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These are hypothetical performance results that have certain inherent limitations. Learn more

RSC Stocks
(87857799)

Created by: TonyMitchell TonyMitchell
Started: 02/2016
Stocks
Last trade: 10 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 $25.00 per month.

4.6%
Annual Return (Compounded)
18.8%
Max Drawdown
81
Num Trades
50.6%
Win Trades
1.4 : 1
Profit Factor
52.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +4.3%+2.2%+6.8%(0.9%)+1.6%+0.7%  -  +2.3%+0.6%+4.3%(0.1%)+23.8%
2017(1.7%)(1.9%)(0.3%)+0.3%(1.3%)(2.7%)+0.8%(2.6%)(1.4%)(3.9%)+1.6%+0.4%(12.1%)

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 86 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/3/17 9:39 KR KROGER LONG 93 21.41 12/6 11:37 24.98 0.22%
Trade id #114670851
Max drawdown($24)
Time11/7/17 14:32
Quant open93
Worst price21.15
Drawdown as % of equity-0.22%
$330
Includes Typical Broker Commissions trade costs of $1.86
11/7/17 12:15 LNC LINCOLN NATIONAL SHORT 47 75.35 11/29 9:30 75.58 0.2%
Trade id #114726882
Max drawdown($21)
Time11/7/17 14:07
Quant open-47
Worst price75.81
Drawdown as % of equity-0.20%
($12)
Includes Typical Broker Commissions trade costs of $0.94
11/24/17 9:41 PFG PRINCIPAL FINANCIAL SHORT 59 68.34 11/28 14:51 70.05 0.92%
Trade id #115012871
Max drawdown($101)
Time11/28/17 14:51
Quant open0
Worst price70.05
Drawdown as % of equity-0.92%
($102)
Includes Typical Broker Commissions trade costs of $1.18
10/25/17 9:38 NDAQ NASDAQ INC COMMON STOCK LONG 75 73.57 10/26 10:20 72.18 0.96%
Trade id #114515452
Max drawdown($104)
Time10/26/17 10:20
Quant open0
Worst price72.18
Drawdown as % of equity-0.96%
($106)
Includes Typical Broker Commissions trade costs of $1.50
10/23/17 9:55 MRK MERCK LONG 77 64.16 10/24 9:36 62.85 0.92%
Trade id #114421579
Max drawdown($101)
Time10/24/17 9:36
Quant open0
Worst price62.85
Drawdown as % of equity-0.92%
($103)
Includes Typical Broker Commissions trade costs of $1.54
10/11/17 10:11 BSX BOSTON SCIENTIFIC SHORT 294 29.22 10/19 9:32 29.56 0.91%
Trade id #114154546
Max drawdown($100)
Time10/19/17 9:32
Quant open0
Worst price29.56
Drawdown as % of equity-0.91%
($106)
Includes Typical Broker Commissions trade costs of $5.88
10/4/17 10:13 CERN CERNER SHORT 102 71.85 10/13 9:30 73.06 1.2%
Trade id #114012253
Max drawdown($134)
Time10/13/17 9:30
Quant open-102
Worst price73.17
Drawdown as % of equity-1.20%
($125)
Includes Typical Broker Commissions trade costs of $2.04
9/18/17 9:33 GGP GGP INC LONG 93 21.90 10/2 15:35 20.65 1.2%
Trade id #113721484
Max drawdown($134)
Time9/22/17 12:43
Quant open93
Worst price20.45
Drawdown as % of equity-1.20%
($118)
Includes Typical Broker Commissions trade costs of $1.86
9/18/17 9:38 AKAM AKAMAI TECHNOLOGIES LONG 48 47.72 10/2 15:34 49.95 0.32%
Trade id #113722035
Max drawdown($36)
Time9/28/17 12:20
Quant open48
Worst price46.97
Drawdown as % of equity-0.32%
$106
Includes Typical Broker Commissions trade costs of $0.96
9/25/17 9:30 AAPL APPLE SHORT 15 149.95 10/2 15:34 153.64 0.64%
Trade id #113835988
Max drawdown($71)
Time9/27/17 14:18
Quant open-15
Worst price154.72
Drawdown as % of equity-0.64%
($55)
Includes Typical Broker Commissions trade costs of $0.30
8/10/17 15:28 ALXN ALEXION PHARMACEUTICALS SHORT 10 132.18 8/31 13:00 142.49 0.91%
Trade id #113091415
Max drawdown($103)
Time8/31/17 13:00
Quant open0
Worst price142.49
Drawdown as % of equity-0.91%
($103)
Includes Typical Broker Commissions trade costs of $0.20
8/24/17 9:50 DD E.I DU PONT DE NEMOURS SHORT 106 82.55 8/31 9:30 83.54 2%
Trade id #113315140
Max drawdown($227)
Time8/30/17 16:44
Quant open-106
Worst price84.70
Drawdown as % of equity-2.00%
($107)
Includes Typical Broker Commissions trade costs of $2.12
7/31/17 10:50 DD E.I DU PONT DE NEMOURS SHORT 44 83.32 8/23 10:18 83.30 0.04%
Trade id #112896153
Max drawdown($4)
Time7/31/17 11:20
Quant open-44
Worst price83.43
Drawdown as % of equity-0.04%
$0
Includes Typical Broker Commissions trade costs of $0.88
7/18/17 9:30 HUM HUMANA SHORT 15 236.94 7/28 11:46 236.63 0.12%
Trade id #112658182
Max drawdown($13)
Time7/18/17 9:32
Quant open-15
Worst price237.87
Drawdown as % of equity-0.12%
$5
Includes Typical Broker Commissions trade costs of $0.30
7/18/17 12:17 DPS DR PEPPER SNAPPLE GROUP LONG 48 90.74 7/27 15:35 92.36 0%
Trade id #112664163
Max drawdown$0
Time7/18/17 12:19
Quant open48
Worst price90.74
Drawdown as % of equity0.00%
$77
Includes Typical Broker Commissions trade costs of $0.96
6/28/17 9:30 LUV SOUTHWEST AIRLINES SHORT 83 61.93 7/5 10:13 62.77 0.61%
Trade id #112255032
Max drawdown($70)
Time7/5/17 10:13
Quant open0
Worst price62.77
Drawdown as % of equity-0.61%
($72)
Includes Typical Broker Commissions trade costs of $1.66
6/19/17 9:35 PSA PUBLIC STORAGE LONG 13 212.75 7/3 9:31 212.91 0.66%
Trade id #112116318
Max drawdown($76)
Time6/29/17 9:55
Quant open13
Worst price206.90
Drawdown as % of equity-0.66%
$2
Includes Typical Broker Commissions trade costs of $0.26
5/22/17 10:12 K KELLOGG LONG 40 71.15 6/16 10:03 71.28 0.01%
Trade id #111709854
Max drawdown($1)
Time5/22/17 10:14
Quant open40
Worst price71.12
Drawdown as % of equity-0.01%
$4
Includes Typical Broker Commissions trade costs of $0.80
6/12/17 9:50 MCO MOODY'S SHORT 42 116.01 6/13 10:12 118.39 0.87%
Trade id #112012822
Max drawdown($100)
Time6/13/17 10:12
Quant open0
Worst price118.39
Drawdown as % of equity-0.87%
($101)
Includes Typical Broker Commissions trade costs of $0.84
6/7/17 9:31 AFL AFLAC SHORT 101 74.65 6/9 9:53 75.66 0.87%
Trade id #111947862
Max drawdown($102)
Time6/9/17 9:53
Quant open0
Worst price75.66
Drawdown as % of equity-0.87%
($104)
Includes Typical Broker Commissions trade costs of $2.02
5/15/17 7:59 EUR/GBP EUR/GBP LONG 1 0.84895 5/16 18:38 0.85834 0.02%
Trade id #111596861
Max drawdown($2)
Time5/15/17 8:26
Quant open1
Worst price0.84874
Drawdown as % of equity-0.02%
$121
5/10/17 9:30 CHRW CH ROBINSON WORLDWIDE LONG 111 71.43 5/10 9:33 70.54 0.85%
Trade id #111515227
Max drawdown($99)
Time5/10/17 9:33
Quant open0
Worst price70.54
Drawdown as % of equity-0.85%
($101)
Includes Typical Broker Commissions trade costs of $2.22
5/8/17 9:30 BEN FRANKLIN RESOURCES INC SHORT 127 42.68 5/9 10:08 43.50 0.89%
Trade id #111455909
Max drawdown($105)
Time5/9/17 10:08
Quant open0
Worst price43.50
Drawdown as % of equity-0.89%
($108)
Includes Typical Broker Commissions trade costs of $2.54
3/27/17 9:43 PG PROCTER & GAMBLE SHORT 75 90.55 4/20 11:16 89.19 0.33%
Trade id #110443735
Max drawdown($38)
Time3/28/17 14:48
Quant open-75
Worst price91.06
Drawdown as % of equity-0.33%
$101
Includes Typical Broker Commissions trade costs of $1.50
4/19/17 9:30 AEE AMEREN SHORT 185 55.16 4/20 9:54 54.10 0.22%
Trade id #111118403
Max drawdown($25)
Time4/19/17 9:32
Quant open-185
Worst price55.30
Drawdown as % of equity-0.22%
$193
Includes Typical Broker Commissions trade costs of $3.70
4/10/17 9:40 EA ELECTRONIC ARTS SHORT 63 88.74 4/20 9:30 90.25 0.81%
Trade id #110876186
Max drawdown($95)
Time4/20/17 9:30
Quant open0
Worst price90.25
Drawdown as % of equity-0.81%
($96)
Includes Typical Broker Commissions trade costs of $1.26
3/27/17 9:45 COST COSTCO WHOLESALE SHORT 30 165.61 4/10 12:11 169.79 1.25%
Trade id #110443903
Max drawdown($146)
Time4/6/17 8:00
Quant open-30
Worst price170.50
Drawdown as % of equity-1.25%
($126)
Includes Typical Broker Commissions trade costs of $0.60
3/7/17 9:30 EMN EASTMAN CHEMICAL SHORT 40 79.55 3/28 13:48 79.52 0.08%
Trade id #110074329
Max drawdown($9)
Time3/17/17 10:36
Quant open-40
Worst price79.78
Drawdown as % of equity-0.08%
$0
Includes Typical Broker Commissions trade costs of $0.80
2/22/17 9:48 SWN SOUTHWESTERN ENERGY LONG 244 8.74 2/23 11:15 8.33 0.85%
Trade id #109744815
Max drawdown($100)
Time2/23/17 11:15
Quant open0
Worst price8.33
Drawdown as % of equity-0.85%
($105)
Includes Typical Broker Commissions trade costs of $4.88
1/31/17 9:30 CAT CATERPILLAR SHORT 34 96.49 2/10 15:34 96.45 0.01%
Trade id #109166419
Max drawdown($1)
Time2/1/17 9:38
Quant open-34
Worst price96.52
Drawdown as % of equity-0.01%
$0
Includes Typical Broker Commissions trade costs of $0.68

Statistics

  • Strategy began
    2/6/2016
  • Starting Unit Size
    $10,000
  • Strategy Age (days)
    679.09
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    81
  • # Profitable
    41
  • % Profitable
    50.60%
  • Avg trade duration
    10.0 days
  • Max peak-to-valley drawdown
    18.77%
  • drawdown period
    Dec 03, 2016 - Nov 07, 2017
  • Annual Return (Compounded)
    4.6%
  • Avg win
    $130.71
  • Avg loss
    $91.90
  • Model Account Values (Raw)
  • Cash
    $11,052
  • Margin Used
    $0
  • Buying Power
    $11,052
  • Ratios
  • W:L ratio
    1.42:1
  • Sharpe Ratio
    0.742
  • Sortino Ratio
    1.273
  • Calmar Ratio
    0.67
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.08900
  • Return Statistics
  • Ann Return (w trading costs)
    4.6%
  • Ann Return (Compnd, No Fees)
    8.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    7.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    562
  • C2 Score
    32.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $92
  • Avg Win
    $131
  • # Winners
    41
  • # Losers
    40
  • % Winners
    50.6%
  • Frequency
  • Avg Position Time (mins)
    14457.00
  • Avg Position Time (hrs)
    240.95
  • Avg Trade Length
    10.0 days
  • Last Trade Ago
    10
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05336
  • SD
    0.09375
  • Sharpe ratio (Glass type estimate)
    0.56915
  • Sharpe ratio (Hedges UMVUE)
    0.54749
  • df
    20.00000
  • t
    0.75291
  • p
    0.41699
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92972
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05415
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94379
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03876
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05563
  • Upside Potential Ratio
    3.02848
  • Upside part of mean
    0.15308
  • Downside part of mean
    -0.09972
  • Upside SD
    0.07780
  • Downside SD
    0.05055
  • N nonnegative terms
    11.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.17651
  • Mean of criterion
    0.05336
  • SD of predictor
    0.08615
  • SD of criterion
    0.09375
  • Covariance
    0.00017
  • r
    0.02063
  • b (slope, estimate of beta)
    0.02245
  • a (intercept, estimate of alpha)
    0.04940
  • Mean Square Error
    0.00925
  • DF error
    19.00000
  • t(b)
    0.08993
  • p(b)
    0.48687
  • t(a)
    0.58111
  • p(a)
    0.41612
  • Lowerbound of 95% confidence interval for beta
    -0.49996
  • Upperbound of 95% confidence interval for beta
    0.54485
  • Lowerbound of 95% confidence interval for alpha
    -0.12852
  • Upperbound of 95% confidence interval for alpha
    0.22731
  • Treynor index (mean / b)
    2.37706
  • Jensen alpha (a)
    0.04940
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04901
  • SD
    0.09269
  • Sharpe ratio (Glass type estimate)
    0.52875
  • Sharpe ratio (Hedges UMVUE)
    0.50863
  • df
    20.00000
  • t
    0.69947
  • p
    0.42274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96824
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01282
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98132
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99858
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95719
  • Upside Potential Ratio
    2.92548
  • Upside part of mean
    0.14980
  • Downside part of mean
    -0.10079
  • Upside SD
    0.07590
  • Downside SD
    0.05120
  • N nonnegative terms
    11.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.17142
  • Mean of criterion
    0.04901
  • SD of predictor
    0.08456
  • SD of criterion
    0.09269
  • Covariance
    0.00002
  • r
    0.00232
  • b (slope, estimate of beta)
    0.00255
  • a (intercept, estimate of alpha)
    0.04858
  • Mean Square Error
    0.00904
  • DF error
    19.00000
  • t(b)
    0.01013
  • p(b)
    0.49852
  • t(a)
    0.57949
  • p(a)
    0.41635
  • Lowerbound of 95% confidence interval for beta
    -0.52381
  • Upperbound of 95% confidence interval for beta
    0.52891
  • Lowerbound of 95% confidence interval for alpha
    -0.12687
  • Upperbound of 95% confidence interval for alpha
    0.22402
  • Treynor index (mean / b)
    19.23590
  • Jensen alpha (a)
    0.04858
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03914
  • Expected Shortfall on VaR
    0.04978
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01884
  • Expected Shortfall on VaR
    0.03377
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.96408
  • Quartile 1
    0.98959
  • Median
    1.00238
  • Quartile 3
    1.02368
  • Maximum
    1.05855
  • Mean of quarter 1
    0.97711
  • Mean of quarter 2
    0.99770
  • Mean of quarter 3
    1.01338
  • Mean of quarter 4
    1.04484
  • Inter Quartile Range
    0.03409
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.04727
  • VaR(95%) (moments method)
    0.02291
  • Expected Shortfall (moments method)
    0.02327
  • Extreme Value Index (regression method)
    -0.88784
  • VaR(95%) (regression method)
    0.03267
  • Expected Shortfall (regression method)
    0.03566
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02574
  • Quartile 1
    0.04723
  • Median
    0.06873
  • Quartile 3
    0.09023
  • Maximum
    0.11172
  • Mean of quarter 1
    0.02574
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11172
  • Inter Quartile Range
    0.04299
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08234
  • Compounded annual return (geometric extrapolation)
    0.07996
  • Calmar ratio (compounded annual return / max draw down)
    0.71566
  • Compounded annual return / average of 25% largest draw downs
    0.71566
  • Compounded annual return / Expected Shortfall lognormal
    1.60617
  • 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
    0.05413
  • SD
    0.07285
  • Sharpe ratio (Glass type estimate)
    0.74305
  • Sharpe ratio (Hedges UMVUE)
    0.74186
  • df
    470.00000
  • t
    0.99627
  • p
    0.15982
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71990
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20528
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72071
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20443
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27290
  • Upside Potential Ratio
    8.95562
  • Upside part of mean
    0.38085
  • Downside part of mean
    -0.32672
  • Upside SD
    0.05915
  • Downside SD
    0.04253
  • N nonnegative terms
    184.00000
  • N negative terms
    287.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    471.00000
  • Mean of predictor
    0.18087
  • Mean of criterion
    0.05413
  • SD of predictor
    0.09427
  • SD of criterion
    0.07285
  • Covariance
    -0.00057
  • r
    -0.08253
  • b (slope, estimate of beta)
    -0.06378
  • a (intercept, estimate of alpha)
    0.06600
  • Mean Square Error
    0.00528
  • DF error
    469.00000
  • t(b)
    -1.79341
  • p(b)
    0.96322
  • t(a)
    1.20298
  • p(a)
    0.11479
  • Lowerbound of 95% confidence interval for beta
    -0.13366
  • Upperbound of 95% confidence interval for beta
    0.00610
  • Lowerbound of 95% confidence interval for alpha
    -0.04160
  • Upperbound of 95% confidence interval for alpha
    0.17294
  • Treynor index (mean / b)
    -0.84875
  • Jensen alpha (a)
    0.06567
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05149
  • SD
    0.07260
  • Sharpe ratio (Glass type estimate)
    0.70918
  • Sharpe ratio (Hedges UMVUE)
    0.70805
  • df
    470.00000
  • t
    0.95086
  • p
    0.17108
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75366
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17135
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75445
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17055
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20596
  • Upside Potential Ratio
    8.87932
  • Upside part of mean
    0.37908
  • Downside part of mean
    -0.32760
  • Upside SD
    0.05871
  • Downside SD
    0.04269
  • N nonnegative terms
    184.00000
  • N negative terms
    287.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    471.00000
  • Mean of predictor
    0.17636
  • Mean of criterion
    0.05149
  • SD of predictor
    0.09430
  • SD of criterion
    0.07260
  • Covariance
    -0.00057
  • r
    -0.08391
  • b (slope, estimate of beta)
    -0.06460
  • a (intercept, estimate of alpha)
    0.06288
  • Mean Square Error
    0.00524
  • DF error
    469.00000
  • t(b)
    -1.82368
  • p(b)
    0.96558
  • t(a)
    1.15642
  • p(a)
    0.12405
  • Lowerbound of 95% confidence interval for beta
    -0.13420
  • Upperbound of 95% confidence interval for beta
    0.00501
  • Lowerbound of 95% confidence interval for alpha
    -0.04397
  • Upperbound of 95% confidence interval for alpha
    0.16972
  • Treynor index (mean / b)
    -0.79700
  • Jensen alpha (a)
    0.06288
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00716
  • Expected Shortfall on VaR
    0.00901
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00324
  • Expected Shortfall on VaR
    0.00627
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    471.00000
  • Minimum
    0.98499
  • Quartile 1
    0.99846
  • Median
    1.00000
  • Quartile 3
    1.00146
  • Maximum
    1.02676
  • Mean of quarter 1
    0.99565
  • Mean of quarter 2
    0.99962
  • Mean of quarter 3
    1.00043
  • Mean of quarter 4
    1.00554
  • Inter Quartile Range
    0.00300
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.04671
  • Mean of outliers low
    0.99118
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.06794
  • Mean of outliers high
    1.01176
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15168
  • VaR(95%) (moments method)
    0.00408
  • Expected Shortfall (moments method)
    0.00612
  • Extreme Value Index (regression method)
    -0.17397
  • VaR(95%) (regression method)
    0.00378
  • Expected Shortfall (regression method)
    0.00478
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00125
  • Median
    0.00713
  • Quartile 3
    0.01296
  • Maximum
    0.12330
  • Mean of quarter 1
    0.00073
  • Mean of quarter 2
    0.00284
  • Mean of quarter 3
    0.01043
  • Mean of quarter 4
    0.04080
  • Inter Quartile Range
    0.01171
  • 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
    0.09091
  • Mean of outliers high
    0.08112
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.46939
  • VaR(95%) (moments method)
    0.04174
  • Expected Shortfall (moments method)
    0.09144
  • Extreme Value Index (regression method)
    0.91397
  • VaR(95%) (regression method)
    0.05803
  • Expected Shortfall (regression method)
    0.66992
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08534
  • Compounded annual return (geometric extrapolation)
    0.08263
  • Calmar ratio (compounded annual return / max draw down)
    0.67012
  • Compounded annual return / average of 25% largest draw downs
    2.02503
  • Compounded annual return / Expected Shortfall lognormal
    9.16791
  • 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
    -0.14496
  • SD
    0.04906
  • Sharpe ratio (Glass type estimate)
    -2.95473
  • Sharpe ratio (Hedges UMVUE)
    -2.93765
  • df
    130.00000
  • t
    -2.08931
  • p
    0.59012
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.74411
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.15428
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.73236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14294
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.47763
  • Upside Potential Ratio
    4.78729
  • Upside part of mean
    0.19955
  • Downside part of mean
    -0.34451
  • Upside SD
    0.02704
  • Downside SD
    0.04168
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16463
  • Mean of criterion
    -0.14496
  • SD of predictor
    0.06857
  • SD of criterion
    0.04906
  • Covariance
    -0.00051
  • r
    -0.15207
  • b (slope, estimate of beta)
    -0.10880
  • a (intercept, estimate of alpha)
    -0.12705
  • Mean Square Error
    0.00237
  • DF error
    129.00000
  • t(b)
    -1.74747
  • p(b)
    0.59643
  • t(a)
    -1.82542
  • p(a)
    0.60059
  • Lowerbound of 95% confidence interval for beta
    -0.23199
  • Upperbound of 95% confidence interval for beta
    0.01439
  • Lowerbound of 95% confidence interval for alpha
    -0.26475
  • Upperbound of 95% confidence interval for alpha
    0.01066
  • Treynor index (mean / b)
    1.33233
  • Jensen alpha (a)
    -0.12705
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14618
  • SD
    0.04913
  • Sharpe ratio (Glass type estimate)
    -2.97540
  • Sharpe ratio (Hedges UMVUE)
    -2.95820
  • df
    130.00000
  • t
    -2.10393
  • p
    0.59073
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.76511
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.17462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.75323
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16317
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.49494
  • Upside Potential Ratio
    4.76170
  • Upside part of mean
    0.19916
  • Downside part of mean
    -0.34534
  • Upside SD
    0.02697
  • Downside SD
    0.04183
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16223
  • Mean of criterion
    -0.14618
  • SD of predictor
    0.06858
  • SD of criterion
    0.04913
  • Covariance
    -0.00051
  • r
    -0.15194
  • b (slope, estimate of beta)
    -0.10884
  • a (intercept, estimate of alpha)
    -0.12852
  • Mean Square Error
    0.00238
  • DF error
    129.00000
  • t(b)
    -1.74602
  • p(b)
    0.59636
  • t(a)
    -1.84456
  • p(a)
    0.60161
  • Lowerbound of 95% confidence interval for beta
    -0.23218
  • Upperbound of 95% confidence interval for beta
    0.01449
  • Lowerbound of 95% confidence interval for alpha
    -0.26638
  • Upperbound of 95% confidence interval for alpha
    0.00933
  • Treynor index (mean / b)
    1.34304
  • Jensen alpha (a)
    -0.12852
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00554
  • Expected Shortfall on VaR
    0.00679
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00340
  • Expected Shortfall on VaR
    0.00635
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98752
  • Quartile 1
    0.99842
  • Median
    1.00000
  • Quartile 3
    1.00091
  • Maximum
    1.00840
  • Mean of quarter 1
    0.99561
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.00030
  • Mean of quarter 4
    1.00290
  • Inter Quartile Range
    0.00249
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.99258
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.00640
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.47566
  • VaR(95%) (moments method)
    0.00411
  • Expected Shortfall (moments method)
    0.00479
  • Extreme Value Index (regression method)
    -0.15856
  • VaR(95%) (regression method)
    0.00366
  • Expected Shortfall (regression method)
    0.00458
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.07839
  • Quartile 1
    0.07839
  • Median
    0.07839
  • Quartile 3
    0.07839
  • Maximum
    0.07839
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.11484
  • Compounded annual return (geometric extrapolation)
    -0.11155
  • Calmar ratio (compounded annual return / max draw down)
    -1.42297
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -16.41620

Strategy Description

The system uses the weekly charts first to gauge the direction of the market using divergence signals. These signals give a list of stocks that are potentially at the beginning of a significant reverse. Next we zoom into the daily charts looking for an entry using a price action signal supported by momentum or reversal indicators. The reversal signals are more aggressive but offer a smaller stop and larger targets. The minimum risk reward ratio is 1:2. All trades come with a firm stop and target though depending on market conditions a break even move is often made when the trade has hit the 1:1 risk- reward level.

The RSC Stock System for scaling purposes is based on a maximum of 3% risk. For example, on a 10K account we look to risk no more than $100 per stop per trade on a maximum of 3 trades at any given time. I will add another trade if one is available when an existing live trade moves to break even. Please note in order to buy enough stocks to reach the $100 stop size, I do use up to 1.75 in leverage on the account. Once the system trades up to 15K, we will risk $150 per trade maximum and continue to increase this as the system climbs to 20K ($200), 25K ($250) etc. The goal is to keep the losses small and to growth the account 2-5% a month.

Summary Statistics

Strategy began
2016-02-06
Minimum Capital Required
$10,000
# Trades
81
# Profitable
41
% Profitable
50.6%
Net Dividends
Correlation S&P500
-0.089
Sharpe Ratio
0.742

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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