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Featured Strategy Quant AI pro +16.7% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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The Spirit of Nicolas Darvas.
(81877382)

Created by: Danny Danny
Started: 07/2013
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following Momentum

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 $50.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
20.4%
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.

(29.4%)
Max Drawdown
3647
Num Trades
36.5%
Win Trades
1.4 : 1
Profit Factor
58.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                          +11.4%(2.8%)+18.0%+7.5%+1.9%+1.6%+42.2%
2014+17.4%(2.1%)+0.7%(2.2%)+0.7%+6.0%(6.4%)+5.0%(7.7%)(3.3%)+3.3%+2.9%+12.7%
2015(4.3%)(0.1%)(9.1%)+2.3%+14.3%+14.2%+16.3%(7%)+7.4%(4.7%)(1.2%)+0.9%+27.9%
2016+2.1%(0.3%)(0.3%)(1.6%)(2.3%)(2.6%)+7.5%(2.2%)(2.2%)+2.0%+32.3%(7.7%)+21.4%
2017+4.8%+12.1%+2.1%+1.2%+6.6%(2.9%)+1.7%+9.5%+5.5%+3.9%+4.6%+5.3%+68.7%
2018+8.5%(0.1%)+0.9%(0.3%)+10.4%+3.4%(1.9%)+8.2%+2.6%(10.3%)(1.4%)+1.3%+21.3%
2019(0.4%)+4.1%(0.8%)(2.3%)+1.5%+0.9%+3.5%+3.8%(6.2%)(1.4%)(1.1%)+3.9%+5.0%
2020+0.6%(2.8%)+4.4%(4.9%)(1.9%)+5.5%+9.8%+9.5%(6.8%)(2.2%)+1.1%+18.4%+31.7%
2021  -  (0.5%)+0.2%+0.5%(1%)+3.0%(6.4%)(0.5%)+0.3%+1.2%(3.6%)+1.1%(5.8%)
2022(0.2%)+2.8%+0.2%+8.7%(1.1%)+7.1%(3.5%)(0.2%)+2.5%+0.3%(1.9%)+1.6%+16.7%
2023(0.8%)+1.2%+1.3%+1.4%(0.4%)+0.2%+0.8%+0.8%+3.7%+2.4%(0.7%)(2.8%)+7.2%
2024(2.2%)+1.2%+1.8%+1.8%(4.7%)+0.5%  -  (11.4%)+14.4%(3.1%)+7.4%(2.1%)+1.3%

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.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 8,409 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 29 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/12/24 10:10 SBIT PROSHARES ULTRASHORT BITCOIN ETF SHORT 7,233 10.38 12/19 10:31 10.55 0.33%
Trade id #150309413
Max drawdown($2,935)
Time12/12/24 14:47
Quant open7,233
Worst price10.79
Drawdown as % of equity-0.33%
 ($1,235)
Includes Typical Broker Commissions trade costs of $5.00
11/7/24 10:01 TSLQ AXS TSLA BEAR DAILY ETF SHORT 3,690 42.86 12/19 10:31 24.63 n/a $67,253
Includes Typical Broker Commissions trade costs of $15.69
12/6/24 11:32 FNGD MICROSECTORS FANG -3X LEVERAGED ETNS DUE 1/8/38 SHORT 9,296 13.86 12/19 9:30 12.98 0.3%
Trade id #150265644
Max drawdown($2,620)
Time12/10/24 0:00
Quant open4,296
Worst price14.60
Drawdown as % of equity-0.30%
 $8,137
Includes Typical Broker Commissions trade costs of $12.50
11/22/24 10:54 SARK INV MGR SER TRUST II AXS SHORT INNOVATION SHORT 3,736 48.32 12/19 9:30 44.52 n/a $14,167
Includes Typical Broker Commissions trade costs of $20.00
12/11/24 11:16 MSTZ ETF OPPTY TRUST T-REX -2X MSTR DAILY TARGET ETF SHORT 3,640 16.68 12/19 9:30 19.99 2.64%
Trade id #150301015
Max drawdown($24,335)
Time12/18/24 0:00
Quant open3,640
Worst price23.37
Drawdown as % of equity-2.64%
 ($12,057)
Includes Typical Broker Commissions trade costs of $12.50
11/7/24 10:27 UVIX VS TRUST - 2X LONG VIX FUTURES ETF SHORT 73,684 3.39 12/19 9:30 3.75 5.74%
Trade id #150028482
Max drawdown($52,835)
Time12/18/24 0:00
Quant open43,684
Worst price4.60
Drawdown as % of equity-5.74%
 ($26,525)
Includes Typical Broker Commissions trade costs of $50.00
12/18/24 9:56 SPLV INVESCO S&P 500 LOW VOLATI LONG 1,623 71.04 12/18 15:45 69.93 0.21%
Trade id #150352559
Max drawdown($1,801)
Time12/18/24 15:45
Quant open1,623
Worst price69.93
Drawdown as % of equity-0.21%
 ($1,807)
Includes Typical Broker Commissions trade costs of $5.00
12/13/24 11:26 TFLO ISHARES TREASURY FLOATING RATE LONG 20,000 50.55 12/18 15:08 50.36 0.41%
Trade id #150320385
Max drawdown($3,800)
Time12/18/24 12:20
Quant open20,000
Worst price50.36
Drawdown as % of equity-0.41%
 ($3,805)
Includes Typical Broker Commissions trade costs of $5.00
12/16/24 9:42 XLB MATERIALS SELECT SECTOR SPDR LONG 910 89.01 12/18 14:47 86.91 0.21%
Trade id #150333436
Max drawdown($1,929)
Time12/18/24 14:47
Quant open910
Worst price86.89
Drawdown as % of equity-0.21%
 ($1,916)
Includes Typical Broker Commissions trade costs of $5.00
12/17/24 10:05 NOBL POWERSHARES S&P 500 ARISTOCRAT LONG 1,103 103.62 12/17 10:06 103.60 0%
Trade id #150343185
Max drawdown($22)
Time12/17/24 10:06
Quant open1,103
Worst price103.60
Drawdown as % of equity-0.00%
 ($27)
Includes Typical Broker Commissions trade costs of $5.00
11/8/24 10:10 COST COSTCO WHOLESALE LONG 126 924.95 12/17 9:40 987.76 0.3%
Trade id #150039375
Max drawdown($2,442)
Time11/15/24 0:00
Quant open126
Worst price905.56
Drawdown as % of equity-0.30%
 $7,912
Includes Typical Broker Commissions trade costs of $2.52
12/10/24 9:40 TFLO ISHARES TREASURY FLOATING RATE LONG 21,000 50.52 12/13 11:21 50.54 0.01%
Trade id #150288584
Max drawdown($60)
Time12/10/24 10:21
Quant open6,000
Worst price50.51
Drawdown as % of equity-0.01%
 $408
Includes Typical Broker Commissions trade costs of $12.50
11/21/24 12:06 TZA DIREXION DAILY SMALL CAP BEAR SHORT 15,531 10.43 12/12 10:11 10.93 0.88%
Trade id #150144937
Max drawdown($7,997)
Time12/12/24 10:11
Quant open-15,531
Worst price10.95
Drawdown as % of equity-0.88%
 ($7,748)
Includes Typical Broker Commissions trade costs of $12.50
11/5/24 10:11 BITI PROSHARES SHORT BITCOIN STRATEGY ETF SHORT 8,125 26.17 12/12 10:09 22.25 n/a $31,838
Includes Typical Broker Commissions trade costs of $20.00
11/14/24 11:28 SDOW PROSHARES ULTRAPRO SHORT DOW30 SHORT 4,337 45.41 12/12 9:47 46.20 0.38%
Trade id #150086970
Max drawdown($3,451)
Time12/12/24 9:47
Quant open-4,337
Worst price46.21
Drawdown as % of equity-0.38%
 ($3,430)
Includes Typical Broker Commissions trade costs of $21.37
11/5/24 10:01 KGS KODIAK GAS SERVICES INC LONG 1,100 31.59 12/10 15:59 41.61 0.01%
Trade id #149986040
Max drawdown($44)
Time11/5/24 10:04
Quant open1,100
Worst price31.55
Drawdown as % of equity-0.01%
 $11,016
Includes Typical Broker Commissions trade costs of $5.00
12/6/24 11:31 CISS C3IS INC. SHORT 14,063 0.71 12/10 11:49 0.75 0.11%
Trade id #150265638
Max drawdown($978)
Time12/10/24 11:14
Quant open14,063
Worst price0.78
Drawdown as % of equity-0.11%
 ($611)
Includes Typical Broker Commissions trade costs of $5.00
11/18/24 11:42 FAZ DIREXION DAILY FINANCIAL BEAR SHORT 15,600 5.78 12/10 9:30 5.94 0.56%
Trade id #150113018
Max drawdown($4,444)
Time11/20/24 0:00
Quant open15,600
Worst price6.06
Drawdown as % of equity-0.56%
 ($2,579)
Includes Typical Broker Commissions trade costs of $5.00
12/6/24 11:29 ROOT ROOT INC. CLASS A COMMON STOCK LONG 104 95.60 12/10 9:30 91.78 0.06%
Trade id #150265620
Max drawdown($504)
Time12/10/24 9:30
Quant open104
Worst price90.75
Drawdown as % of equity-0.06%
 ($399)
Includes Typical Broker Commissions trade costs of $2.08
11/7/24 9:59 TLN TALEN ENERGY CORPORATION LONG 175 198.00 12/10 9:30 209.70 0.02%
Trade id #150028053
Max drawdown($147)
Time11/15/24 0:00
Quant open175
Worst price197.16
Drawdown as % of equity-0.02%
 $2,045
Includes Typical Broker Commissions trade costs of $3.50
11/14/24 10:08 PLNT PLANET FITNESS INC LONG 602 96.60 12/9 10:44 98.64 0.16%
Trade id #150085920
Max drawdown($1,302)
Time11/15/24 0:00
Quant open602
Worst price94.44
Drawdown as % of equity-0.16%
 $1,221
Includes Typical Broker Commissions trade costs of $5.00
11/7/24 9:56 PNW PINNACLE WEST CAPITAL LONG 1,041 89.53 12/9 10:27 91.17 0.23%
Trade id #150027942
Max drawdown($1,844)
Time11/7/24 13:29
Quant open1,041
Worst price87.76
Drawdown as % of equity-0.23%
 $1,700
Includes Typical Broker Commissions trade costs of $5.00
11/13/24 9:47 MO ALTRIA LONG 2,012 54.68 12/9 9:44 56.16 0.04%
Trade id #150074909
Max drawdown($364)
Time11/14/24 0:00
Quant open2,012
Worst price54.49
Drawdown as % of equity-0.04%
 $2,977
Includes Typical Broker Commissions trade costs of $7.10
11/8/24 10:35 ENB ENBRIDGE LONG 3,114 42.24 12/9 9:40 43.27 0.13%
Trade id #150039753
Max drawdown($1,058)
Time11/15/24 0:00
Quant open3,114
Worst price41.90
Drawdown as % of equity-0.13%
 $3,202
Includes Typical Broker Commissions trade costs of $5.00
11/7/24 9:55 PHIN PHINIA INC LONG 1,054 51.82 12/6 11:25 52.96 0.15%
Trade id #150027922
Max drawdown($1,224)
Time11/8/24 0:00
Quant open1,054
Worst price50.66
Drawdown as % of equity-0.15%
 $1,195
Includes Typical Broker Commissions trade costs of $5.00
11/14/24 10:05 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 349 65.05 12/6 11:24 59.63 0.05%
Trade id #150085868
Max drawdown($391)
Time11/15/24 0:00
Quant open349
Worst price66.17
Drawdown as % of equity-0.05%
 $1,884
Includes Typical Broker Commissions trade costs of $6.98
11/12/24 11:38 TRV TRAVELERS COMPANIES LONG 166 258.55 12/3 10:24 261.46 0.08%
Trade id #150065866
Max drawdown($678)
Time11/20/24 0:00
Quant open166
Worst price254.47
Drawdown as % of equity-0.08%
 $480
Includes Typical Broker Commissions trade costs of $3.32
11/18/24 11:45 FIAT YIELDMAX SHORT COIN OPTION INCOME STRATEGY ETF SHORT 2,496 8.57 12/2 10:30 8.86 0.16%
Trade id #150113050
Max drawdown($1,297)
Time11/26/24 0:00
Quant open2,496
Worst price9.09
Drawdown as % of equity-0.16%
 ($729)
Includes Typical Broker Commissions trade costs of $5.00
11/20/24 9:40 AMDL GRANITESHARES 2X LONG AMD DAILY ETF SHORT 4,392 10.00 12/2 10:29 10.65 0.35%
Trade id #150131315
Max drawdown($2,983)
Time12/2/24 9:54
Quant open4,392
Worst price10.68
Drawdown as % of equity-0.35%
 ($2,860)
Includes Typical Broker Commissions trade costs of $7.50
11/8/24 10:36 VST VISTRA CORP LONG 234 137.70 11/27 11:07 155.86 0.04%
Trade id #150039790
Max drawdown($294)
Time11/8/24 10:44
Quant open234
Worst price136.44
Drawdown as % of equity-0.04%
 $4,244
Includes Typical Broker Commissions trade costs of $4.68
Next

Statistics

  • Strategy began
    7/7/2013
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    4184.01
  • Age
    139 months ago
  • What it trades
    Stocks
  • # Trades
    3647
  • # Profitable
    1330
  • % Profitable
    36.50%
  • Avg trade duration
    13.6 days
  • Max peak-to-valley drawdown
    29.38%
  • drawdown period
    Sept 08, 2014 - March 26, 2015
  • Annual Return (Compounded)
    20.4%
  • Avg win
    $2,593
  • Avg loss
    $1,219
  • Model Account Values (Raw)
  • Cash
    $166,482
  • Margin Used
    $44,585
  • Buying Power
    $122,659
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    0.74
  • Sortino Ratio
    1.09
  • Calmar Ratio
    0.987
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    482.23%
  • Correlation to SP500
    0.06060
  • Return Percent SP500 (cumu) during strategy life
    266.06%
  • Return Statistics
  • Ann Return (w trading costs)
    20.4%
  • Slump
  • Current Slump as Pcnt Equity
    12.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.204%
  • Instruments
  • Percent Trades Options
    0.07%
  • Percent Trades Stocks
    0.93%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    57.00%
  • Chance of 20% account loss
    34.00%
  • Chance of 30% account loss
    15.00%
  • Chance of 40% account loss
    5.50%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    2.00%
  • Popularity
  • Popularity (Today)
    505
  • Popularity (Last 6 weeks)
    925
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    482
  • Popularity (7 days, Percentile 1000 scale)
    857
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,220
  • Avg Win
    $2,593
  • Sum Trade PL (losers)
    $2,826,500.000
  • Age
  • Num Months filled monthly returns table
    138
  • Win / Loss
  • Sum Trade PL (winners)
    $3,449,040.000
  • # Winners
    1330
  • Num Months Winners
    81
  • Dividends
  • Dividends Received in Model Acct
    176543
  • Win / Loss
  • # Losers
    2316
  • % Winners
    36.5%
  • Frequency
  • Avg Position Time (mins)
    35163.40
  • Avg Position Time (hrs)
    586.06
  • Avg Trade Length
    24.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.89
  • Daily leverage (max)
    13.66
  • Regression
  • Alpha
    0.05
  • Beta
    0.08
  • Treynor Index
    0.69
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.36
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.72
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    6.26
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    111.757
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    8.539
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.276
  • Hold-and-Hope Ratio
    0.009
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19732
  • SD
    0.19489
  • Sharpe ratio (Glass type estimate)
    1.01246
  • Sharpe ratio (Hedges UMVUE)
    1.00674
  • df
    133.00000
  • t
    3.38329
  • p
    0.32318
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41167
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60964
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40787
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60561
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16822
  • Upside Potential Ratio
    3.76264
  • Upside part of mean
    0.34241
  • Downside part of mean
    -0.14510
  • Upside SD
    0.18072
  • Downside SD
    0.09100
  • N nonnegative terms
    80.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    134.00000
  • Mean of predictor
    0.10064
  • Mean of criterion
    0.19732
  • SD of predictor
    0.14708
  • SD of criterion
    0.19489
  • Covariance
    0.00269
  • r
    0.09388
  • b (slope, estimate of beta)
    0.12440
  • a (intercept, estimate of alpha)
    0.18480
  • Mean Square Error
    0.03793
  • DF error
    132.00000
  • t(b)
    1.08341
  • p(b)
    0.45306
  • t(a)
    3.11016
  • p(a)
    0.36935
  • Lowerbound of 95% confidence interval for beta
    -0.10273
  • Upperbound of 95% confidence interval for beta
    0.35152
  • Lowerbound of 95% confidence interval for alpha
    0.06726
  • Upperbound of 95% confidence interval for alpha
    0.30233
  • Treynor index (mean / b)
    1.58619
  • Jensen alpha (a)
    0.18480
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17756
  • SD
    0.18782
  • Sharpe ratio (Glass type estimate)
    0.94538
  • Sharpe ratio (Hedges UMVUE)
    0.94003
  • df
    133.00000
  • t
    3.15912
  • p
    0.33378
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34628
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54108
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34273
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53734
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87353
  • Upside Potential Ratio
    3.44707
  • Upside part of mean
    0.32668
  • Downside part of mean
    -0.14913
  • Upside SD
    0.16928
  • Downside SD
    0.09477
  • N nonnegative terms
    80.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    134.00000
  • Mean of predictor
    0.08932
  • Mean of criterion
    0.17756
  • SD of predictor
    0.14721
  • SD of criterion
    0.18782
  • Covariance
    0.00279
  • r
    0.10105
  • b (slope, estimate of beta)
    0.12892
  • a (intercept, estimate of alpha)
    0.16604
  • Mean Square Error
    0.03518
  • DF error
    132.00000
  • t(b)
    1.16692
  • p(b)
    0.44948
  • t(a)
    2.91357
  • p(a)
    0.37709
  • Lowerbound of 95% confidence interval for beta
    -0.08962
  • Upperbound of 95% confidence interval for beta
    0.34745
  • Lowerbound of 95% confidence interval for alpha
    0.05331
  • Upperbound of 95% confidence interval for alpha
    0.27877
  • Treynor index (mean / b)
    1.37729
  • Jensen alpha (a)
    0.16604
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07168
  • Expected Shortfall on VaR
    0.09230
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02402
  • Expected Shortfall on VaR
    0.04995
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    134.00000
  • Minimum
    0.86117
  • Quartile 1
    0.98877
  • Median
    1.01360
  • Quartile 3
    1.04088
  • Maximum
    1.23937
  • Mean of quarter 1
    0.95869
  • Mean of quarter 2
    1.00031
  • Mean of quarter 3
    1.02479
  • Mean of quarter 4
    1.09093
  • Inter Quartile Range
    0.05211
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02239
  • Mean of outliers low
    0.88917
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.05970
  • Mean of outliers high
    1.16392
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17839
  • VaR(95%) (moments method)
    0.03265
  • Expected Shortfall (moments method)
    0.04234
  • Extreme Value Index (regression method)
    -0.11258
  • VaR(95%) (regression method)
    0.04396
  • Expected Shortfall (regression method)
    0.06038
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00618
  • Quartile 1
    0.01871
  • Median
    0.04447
  • Quartile 3
    0.08990
  • Maximum
    0.19334
  • Mean of quarter 1
    0.01167
  • Mean of quarter 2
    0.03220
  • Mean of quarter 3
    0.06393
  • Mean of quarter 4
    0.12233
  • Inter Quartile Range
    0.07119
  • 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)
    0.15914
  • VaR(95%) (moments method)
    0.13908
  • Expected Shortfall (moments method)
    0.17965
  • Extreme Value Index (regression method)
    0.73894
  • VaR(95%) (regression method)
    0.14489
  • Expected Shortfall (regression method)
    0.34948
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.79861
  • Compounded annual return (geometric extrapolation)
    0.22809
  • Calmar ratio (compounded annual return / max draw down)
    1.17973
  • Compounded annual return / average of 25% largest draw downs
    1.86455
  • Compounded annual return / Expected Shortfall lognormal
    2.47130
  • 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
    0.18602
  • SD
    0.18710
  • Sharpe ratio (Glass type estimate)
    0.99427
  • Sharpe ratio (Hedges UMVUE)
    0.99402
  • df
    2929.00000
  • t
    3.32498
  • p
    0.00045
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40754
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58085
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40737
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58066
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43929
  • Upside Potential Ratio
    8.15517
  • Upside part of mean
    1.05404
  • Downside part of mean
    -0.86801
  • Upside SD
    0.13572
  • Downside SD
    0.12925
  • N nonnegative terms
    1641.00000
  • N negative terms
    1289.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2930.00000
  • Mean of predictor
    0.10097
  • Mean of criterion
    0.18602
  • SD of predictor
    0.17230
  • SD of criterion
    0.18710
  • Covariance
    0.00197
  • r
    0.06101
  • b (slope, estimate of beta)
    0.06625
  • a (intercept, estimate of alpha)
    0.17900
  • Mean Square Error
    0.03489
  • DF error
    2928.00000
  • t(b)
    3.30730
  • p(b)
    0.00048
  • t(a)
    3.20875
  • p(a)
    0.00067
  • Lowerbound of 95% confidence interval for beta
    0.02697
  • Upperbound of 95% confidence interval for beta
    0.10552
  • Lowerbound of 95% confidence interval for alpha
    0.06975
  • Upperbound of 95% confidence interval for alpha
    0.28892
  • Treynor index (mean / b)
    2.80808
  • Jensen alpha (a)
    0.17933
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16844
  • SD
    0.18726
  • Sharpe ratio (Glass type estimate)
    0.89950
  • Sharpe ratio (Hedges UMVUE)
    0.89927
  • df
    2929.00000
  • t
    3.00804
  • p
    0.00133
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31289
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48598
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48581
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28030
  • Upside Potential Ratio
    7.94248
  • Upside part of mean
    1.04490
  • Downside part of mean
    -0.87647
  • Upside SD
    0.13361
  • Downside SD
    0.13156
  • N nonnegative terms
    1641.00000
  • N negative terms
    1289.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2930.00000
  • Mean of predictor
    0.08605
  • Mean of criterion
    0.16844
  • SD of predictor
    0.17287
  • SD of criterion
    0.18726
  • Covariance
    0.00199
  • r
    0.06158
  • b (slope, estimate of beta)
    0.06670
  • a (intercept, estimate of alpha)
    0.16270
  • Mean Square Error
    0.03494
  • DF error
    2928.00000
  • t(b)
    3.33825
  • p(b)
    0.00043
  • t(a)
    2.90919
  • p(a)
    0.00183
  • Lowerbound of 95% confidence interval for beta
    0.02752
  • Upperbound of 95% confidence interval for beta
    0.10587
  • Lowerbound of 95% confidence interval for alpha
    0.05304
  • Upperbound of 95% confidence interval for alpha
    0.27235
  • Treynor index (mean / b)
    2.52535
  • Jensen alpha (a)
    0.16270
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01822
  • Expected Shortfall on VaR
    0.02294
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00690
  • Expected Shortfall on VaR
    0.01474
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2930.00000
  • Minimum
    0.90511
  • Quartile 1
    0.99662
  • Median
    1.00081
  • Quartile 3
    1.00538
  • Maximum
    1.09206
  • Mean of quarter 1
    0.98796
  • Mean of quarter 2
    0.99910
  • Mean of quarter 3
    1.00278
  • Mean of quarter 4
    1.01343
  • Inter Quartile Range
    0.00876
  • Number outliers low
    140.00000
  • Percentage of outliers low
    0.04778
  • Mean of outliers low
    0.97178
  • Number of outliers high
    137.00000
  • Percentage of outliers high
    0.04676
  • Mean of outliers high
    1.02920
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25594
  • VaR(95%) (moments method)
    0.01036
  • Expected Shortfall (moments method)
    0.01746
  • Extreme Value Index (regression method)
    0.15746
  • VaR(95%) (regression method)
    0.01114
  • Expected Shortfall (regression method)
    0.01761
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    77.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00867
  • Median
    0.03090
  • Quartile 3
    0.07298
  • Maximum
    0.21989
  • Mean of quarter 1
    0.00382
  • Mean of quarter 2
    0.01905
  • Mean of quarter 3
    0.05189
  • Mean of quarter 4
    0.11361
  • Inter Quartile Range
    0.06431
  • 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
    0.02597
  • Mean of outliers high
    0.20356
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.02535
  • VaR(95%) (moments method)
    0.11940
  • Expected Shortfall (moments method)
    0.14720
  • Extreme Value Index (regression method)
    0.05582
  • VaR(95%) (regression method)
    0.10706
  • Expected Shortfall (regression method)
    0.13017
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.71416
  • Compounded annual return (geometric extrapolation)
    0.21694
  • Calmar ratio (compounded annual return / max draw down)
    0.98659
  • Compounded annual return / average of 25% largest draw downs
    1.90960
  • Compounded annual return / Expected Shortfall lognormal
    9.45559
  • 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
    0.10388
  • SD
    0.24399
  • Sharpe ratio (Glass type estimate)
    0.42574
  • Sharpe ratio (Hedges UMVUE)
    0.42328
  • df
    130.00000
  • t
    0.30105
  • p
    0.48680
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.34727
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19731
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.34900
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19557
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60260
  • Upside Potential Ratio
    8.10068
  • Upside part of mean
    1.39639
  • Downside part of mean
    -1.29252
  • Upside SD
    0.17147
  • Downside SD
    0.17238
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15731
  • Mean of criterion
    0.10388
  • SD of predictor
    0.14227
  • SD of criterion
    0.24399
  • Covariance
    0.01538
  • r
    0.44296
  • b (slope, estimate of beta)
    0.75966
  • a (intercept, estimate of alpha)
    -0.01562
  • Mean Square Error
    0.04822
  • DF error
    129.00000
  • t(b)
    5.61169
  • p(b)
    0.22751
  • t(a)
    -0.05018
  • p(a)
    0.50281
  • Lowerbound of 95% confidence interval for beta
    0.49182
  • Upperbound of 95% confidence interval for beta
    1.02749
  • Lowerbound of 95% confidence interval for alpha
    -0.63150
  • Upperbound of 95% confidence interval for alpha
    0.60025
  • Treynor index (mean / b)
    0.13674
  • Jensen alpha (a)
    -0.01562
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07431
  • SD
    0.24402
  • Sharpe ratio (Glass type estimate)
    0.30454
  • Sharpe ratio (Hedges UMVUE)
    0.30278
  • df
    130.00000
  • t
    0.21534
  • p
    0.49056
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.46800
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07611
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.46927
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07483
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42440
  • Upside Potential Ratio
    7.89166
  • Upside part of mean
    1.38186
  • Downside part of mean
    -1.30755
  • Upside SD
    0.16868
  • Downside SD
    0.17510
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14717
  • Mean of criterion
    0.07431
  • SD of predictor
    0.14261
  • SD of criterion
    0.24402
  • Covariance
    0.01563
  • r
    0.44912
  • b (slope, estimate of beta)
    0.76850
  • a (intercept, estimate of alpha)
    -0.03879
  • Mean Square Error
    0.04790
  • DF error
    129.00000
  • t(b)
    5.70921
  • p(b)
    0.22401
  • t(a)
    -0.12505
  • p(a)
    0.50701
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.50218
  • Upperbound of 95% confidence interval for beta
    1.03483
  • Lowerbound of 95% confidence interval for alpha
    -0.65246
  • Upperbound of 95% confidence interval for alpha
    0.57488
  • Treynor index (mean / b)
    0.09670
  • Jensen alpha (a)
    -0.03879
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02422
  • Expected Shortfall on VaR
    0.03033
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00983
  • Expected Shortfall on VaR
    0.02038
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95011
  • Quartile 1
    0.99424
  • Median
    1.00135
  • Quartile 3
    1.00761
  • Maximum
    1.06152
  • Mean of quarter 1
    0.98205
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.00360
  • Mean of quarter 4
    1.01761
  • Inter Quartile Range
    0.01336
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.96501
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.03958
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09268
  • VaR(95%) (moments method)
    0.01549
  • Expected Shortfall (moments method)
    0.02048
  • Extreme Value Index (regression method)
    0.11925
  • VaR(95%) (regression method)
    0.01645
  • Expected Shortfall (regression method)
    0.02441
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00508
  • Quartile 1
    0.00971
  • Median
    0.02339
  • Quartile 3
    0.07371
  • Maximum
    0.16180
  • Mean of quarter 1
    0.00755
  • Mean of quarter 2
    0.02072
  • Mean of quarter 3
    0.05316
  • Mean of quarter 4
    0.13051
  • Inter Quartile Range
    0.06400
  • 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)
    -1.41296
  • VaR(95%) (moments method)
    0.13362
  • Expected Shortfall (moments method)
    0.13847
  • Extreme Value Index (regression method)
    0.29437
  • VaR(95%) (regression method)
    0.18057
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.28933
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -478679000
  • Max Equity Drawdown (num days)
    199
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10488
  • Compounded annual return (geometric extrapolation)
    0.10763
  • Calmar ratio (compounded annual return / max draw down)
    0.66518
  • Compounded annual return / average of 25% largest draw downs
    0.82465
  • Compounded annual return / Expected Shortfall lognormal
    3.54877

Strategy Description

Combines the art of trading the most explosive breakouts the market has to offer with the science of turtle trader position sizing and risk management.


What to expect:

Every day, I run stock scans that comb through 10,000 stocks to find just one or two that are ready to move right now.

I also use a sophisticated risk management strategy that was developed by William Eckhardt, who taught a group of traders now known as The Turtles.

The system buys strong, liquid US stocks and ETFs, and short sells the weakest. Losses are cut very short, which contributes to a lower win rate.


Frequently asked questions:

Where can I learn more about your strategy?

I send out a newsletter each Sunday that discusses Trend Following trading and my thoughts on the market. By joining my system, you will receive this newsletter at no extra cost.

Does this system need to be auto-traded?

No. Most signals will be sent out after the market has closed, so you should have time to enter the trades manually in the evening or in the morning before the market opens.


Do you short stocks?

Yes. The portfolio of stocks held contains longs and shorts, potentially lowering the correlation to the S&P 500.


Do you use leverage?

Rarely, but yes during strongly trending markets.


Do you use stops?

No, trades are exited based on end of day closing prices.

How has the system performed during backtesting?

My system is not an algorithm or black box. It is a rules based, discretionary strategy that I have developed through 17 years of intensive study.


What will happen during bear markets?

I can short stocks and ETFs, so the system is not dependant on a rising stock market. The system is more likely to struggle during a choppy, range bound market.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-07-07
Suggested Minimum Capital
$40,000
# Trades
3647
# Profitable
1330
% Profitable
36.5%
Net Dividends
$176,543
Correlation S&P500
0.061
Sharpe Ratio
0.74
Sortino Ratio
1.09
Beta
0.08
Alpha
0.05
Leverage
1.89 Average
13.66 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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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(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.

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.