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SP100 Short Term Swing
(75976336)

Created by: CDRing CDRing
Started: 08/2012
Stocks
Last trade: Today

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.

13.6%
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
1200
Num Trades
69.2%
Win Trades
1.6 : 1
Profit Factor
70.8%
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%+2.3%                              (2.8%)

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
6/20/18 9:30 BA BOEING LONG 90 346.00 7/10 9:30 342.78 0.78%
Trade id #118533048
Max drawdown($1,683)
Time6/28/18 9:49
Quant open90
Worst price327.29
Drawdown as % of equity-0.78%
($292)
Includes Typical Broker Commissions trade costs of $1.80
5/29/18 9:31 HAL HALLIBURTON LONG 610 49.43 7/10 9:30 46.29 1.5%
Trade id #118144051
Max drawdown($3,348)
Time7/6/18 9:33
Quant open610
Worst price43.94
Drawdown as % of equity-1.50%
($1,920)
Includes Typical Broker Commissions trade costs of $5.00
6/21/18 9:30 DHR DANAHER LONG 310 99.20 7/10 9:30 99.70 0.89%
Trade id #118559492
Max drawdown($1,980)
Time7/2/18 4:03
Quant open310
Worst price92.81
Drawdown as % of equity-0.89%
$149
Includes Typical Broker Commissions trade costs of $6.20
6/18/18 9:30 CAT CATERPILLAR LONG 210 148.42 7/10 9:30 141.61 1.53%
Trade id #118479032
Max drawdown($3,305)
Time6/28/18 9:37
Quant open210
Worst price132.68
Drawdown as % of equity-1.53%
($1,434)
Includes Typical Broker Commissions trade costs of $4.20
6/28/18 9:30 UNH UNITEDHEALTH GROUP LONG 120 247.13 7/6 9:30 251.01 0.28%
Trade id #118693006
Max drawdown($610)
Time6/28/18 17:07
Quant open120
Worst price242.04
Drawdown as % of equity-0.28%
$464
Includes Typical Broker Commissions trade costs of $2.40
6/26/18 9:30 ABBV ABBVIE INC LONG 325 93.36 7/6 9:30 95.20 0.38%
Trade id #118649681
Max drawdown($828)
Time6/28/18 9:50
Quant open325
Worst price90.81
Drawdown as % of equity-0.38%
$592
Includes Typical Broker Commissions trade costs of $6.50
6/26/18 9:30 AAPL APPLE LONG 165 182.99 7/3 9:30 187.79 0.04%
Trade id #118649687
Max drawdown($80)
Time6/27/18 4:29
Quant open165
Worst price182.50
Drawdown as % of equity-0.04%
$789
Includes Typical Broker Commissions trade costs of $3.30
6/12/18 9:30 INTC INTEL LONG 575 54.87 7/3 9:30 50.58 1.72%
Trade id #118386902
Max drawdown($3,714)
Time6/28/18 8:34
Quant open575
Worst price48.41
Drawdown as % of equity-1.72%
($2,472)
Includes Typical Broker Commissions trade costs of $5.00
6/28/18 9:30 GOOGL ALPHABET INC CLASS A LONG 27 1112.39 7/3 9:30 1149.42 0.08%
Trade id #118692993
Max drawdown($170)
Time6/28/18 9:32
Quant open27
Worst price1106.07
Drawdown as % of equity-0.08%
$999
Includes Typical Broker Commissions trade costs of $0.54
6/26/18 9:30 NKE NIKE LONG 420 72.50 7/2 9:30 78.58 0.28%
Trade id #118649678
Max drawdown($613)
Time6/28/18 9:01
Quant open420
Worst price71.04
Drawdown as % of equity-0.28%
$2,546
Includes Typical Broker Commissions trade costs of $8.40
6/19/18 9:30 SLB SCHLUMBERGER LONG 465 66.01 6/28 9:30 67.11 0.32%
Trade id #118505508
Max drawdown($697)
Time6/21/18 15:22
Quant open465
Worst price64.51
Drawdown as % of equity-0.32%
$503
Includes Typical Broker Commissions trade costs of $9.30
6/15/18 9:31 OXY OCCIDENTAL PETROLEUM LONG 375 84.03 6/28 9:30 84.26 0.55%
Trade id #118453230
Max drawdown($1,200)
Time6/25/18 14:52
Quant open375
Worst price80.83
Drawdown as % of equity-0.55%
$79
Includes Typical Broker Commissions trade costs of $7.50
6/20/18 9:30 AXP AMERICAN EXPRESS LONG 320 97.70 6/26 9:30 99.50 0.3%
Trade id #118533066
Max drawdown($656)
Time6/25/18 10:06
Quant open320
Worst price95.65
Drawdown as % of equity-0.30%
$570
Includes Typical Broker Commissions trade costs of $6.40
6/19/18 9:30 XOM EXXON MOBIL LONG 385 79.89 6/25 9:31 80.78 0.1%
Trade id #118505561
Max drawdown($217)
Time6/21/18 15:24
Quant open385
Worst price79.33
Drawdown as % of equity-0.10%
$335
Includes Typical Broker Commissions trade costs of $7.70
6/20/18 9:30 COP CONOCOPHILLIPS LONG 465 67.16 6/25 9:31 67.79 0.51%
Trade id #118533079
Max drawdown($1,102)
Time6/21/18 15:34
Quant open465
Worst price64.79
Drawdown as % of equity-0.51%
$284
Includes Typical Broker Commissions trade costs of $9.30
6/15/18 9:30 TXN TEXAS INSTRUMENTS LONG 275 114.87 6/18 9:30 114.60 0.22%
Trade id #118453027
Max drawdown($500)
Time6/18/18 8:01
Quant open275
Worst price113.05
Drawdown as % of equity-0.22%
($80)
Includes Typical Broker Commissions trade costs of $5.50
6/7/18 9:30 NEE NEXTERA ENERGY LONG 200 156.19 6/15 9:30 158.58 0.1%
Trade id #118309702
Max drawdown($226)
Time6/11/18 14:36
Quant open200
Worst price155.06
Drawdown as % of equity-0.10%
$474
Includes Typical Broker Commissions trade costs of $4.00
6/11/18 9:30 EXC EXELON LONG 785 40.00 6/13 9:30 40.61 0.1%
Trade id #118367085
Max drawdown($215)
Time6/11/18 9:56
Quant open785
Worst price39.73
Drawdown as % of equity-0.10%
$474
Includes Typical Broker Commissions trade costs of $5.00
5/30/18 9:30 SLB SCHLUMBERGER LONG 450 68.72 6/8 9:30 69.90 0.17%
Trade id #118165495
Max drawdown($369)
Time6/5/18 11:10
Quant open450
Worst price67.90
Drawdown as % of equity-0.17%
$522
Includes Typical Broker Commissions trade costs of $9.00
5/30/18 9:30 CVX CHEVRON LONG 250 122.65 6/8 9:30 127.12 0.13%
Trade id #118165516
Max drawdown($275)
Time6/5/18 9:32
Quant open250
Worst price121.55
Drawdown as % of equity-0.13%
$1,113
Includes Typical Broker Commissions trade costs of $5.00
6/6/18 9:30 MCD MCDONALD'S LONG 190 159.79 6/7 9:30 163.75 0.04%
Trade id #118287027
Max drawdown($87)
Time6/6/18 9:34
Quant open190
Worst price159.33
Drawdown as % of equity-0.04%
$748
Includes Typical Broker Commissions trade costs of $3.80
6/1/18 9:31 BK BANK OF NEW YORK MELLON LONG 560 55.45 6/7 9:30 57.72 0.07%
Trade id #118209559
Max drawdown($156)
Time6/5/18 11:50
Quant open560
Worst price55.17
Drawdown as % of equity-0.07%
$1,266
Includes Typical Broker Commissions trade costs of $5.00
6/1/18 9:30 EMR EMERSON ELECTRIC LONG 435 71.55 6/6 9:30 72.83 0.1%
Trade id #118209439
Max drawdown($230)
Time6/1/18 10:17
Quant open435
Worst price71.02
Drawdown as % of equity-0.10%
$548
Includes Typical Broker Commissions trade costs of $8.70
5/21/18 9:30 CSCO CISCO SYSTEMS LONG 705 43.49 6/4 9:30 43.50 0.31%
Trade id #118017601
Max drawdown($683)
Time5/29/18 12:16
Quant open705
Worst price42.52
Drawdown as % of equity-0.31%
$2
Includes Typical Broker Commissions trade costs of $5.00
5/30/18 9:30 COP CONOCOPHILLIPS LONG 465 66.34 6/4 9:30 68.95 n/a $1,205
Includes Typical Broker Commissions trade costs of $9.30
5/29/18 9:31 TGT TARGET LONG 430 71.00 5/31 9:30 73.15 0.06%
Trade id #118144126
Max drawdown($129)
Time5/29/18 9:47
Quant open430
Worst price70.70
Drawdown as % of equity-0.06%
$916
Includes Typical Broker Commissions trade costs of $8.60
5/21/18 9:30 MCD MCDONALD'S LONG 185 161.78 5/25 9:30 162.44 0.31%
Trade id #118017502
Max drawdown($680)
Time5/23/18 8:01
Quant open185
Worst price158.10
Drawdown as % of equity-0.31%
$118
Includes Typical Broker Commissions trade costs of $3.70
5/18/18 9:31 NEE NEXTERA ENERGY LONG 195 156.47 5/22 9:30 160.66 0.11%
Trade id #117993584
Max drawdown($243)
Time5/18/18 13:28
Quant open195
Worst price155.22
Drawdown as % of equity-0.11%
$813
Includes Typical Broker Commissions trade costs of $3.90
5/4/18 9:30 PFE PFIZER LONG 865 34.56 5/10 9:30 35.00 0.08%
Trade id #117795038
Max drawdown($164)
Time5/4/18 9:36
Quant open865
Worst price34.37
Drawdown as % of equity-0.08%
$376
Includes Typical Broker Commissions trade costs of $5.00
5/1/18 9:31 GD GENERAL DYNAMICS LONG 150 201.15 5/9 9:31 200.30 0.71%
Trade id #117734449
Max drawdown($1,522)
Time5/3/18 10:37
Quant open150
Worst price191.00
Drawdown as % of equity-0.71%
($131)
Includes Typical Broker Commissions trade costs of $3.00

Statistics

  • Strategy began
    8/13/2012
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    2162.74
  • Age
    72 months ago
  • What it trades
    Stocks
  • # Trades
    1200
  • # Profitable
    830
  • % Profitable
    69.20%
  • Avg trade duration
    8.8 days
  • Max peak-to-valley drawdown
    15.27%
  • drawdown period
    Dec 29, 2015 - Jan 20, 2016
  • Annual Return (Compounded)
    13.6%
  • Avg win
    $430.29
  • Avg loss
    $666.86
  • Model Account Values (Raw)
  • Cash
    $195,770
  • Margin Used
    $0
  • Buying Power
    $194,913
  • Ratios
  • W:L ratio
    1.58:1
  • Sharpe Ratio
    1.084
  • Sortino Ratio
    1.614
  • Calmar Ratio
    1.12
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.52700
  • Return Statistics
  • Ann Return (w trading costs)
    13.6%
  • Ann Return (Compnd, No Fees)
    14.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    17.00%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    543
  • Popularity (Last 6 weeks)
    835
  • C2 Score
    83.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $667
  • Avg Win
    $428
  • # Winners
    829
  • # Losers
    370
  • % Winners
    69.1%
  • Frequency
  • Avg Position Time (mins)
    12706.90
  • Avg Position Time (hrs)
    211.78
  • Avg Trade Length
    8.8 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11107
  • SD
    0.10429
  • Sharpe ratio (Glass type estimate)
    1.06507
  • Sharpe ratio (Hedges UMVUE)
    1.05345
  • df
    69.00000
  • t
    2.57239
  • p
    0.00613
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23073
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89206
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22313
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88377
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57157
  • Upside Potential Ratio
    2.71966
  • Upside part of mean
    0.19222
  • Downside part of mean
    -0.08114
  • Upside SD
    0.08218
  • Downside SD
    0.07068
  • N nonnegative terms
    50.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.09125
  • Mean of criterion
    0.11107
  • SD of predictor
    0.10571
  • SD of criterion
    0.10429
  • Covariance
    0.00616
  • r
    0.55848
  • b (slope, estimate of beta)
    0.55098
  • a (intercept, estimate of alpha)
    0.06079
  • Mean Square Error
    0.00759
  • DF error
    68.00000
  • t(b)
    5.55181
  • p(b)
    0.00000
  • t(a)
    1.63425
  • p(a)
    0.05341
  • Lowerbound of 95% confidence interval for beta
    0.35294
  • Upperbound of 95% confidence interval for beta
    0.74902
  • Lowerbound of 95% confidence interval for alpha
    -0.01344
  • Upperbound of 95% confidence interval for alpha
    0.13502
  • Treynor index (mean / b)
    0.20159
  • Jensen alpha (a)
    0.06079
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10490
  • SD
    0.10558
  • Sharpe ratio (Glass type estimate)
    0.99353
  • Sharpe ratio (Hedges UMVUE)
    0.98270
  • df
    69.00000
  • t
    2.39961
  • p
    0.00956
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81829
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15480
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81059
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41879
  • Upside Potential Ratio
    2.54952
  • Upside part of mean
    0.18850
  • Downside part of mean
    -0.08360
  • Upside SD
    0.08024
  • Downside SD
    0.07394
  • N nonnegative terms
    50.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.08526
  • Mean of criterion
    0.10490
  • SD of predictor
    0.10524
  • SD of criterion
    0.10558
  • Covariance
    0.00632
  • r
    0.56916
  • b (slope, estimate of beta)
    0.57102
  • a (intercept, estimate of alpha)
    0.05622
  • Mean Square Error
    0.00765
  • DF error
    68.00000
  • t(b)
    5.70818
  • p(b)
    0.00000
  • t(a)
    1.51122
  • p(a)
    0.06768
  • Lowerbound of 95% confidence interval for beta
    0.37140
  • Upperbound of 95% confidence interval for beta
    0.77063
  • Lowerbound of 95% confidence interval for alpha
    -0.01801
  • Upperbound of 95% confidence interval for alpha
    0.13044
  • Treynor index (mean / b)
    0.18371
  • Jensen alpha (a)
    0.05622
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04055
  • Expected Shortfall on VaR
    0.05263
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00994
  • Expected Shortfall on VaR
    0.02445
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    70.00000
  • Minimum
    0.88523
  • Quartile 1
    1.00083
  • Median
    1.01292
  • Quartile 3
    1.02709
  • Maximum
    1.07981
  • Mean of quarter 1
    0.97610
  • Mean of quarter 2
    1.00694
  • Mean of quarter 3
    1.01987
  • Mean of quarter 4
    1.04364
  • Inter Quartile Range
    0.02626
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02857
  • Mean of outliers low
    0.89688
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01429
  • 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)
    0.02513
  • Expected Shortfall (regression method)
    0.04965
  • 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)
    0.20057
  • Compounded annual return (geometric extrapolation)
    0.14203
  • Calmar ratio (compounded annual return / max draw down)
    1.23755
  • Compounded annual return / average of 25% largest draw downs
    1.62427
  • Compounded annual return / Expected Shortfall lognormal
    2.69871
  • 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
    0.11713
  • SD
    0.10796
  • Sharpe ratio (Glass type estimate)
    1.08495
  • Sharpe ratio (Hedges UMVUE)
    1.08443
  • df
    1542.00000
  • t
    2.63296
  • p
    0.46655
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27625
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89333
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89297
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61429
  • Upside Potential Ratio
    8.00974
  • Upside part of mean
    0.58117
  • Downside part of mean
    -0.46404
  • Upside SD
    0.08022
  • Downside SD
    0.07256
  • N nonnegative terms
    767.00000
  • N negative terms
    776.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1543.00000
  • Mean of predictor
    0.09701
  • Mean of criterion
    0.11713
  • SD of predictor
    0.12342
  • SD of criterion
    0.10796
  • Covariance
    0.00714
  • r
    0.53552
  • b (slope, estimate of beta)
    0.46842
  • a (intercept, estimate of alpha)
    0.07200
  • Mean Square Error
    0.00832
  • DF error
    1541.00000
  • t(b)
    24.89250
  • p(b)
    0.17616
  • t(a)
    1.90532
  • p(a)
    0.46915
  • Lowerbound of 95% confidence interval for beta
    0.43151
  • Upperbound of 95% confidence interval for beta
    0.50533
  • Lowerbound of 95% confidence interval for alpha
    -0.00211
  • Upperbound of 95% confidence interval for alpha
    0.14549
  • Treynor index (mean / b)
    0.25005
  • Jensen alpha (a)
    0.07169
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11127
  • SD
    0.10791
  • Sharpe ratio (Glass type estimate)
    1.03113
  • Sharpe ratio (Hedges UMVUE)
    1.03063
  • df
    1542.00000
  • t
    2.50233
  • p
    0.46820
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22251
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83942
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22217
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83908
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51835
  • Upside Potential Ratio
    7.88605
  • Upside part of mean
    0.57793
  • Downside part of mean
    -0.46665
  • Upside SD
    0.07946
  • Downside SD
    0.07328
  • N nonnegative terms
    767.00000
  • N negative terms
    776.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1543.00000
  • Mean of predictor
    0.08935
  • Mean of criterion
    0.11127
  • SD of predictor
    0.12361
  • SD of criterion
    0.10791
  • Covariance
    0.00716
  • r
    0.53660
  • b (slope, estimate of beta)
    0.46848
  • a (intercept, estimate of alpha)
    0.06941
  • Mean Square Error
    0.00830
  • DF error
    1541.00000
  • t(b)
    24.96300
  • p(b)
    0.17558
  • t(a)
    1.84740
  • p(a)
    0.47008
  • Lowerbound of 95% confidence interval for beta
    0.43167
  • Upperbound of 95% confidence interval for beta
    0.50529
  • Lowerbound of 95% confidence interval for alpha
    -0.00429
  • Upperbound of 95% confidence interval for alpha
    0.14311
  • Treynor index (mean / b)
    0.23752
  • Jensen alpha (a)
    0.06941
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01049
  • Expected Shortfall on VaR
    0.01324
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00402
  • Expected Shortfall on VaR
    0.00856
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1543.00000
  • Minimum
    0.95804
  • Quartile 1
    0.99838
  • Median
    1.00009
  • Quartile 3
    1.00271
  • Maximum
    1.04983
  • Mean of quarter 1
    0.99354
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.00116
  • Mean of quarter 4
    1.00792
  • Inter Quartile Range
    0.00433
  • Number outliers low
    91.00000
  • Percentage of outliers low
    0.05898
  • Mean of outliers low
    0.98521
  • Number of outliers high
    112.00000
  • Percentage of outliers high
    0.07259
  • Mean of outliers high
    1.01495
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46546
  • VaR(95%) (moments method)
    0.00585
  • Expected Shortfall (moments method)
    0.01283
  • Extreme Value Index (regression method)
    0.22521
  • VaR(95%) (regression method)
    0.00561
  • Expected Shortfall (regression method)
    0.00942
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    95.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00112
  • Median
    0.00430
  • Quartile 3
    0.01660
  • Maximum
    0.13335
  • Mean of quarter 1
    0.00036
  • Mean of quarter 2
    0.00256
  • Mean of quarter 3
    0.00895
  • Mean of quarter 4
    0.04500
  • Inter Quartile Range
    0.01548
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.09474
  • Mean of outliers high
    0.07693
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38454
  • VaR(95%) (moments method)
    0.04647
  • Expected Shortfall (moments method)
    0.08737
  • Extreme Value Index (regression method)
    0.11801
  • VaR(95%) (regression method)
    0.04403
  • Expected Shortfall (regression method)
    0.06517
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21560
  • Compounded annual return (geometric extrapolation)
    0.14933
  • Calmar ratio (compounded annual return / max draw down)
    1.11987
  • Compounded annual return / average of 25% largest draw downs
    3.31879
  • Compounded annual return / Expected Shortfall lognormal
    11.28230
  • 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
    -0.05447
  • SD
    0.15013
  • Sharpe ratio (Glass type estimate)
    -0.36279
  • Sharpe ratio (Hedges UMVUE)
    -0.36069
  • df
    130.00000
  • t
    -0.25653
  • p
    0.51125
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.13434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13284
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41146
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45109
  • Upside Potential Ratio
    5.50448
  • Upside part of mean
    0.66463
  • Downside part of mean
    -0.71910
  • Upside SD
    0.08832
  • Downside SD
    0.12074
  • 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
    -0.00381
  • Mean of criterion
    -0.05447
  • SD of predictor
    0.16441
  • SD of criterion
    0.15013
  • Covariance
    0.01510
  • r
    0.61193
  • b (slope, estimate of beta)
    0.55880
  • a (intercept, estimate of alpha)
    -0.05234
  • Mean Square Error
    0.01421
  • DF error
    129.00000
  • t(b)
    8.78760
  • p(b)
    0.13634
  • t(a)
    -0.31046
  • p(a)
    0.51739
  • Lowerbound of 95% confidence interval for beta
    0.43299
  • Upperbound of 95% confidence interval for beta
    0.68462
  • Lowerbound of 95% confidence interval for alpha
    -0.38587
  • Upperbound of 95% confidence interval for alpha
    0.28119
  • Treynor index (mean / b)
    -0.09747
  • Jensen alpha (a)
    -0.05234
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06575
  • SD
    0.15113
  • Sharpe ratio (Glass type estimate)
    -0.43504
  • Sharpe ratio (Hedges UMVUE)
    -0.43253
  • df
    130.00000
  • t
    -0.30762
  • p
    0.51348
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.20663
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33799
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.20483
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33978
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.53661
  • Upside Potential Ratio
    5.39233
  • Upside part of mean
    0.66070
  • Downside part of mean
    -0.72645
  • Upside SD
    0.08758
  • Downside SD
    0.12253
  • 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
    -0.01731
  • Mean of criterion
    -0.06575
  • SD of predictor
    0.16524
  • SD of criterion
    0.15113
  • Covariance
    0.01542
  • r
    0.61742
  • b (slope, estimate of beta)
    0.56471
  • a (intercept, estimate of alpha)
    -0.05597
  • Mean Square Error
    0.01424
  • DF error
    129.00000
  • t(b)
    8.91458
  • p(b)
    0.13358
  • t(a)
    -0.33163
  • p(a)
    0.51858
  • Lowerbound of 95% confidence interval for beta
    0.43938
  • Upperbound of 95% confidence interval for beta
    0.69005
  • Lowerbound of 95% confidence interval for alpha
    -0.38992
  • Upperbound of 95% confidence interval for alpha
    0.27797
  • Treynor index (mean / b)
    -0.11643
  • Jensen alpha (a)
    -0.05597
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01549
  • Expected Shortfall on VaR
    0.01932
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00595
  • Expected Shortfall on VaR
    0.01303
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96001
  • Quartile 1
    0.99806
  • Median
    1.00022
  • Quartile 3
    1.00284
  • Maximum
    1.02742
  • Mean of quarter 1
    0.98977
  • Mean of quarter 2
    0.99955
  • Mean of quarter 3
    1.00124
  • Mean of quarter 4
    1.00907
  • Inter Quartile Range
    0.00479
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97563
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.01549
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.86841
  • VaR(95%) (moments method)
    0.01028
  • Expected Shortfall (moments method)
    0.08292
  • Extreme Value Index (regression method)
    0.54209
  • VaR(95%) (regression method)
    0.00900
  • Expected Shortfall (regression method)
    0.02315
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00124
  • Median
    0.00204
  • Quartile 3
    0.03229
  • Maximum
    0.12176
  • Mean of quarter 1
    0.00012
  • Mean of quarter 2
    0.00161
  • Mean of quarter 3
    0.00247
  • Mean of quarter 4
    0.12176
  • Inter Quartile Range
    0.03105
  • 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
    0.25000
  • Mean of outliers high
    0.12176
  • 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)
    -0.03749
  • Compounded annual return (geometric extrapolation)
    -0.03714
  • Calmar ratio (compounded annual return / max draw down)
    -0.30498
  • Compounded annual return / average of 25% largest draw downs
    -0.30498
  • Compounded annual return / Expected Shortfall lognormal
    -1.92256

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
1200
# Profitable
830
% Profitable
69.2%
Net Dividends
Correlation S&P500
0.527
Sharpe Ratio
1.084

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.