Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List
These are hypothetical performance results that have certain inherent limitations. Learn more

SP100 Short Term Swing
(75976336)

Created by: CDRing CDRing
Started: 08/2012
Stocks
Last trade: 3 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. Subscriptions to this system cost $69.00 per month.

15.7%
Annual Return (Compounded)
15.3%
Max Drawdown
1108
Num Trades
69.4%
Win Trades
1.7 : 1
Profit Factor
72.3%
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%+2.1%+14.8%

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 2,030 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/7/17 9:30 ABT ABBOTT LABORATORIES LONG 590 54.76 12/13 9:30 55.61 0.11%
Trade id #115239034
Max drawdown($256)
Time12/8/17 11:29
Quant open590
Worst price54.33
Drawdown as % of equity-0.11%
$497
Includes Typical Broker Commissions trade costs of $5.00
12/6/17 9:30 DHR DANAHER LONG 340 92.85 12/12 9:30 93.32 0.12%
Trade id #115217114
Max drawdown($275)
Time12/7/17 9:44
Quant open340
Worst price92.04
Drawdown as % of equity-0.12%
$153
Includes Typical Broker Commissions trade costs of $6.80
12/6/17 9:30 AMZN AMAZON.COM LONG 275 1137.99 12/12 9:30 1150.21 0.23%
Trade id #115217410
Max drawdown($522)
Time12/6/17 9:32
Quant open275
Worst price1136.09
Drawdown as % of equity-0.23%
$3,356
Includes Typical Broker Commissions trade costs of $5.50
12/6/17 9:30 LMT LOCKHEED MARTIN LONG 100 310.25 12/12 9:30 316.38 n/a $611
Includes Typical Broker Commissions trade costs of $2.00
12/6/17 9:30 RTN RAYTHEON CO LONG 170 183.96 12/11 9:30 187.78 n/a $646
Includes Typical Broker Commissions trade costs of $3.40
12/5/17 9:30 QCOM QUALCOMM LONG 490 64.92 12/11 9:30 64.06 0.22%
Trade id #115197409
Max drawdown($509)
Time12/8/17 15:37
Quant open490
Worst price63.88
Drawdown as % of equity-0.22%
($431)
Includes Typical Broker Commissions trade costs of $9.80
12/4/17 9:30 GOOG ALPHABET INC CLASS C LONG 30 1012.66 12/8 9:30 1037.49 0.32%
Trade id #115169880
Max drawdown($731)
Time12/5/17 9:31
Quant open30
Worst price988.28
Drawdown as % of equity-0.32%
$744
Includes Typical Broker Commissions trade costs of $0.60
11/21/17 9:30 INTC INTEL LONG 700 44.87 12/1 9:30 44.51 0.34%
Trade id #114957390
Max drawdown($770)
Time11/29/17 12:15
Quant open700
Worst price43.77
Drawdown as % of equity-0.34%
($257)
Includes Typical Broker Commissions trade costs of $5.00
11/10/17 9:30 MET METLIFE LONG 585 52.55 11/29 9:30 53.00 0.37%
Trade id #114789792
Max drawdown($830)
Time11/27/17 14:56
Quant open585
Worst price51.13
Drawdown as % of equity-0.37%
$258
Includes Typical Broker Commissions trade costs of $5.00
11/17/17 9:30 JNJ JOHNSON & JOHNSON LONG 225 138.30 11/29 9:30 140.22 0.17%
Trade id #114913189
Max drawdown($382)
Time11/22/17 12:45
Quant open225
Worst price136.60
Drawdown as % of equity-0.17%
$428
Includes Typical Broker Commissions trade costs of $4.50
11/13/17 9:30 UTX UNITED TECHNOLOGIES LONG 260 117.98 11/28 9:30 117.46 0.2%
Trade id #114824353
Max drawdown($436)
Time11/20/17 15:39
Quant open260
Worst price116.30
Drawdown as % of equity-0.20%
($140)
Includes Typical Broker Commissions trade costs of $5.20
11/16/17 9:30 COP CONOCOPHILLIPS LONG 620 50.40 11/27 9:30 50.22 0.23%
Trade id #114889781
Max drawdown($508)
Time11/20/17 10:19
Quant open620
Worst price49.58
Drawdown as % of equity-0.23%
($117)
Includes Typical Broker Commissions trade costs of $5.00
11/3/17 9:30 EMR EMERSON ELECTRIC LONG 495 63.62 11/24 9:30 61.98 1.37%
Trade id #114669964
Max drawdown($3,044)
Time11/16/17 9:35
Quant open495
Worst price57.47
Drawdown as % of equity-1.37%
($822)
Includes Typical Broker Commissions trade costs of $9.90
10/27/17 9:30 GD GENERAL DYNAMICS LONG 150 204.50 11/22 9:30 199.82 0.46%
Trade id #114566003
Max drawdown($1,018)
Time11/20/17 9:55
Quant open150
Worst price197.71
Drawdown as % of equity-0.46%
($705)
Includes Typical Broker Commissions trade costs of $3.00
11/16/17 9:31 RTN RAYTHEON CO LONG 170 183.95 11/22 9:30 185.95 0.11%
Trade id #114890037
Max drawdown($238)
Time11/20/17 9:31
Quant open170
Worst price182.55
Drawdown as % of equity-0.11%
$337
Includes Typical Broker Commissions trade costs of $3.40
11/16/17 9:30 AAPL APPLE LONG 185 171.14 11/22 9:30 173.36 0.13%
Trade id #114889847
Max drawdown($291)
Time11/20/17 12:25
Quant open185
Worst price169.56
Drawdown as % of equity-0.13%
$407
Includes Typical Broker Commissions trade costs of $3.70
11/15/17 9:30 C CITIGROUP LONG 440 70.58 11/21 9:30 72.56 0.11%
Trade id #114864717
Max drawdown($246)
Time11/15/17 9:32
Quant open440
Worst price70.02
Drawdown as % of equity-0.11%
$862
Includes Typical Broker Commissions trade costs of $8.80
11/15/17 9:30 LLY ELI LILLY LONG 380 82.51 11/17 9:31 83.00 0.11%
Trade id #114864695
Max drawdown($254)
Time11/16/17 9:38
Quant open380
Worst price81.84
Drawdown as % of equity-0.11%
$178
Includes Typical Broker Commissions trade costs of $7.60
11/15/17 9:30 BAC BANK OF AMERICA CORP LONG 1,200 25.99 11/16 9:30 26.90 0.1%
Trade id #114864626
Max drawdown($216)
Time11/15/17 9:32
Quant open1,200
Worst price25.81
Drawdown as % of equity-0.10%
$1,087
Includes Typical Broker Commissions trade costs of $5.00
11/9/17 9:30 JPM JPMORGAN CHASE LONG 320 97.12 11/16 9:30 98.37 0.17%
Trade id #114767102
Max drawdown($374)
Time11/15/17 9:32
Quant open320
Worst price95.95
Drawdown as % of equity-0.17%
$394
Includes Typical Broker Commissions trade costs of $6.40
11/13/17 9:30 MMM 3M LONG 135 226.73 11/15 9:32 228.07 0.03%
Trade id #114824418
Max drawdown($63)
Time11/13/17 9:34
Quant open135
Worst price226.26
Drawdown as % of equity-0.03%
$178
Includes Typical Broker Commissions trade costs of $2.70
10/26/17 9:30 BK BANK OF NEW YORK MELLON LONG 625 52.16 11/15 9:30 51.32 0.47%
Trade id #114538058
Max drawdown($1,018)
Time11/10/17 10:04
Quant open625
Worst price50.53
Drawdown as % of equity-0.47%
($530)
Includes Typical Broker Commissions trade costs of $5.00
11/2/17 9:30 LOW LOWE'S COMPANIES LONG 395 79.25 11/15 9:30 79.00 0.69%
Trade id #114647587
Max drawdown($1,536)
Time11/2/17 11:19
Quant open395
Worst price75.36
Drawdown as % of equity-0.69%
($107)
Includes Typical Broker Commissions trade costs of $7.90
11/2/17 9:31 UPS UNITED PARCEL SERVICE LONG 270 117.62 11/14 9:30 114.40 0.78%
Trade id #114647719
Max drawdown($1,705)
Time11/10/17 9:33
Quant open270
Worst price111.30
Drawdown as % of equity-0.78%
($874)
Includes Typical Broker Commissions trade costs of $5.40
11/6/17 9:30 FDX FEDEX LONG 140 223.63 11/14 9:30 220.77 0.52%
Trade id #114700431
Max drawdown($1,142)
Time11/9/17 13:14
Quant open140
Worst price215.47
Drawdown as % of equity-0.52%
($403)
Includes Typical Broker Commissions trade costs of $2.80
11/3/17 9:30 GILD GILEAD SCIENCES LONG 425 73.58 11/13 9:31 73.29 0.28%
Trade id #114670007
Max drawdown($624)
Time11/6/17 12:57
Quant open425
Worst price72.11
Drawdown as % of equity-0.28%
($131)
Includes Typical Broker Commissions trade costs of $8.50
11/3/17 9:30 GM GENERAL MOTORS LONG 740 42.62 11/13 9:30 42.60 0.42%
Trade id #114669978
Max drawdown($939)
Time11/6/17 9:31
Quant open740
Worst price41.35
Drawdown as % of equity-0.42%
($20)
Includes Typical Broker Commissions trade costs of $5.00
10/26/17 9:30 AMGN AMGEN LONG 180 170.96 11/10 9:30 173.15 0.05%
Trade id #114538070
Max drawdown($121)
Time11/6/17 19:41
Quant open180
Worst price170.29
Drawdown as % of equity-0.05%
$390
Includes Typical Broker Commissions trade costs of $3.60
10/24/17 9:30 PG PROCTER & GAMBLE LONG 370 87.37 11/8 9:30 87.00 0.33%
Trade id #114461313
Max drawdown($721)
Time11/7/17 9:32
Quant open370
Worst price85.42
Drawdown as % of equity-0.33%
($144)
Includes Typical Broker Commissions trade costs of $7.40
10/31/17 9:30 RTN RAYTHEON CO LONG 170 179.78 11/3 9:33 184.59 0.01%
Trade id #114607790
Max drawdown($22)
Time10/31/17 9:32
Quant open170
Worst price179.65
Drawdown as % of equity-0.01%
$815
Includes Typical Broker Commissions trade costs of $3.40

Statistics

  • Strategy began
    8/13/2012
  • Starting Unit Size
    $5,500
  • Strategy Age (days)
    1950.82
  • Age
    65 months ago
  • What it trades
    Stocks
  • # Trades
    1108
  • # Profitable
    769
  • % Profitable
    69.40%
  • Avg trade duration
    8.6 days
  • Max peak-to-valley drawdown
    15.27%
  • drawdown period
    Dec 29, 2015 - Jan 20, 2016
  • Annual Return (Compounded)
    15.7%
  • Avg win
    $414.02
  • Avg loss
    $590.61
  • Model Account Values (Raw)
  • Cash
    $168,039
  • Margin Used
    $0
  • Buying Power
    $166,854
  • Ratios
  • W:L ratio
    1.72:1
  • Sharpe Ratio
    1.304
  • Sortino Ratio
    2.03
  • Calmar Ratio
    1.282
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.51600
  • Return Statistics
  • Ann Return (w trading costs)
    15.7%
  • Ann Return (Compnd, No Fees)
    17.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.50%
  • 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)
    452
  • Popularity (Last 6 weeks)
    905
  • C2 Score
    79.6
  • 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
    $592
  • Avg Win
    $412
  • # Winners
    768
  • # Losers
    339
  • % Winners
    69.4%
  • Frequency
  • Avg Position Time (mins)
    12447.30
  • Avg Position Time (hrs)
    207.46
  • Avg Trade Length
    8.6 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13206
  • SD
    0.09924
  • Sharpe ratio (Glass type estimate)
    1.33075
  • Sharpe ratio (Hedges UMVUE)
    1.31459
  • df
    62.00000
  • t
    3.04913
  • p
    0.00169
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43899
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21251
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20073
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.12497
  • Upside Potential Ratio
    3.26372
  • Upside part of mean
    0.20283
  • Downside part of mean
    -0.07077
  • Upside SD
    0.08534
  • Downside SD
    0.06215
  • N nonnegative terms
    45.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    63.00000
  • Mean of predictor
    0.09512
  • Mean of criterion
    0.13206
  • SD of predictor
    0.10441
  • SD of criterion
    0.09924
  • Covariance
    0.00558
  • r
    0.53869
  • b (slope, estimate of beta)
    0.51202
  • a (intercept, estimate of alpha)
    0.08335
  • Mean Square Error
    0.00710
  • DF error
    61.00000
  • t(b)
    4.99385
  • p(b)
    0.00000
  • t(a)
    2.19019
  • p(a)
    0.01617
  • Lowerbound of 95% confidence interval for beta
    0.30700
  • Upperbound of 95% confidence interval for beta
    0.71705
  • Lowerbound of 95% confidence interval for alpha
    0.00725
  • Upperbound of 95% confidence interval for alpha
    0.15946
  • Treynor index (mean / b)
    0.25792
  • Jensen alpha (a)
    0.08335
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12619
  • SD
    0.09997
  • Sharpe ratio (Glass type estimate)
    1.26220
  • Sharpe ratio (Hedges UMVUE)
    1.24687
  • df
    62.00000
  • t
    2.89207
  • p
    0.00264
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37377
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14110
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36377
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12997
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94177
  • Upside Potential Ratio
    3.05973
  • Upside part of mean
    0.19884
  • Downside part of mean
    -0.07265
  • Upside SD
    0.08331
  • Downside SD
    0.06499
  • N nonnegative terms
    45.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    63.00000
  • Mean of predictor
    0.08923
  • Mean of criterion
    0.12619
  • SD of predictor
    0.10396
  • SD of criterion
    0.09997
  • Covariance
    0.00571
  • r
    0.54936
  • b (slope, estimate of beta)
    0.52831
  • a (intercept, estimate of alpha)
    0.07904
  • Mean Square Error
    0.00709
  • DF error
    61.00000
  • t(b)
    5.13484
  • p(b)
    0.00000
  • t(a)
    2.08641
  • p(a)
    0.02056
  • Lowerbound of 95% confidence interval for beta
    0.32257
  • Upperbound of 95% confidence interval for beta
    0.73404
  • Lowerbound of 95% confidence interval for alpha
    0.00329
  • Upperbound of 95% confidence interval for alpha
    0.15480
  • Treynor index (mean / b)
    0.23885
  • Jensen alpha (a)
    0.07904
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03628
  • Expected Shortfall on VaR
    0.04778
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00866
  • Expected Shortfall on VaR
    0.02134
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    63.00000
  • Minimum
    0.88523
  • Quartile 1
    1.00105
  • Median
    1.01476
  • Quartile 3
    1.03012
  • Maximum
    1.07981
  • Mean of quarter 1
    0.97918
  • Mean of quarter 2
    1.00799
  • Mean of quarter 3
    1.02120
  • Mean of quarter 4
    1.04546
  • Inter Quartile Range
    0.02907
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01587
  • Mean of outliers low
    0.88523
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01587
  • 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)
    0.14244
  • VaR(95%) (regression method)
    0.02095
  • Expected Shortfall (regression method)
    0.03864
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00127
  • Quartile 1
    0.00553
  • Median
    0.00897
  • Quartile 3
    0.03238
  • Maximum
    0.11477
  • Mean of quarter 1
    0.00294
  • Mean of quarter 2
    0.00818
  • Mean of quarter 3
    0.02401
  • Mean of quarter 4
    0.06964
  • Inter Quartile Range
    0.02685
  • 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
    0.09091
  • Mean of outliers high
    0.11477
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.92554
  • VaR(95%) (moments method)
    0.07923
  • Expected Shortfall (moments method)
    0.08782
  • Extreme Value Index (regression method)
    0.70161
  • VaR(95%) (regression method)
    0.11904
  • Expected Shortfall (regression method)
    0.40045
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23726
  • Compounded annual return (geometric extrapolation)
    0.16660
  • Calmar ratio (compounded annual return / max draw down)
    1.45162
  • Compounded annual return / average of 25% largest draw downs
    2.39240
  • Compounded annual return / Expected Shortfall lognormal
    3.48698
  • 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
    0.13528
  • SD
    0.10368
  • Sharpe ratio (Glass type estimate)
    1.30474
  • Sharpe ratio (Hedges UMVUE)
    1.30404
  • df
    1391.00000
  • t
    3.00741
  • p
    0.44889
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45282
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15621
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45234
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15573
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02974
  • Upside Potential Ratio
    8.65049
  • Upside part of mean
    0.57653
  • Downside part of mean
    -0.44125
  • Upside SD
    0.07981
  • Downside SD
    0.06665
  • N nonnegative terms
    690.00000
  • N negative terms
    702.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1392.00000
  • Mean of predictor
    0.10064
  • Mean of criterion
    0.13528
  • SD of predictor
    0.11957
  • SD of criterion
    0.10368
  • Covariance
    0.00649
  • r
    0.52365
  • b (slope, estimate of beta)
    0.45407
  • a (intercept, estimate of alpha)
    0.09000
  • Mean Square Error
    0.00781
  • DF error
    1390.00000
  • t(b)
    22.91650
  • p(b)
    0.23817
  • t(a)
    2.33356
  • p(a)
    0.46877
  • Lowerbound of 95% confidence interval for beta
    0.41520
  • Upperbound of 95% confidence interval for beta
    0.49294
  • Lowerbound of 95% confidence interval for alpha
    0.01428
  • Upperbound of 95% confidence interval for alpha
    0.16488
  • Treynor index (mean / b)
    0.29792
  • Jensen alpha (a)
    0.08958
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12987
  • SD
    0.10349
  • Sharpe ratio (Glass type estimate)
    1.25491
  • Sharpe ratio (Hedges UMVUE)
    1.25424
  • df
    1391.00000
  • t
    2.89256
  • p
    0.45082
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40312
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40265
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10583
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93204
  • Upside Potential Ratio
    8.52909
  • Upside part of mean
    0.57332
  • Downside part of mean
    -0.44345
  • Upside SD
    0.07905
  • Downside SD
    0.06722
  • N nonnegative terms
    690.00000
  • N negative terms
    702.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1392.00000
  • Mean of predictor
    0.09347
  • Mean of criterion
    0.12987
  • SD of predictor
    0.11967
  • SD of criterion
    0.10349
  • Covariance
    0.00649
  • r
    0.52372
  • b (slope, estimate of beta)
    0.45291
  • a (intercept, estimate of alpha)
    0.08754
  • Mean Square Error
    0.00778
  • DF error
    1390.00000
  • t(b)
    22.92070
  • p(b)
    0.23814
  • t(a)
    2.28523
  • p(a)
    0.46941
  • Lowerbound of 95% confidence interval for beta
    0.41415
  • Upperbound of 95% confidence interval for beta
    0.49168
  • Lowerbound of 95% confidence interval for alpha
    0.01239
  • Upperbound of 95% confidence interval for alpha
    0.16268
  • Treynor index (mean / b)
    0.28675
  • Jensen alpha (a)
    0.08754
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00997
  • Expected Shortfall on VaR
    0.01261
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00384
  • Expected Shortfall on VaR
    0.00808
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1392.00000
  • Minimum
    0.95804
  • Quartile 1
    0.99839
  • Median
    1.00009
  • Quartile 3
    1.00269
  • Maximum
    1.04983
  • Mean of quarter 1
    0.99386
  • Mean of quarter 2
    0.99961
  • Mean of quarter 3
    1.00117
  • Mean of quarter 4
    1.00785
  • Inter Quartile Range
    0.00430
  • Number outliers low
    81.00000
  • Percentage of outliers low
    0.05819
  • Mean of outliers low
    0.98641
  • Number of outliers high
    98.00000
  • Percentage of outliers high
    0.07040
  • Mean of outliers high
    1.01500
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41131
  • VaR(95%) (moments method)
    0.00554
  • Expected Shortfall (moments method)
    0.01122
  • Extreme Value Index (regression method)
    0.17758
  • VaR(95%) (regression method)
    0.00532
  • Expected Shortfall (regression method)
    0.00855
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    93.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00102
  • Median
    0.00391
  • Quartile 3
    0.01650
  • Maximum
    0.13335
  • Mean of quarter 1
    0.00036
  • Mean of quarter 2
    0.00248
  • Mean of quarter 3
    0.00868
  • Mean of quarter 4
    0.04130
  • 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
    8.00000
  • Percentage of outliers high
    0.08602
  • Mean of outliers high
    0.07029
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36694
  • VaR(95%) (moments method)
    0.04322
  • Expected Shortfall (moments method)
    0.07811
  • Extreme Value Index (regression method)
    0.39448
  • VaR(95%) (regression method)
    0.04072
  • Expected Shortfall (regression method)
    0.07398
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24701
  • Compounded annual return (geometric extrapolation)
    0.17091
  • Calmar ratio (compounded annual return / max draw down)
    1.28168
  • Compounded annual return / average of 25% largest draw downs
    4.13841
  • Compounded annual return / Expected Shortfall lognormal
    13.55370
  • 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
    0.09506
  • SD
    0.07882
  • Sharpe ratio (Glass type estimate)
    1.20604
  • Sharpe ratio (Hedges UMVUE)
    1.19907
  • df
    130.00000
  • t
    0.85280
  • p
    0.46271
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57194
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97943
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57657
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97470
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.72033
  • Upside Potential Ratio
    8.34781
  • Upside part of mean
    0.46127
  • Downside part of mean
    -0.36621
  • Upside SD
    0.05609
  • Downside SD
    0.05526
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16514
  • Mean of criterion
    0.09506
  • SD of predictor
    0.06774
  • SD of criterion
    0.07882
  • Covariance
    0.00206
  • r
    0.38624
  • b (slope, estimate of beta)
    0.44944
  • a (intercept, estimate of alpha)
    0.02084
  • Mean Square Error
    0.00533
  • DF error
    129.00000
  • t(b)
    4.75594
  • p(b)
    0.26037
  • t(a)
    0.19964
  • p(a)
    0.48881
  • Lowerbound of 95% confidence interval for beta
    0.26247
  • Upperbound of 95% confidence interval for beta
    0.63641
  • Lowerbound of 95% confidence interval for alpha
    -0.18569
  • Upperbound of 95% confidence interval for alpha
    0.22737
  • Treynor index (mean / b)
    0.21151
  • Jensen alpha (a)
    0.02084
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09194
  • SD
    0.07896
  • Sharpe ratio (Glass type estimate)
    1.16439
  • Sharpe ratio (Hedges UMVUE)
    1.15766
  • df
    130.00000
  • t
    0.82335
  • p
    0.46399
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61320
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93764
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61771
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93304
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64998
  • Upside Potential Ratio
    8.24889
  • Upside part of mean
    0.45965
  • Downside part of mean
    -0.36771
  • Upside SD
    0.05581
  • Downside SD
    0.05572
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16279
  • Mean of criterion
    0.09194
  • SD of predictor
    0.06776
  • SD of criterion
    0.07896
  • Covariance
    0.00206
  • r
    0.38470
  • b (slope, estimate of beta)
    0.44828
  • a (intercept, estimate of alpha)
    0.01897
  • Mean Square Error
    0.00535
  • DF error
    129.00000
  • t(b)
    4.73362
  • p(b)
    0.26128
  • t(a)
    0.18130
  • p(a)
    0.48984
  • Lowerbound of 95% confidence interval for beta
    0.26091
  • Upperbound of 95% confidence interval for beta
    0.63565
  • Lowerbound of 95% confidence interval for alpha
    -0.18802
  • Upperbound of 95% confidence interval for alpha
    0.22595
  • Treynor index (mean / b)
    0.20510
  • Jensen alpha (a)
    0.01897
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00764
  • Expected Shortfall on VaR
    0.00966
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00285
  • Expected Shortfall on VaR
    0.00614
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97252
  • Quartile 1
    0.99823
  • Median
    1.00034
  • Quartile 3
    1.00241
  • Maximum
    1.01745
  • Mean of quarter 1
    0.99504
  • Mean of quarter 2
    0.99966
  • Mean of quarter 3
    1.00130
  • Mean of quarter 4
    1.00590
  • Inter Quartile Range
    0.00419
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98511
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.01172
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36881
  • VaR(95%) (moments method)
    0.00504
  • Expected Shortfall (moments method)
    0.00924
  • Extreme Value Index (regression method)
    0.38613
  • VaR(95%) (regression method)
    0.00377
  • Expected Shortfall (regression method)
    0.00637
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00066
  • Quartile 1
    0.00217
  • Median
    0.00489
  • Quartile 3
    0.01244
  • Maximum
    0.05047
  • Mean of quarter 1
    0.00129
  • Mean of quarter 2
    0.00403
  • Mean of quarter 3
    0.01134
  • Mean of quarter 4
    0.04076
  • Inter Quartile Range
    0.01027
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.04076
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -9.71305
  • VaR(95%) (moments method)
    0.02833
  • Expected Shortfall (moments method)
    0.02833
  • Extreme Value Index (regression method)
    -0.93996
  • VaR(95%) (regression method)
    0.05967
  • Expected Shortfall (regression method)
    0.06488
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12351
  • Compounded annual return (geometric extrapolation)
    0.12733
  • Calmar ratio (compounded annual return / max draw down)
    2.52295
  • Compounded annual return / average of 25% largest draw downs
    3.12352
  • Compounded annual return / Expected Shortfall lognormal
    13.17690

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
Minimum Capital Required
$5,500
# Trades
1108
# Profitable
769
% Profitable
69.4%
Net Dividends
Correlation S&P500
0.516
Sharpe Ratio
1.304

Latest Activity

#PERSONNAME#
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.

Okay, gotcha.

Not available

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

Want to see available plans and features?

Strategy is now visible

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

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.