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SP100 Short Term Swing
(75976336)

Created by: CDRing CDRing
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 $69.00 per month.

13.0%
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.

(15.3%)
Max Drawdown
1259
Num Trades
69.4%
Win Trades
1.5 : 1
Profit Factor
70.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +0.5%+3.5%+3.4%(0.4%)+4.6%+12.0%
2013(0.1%)+3.3%+2.5%+3.0%  -  +4.9%+3.1%+0.1%+2.0%+3.3%+3.2%+0.5%+28.8%
2014(5.5%)+3.9%+0.5%+3.8%+4.1%+3.1%(3.5%)+3.2%(0.3%)+2.0%+1.4%+1.9%+15.0%
2015+2.1%+3.4%(0.3%)(0.9%)+5.7%(1.7%)+1.7%+4.5%(0.1%)+2.8%(0.6%)+2.8%+21.0%
2016(9%)  -  +1.4%+0.4%+3.1%+0.2%(0.7%)(4%)+3.1%+0.2%+0.4%+0.2%(5.3%)
2017+4.0%+1.8%(2.6%)+2.2%+2.0%+1.0%+3.7%(1.2%)+1.4%(1.9%)+1.6%+2.5%+15.2%
2018(1.8%)(7.1%)(0.1%)+0.8%+2.4%+0.9%+2.9%+5.2%+3.5%(8.4%)            (2.5%)

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.

Trading Record

This strategy has placed 2,063 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/2/18 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 815 42.88 10/22 9:30 42.07 n/a ($665)
Includes Typical Broker Commissions trade costs of $5.00
10/5/18 9:30 ORCL ORACLE CORP LONG 695 49.42 10/17 9:30 47.43 0.88%
Trade id #120203712
Max drawdown($2,036)
Time10/11/18 14:47
Quant open695
Worst price46.49
Drawdown as % of equity-0.88%
($1,388)
Includes Typical Broker Commissions trade costs of $5.00
10/5/18 9:30 AMZN AMAZON.COM LONG 18 1917.99 10/17 9:30 1842.79 1.81%
Trade id #120203710
Max drawdown($4,192)
Time10/11/18 14:47
Quant open18
Worst price1685.10
Drawdown as % of equity-1.81%
($1,354)
Includes Typical Broker Commissions trade costs of $0.36
9/26/18 9:30 SPG SIMON PROPERTY GROUP LONG 195 176.99 10/10 9:30 174.00 0.69%
Trade id #120040661
Max drawdown($1,673)
Time10/4/18 14:30
Quant open195
Worst price168.41
Drawdown as % of equity-0.69%
($587)
Includes Typical Broker Commissions trade costs of $3.90
10/1/18 9:30 BAC BANK OF AMERICA CORP LONG 1,185 29.68 10/5 9:30 30.60 0.2%
Trade id #120114610
Max drawdown($485)
Time10/2/18 10:39
Quant open1,185
Worst price29.27
Drawdown as % of equity-0.20%
$1,085
Includes Typical Broker Commissions trade costs of $5.00
10/1/18 9:30 JPM JPMORGAN CHASE LONG 305 113.37 10/4 9:30 114.55 0.07%
Trade id #120114557
Max drawdown($169)
Time10/2/18 10:35
Quant open305
Worst price112.81
Drawdown as % of equity-0.07%
$354
Includes Typical Broker Commissions trade costs of $6.10
9/27/18 9:31 COF CAPITAL ONE FINANCIAL LONG 355 96.13 10/4 9:30 96.75 0.22%
Trade id #120062654
Max drawdown($550)
Time9/28/18 9:31
Quant open355
Worst price94.58
Drawdown as % of equity-0.22%
$213
Includes Typical Broker Commissions trade costs of $7.10
9/26/18 9:30 NEE NEXTERA ENERGY LONG 205 167.35 10/3 9:30 168.97 0.26%
Trade id #120040546
Max drawdown($635)
Time9/27/18 9:35
Quant open205
Worst price164.25
Drawdown as % of equity-0.26%
$328
Includes Typical Broker Commissions trade costs of $4.10
9/26/18 9:30 VZ VERIZON COMMUNICATIONS LONG 650 53.29 10/2 9:30 53.80 0.06%
Trade id #120040580
Max drawdown($156)
Time9/26/18 17:00
Quant open650
Worst price53.05
Drawdown as % of equity-0.06%
$327
Includes Typical Broker Commissions trade costs of $5.00
9/27/18 9:31 KMI KINDER MORGAN LONG 1,960 17.62 10/2 9:30 18.14 0.15%
Trade id #120062686
Max drawdown($362)
Time9/27/18 10:18
Quant open1,960
Worst price17.43
Drawdown as % of equity-0.15%
$1,014
Includes Typical Broker Commissions trade costs of $5.00
9/20/18 9:30 COST COSTCO WHOLESALE LONG 145 234.60 10/1 9:31 235.81 0.21%
Trade id #119944863
Max drawdown($506)
Time9/21/18 7:21
Quant open145
Worst price231.11
Drawdown as % of equity-0.21%
$172
Includes Typical Broker Commissions trade costs of $2.90
9/18/18 9:31 TGT TARGET LONG 390 86.96 10/1 9:31 88.33 0.15%
Trade id #119906039
Max drawdown($374)
Time9/24/18 8:01
Quant open390
Worst price86.00
Drawdown as % of equity-0.15%
$526
Includes Typical Broker Commissions trade costs of $7.80
9/26/18 9:30 EXC EXELON LONG 810 42.69 10/1 9:30 43.46 0.2%
Trade id #120040587
Max drawdown($502)
Time9/26/18 16:14
Quant open810
Worst price42.07
Drawdown as % of equity-0.20%
$619
Includes Typical Broker Commissions trade costs of $5.00
9/11/18 9:30 WFC WELLS FARGO LONG 585 57.40 9/21 9:30 55.75 0.84%
Trade id #119796492
Max drawdown($2,024)
Time9/17/18 10:56
Quant open585
Worst price53.94
Drawdown as % of equity-0.84%
($970)
Includes Typical Broker Commissions trade costs of $5.00
9/12/18 9:30 BIIB BIOGEN INC. COMMON STOCK LONG 100 337.96 9/21 9:30 343.10 0.23%
Trade id #119818254
Max drawdown($548)
Time9/18/18 9:33
Quant open100
Worst price332.48
Drawdown as % of equity-0.23%
$512
Includes Typical Broker Commissions trade costs of $2.00
9/14/18 9:30 COF CAPITAL ONE FINANCIAL LONG 350 97.27 9/20 9:30 100.08 0.05%
Trade id #119859151
Max drawdown($119)
Time9/18/18 16:00
Quant open350
Worst price96.93
Drawdown as % of equity-0.05%
$977
Includes Typical Broker Commissions trade costs of $7.00
9/18/18 9:30 BAC BANK OF AMERICA CORP LONG 1,125 30.33 9/20 9:30 31.30 0.11%
Trade id #119906014
Max drawdown($270)
Time9/19/18 9:30
Quant open1,125
Worst price30.09
Drawdown as % of equity-0.11%
$1,086
Includes Typical Broker Commissions trade costs of $5.00
9/11/18 9:30 AAPL APPLE LONG 150 218.01 9/14 9:31 225.75 0.09%
Trade id #119796624
Max drawdown($217)
Time9/11/18 9:34
Quant open150
Worst price216.56
Drawdown as % of equity-0.09%
$1,158
Includes Typical Broker Commissions trade costs of $3.00
9/13/18 9:31 DIS WALT DISNEY LONG 310 109.55 9/14 9:30 110.92 0.02%
Trade id #119839479
Max drawdown($55)
Time9/13/18 9:34
Quant open310
Worst price109.37
Drawdown as % of equity-0.02%
$419
Includes Typical Broker Commissions trade costs of $6.20
9/11/18 9:30 AMZN AMAZON.COM LONG 17 1928.27 9/14 9:30 1992.93 0.08%
Trade id #119796644
Max drawdown($191)
Time9/11/18 9:35
Quant open17
Worst price1917.00
Drawdown as % of equity-0.08%
$1,099
Includes Typical Broker Commissions trade costs of $0.34
9/7/18 9:31 GOOG ALPHABET INC CLASS C LONG 28 1158.67 9/14 9:30 1179.10 0.03%
Trade id #119759082
Max drawdown($68)
Time9/11/18 9:35
Quant open28
Worst price1156.24
Drawdown as % of equity-0.03%
$571
Includes Typical Broker Commissions trade costs of $0.56
9/10/18 9:30 GILD GILEAD SCIENCES LONG 465 72.58 9/13 9:31 73.75 0.16%
Trade id #119776890
Max drawdown($376)
Time9/11/18 9:33
Quant open465
Worst price71.77
Drawdown as % of equity-0.16%
$535
Includes Typical Broker Commissions trade costs of $9.30
8/27/18 9:30 PEP PEPSICO LONG 300 112.58 9/6 9:30 112.00 0.27%
Trade id #119603008
Max drawdown($639)
Time9/4/18 15:50
Quant open300
Worst price110.45
Drawdown as % of equity-0.27%
($180)
Includes Typical Broker Commissions trade costs of $6.00
8/29/18 9:31 NEE NEXTERA ENERGY LONG 195 170.01 9/6 9:30 172.42 0.25%
Trade id #119642720
Max drawdown($608)
Time8/30/18 7:34
Quant open195
Worst price166.89
Drawdown as % of equity-0.25%
$466
Includes Typical Broker Commissions trade costs of $3.90
8/28/18 9:30 FOX TWENTY-FIRST CENTURY FOX INC. LONG 750 44.66 9/4 9:30 44.80 0.04%
Trade id #119623222
Max drawdown($90)
Time8/28/18 11:08
Quant open750
Worst price44.54
Drawdown as % of equity-0.04%
$100
Includes Typical Broker Commissions trade costs of $5.00
8/28/18 9:30 WMT WALMART INC LONG 350 94.77 8/29 9:30 96.28 0.04%
Trade id #119623114
Max drawdown($84)
Time8/28/18 9:32
Quant open350
Worst price94.53
Drawdown as % of equity-0.04%
$522
Includes Typical Broker Commissions trade costs of $7.00
8/15/18 9:31 DIS WALT DISNEY LONG 290 112.18 8/29 9:30 112.58 0.09%
Trade id #119447519
Max drawdown($214)
Time8/24/18 9:38
Quant open290
Worst price111.44
Drawdown as % of equity-0.09%
$110
Includes Typical Broker Commissions trade costs of $5.80
8/20/18 9:30 GOOG ALPHABET INC CLASS C LONG 27 1205.02 8/27 9:30 1227.60 0.14%
Trade id #119509703
Max drawdown($338)
Time8/21/18 18:15
Quant open27
Worst price1192.50
Drawdown as % of equity-0.14%
$609
Includes Typical Broker Commissions trade costs of $0.54
8/16/18 9:30 JPM JPMORGAN CHASE LONG 285 114.35 8/22 9:30 115.31 0.04%
Trade id #119466642
Max drawdown($99)
Time8/21/18 19:22
Quant open285
Worst price114.00
Drawdown as % of equity-0.04%
$268
Includes Typical Broker Commissions trade costs of $5.70
8/15/18 9:30 TXN TEXAS INSTRUMENTS LONG 300 109.24 8/22 9:30 110.64 0.28%
Trade id #119447452
Max drawdown($669)
Time8/17/18 9:34
Quant open300
Worst price107.01
Drawdown as % of equity-0.28%
$414
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    8/13/2012
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    2261.19
  • Age
    75 months ago
  • What it trades
    Stocks
  • # Trades
    1259
  • # Profitable
    874
  • % Profitable
    69.40%
  • Avg trade duration
    8.8 days
  • Max peak-to-valley drawdown
    15.27%
  • drawdown period
    Dec 29, 2015 - Jan 20, 2016
  • Annual Return (Compounded)
    13.0%
  • Avg win
    $438.52
  • Avg loss
    $708.10
  • Model Account Values (Raw)
  • Cash
    $125,898
  • Margin Used
    $0
  • Buying Power
    $107,018
  • Ratios
  • W:L ratio
    1.53:1
  • Sharpe Ratio
    1.03
  • Sortino Ratio
    1.509
  • Calmar Ratio
    1.075
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.53800
  • Return Statistics
  • Ann Return (w trading costs)
    13.0%
  • Ann Return (Compnd, No Fees)
    14.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.50%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    673
  • Popularity (Last 6 weeks)
    949
  • C2 Score
    99.3
  • 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
    $708
  • Avg Win
    $437
  • # Winners
    873
  • # Losers
    385
  • % Winners
    69.4%
  • Frequency
  • Avg Position Time (mins)
    12682.90
  • Avg Position Time (hrs)
    211.38
  • Avg Trade Length
    8.8 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
    0.12617
  • SD
    0.10446
  • Sharpe ratio (Glass type estimate)
    1.20779
  • Sharpe ratio (Hedges UMVUE)
    1.19517
  • df
    72.00000
  • t
    2.97895
  • p
    0.00197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38515
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02253
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37689
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01345
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82298
  • Upside Potential Ratio
    2.94724
  • Upside part of mean
    0.20397
  • Downside part of mean
    -0.07781
  • Upside SD
    0.08543
  • Downside SD
    0.06921
  • N nonnegative terms
    53.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.09815
  • Mean of criterion
    0.12617
  • SD of predictor
    0.10461
  • SD of criterion
    0.10446
  • Covariance
    0.00611
  • r
    0.55893
  • b (slope, estimate of beta)
    0.55815
  • a (intercept, estimate of alpha)
    0.07138
  • Mean Square Error
    0.00761
  • DF error
    71.00000
  • t(b)
    5.67958
  • p(b)
    0.00000
  • t(a)
    1.94728
  • p(a)
    0.02773
  • Lowerbound of 95% confidence interval for beta
    0.36220
  • Upperbound of 95% confidence interval for beta
    0.75411
  • Lowerbound of 95% confidence interval for alpha
    -0.00171
  • Upperbound of 95% confidence interval for alpha
    0.14448
  • Treynor index (mean / b)
    0.22604
  • Jensen alpha (a)
    0.07138
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11980
  • SD
    0.10563
  • Sharpe ratio (Glass type estimate)
    1.13415
  • Sharpe ratio (Hedges UMVUE)
    1.12230
  • df
    72.00000
  • t
    2.79732
  • p
    0.00330
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31453
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94631
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30678
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93782
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.65472
  • Upside Potential Ratio
    2.76198
  • Upside part of mean
    0.19997
  • Downside part of mean
    -0.08017
  • Upside SD
    0.08342
  • Downside SD
    0.07240
  • N nonnegative terms
    53.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.09220
  • Mean of criterion
    0.11980
  • SD of predictor
    0.10412
  • SD of criterion
    0.10563
  • Covariance
    0.00627
  • r
    0.56978
  • b (slope, estimate of beta)
    0.57805
  • a (intercept, estimate of alpha)
    0.06651
  • Mean Square Error
    0.00764
  • DF error
    71.00000
  • t(b)
    5.84212
  • p(b)
    0.00000
  • t(a)
    1.81722
  • p(a)
    0.03670
  • Lowerbound of 95% confidence interval for beta
    0.38076
  • Upperbound of 95% confidence interval for beta
    0.77534
  • Lowerbound of 95% confidence interval for alpha
    -0.00647
  • Upperbound of 95% confidence interval for alpha
    0.13948
  • Treynor index (mean / b)
    0.20726
  • Jensen alpha (a)
    0.06651
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03938
  • Expected Shortfall on VaR
    0.05148
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00918
  • Expected Shortfall on VaR
    0.02291
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    73.00000
  • Minimum
    0.88523
  • Quartile 1
    1.00148
  • Median
    1.01476
  • Quartile 3
    1.03098
  • Maximum
    1.07981
  • Mean of quarter 1
    0.97743
  • Mean of quarter 2
    1.00804
  • Mean of quarter 3
    1.02212
  • Mean of quarter 4
    1.04575
  • Inter Quartile Range
    0.02950
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02740
  • Mean of outliers low
    0.89688
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01370
  • Mean of outliers high
    1.07981
  • 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)
    0.22241
  • VaR(95%) (regression method)
    0.02434
  • Expected Shortfall (regression method)
    0.04864
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00127
  • Quartile 1
    0.00634
  • Median
    0.01513
  • Quartile 3
    0.04256
  • Maximum
    0.11477
  • Mean of quarter 1
    0.00294
  • Mean of quarter 2
    0.00818
  • Mean of quarter 3
    0.02869
  • Mean of quarter 4
    0.08744
  • 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
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.11477
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -12.99570
  • VaR(95%) (moments method)
    0.09248
  • Expected Shortfall (moments method)
    0.09248
  • Extreme Value Index (regression method)
    -1.60252
  • VaR(95%) (regression method)
    0.13336
  • Expected Shortfall (regression method)
    0.13784
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23936
  • Compounded annual return (geometric extrapolation)
    0.15918
  • Calmar ratio (compounded annual return / max draw down)
    1.38696
  • Compounded annual return / average of 25% largest draw downs
    1.82038
  • Compounded annual return / Expected Shortfall lognormal
    3.09205
  • 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
    0.11196
  • SD
    0.10864
  • Sharpe ratio (Glass type estimate)
    1.03056
  • Sharpe ratio (Hedges UMVUE)
    1.03008
  • df
    1612.00000
  • t
    2.55706
  • p
    0.46822
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23969
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82112
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23937
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82080
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50853
  • Upside Potential Ratio
    7.81592
  • Upside part of mean
    0.58008
  • Downside part of mean
    -0.46812
  • Upside SD
    0.07959
  • Downside SD
    0.07422
  • N nonnegative terms
    808.00000
  • N negative terms
    805.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1613.00000
  • Mean of predictor
    0.08923
  • Mean of criterion
    0.11196
  • SD of predictor
    0.12306
  • SD of criterion
    0.10864
  • Covariance
    0.00730
  • r
    0.54607
  • b (slope, estimate of beta)
    0.48206
  • a (intercept, estimate of alpha)
    0.06900
  • Mean Square Error
    0.00829
  • DF error
    1611.00000
  • t(b)
    26.16270
  • p(b)
    0.17051
  • t(a)
    1.87715
  • p(a)
    0.47027
  • Lowerbound of 95% confidence interval for beta
    0.44592
  • Upperbound of 95% confidence interval for beta
    0.51820
  • Lowerbound of 95% confidence interval for alpha
    -0.00310
  • Upperbound of 95% confidence interval for alpha
    0.14098
  • Treynor index (mean / b)
    0.23225
  • Jensen alpha (a)
    0.06894
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10603
  • SD
    0.10865
  • Sharpe ratio (Glass type estimate)
    0.97583
  • Sharpe ratio (Hedges UMVUE)
    0.97537
  • df
    1612.00000
  • t
    2.42124
  • p
    0.46990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18505
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76632
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18474
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76600
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41382
  • Upside Potential Ratio
    7.69249
  • Upside part of mean
    0.57689
  • Downside part of mean
    -0.47086
  • Upside SD
    0.07885
  • Downside SD
    0.07499
  • N nonnegative terms
    808.00000
  • N negative terms
    805.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1613.00000
  • Mean of predictor
    0.08163
  • Mean of criterion
    0.10603
  • SD of predictor
    0.12326
  • SD of criterion
    0.10865
  • Covariance
    0.00733
  • r
    0.54727
  • b (slope, estimate of beta)
    0.48241
  • a (intercept, estimate of alpha)
    0.06665
  • Mean Square Error
    0.00827
  • DF error
    1611.00000
  • t(b)
    26.24520
  • p(b)
    0.16987
  • t(a)
    1.81644
  • p(a)
    0.47123
  • Lowerbound of 95% confidence interval for beta
    0.44636
  • Upperbound of 95% confidence interval for beta
    0.51847
  • Lowerbound of 95% confidence interval for alpha
    -0.00532
  • Upperbound of 95% confidence interval for alpha
    0.13862
  • Treynor index (mean / b)
    0.21978
  • Jensen alpha (a)
    0.06665
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01058
  • Expected Shortfall on VaR
    0.01335
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00403
  • Expected Shortfall on VaR
    0.00863
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1613.00000
  • Minimum
    0.95804
  • Quartile 1
    0.99839
  • Median
    1.00011
  • Quartile 3
    1.00273
  • Maximum
    1.04983
  • Mean of quarter 1
    0.99347
  • Mean of quarter 2
    0.99961
  • Mean of quarter 3
    1.00119
  • Mean of quarter 4
    1.00788
  • Inter Quartile Range
    0.00434
  • Number outliers low
    95.00000
  • Percentage of outliers low
    0.05890
  • Mean of outliers low
    0.98483
  • Number of outliers high
    115.00000
  • Percentage of outliers high
    0.07130
  • Mean of outliers high
    1.01492
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49878
  • VaR(95%) (moments method)
    0.00597
  • Expected Shortfall (moments method)
    0.01381
  • Extreme Value Index (regression method)
    0.23061
  • VaR(95%) (regression method)
    0.00562
  • Expected Shortfall (regression method)
    0.00948
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    102.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00110
  • Median
    0.00386
  • Quartile 3
    0.01558
  • Maximum
    0.13335
  • Mean of quarter 1
    0.00038
  • Mean of quarter 2
    0.00241
  • Mean of quarter 3
    0.00832
  • Mean of quarter 4
    0.04548
  • Inter Quartile Range
    0.01448
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.07119
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43171
  • VaR(95%) (moments method)
    0.04793
  • Expected Shortfall (moments method)
    0.09601
  • Extreme Value Index (regression method)
    0.18373
  • VaR(95%) (regression method)
    0.04503
  • Expected Shortfall (regression method)
    0.06999
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20805
  • Compounded annual return (geometric extrapolation)
    0.14332
  • Calmar ratio (compounded annual return / max draw down)
    1.07478
  • Compounded annual return / average of 25% largest draw downs
    3.15114
  • Compounded annual return / Expected Shortfall lognormal
    10.73650
  • 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
    0.09857
  • SD
    0.11400
  • Sharpe ratio (Glass type estimate)
    0.86464
  • Sharpe ratio (Hedges UMVUE)
    0.85964
  • df
    130.00000
  • t
    0.61139
  • p
    0.47323
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91073
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63687
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63341
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14337
  • Upside Potential Ratio
    6.71632
  • Upside part of mean
    0.57900
  • Downside part of mean
    -0.48044
  • Upside SD
    0.07417
  • Downside SD
    0.08621
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04113
  • Mean of criterion
    0.09857
  • SD of predictor
    0.10805
  • SD of criterion
    0.11400
  • Covariance
    0.00740
  • r
    0.60076
  • b (slope, estimate of beta)
    0.63387
  • a (intercept, estimate of alpha)
    0.07250
  • Mean Square Error
    0.00837
  • DF error
    129.00000
  • t(b)
    8.53518
  • p(b)
    0.14199
  • t(a)
    0.56019
  • p(a)
    0.46865
  • Lowerbound of 95% confidence interval for beta
    0.48693
  • Upperbound of 95% confidence interval for beta
    0.78080
  • Lowerbound of 95% confidence interval for alpha
    -0.18356
  • Upperbound of 95% confidence interval for alpha
    0.32856
  • Treynor index (mean / b)
    0.15550
  • Jensen alpha (a)
    0.07250
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09205
  • SD
    0.11452
  • Sharpe ratio (Glass type estimate)
    0.80382
  • Sharpe ratio (Hedges UMVUE)
    0.79917
  • df
    130.00000
  • t
    0.56839
  • p
    0.47510
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97116
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57590
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97433
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57268
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05392
  • Upside Potential Ratio
    6.59714
  • Upside part of mean
    0.57622
  • Downside part of mean
    -0.48417
  • Upside SD
    0.07361
  • Downside SD
    0.08734
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03530
  • Mean of criterion
    0.09205
  • SD of predictor
    0.10836
  • SD of criterion
    0.11452
  • Covariance
    0.00750
  • r
    0.60445
  • b (slope, estimate of beta)
    0.63882
  • a (intercept, estimate of alpha)
    0.06950
  • Mean Square Error
    0.00839
  • DF error
    129.00000
  • t(b)
    8.61758
  • p(b)
    0.14012
  • t(a)
    0.53649
  • p(a)
    0.46997
  • Lowerbound of 95% confidence interval for beta
    0.49215
  • Upperbound of 95% confidence interval for beta
    0.78548
  • Lowerbound of 95% confidence interval for alpha
    -0.18681
  • Upperbound of 95% confidence interval for alpha
    0.32581
  • Treynor index (mean / b)
    0.14410
  • Jensen alpha (a)
    0.06950
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01122
  • Expected Shortfall on VaR
    0.01414
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00382
  • Expected Shortfall on VaR
    0.00857
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96177
  • Quartile 1
    0.99909
  • Median
    1.00045
  • Quartile 3
    1.00293
  • Maximum
    1.02742
  • Mean of quarter 1
    0.99320
  • Mean of quarter 2
    0.99978
  • Mean of quarter 3
    1.00151
  • Mean of quarter 4
    1.00748
  • Inter Quartile Range
    0.00384
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.98408
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01500
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54700
  • VaR(95%) (moments method)
    0.00458
  • Expected Shortfall (moments method)
    0.01219
  • Extreme Value Index (regression method)
    0.10800
  • VaR(95%) (regression method)
    0.00518
  • Expected Shortfall (regression method)
    0.00841
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00046
  • Median
    0.00200
  • Quartile 3
    0.00425
  • Maximum
    0.08612
  • Mean of quarter 1
    0.00025
  • Mean of quarter 2
    0.00127
  • Mean of quarter 3
    0.00357
  • Mean of quarter 4
    0.02903
  • Inter Quartile Range
    0.00379
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15790
  • Mean of outliers high
    0.04446
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.76746
  • VaR(95%) (moments method)
    0.02315
  • Expected Shortfall (moments method)
    0.11570
  • Extreme Value Index (regression method)
    1.25403
  • VaR(95%) (regression method)
    0.04772
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12363
  • Compounded annual return (geometric extrapolation)
    0.12745
  • Calmar ratio (compounded annual return / max draw down)
    1.47998
  • Compounded annual return / average of 25% largest draw downs
    4.39016
  • Compounded annual return / Expected Shortfall lognormal
    9.01478

Strategy Description

The SP100 System trades highly liquid stocks of the S&P100 Index. It is 100 % mechanical.

Signals delivered in the evening to be executed at next days open.

Equity per position is 15%

Max Positions is 10.

Average trade duration is 8 days.

Back-testing results available to subscribers.

The system can be traded with smaller accounts (10 -25k) provided you use a low cost broker.

System is also traded in IRA's with 10% equity per position and max positions of 10 to avoid margin.

Summary Statistics

Strategy began
2012-08-13
Suggested Minimum Capital
$30,000
# Trades
1259
# Profitable
874
% Profitable
69.4%
Net Dividends
Correlation S&P500
0.538
Sharpe Ratio
1.030

Latest Activity

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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.