trade costs of $1.56
2/13/19 12:35 ATVI ACTIVISION BLIZZARD LONG 188 43.45 2/13 13:39 44.56 0.18%
Trade id #122506232
Max drawdown($18)
Time2/13/19 12:37
Quant open188
Worst price43.35
Drawdown as % of equity-0.18%
 $205
Includes Typical Broker Commissions trade costs of $3.76
1/31/19 11:13 DAL DELTA AIR LINES LONG 280 49.94 1/31 12:35 49.79 0.41%
Trade id #122292723
Max drawdown($42)
Time1/31/19 12:35
Quant open0
Worst price49.79
Drawdown as % of equity-0.41%
 ($48)
Includes Typical Broker Commissions trade costs of $5.60
1/29/19 11:53 KO COCA-COLA LONG 300 47.34 1/29 13:31 47.24 0.29%
Trade id #122246610
Max drawdown($30)
Time1/29/19 13:31
Quant open0
Worst price47.24
Drawdown as % of equity-0.29%
 ($36)
Includes Typical Broker Commissions trade costs of $6.00
1/28/19 11:46 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 167 26.41 1/28 12:15 26.42 n/a ($2)
Includes Typical Broker Commissions trade costs of $3.34
1/28/19 10:24 BAC BANK OF AMERICA CORPORATION LONG 416 29.63 1/28 11:34 29.51 0.48%
Trade id #122216919
Max drawdown($50)
Time1/28/19 11:34
Quant open0
Worst price29.51
Drawdown as % of equity-0.48%
 ($58)
Includes Typical Broker Commissions trade costs of $8.32
1/24/19 12:28 M MACY'S SHORT 714 24.47 1/24 13:32 24.40 0.62%
Trade id #122161359
Max drawdown($64)
Time1/24/19 12:49
Quant open-714
Worst price24.56
Drawdown as % of equity-0.62%
 $45
Includes Typical Broker Commissions trade costs of $5.00
1/24/19 11:08 SYMC SYMANTEC LONG 555 20.12 1/24 12:05 20.16 0.59%
Trade id #122158531
Max drawdown($61)
Time1/24/19 11:20
Quant open555
Worst price20.01
Drawdown as % of equity-0.59%
 $17
Includes Typical Broker Commissions trade costs of $5.00
1/18/19 10:47 KMI KINDER MORGAN LONG 357 17.95 1/18 11:18 17.90 0.16%
Trade id #122055589
Max drawdown($16)
Time1/18/19 11:11
Quant open357
Worst price17.90
Drawdown as % of equity-0.16%
 ($23)
Includes Typical Broker Commissions trade costs of $7.14
1/17/19 12:54 CVX CHEVRON SHORT 125 110.99 1/17 13:21 111.25 0.32%
Trade id #122035952
Max drawdown($33)
Time1/17/19 13:21
Quant open0
Worst price111.25
Drawdown as % of equity-0.32%
 ($36)
Includes Typical Broker Commissions trade costs of $2.50
1/16/19 11:17 FB META PLATFORMS INC LONG 111 147.76 1/16 11:26 147.30 0.49%
Trade id #122008785
Max drawdown($51)
Time1/16/19 11:26
Quant open0
Worst price147.30
Drawdown as % of equity-0.49%
 ($53)
Includes Typical Broker Commissions trade costs of $2.22
1/15/19 11:40 QQQ POWERSHARES QQQ LONG 101 161.75 1/15 12:02 162.43 0.04%
Trade id #121985226
Max drawdown($4)
Time1/15/19 11:42
Quant open101
Worst price161.71
Drawdown as % of equity-0.04%
 $67
Includes Typical Broker Commissions trade costs of $2.02
1/14/19 12:44 FB META PLATFORMS INC LONG 84 144.20 1/14 13:14 144.85 0.04%
Trade id #121958386
Max drawdown($4)
Time1/14/19 12:52
Quant open84
Worst price144.15
Drawdown as % of equity-0.04%
 $53
Includes Typical Broker Commissions trade costs of $1.68
1/11/19 11:34 SPY SPDR S&P 500 LONG 70 258.14 1/11 12:45 258.82 0.1%
Trade id #121922736
Max drawdown($9)
Time1/11/19 11:43
Quant open70
Worst price258.00
Drawdown as % of equity-0.10%
 $47
Includes Typical Broker Commissions trade costs of $1.40
1/10/19 11:38 AAPL APPLE LONG 90 152.75 1/10 12:02 152.75 0.29%
Trade id #121900751
Max drawdown($29)
Time1/10/19 11:43
Quant open90
Worst price152.42
Drawdown as % of equity-0.29%
 ($2)
Includes Typical Broker Commissions trade costs of $1.80
1/9/19 11:11 NFLX NETFLIX LONG 15 319.53 1/9 12:04 319.60 0.15%
Trade id #121872379
Max drawdown($14)
Time1/9/19 11:46
Quant open15
Worst price318.54
Drawdown as % of equity-0.15%
 $1
Includes Typical Broker Commissions trade costs of $0.30
1/8/19 11:11 FB META PLATFORMS INC LONG 49 140.54 1/8 11:52 142.61 0.05%
Trade id #121845303
Max drawdown($4)
Time1/8/19 11:13
Quant open49
Worst price140.44
Drawdown as % of equity-0.05%
 $100
Includes Typical Broker Commissions trade costs of $0.98
1/7/19 13:18 TSCO TRACTOR SUPPLY LONG 116 84.24 1/7 13:38 84.23 0.15%
Trade id #121825030
Max drawdown($15)
Time1/7/19 13:20
Quant open116
Worst price84.11
Drawdown as % of equity-0.15%
 ($3)
Includes Typical Broker Commissions trade costs of $2.32
1/4/19 12:18 MCD MCDONALD'S LONG 80 178.21 1/4 13:14 178.85 0%
Trade id #121789682
Max drawdown$0
Time1/4/19 12:20
Quant open80
Worst price178.21
Drawdown as % of equity0.00%
 $49
Includes Typical Broker Commissions trade costs of $1.60
1/3/19 14:01 BAC BANK OF AMERICA CORPORATION SHORT 294 24.68 1/3 14:58 24.67 0.38%
Trade id #121770163
Max drawdown($38)
Time1/3/19 14:31
Quant open-294
Worst price24.81
Drawdown as % of equity-0.38%
 ($3)
Includes Typical Broker Commissions trade costs of $5.88
1/2/19 12:36 ADP AUTOMATIC DATA PROCESSING LONG 116 129.56 1/2 13:29 130.44 n/a $100
Includes Typical Broker Commissions trade costs of $2.32
11/20/18 9:38 PBCT PEOPLE'S UNITED FINANCIAL SHORT 249 15.90 11/28 15:34 16.30 1%
Trade id #121071365
Max drawdown($100)
Time11/28/18 15:34
Quant open0
Worst price16.30
Drawdown as % of equity-1.00%
 ($105)
Includes Typical Broker Commissions trade costs of $4.98
11/1/18 9:30 AXP AMERICAN EXPRESS LONG 30 103.26 11/20 9:54 106.45 0.11%
Trade id #120664360
Max drawdown($11)
Time11/2/18 14:06
Quant open30
Worst price102.89
Drawdown as % of equity-0.11%
 $95
Includes Typical Broker Commissions trade costs of $0.60
10/24/18 9:39 ADM ARCHER-DANIELS MIDLAND LONG 35 49.24 10/24 15:56 47.77 0.51%
Trade id #120508843
Max drawdown($51)
Time10/24/18 15:56
Quant open0
Worst price47.77
Drawdown as % of equity-0.51%
 ($52)
Includes Typical Broker Commissions trade costs of $0.70
10/24/18 9:48 HSIC HENRY SCHEIN LONG 26 82.17 10/24 15:53 80.25 0.5%
Trade id #120509218
Max drawdown($50)
Time10/24/18 15:53
Quant open0
Worst price80.25
Drawdown as % of equity-0.50%
 ($51)
Includes Typical Broker Commissions trade costs of $0.52
10/24/18 9:56 MDT MEDTRONIC PLC LONG 29 93.56 10/24 15:50 91.89 0.48%
Trade id #120509577
Max drawdown($48)
Time10/24/18 15:50
Quant open0
Worst price91.89
Drawdown as % of equity-0.48%
 ($49)
Includes Typical Broker Commissions trade costs of $0.58
10/16/18 9:46 AMGN AMGEN LONG 8 198.08 10/24 13:09 192.34 0.46%
Trade id #120378290
Max drawdown($46)
Time10/24/18 13:09
Quant open0
Worst price192.34
Drawdown as % of equity-0.46%
 ($46)
Includes Typical Broker Commissions trade costs of $0.16
Next

Statistics

  • Strategy began
    6/4/2018
  • Suggested Minimum Cap
    $9,491
  • Strategy Age (days)
    2136.39
  • Age
    72 months ago
  • What it trades
    Stocks
  • # Trades
    54
  • # Profitable
    28
  • % Profitable
    51.90%
  • Avg trade duration
    4.4 days
  • Max peak-to-valley drawdown
    5.37%
  • drawdown period
    Oct 03, 2018 - Jan 02, 2019
  • Annual Return (Compounded)
    0.9%
  • Avg win
    $90.61
  • Avg loss
    $61.58
  • Model Account Values (Raw)
  • Cash
    $10,424
  • Margin Used
    $0
  • Buying Power
    $10,424
  • Ratios
  • W:L ratio
    1.58:1
  • Sharpe Ratio
    -0.29
  • Sortino Ratio
    -0.44
  • Calmar Ratio
    1.312
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -84.33%
  • Correlation to SP500
    0.04320
  • Return Percent SP500 (cumu) during strategy life
    82.83%
  • Return Statistics
  • Ann Return (w trading costs)
    0.9%
  • Slump
  • Current Slump as Pcnt Equity
    2.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.009%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $62
  • Avg Win
    $91
  • Sum Trade PL (losers)
    $1,601.000
  • Age
  • Num Months filled monthly returns table
    71
  • Win / Loss
  • Sum Trade PL (winners)
    $2,537.000
  • # Winners
    28
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    26
  • % Winners
    51.9%
  • Frequency
  • Avg Position Time (mins)
    6274.80
  • Avg Position Time (hrs)
    104.58
  • Avg Trade Length
    4.4 days
  • Last Trade Ago
    1868
  • Regression
  • Alpha
    -0.00
  • Beta
    0.01
  • Treynor Index
    -0.42
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    49.30
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    15.83
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.54
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.770
  • 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
    0.339
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.013
  • Hold-and-Hope Ratio
    0.262
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02526
  • SD
    0.06455
  • Sharpe ratio (Glass type estimate)
    0.39140
  • Sharpe ratio (Hedges UMVUE)
    0.37723
  • df
    21.00000
  • t
    0.52996
  • p
    0.42702
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06547
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83914
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07479
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82924
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79288
  • Upside Potential Ratio
    2.34073
  • Upside part of mean
    0.07459
  • Downside part of mean
    -0.04932
  • Upside SD
    0.05491
  • Downside SD
    0.03186
  • N nonnegative terms
    5.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.24552
  • Mean of criterion
    0.02526
  • SD of predictor
    0.21526
  • SD of criterion
    0.06455
  • Covariance
    0.00189
  • r
    0.13630
  • b (slope, estimate of beta)
    0.04087
  • a (intercept, estimate of alpha)
    0.01523
  • Mean Square Error
    0.00429
  • DF error
    20.00000
  • t(b)
    0.61530
  • p(b)
    0.43185
  • t(a)
    0.29823
  • p(a)
    0.46673
  • Lowerbound of 95% confidence interval for beta
    -0.09769
  • Upperbound of 95% confidence interval for beta
    0.17944
  • Lowerbound of 95% confidence interval for alpha
    -0.09130
  • Upperbound of 95% confidence interval for alpha
    0.12176
  • Treynor index (mean / b)
    0.61814
  • Jensen alpha (a)
    0.01523
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02324
  • SD
    0.06353
  • Sharpe ratio (Glass type estimate)
    0.36577
  • Sharpe ratio (Hedges UMVUE)
    0.35252
  • df
    21.00000
  • t
    0.49525
  • p
    0.43173
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09022
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81320
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09893
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80397
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71812
  • Upside Potential Ratio
    2.25471
  • Upside part of mean
    0.07296
  • Downside part of mean
    -0.04972
  • Upside SD
    0.05339
  • Downside SD
    0.03236
  • N nonnegative terms
    5.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.22127
  • Mean of criterion
    0.02324
  • SD of predictor
    0.21099
  • SD of criterion
    0.06353
  • Covariance
    0.00203
  • r
    0.15135
  • b (slope, estimate of beta)
    0.04558
  • a (intercept, estimate of alpha)
    0.01315
  • Mean Square Error
    0.00414
  • DF error
    20.00000
  • t(b)
    0.68476
  • p(b)
    0.42432
  • t(a)
    0.26436
  • p(a)
    0.47049
  • Lowerbound of 95% confidence interval for beta
    -0.09326
  • Upperbound of 95% confidence interval for beta
    0.18441
  • Lowerbound of 95% confidence interval for alpha
    -0.09064
  • Upperbound of 95% confidence interval for alpha
    0.11695
  • Treynor index (mean / b)
    0.50988
  • Jensen alpha (a)
    0.01315
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02784
  • Expected Shortfall on VaR
    0.03524
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01227
  • Expected Shortfall on VaR
    0.02376
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.96276
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06633
  • Mean of quarter 1
    0.99153
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02473
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.18182
  • Mean of outliers low
    0.98729
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.22727
  • Mean of outliers high
    1.02968
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.39538
  • VaR(95%) (moments method)
    0.00072
  • Expected Shortfall (moments method)
    0.00108
  • Extreme Value Index (regression method)
    1.49751
  • VaR(95%) (regression method)
    0.01467
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01198
  • Quartile 1
    0.01865
  • Median
    0.02533
  • Quartile 3
    0.03201
  • Maximum
    0.03869
  • Mean of quarter 1
    0.01198
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03869
  • Inter Quartile Range
    0.01336
  • 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)
    0.05362
  • Compounded annual return (geometric extrapolation)
    0.05248
  • Calmar ratio (compounded annual return / max draw down)
    1.35640
  • Compounded annual return / average of 25% largest draw downs
    1.35640
  • Compounded annual return / Expected Shortfall lognormal
    1.48927
  • 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
    0.02275
  • SD
    0.04747
  • Sharpe ratio (Glass type estimate)
    0.47927
  • Sharpe ratio (Hedges UMVUE)
    0.47855
  • df
    495.00000
  • t
    0.65944
  • p
    0.25496
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94572
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94625
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90334
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73453
  • Upside Potential Ratio
    5.70598
  • Upside part of mean
    0.17672
  • Downside part of mean
    -0.15398
  • Upside SD
    0.03594
  • Downside SD
    0.03097
  • N nonnegative terms
    80.00000
  • N negative terms
    416.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    496.00000
  • Mean of predictor
    0.35021
  • Mean of criterion
    0.02275
  • SD of predictor
    0.31335
  • SD of criterion
    0.04747
  • Covariance
    0.00070
  • r
    0.04693
  • b (slope, estimate of beta)
    0.00711
  • a (intercept, estimate of alpha)
    0.02000
  • Mean Square Error
    0.00225
  • DF error
    494.00000
  • t(b)
    1.04427
  • p(b)
    0.14844
  • t(a)
    0.58592
  • p(a)
    0.27910
  • Lowerbound of 95% confidence interval for beta
    -0.00627
  • Upperbound of 95% confidence interval for beta
    0.02049
  • Lowerbound of 95% confidence interval for alpha
    -0.04768
  • Upperbound of 95% confidence interval for alpha
    0.08820
  • Treynor index (mean / b)
    3.19999
  • Jensen alpha (a)
    0.02026
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02162
  • SD
    0.04744
  • Sharpe ratio (Glass type estimate)
    0.45578
  • Sharpe ratio (Hedges UMVUE)
    0.45509
  • df
    495.00000
  • t
    0.62711
  • p
    0.26544
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96918
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96968
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87986
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69402
  • Upside Potential Ratio
    5.65101
  • Upside part of mean
    0.17606
  • Downside part of mean
    -0.15444
  • Upside SD
    0.03574
  • Downside SD
    0.03116
  • N nonnegative terms
    80.00000
  • N negative terms
    416.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    496.00000
  • Mean of predictor
    0.30072
  • Mean of criterion
    0.02162
  • SD of predictor
    0.31472
  • SD of criterion
    0.04744
  • Covariance
    0.00071
  • r
    0.04752
  • b (slope, estimate of beta)
    0.00716
  • a (intercept, estimate of alpha)
    0.01947
  • Mean Square Error
    0.00225
  • DF error
    494.00000
  • t(b)
    1.05739
  • p(b)
    0.14542
  • t(a)
    0.56372
  • p(a)
    0.28660
  • Lowerbound of 95% confidence interval for beta
    -0.00615
  • Upperbound of 95% confidence interval for beta
    0.02047
  • Lowerbound of 95% confidence interval for alpha
    -0.04839
  • Upperbound of 95% confidence interval for alpha
    0.08733
  • Treynor index (mean / b)
    3.01860
  • Jensen alpha (a)
    0.01947
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00473
  • Expected Shortfall on VaR
    0.00594
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00184
  • Expected Shortfall on VaR
    0.00392
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    496.00000
  • Minimum
    0.97688
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02088
  • Mean of quarter 1
    0.99801
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00277
  • Inter Quartile Range
    0.00000
  • Number outliers low
    66.00000
  • Percentage of outliers low
    0.13306
  • Mean of outliers low
    0.99625
  • Number of outliers high
    81.00000
  • Percentage of outliers high
    0.16331
  • Mean of outliers high
    1.00424
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.60183
  • VaR(95%) (moments method)
    0.00218
  • Expected Shortfall (moments method)
    0.00295
  • Extreme Value Index (regression method)
    0.31599
  • VaR(95%) (regression method)
    0.00205
  • Expected Shortfall (regression method)
    0.00436
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00078
  • Quartile 1
    0.00874
  • Median
    0.01253
  • Quartile 3
    0.02222
  • Maximum
    0.03869
  • Mean of quarter 1
    0.00431
  • Mean of quarter 2
    0.01168
  • Mean of quarter 3
    0.01688
  • Mean of quarter 4
    0.03051
  • Inter Quartile Range
    0.01347
  • 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)
    0.08120
  • VaR(95%) (moments method)
    0.03350
  • Expected Shortfall (moments method)
    0.04005
  • Extreme Value Index (regression method)
    3.36398
  • VaR(95%) (regression method)
    0.04589
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05193
  • Compounded annual return (geometric extrapolation)
    0.05078
  • Calmar ratio (compounded annual return / max draw down)
    1.31248
  • Compounded annual return / average of 25% largest draw downs
    1.66407
  • Compounded annual return / Expected Shortfall lognormal
    8.54132
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.94104
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.37992
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.86771
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38037
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6798910000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00500
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    59675599999999989512283373961216.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -443808000
  • Max Equity Drawdown (num days)
    91
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

The system gauges the direction of the market using automated signals generated from our trading system. These signals give a list of instruments that are potential trade opportunities. The RSC Stock System prefers to trade with the trend on the trading time frame and looks for a combination of price action and indicators that signal that the trade is likely to extend its move further in the direction of the trend. The trend is your friend, until it bends. The minimum risk reward ratio is 1:2. All trades come with a firm stop and target though depending on market conditions a break even move is often made when the trade has hit the 1:1 risk- reward level.

The RSC Stock System for scaling purposes is based on a maximum of 1% risk per trade. For example, on a 10K account we look to risk no more than $100 per stop per trade on a maximum of 1 trade at any given time. If a strong trade is running and the stop has been moved to break even, a second trade could also be placed if there are enough available funds in the account. Please note in order to buy enough stocks to reach the $100 stop size, I do use a leveraged account from Interactive Brokers. Once the system trades up to 15K, we will risk $150 per trade maximum and continue to increase this as the system climbs to 20K ($200), 25K ($250) etc. The goal is to keep the losses small and to growth the account 2-5% a month.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-06-04
Suggested Minimum Capital
$15,000
# Trades
54
# Profitable
28
% Profitable
51.9%
Correlation S&P500
0.043
Sharpe Ratio
-0.29
Sortino Ratio
-0.44
Beta
0.01
Alpha
-0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

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.