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Featured Strategy QUANT AI Gold and Silver +33.1% Cumul. Return since Sep 23, 2025 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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JV Long/Short Equity
(46132063)

Created by: Julian_vanderWalle Julian_vanderWalle
Started: 12/2009
Stocks
Last trade: 2,673 days ago
Subscriptions not currently available.

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 $100.00 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.

42.8%
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.

-
Max Drawdown
914
Num Trades
52.0%
Win Trades
1.5 : 1
Profit Factor
54.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                                                                             +2.6%+2.6%
2010+33.0%+41.7%(1.2%)+19.4%(2.3%)+3.4%+1.3%(10.2%)+5.1%+15.4%(0.3%)+4.4%+157.6%
2011+0.9%+5.8%+4.2%+9.1%(5.9%)+12.4%+2.5%(4.9%)(3%)+4.5%+11.7%(0.1%)+41.3%
2012+3.8%(3.8%)(4.2%)(4.1%)(9.1%)+2.7%+0.3%(2.9%)(8.9%)+20.8%+8.7%(4.3%)(4.6%)
2013(3.1%)+13.9%+2.0%+3.6%(0.2%)+5.1%+5.5%+5.0%+4.2%(1.8%)+11.0%+4.0%+60.2%
2014+0.4%+3.3%(4.4%)(6.9%)(3.1%)(0.2%)(4.1%)+3.8%(2.3%)+5.1%+6.2%(2.8%)(5.8%)
2015(2.5%)+6.9%(1.8%)(3.8%)+1.1%+3.4%(2.5%)(2.3%)(7.9%)+3.4%+2.0%(1.1%)(5.8%)
2016(5.9%)+1.8%+1.9%+3.1%(0.9%)+2.9%+2.2%+2.4%+1.6%(0.2%)(0.1%)+1.8%+10.6%
2017(8.8%)+1.6%(5.3%)(1.8%)(3.9%)+2.9%+13.5%+0.9%+7.0%(2.2%)+4.2%(2%)+4.4%
2018+3.7%(4.7%)(1.1%)(1.4%)+4.4%+1.2%+0.1%(0.5%)(0.9%)+0.2%+0.2%(4%)(3.1%)
2019+1.3%(2.5%)(0.5%)(1.9%)(1.7%)  -  +3.9%+1.9%+0.3%+6.2%+2.3%+14.9%
2020+2.2%(23%)(22.1%)+12.2%+2.0%(1.8%)+1.7%+3.2%(2%)(1.2%)+3.7%+5.6%(23.3%)
2021(0.4%)+11.7%+5.6%+0.6%(1.6%)(4.1%)+5.0%(0.7%)(0.7%)+3.8%+4.2%+3.9%+29.7%
2022(7.8%)(3.9%)+5.6%(1.4%)+0.9%(3%)+7.6%+7.4%(5.3%)+12.6%+4.6%(5%)+10.8%
2023(0.1%)(1.7%)(4.7%)(1.5%)(2%)+3.5%(0.9%)(2.4%)  -  (1.4%)(0.8%)+2.3%(9.5%)
2024+2.8%+1.5%+0.2%(8.2%)+1.2%+2.6%+8.5%+2.5%(3.3%)+1.3%+6.1%(3.8%)+10.8%
2025+7.2%+1.6%(0.4%)+0.1%+4.2%+1.5%(0.4%)+16.0%(2.4%)(8.6%)+2.1%(6.4%)+13.0%
2026+3.3%(0.4%)(2.9%)+0.4%(2%)                                          

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 1,580 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/9/14 10:50 TCK TECK RESOURCES SHORT 3,000 21.66 7/3 9:49 24.07 1.29%
Trade id #88001627
Max drawdown($7,500)
Time7/3/14 9:49
Quant open-3,000
Worst price24.16
Drawdown as % of equity-1.29%
 ($7,235)
Includes Typical Broker Commissions trade costs of $5.00
4/21/14 11:45 PXD PIONEER NATURAL RESOURCES LONG 300 200.07 6/20 9:44 228.98 0%
Trade id #87151461
Max drawdown($21)
Time5/20/14 10:01
Quant open300
Worst price200.00
Drawdown as % of equity-0.00%
 $8,667
Includes Typical Broker Commissions trade costs of $6.00
4/21/14 11:45 EOG EOG RESOURCES LONG 600 102.80 6/20 9:44 116.38 0.07%
Trade id #87151453
Max drawdown($402)
Time5/21/14 9:32
Quant open600
Worst price102.13
Drawdown as % of equity-0.07%
 $8,143
Includes Typical Broker Commissions trade costs of $5.00
6/9/14 12:10 CXDC CHINA XD PLASTICS CO. SHORT 4,000 12.70 6/10 15:00 12.62 0.2%
Trade id #88003621
Max drawdown($1,200)
Time6/10/14 9:38
Quant open-4,000
Worst price13.00
Drawdown as % of equity-0.20%
 $315
Includes Typical Broker Commissions trade costs of $5.00
5/27/14 11:59 TSLA TESLA INC. LONG 300 212.48 6/10 14:49 201.94 0.63%
Trade id #87778329
Max drawdown($3,625)
Time6/4/14 9:44
Quant open300
Worst price200.40
Drawdown as % of equity-0.63%
 ($3,168)
Includes Typical Broker Commissions trade costs of $6.00
5/7/14 15:16 DOM DOMINION RESOURCES LONG 5,000 7.65 6/6 11:02 9.40 0.21%
Trade id #87446507
Max drawdown($1,249)
Time5/8/14 13:19
Quant open5,000
Worst price7.40
Drawdown as % of equity-0.21%
 $8,761
Includes Typical Broker Commissions trade costs of $5.00
5/28/14 10:45 KKD KRISPY KREME DOUGHNUTS LONG 2,000 19.01 6/4 9:30 16.21 0.98%
Trade id #87801568
Max drawdown($5,699)
Time6/3/14 13:28
Quant open2,000
Worst price16.16
Drawdown as % of equity-0.98%
 ($5,605)
Includes Typical Broker Commissions trade costs of $5.00
5/7/14 15:26 RGR STURM RUGER LONG 800 65.78 6/4 9:30 59.95 0.9%
Trade id #87446815
Max drawdown($5,240)
Time6/2/14 16:00
Quant open800
Worst price59.23
Drawdown as % of equity-0.90%
 ($4,669)
Includes Typical Broker Commissions trade costs of $5.00
5/28/14 10:43 LIVE LIVE VENTURES INCORPORATED COMMON STOCK LONG 2,000 5.13 6/2 11:23 4.25 0.35%
Trade id #87801487
Max drawdown($2,059)
Time6/2/14 10:26
Quant open2,000
Worst price4.10
Drawdown as % of equity-0.35%
 ($1,765)
Includes Typical Broker Commissions trade costs of $5.00
5/28/14 10:44 MNKD MANNKIND LONG 3,000 7.91 6/2 11:23 9.09 n/a $3,535
Includes Typical Broker Commissions trade costs of $5.00
5/7/14 15:13 HRL HORMEL FOODS LONG 1,000 48.03 5/15 10:36 48.53 0.01%
Trade id #87446437
Max drawdown($47)
Time5/8/14 15:11
Quant open1,000
Worst price47.98
Drawdown as % of equity-0.01%
 $493
Includes Typical Broker Commissions trade costs of $5.00
4/1/14 13:14 CENX CENTURY ALUMINUM LONG 3,000 13.18 5/15 10:36 13.78 0.2%
Trade id #86801499
Max drawdown($1,221)
Time4/15/14 13:03
Quant open3,000
Worst price12.77
Drawdown as % of equity-0.20%
 $1,803
Includes Typical Broker Commissions trade costs of $5.00
5/7/14 15:25 RTN RAYTHEON COMPANY LONG 600 97.58 5/15 10:35 96.08 0.16%
Trade id #87446790
Max drawdown($947)
Time5/15/14 10:23
Quant open600
Worst price96.00
Drawdown as % of equity-0.16%
 ($905)
Includes Typical Broker Commissions trade costs of $5.00
4/30/14 14:34 GMT GATX LONG 1,000 65.58 5/15 10:35 63.12 0.48%
Trade id #87324102
Max drawdown($2,796)
Time5/9/14 11:29
Quant open1,000
Worst price62.78
Drawdown as % of equity-0.48%
 ($2,467)
Includes Typical Broker Commissions trade costs of $5.00
4/30/14 14:35 HII HUNTINGTON INGALLS LONG 500 102.41 5/15 10:34 96.53 0.51%
Trade id #87324126
Max drawdown($3,020)
Time5/15/14 10:16
Quant open500
Worst price96.37
Drawdown as % of equity-0.51%
 ($2,950)
Includes Typical Broker Commissions trade costs of $10.00
4/30/14 14:33 SQM SOCIEDAD QUIMICA Y MINERA LONG 2,000 31.48 5/14 12:43 29.40 0.81%
Trade id #87324066
Max drawdown($4,799)
Time5/14/14 10:05
Quant open2,000
Worst price29.08
Drawdown as % of equity-0.81%
 ($4,165)
Includes Typical Broker Commissions trade costs of $5.00
4/9/14 9:31 TTWO TAKE-TWO INTERACTIVE SFTW LONG 3,000 21.29 5/9 12:09 20.61 1.06%
Trade id #86953448
Max drawdown($6,321)
Time4/15/14 13:28
Quant open3,000
Worst price19.18
Drawdown as % of equity-1.06%
 ($2,036)
Includes Typical Broker Commissions trade costs of $5.00
4/22/14 11:35 JLL JONES LANG LASALLE LONG 500 122.40 5/9 12:08 114.20 0.82%
Trade id #87173174
Max drawdown($4,914)
Time4/30/14 9:52
Quant open500
Worst price112.57
Drawdown as % of equity-0.82%
 ($4,109)
Includes Typical Broker Commissions trade costs of $10.00
5/5/14 9:48 ICUI ICU MEDICAL SHORT 800 55.04 5/9 12:08 58.97 0.54%
Trade id #87387556
Max drawdown($3,144)
Time5/9/14 12:08
Quant open0
Worst price58.97
Drawdown as % of equity-0.54%
 ($3,149)
Includes Typical Broker Commissions trade costs of $5.00
4/29/14 9:41 CMG CHIPOTLE MEXICAN GRILL LONG 150 487.96 5/9 12:07 498.92 0.2%
Trade id #87292605
Max drawdown($1,194)
Time4/29/14 10:30
Quant open150
Worst price480.00
Drawdown as % of equity-0.20%
 $1,641
Includes Typical Broker Commissions trade costs of $3.00
4/21/14 11:47 BCPC BALCHEM LONG 1,000 63.30 5/9 12:06 55.57 1.6%
Trade id #87151499
Max drawdown($9,443)
Time5/9/14 9:31
Quant open1,000
Worst price53.86
Drawdown as % of equity-1.60%
 ($7,735)
Includes Typical Broker Commissions trade costs of $5.00
4/7/14 10:58 GRPN GROUPON INC SHORT 3,000 7.46 5/7 9:44 5.76 0.14%
Trade id #86897473
Max drawdown($857)
Time4/22/14 12:28
Quant open-3,000
Worst price7.75
Drawdown as % of equity-0.14%
 $5,108
Includes Typical Broker Commissions trade costs of $5.00
4/1/14 13:10 TWTR TWITTER INC SHORT 1,500 45.58 4/30 9:31 37.91 0.12%
Trade id #86801407
Max drawdown($790)
Time4/2/14 9:31
Quant open-1,000
Worst price47.44
Drawdown as % of equity-0.12%
 $11,500
Includes Typical Broker Commissions trade costs of $10.00
4/10/14 9:43 SIMO SILICON MOTION TECH LONG 2,500 17.36 4/14 10:06 17.34 0.19%
Trade id #86978681
Max drawdown($1,175)
Time4/11/14 9:31
Quant open2,500
Worst price16.89
Drawdown as % of equity-0.19%
 ($50)
Includes Typical Broker Commissions trade costs of $5.00
4/9/14 9:32 SYMX SYNTHESIS ENERGY SYS LONG 15,000 1.97 4/14 10:06 1.69 0.69%
Trade id #86953539
Max drawdown($4,248)
Time4/14/14 9:42
Quant open15,000
Worst price1.69
Drawdown as % of equity-0.69%
 ($4,215)
Includes Typical Broker Commissions trade costs of $5.00
4/7/14 10:58 GOGO GOGO INC. COMMON STOCK SHORT 1,500 19.45 4/10 9:40 21.30 0.46%
Trade id #86897455
Max drawdown($2,925)
Time4/10/14 9:38
Quant open-1,500
Worst price21.40
Drawdown as % of equity-0.46%
 ($2,780)
Includes Typical Broker Commissions trade costs of $5.00
4/9/14 9:30 VISN VISTANCE NETWORKS INC. LONG 1,000 29.08 4/9 10:38 28.61 0.1%
Trade id #86953217
Max drawdown($600)
Time4/9/14 10:35
Quant open1,000
Worst price28.48
Drawdown as % of equity-0.10%
 ($478)
Includes Typical Broker Commissions trade costs of $5.00
4/1/14 13:09 DDD 3D SYSTEMS SHORT 800 58.62 4/9 9:30 53.85 0.07%
Trade id #86801397
Max drawdown($465)
Time4/2/14 10:31
Quant open-800
Worst price59.20
Drawdown as % of equity-0.07%
 $3,811
Includes Typical Broker Commissions trade costs of $5.00
4/1/14 13:09 FB PROSHARES S&P 500 DYNAMIC BUFFER ETF LONG 1,000 61.87 4/7 10:56 56.35 1%
Trade id #86801378
Max drawdown($6,316)
Time4/7/14 9:38
Quant open1,000
Worst price55.55
Drawdown as % of equity-1.00%
 ($5,523)
Includes Typical Broker Commissions trade costs of $5.00
4/1/14 13:12 FRGI FIESTA RESTAURANT GROUP LONG 1,000 45.19 4/7 9:50 39.87 0.89%
Trade id #86801456
Max drawdown($5,594)
Time4/7/14 9:46
Quant open1,000
Worst price39.60
Drawdown as % of equity-0.89%
 ($5,332)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    12/30/2009
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5995.4
  • Age
    200 months ago
  • What it trades
    Stocks
  • # Trades
    914
  • # Profitable
    475
  • % Profitable
    52.00%
  • Avg trade duration
    54.4 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    42.8%
  • Avg win
    $5,075
  • Avg loss
    $3,851
  • Model Account Values (Raw)
  • Cash
    $590,956
  • Margin Used
    $252,166
  • Buying Power
    $612,950
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0.54
  • Sortino Ratio
    0.9
  • Calmar Ratio
    1.388
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    327.89%
  • Correlation to SP500
    0.32200
  • Return Percent SP500 (cumu) during strategy life
    549.24%
  • Return Statistics
  • Ann Return (w trading costs)
    42.8%
  • Slump
  • Current Slump as Pcnt Equity
    19.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.428%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    25.50%
  • Chance of 20% account loss
    7.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • 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)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    779
  • Popularity (Last 6 weeks)
    957
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,851
  • Avg Win
    $5,076
  • Sum Trade PL (losers)
    $1,690,590.000
  • Age
  • Num Months filled monthly returns table
    198
  • Win / Loss
  • Sum Trade PL (winners)
    $2,411,050.000
  • # Winners
    475
  • Num Months Winners
    108
  • Dividends
  • Dividends Received in Model Acct
    60997
  • Win / Loss
  • # Losers
    439
  • % Winners
    52.0%
  • Frequency
  • Avg Position Time (mins)
    126620.00
  • Avg Position Time (hrs)
    2110.34
  • Avg Trade Length
    87.9 days
  • Last Trade Ago
    2663
  • Regression
  • Alpha
    0.02
  • Beta
    0.37
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    40.23
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    67.60
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.94
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.311
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.315
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.208
  • Hold-and-Hope Ratio
    0.283
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43440
  • SD
    0.32892
  • Sharpe ratio (Glass type estimate)
    1.32071
  • Sharpe ratio (Hedges UMVUE)
    1.30193
  • df
    53.00000
  • t
    2.80165
  • p
    0.00354
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35753
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27230
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34533
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25853
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.14249
  • Upside Potential Ratio
    6.93788
  • Upside part of mean
    0.58607
  • Downside part of mean
    -0.15166
  • Upside SD
    0.33878
  • Downside SD
    0.08447
  • N nonnegative terms
    33.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.12235
  • Mean of criterion
    0.43440
  • SD of predictor
    0.13381
  • SD of criterion
    0.32892
  • Covariance
    0.00467
  • r
    0.10606
  • b (slope, estimate of beta)
    0.26070
  • a (intercept, estimate of alpha)
    0.40251
  • Mean Square Error
    0.10903
  • DF error
    52.00000
  • t(b)
    0.76914
  • p(b)
    0.22264
  • t(a)
    2.49876
  • p(a)
    0.00783
  • Lowerbound of 95% confidence interval for beta
    -0.41945
  • Upperbound of 95% confidence interval for beta
    0.94085
  • Lowerbound of 95% confidence interval for alpha
    0.07927
  • Upperbound of 95% confidence interval for alpha
    0.72574
  • Treynor index (mean / b)
    1.66629
  • Jensen alpha (a)
    0.40251
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38239
  • SD
    0.29132
  • Sharpe ratio (Glass type estimate)
    1.31262
  • Sharpe ratio (Hedges UMVUE)
    1.29396
  • df
    53.00000
  • t
    2.78448
  • p
    0.00371
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34987
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26384
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33775
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25016
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.40161
  • Upside Potential Ratio
    6.18854
  • Upside part of mean
    0.53763
  • Downside part of mean
    -0.15524
  • Upside SD
    0.29653
  • Downside SD
    0.08687
  • N nonnegative terms
    33.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.11288
  • Mean of criterion
    0.38239
  • SD of predictor
    0.13409
  • SD of criterion
    0.29132
  • Covariance
    0.00501
  • r
    0.12823
  • b (slope, estimate of beta)
    0.27858
  • a (intercept, estimate of alpha)
    0.35094
  • Mean Square Error
    0.08508
  • DF error
    52.00000
  • t(b)
    0.93240
  • p(b)
    0.17772
  • t(a)
    2.47886
  • p(a)
    0.00823
  • Lowerbound of 95% confidence interval for beta
    -0.32096
  • Upperbound of 95% confidence interval for beta
    0.87813
  • Lowerbound of 95% confidence interval for alpha
    0.06685
  • Upperbound of 95% confidence interval for alpha
    0.63503
  • Treynor index (mean / b)
    1.37262
  • Jensen alpha (a)
    0.35094
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10099
  • Expected Shortfall on VaR
    0.13162
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02495
  • Expected Shortfall on VaR
    0.04913
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    54.00000
  • Minimum
    0.92046
  • Quartile 1
    0.98440
  • Median
    1.02063
  • Quartile 3
    1.05431
  • Maximum
    1.41802
  • Mean of quarter 1
    0.95708
  • Mean of quarter 2
    0.99925
  • Mean of quarter 3
    1.03746
  • Mean of quarter 4
    1.15166
  • Inter Quartile Range
    0.06991
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07407
  • Mean of outliers high
    1.29520
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.72621
  • VaR(95%) (moments method)
    0.03850
  • Expected Shortfall (moments method)
    0.03952
  • Extreme Value Index (regression method)
    -0.54507
  • VaR(95%) (regression method)
    0.04392
  • Expected Shortfall (regression method)
    0.05087
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.01250
  • Quartile 1
    0.01718
  • Median
    0.04370
  • Quartile 3
    0.05772
  • Maximum
    0.21427
  • Mean of quarter 1
    0.01536
  • Mean of quarter 2
    0.04262
  • Mean of quarter 3
    0.05526
  • Mean of quarter 4
    0.16335
  • Inter Quartile Range
    0.04053
  • 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
    0.11111
  • Mean of outliers high
    0.21427
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.21723
  • VaR(95%) (moments method)
    0.13194
  • Expected Shortfall (moments method)
    0.13241
  • Extreme Value Index (regression method)
    -0.10381
  • VaR(95%) (regression method)
    0.24433
  • Expected Shortfall (regression method)
    0.33018
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.07659
  • Compounded annual return (geometric extrapolation)
    0.48044
  • Calmar ratio (compounded annual return / max draw down)
    2.24226
  • Compounded annual return / average of 25% largest draw downs
    2.94119
  • Compounded annual return / Expected Shortfall lognormal
    3.65035
  • 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
    0.40076
  • SD
    0.22876
  • Sharpe ratio (Glass type estimate)
    1.75185
  • Sharpe ratio (Hedges UMVUE)
    1.75100
  • df
    1560.00000
  • t
    3.73180
  • p
    0.45297
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.82944
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67370
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82888
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67313
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.74355
  • Upside Potential Ratio
    11.06350
  • Upside part of mean
    1.18439
  • Downside part of mean
    -0.78363
  • Upside SD
    0.20324
  • Downside SD
    0.10705
  • N nonnegative terms
    695.00000
  • N negative terms
    866.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1561.00000
  • Mean of predictor
    0.12697
  • Mean of criterion
    0.40076
  • SD of predictor
    0.16294
  • SD of criterion
    0.22876
  • Covariance
    0.00360
  • r
    0.09665
  • b (slope, estimate of beta)
    0.13570
  • a (intercept, estimate of alpha)
    0.26400
  • Mean Square Error
    0.05188
  • DF error
    1559.00000
  • t(b)
    3.83416
  • p(b)
    0.43857
  • t(a)
    3.58385
  • p(a)
    0.44253
  • Lowerbound of 95% confidence interval for beta
    0.06628
  • Upperbound of 95% confidence interval for beta
    0.20511
  • Lowerbound of 95% confidence interval for alpha
    0.17362
  • Upperbound of 95% confidence interval for alpha
    0.59345
  • Treynor index (mean / b)
    2.95341
  • Jensen alpha (a)
    0.38353
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37550
  • SD
    0.22154
  • Sharpe ratio (Glass type estimate)
    1.69494
  • Sharpe ratio (Hedges UMVUE)
    1.69412
  • df
    1560.00000
  • t
    3.61057
  • p
    0.45448
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.77268
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61668
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77212
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61612
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.45388
  • Upside Potential Ratio
    10.71540
  • Upside part of mean
    1.16496
  • Downside part of mean
    -0.78946
  • Upside SD
    0.19401
  • Downside SD
    0.10872
  • N nonnegative terms
    695.00000
  • N negative terms
    866.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1561.00000
  • Mean of predictor
    0.11365
  • Mean of criterion
    0.37550
  • SD of predictor
    0.16318
  • SD of criterion
    0.22154
  • Covariance
    0.00362
  • r
    0.10005
  • b (slope, estimate of beta)
    0.13584
  • a (intercept, estimate of alpha)
    0.36006
  • Mean Square Error
    0.04862
  • DF error
    1559.00000
  • t(b)
    3.97048
  • p(b)
    0.43641
  • t(a)
    3.47602
  • p(a)
    0.44424
  • Lowerbound of 95% confidence interval for beta
    0.06873
  • Upperbound of 95% confidence interval for beta
    0.20294
  • Lowerbound of 95% confidence interval for alpha
    0.15688
  • Upperbound of 95% confidence interval for alpha
    0.56324
  • Treynor index (mean / b)
    2.76436
  • Jensen alpha (a)
    0.36006
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01838
  • Expected Shortfall on VaR
    0.02326
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00552
  • Expected Shortfall on VaR
    0.01160
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1561.00000
  • Minimum
    0.91711
  • Quartile 1
    0.99790
  • Median
    1.00000
  • Quartile 3
    1.00347
  • Maximum
    1.20746
  • Mean of quarter 1
    0.99149
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00113
  • Mean of quarter 4
    1.01270
  • Inter Quartile Range
    0.00557
  • Number outliers low
    94.00000
  • Percentage of outliers low
    0.06022
  • Mean of outliers low
    0.98181
  • Number of outliers high
    104.00000
  • Percentage of outliers high
    0.06662
  • Mean of outliers high
    1.02916
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18313
  • VaR(95%) (moments method)
    0.00662
  • Expected Shortfall (moments method)
    0.01059
  • Extreme Value Index (regression method)
    0.06579
  • VaR(95%) (regression method)
    0.00814
  • Expected Shortfall (regression method)
    0.01237
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    83.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00326
  • Median
    0.01180
  • Quartile 3
    0.02948
  • Maximum
    0.24203
  • Mean of quarter 1
    0.00134
  • Mean of quarter 2
    0.00709
  • Mean of quarter 3
    0.01840
  • Mean of quarter 4
    0.07191
  • Inter Quartile Range
    0.02622
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.08434
  • Mean of outliers high
    0.12642
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.37432
  • VaR(95%) (moments method)
    0.07752
  • Expected Shortfall (moments method)
    0.13995
  • Extreme Value Index (regression method)
    0.88038
  • VaR(95%) (regression method)
    0.06501
  • Expected Shortfall (regression method)
    0.39450
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.04662
  • Compounded annual return (geometric extrapolation)
    0.47027
  • Calmar ratio (compounded annual return / max draw down)
    1.94302
  • Compounded annual return / average of 25% largest draw downs
    6.53932
  • Compounded annual return / Expected Shortfall lognormal
    20.21620
  • 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
    -0.21807
  • SD
    0.12571
  • Sharpe ratio (Glass type estimate)
    -1.73466
  • Sharpe ratio (Hedges UMVUE)
    -1.72704
  • df
    171.00000
  • t
    -1.22659
  • p
    0.55937
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.51002
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04567
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.50488
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05080
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.26700
  • Upside Potential Ratio
    7.41957
  • Upside part of mean
    0.71370
  • Downside part of mean
    -0.93177
  • Upside SD
    0.08122
  • Downside SD
    0.09619
  • N nonnegative terms
    71.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.13607
  • Mean of criterion
    -0.21807
  • SD of predictor
    0.10330
  • SD of criterion
    0.12571
  • Covariance
    0.00548
  • r
    0.42180
  • b (slope, estimate of beta)
    0.51329
  • a (intercept, estimate of alpha)
    -0.28791
  • Mean Square Error
    0.01307
  • DF error
    170.00000
  • t(b)
    6.06562
  • p(b)
    0.28910
  • t(a)
    -1.77637
  • p(a)
    0.56750
  • Lowerbound of 95% confidence interval for beta
    0.34625
  • Upperbound of 95% confidence interval for beta
    0.68034
  • Lowerbound of 95% confidence interval for alpha
    -0.60785
  • Upperbound of 95% confidence interval for alpha
    0.03203
  • Treynor index (mean / b)
    -0.42484
  • Jensen alpha (a)
    -0.28791
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22600
  • SD
    0.12581
  • Sharpe ratio (Glass type estimate)
    -1.79633
  • Sharpe ratio (Hedges UMVUE)
    -1.78844
  • df
    171.00000
  • t
    -1.27020
  • p
    0.56145
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.57213
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.98454
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.56672
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98984
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.33457
  • Upside Potential Ratio
    7.33861
  • Upside part of mean
    0.71041
  • Downside part of mean
    -0.93641
  • Upside SD
    0.08071
  • Downside SD
    0.09680
  • N nonnegative terms
    71.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.13072
  • Mean of criterion
    -0.22600
  • SD of predictor
    0.10354
  • SD of criterion
    0.12581
  • Covariance
    0.00549
  • r
    0.42168
  • b (slope, estimate of beta)
    0.51238
  • a (intercept, estimate of alpha)
    -0.29297
  • Mean Square Error
    0.01309
  • DF error
    170.00000
  • t(b)
    6.06354
  • p(b)
    0.28916
  • t(a)
    -1.80646
  • p(a)
    0.56862
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    0.34557
  • Upperbound of 95% confidence interval for beta
    0.67919
  • Lowerbound of 95% confidence interval for alpha
    -0.61312
  • Upperbound of 95% confidence interval for alpha
    0.02717
  • Treynor index (mean / b)
    -0.44107
  • Jensen alpha (a)
    -0.29297
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01174
  • Expected Shortfall on VaR
    0.01454
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00691
  • Expected Shortfall on VaR
    0.01276
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.97996
  • Quartile 1
    0.99565
  • Median
    1.00000
  • Quartile 3
    1.00303
  • Maximum
    1.02377
  • Mean of quarter 1
    0.99074
  • Mean of quarter 2
    0.99850
  • Mean of quarter 3
    1.00080
  • Mean of quarter 4
    1.00755
  • Inter Quartile Range
    0.00738
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.02907
  • Mean of outliers low
    0.98213
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.02326
  • Mean of outliers high
    1.01726
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14481
  • VaR(95%) (moments method)
    0.00918
  • Expected Shortfall (moments method)
    0.01152
  • Extreme Value Index (regression method)
    -0.16748
  • VaR(95%) (regression method)
    0.00897
  • Expected Shortfall (regression method)
    0.01109
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01105
  • Quartile 1
    0.02850
  • Median
    0.04367
  • Quartile 3
    0.08119
  • Maximum
    0.16570
  • Mean of quarter 1
    0.01105
  • Mean of quarter 2
    0.03431
  • Mean of quarter 3
    0.05302
  • Mean of quarter 4
    0.16570
  • Inter Quartile Range
    0.05269
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.16570
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    231
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.20479
  • Compounded annual return (geometric extrapolation)
    -0.19430
  • Calmar ratio (compounded annual return / max draw down)
    -1.17261
  • Compounded annual return / average of 25% largest draw downs
    -1.17261
  • Compounded annual return / Expected Shortfall lognormal
    -13.36420

Strategy Description

I have a multi faceted approach to stocks. From a "top down" perspective I try to determine the direction of the indexes. If I am bullish on stocks in general than my I will have far more long positions than short positions and vice versa when I am bearish.

My stock picking is firstly based on technical analyis but I also use some fundemental research to try and increase the chances that I will be right. For instance, if I am bearish on oil I will look for oil stocks that have bearish charts but that also have deeply indebted balance sheets that make it so the company may not survive if the price of the commodity goes down significantly. This is an example of how utilize some fundemental methods to overlay my technical analysis.

2012 was my first down year. As can be seen I experienced a large drawdown during the year. This was the result of me completely changing my stock system based on reading the book "The Logical Trader: Applying a Method to the Madness." Basically I began trading using some -but not all- components of the ACD system advocated in that book. The results speak for themselves. I was stopped out with small loss after small loss and ended up losing a bunch of money and all of my subscribers.
In the end I Iost 6% for the year after a nice recovery once I got back to trading the way I used to. If it wasn't for my misadventure with the ACD system I would have been up for the year and my largest drawdown in the system's history would have been 11%.

I still think the best way to make a lot of money in a short period of time is to short sell small cap stocks with sky high valuations that have reached what I call "nosebleed" levels of overboughtness. These opportunities are few and far between in this mature bull market but these are still what I look for on a daily basis. These type of opportunites were much more frequent in 2009 and 2010 and they explain my quick doubling of equity at the beginning of my trading history.

With a new name for the system to start the new year I urge everyone to give me a try. The flexibility of my approach allows for the opportunity to make money in all kinds of macro market conditions. The best broker to use with my system is IB because they tend to have the largest inventory of small cap equities available to short.

Trade this strategy at Tradier

Summary Statistics

Strategy began
2009-12-30
Suggested Minimum Capital
$100,000
# Trades
914
# Profitable
475
% Profitable
52.0%
Net Dividends
$60,996
Correlation S&P500
0.322
Sharpe Ratio
0.54
Sortino Ratio
0.90
Beta
0.37
Alpha
0.02

Latest Activity

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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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