This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
09/06/2021
Most recent certification approved
9/15/21 9:35 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
33
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
28
Percent signals followed since 09/06/2021
84.8%
This information was last updated
11/26/21 9:30 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 09/06/2021,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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
underor overcompensated 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.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
Stocks for Div yield
(130018805)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  09/06/2021 
Most recent certification approved  9/15/21 9:35 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  33 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  28 
Percent signals followed since 09/06/2021  84.8% 
This information was last updated  11/26/21 9:30 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 09/06/2021, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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 underor overcompensated 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.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $30.00 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.
Nonhedged Equity
Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stockpickers."Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2020    +0.5%  (1%)  (0.5%)  +2.5%  +1.5%  +3.0%  
2021  +1.0%  +3.3%  +5.4%  +2.2%  +1.3%  +0.4%  (0.1%)  +0.9%  +0.3%  +0.7%  +1.2%  +17.8% 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $100,000  
Buy Power  $111,338  
Cash  $1  
Equity  $1  
Cumulative $  $22,567  
Includes dividends and cashsettled expirations:  $2,965  Itemized 
Total System Equity  $122,567  
Margined  $1  
Open P/L  $1,928  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began7/10/2020

Suggested Minimum Cap$100,000

Strategy Age (days)505.42

Age17 months ago

What it tradesStocks

# Trades99

# Profitable59

% Profitable59.60%

Avg trade duration39.5 days

Max peaktovalley drawdown14.42%

drawdown periodMarch 17, 2021  March 23, 2021

Annual Return (Compounded)14.8%

Avg win$485.07

Avg loss$225.40
 Model Account Values (Raw)

Cash$109,651

Margin Used$0

Buying Power$111,338
 Ratios

W:L ratio3.83:1

Sharpe Ratio1.57

Sortino Ratio2.34

Calmar Ratio5.277
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)22.99%

Correlation to SP5000.31960

Return Percent SP500 (cumu) during strategy life44.26%
 Return Statistics

Ann Return (w trading costs)14.8%
 Slump

Current Slump as Pcnt Equity0.90%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.03%
 Return Statistics

Return Pcnt Since TOS Status0.120%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.148%
 Instruments

Percent Trades Options0.02%

Percent Trades Stocks0.98%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)15.8%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss47.50%

Chance of 20% account loss11.00%

Chance of 30% account loss0.50%

Chance of 40% account lossn/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
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)556

Popularity (Last 6 weeks)924
 Trading Style

Any stock shorts? 0/11
 Popularity

C2 Score993

Popularity (7 days, Percentile 1000 scale)803
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$225

Avg Win$485

Sum Trade PL (losers)$9,016.000
 AUM

AUM (AutoTrader num accounts)1
 Age

Num Months filled monthly returns table17
 Win / Loss

Sum Trade PL (winners)$28,619.000

# Winners59

Num Months Winners14
 Dividends

Dividends Received in Model Acct2965
 AUM

AUM (AutoTrader live capital)122344
 Win / Loss

# Losers40

% Winners59.6%
 Frequency

Avg Position Time (mins)56887.60

Avg Position Time (hrs)948.13

Avg Trade Length39.5 days

Last Trade Ago4
 Leverage

Daily leverage (average)0.40

Daily leverage (max)0.86
 Regression

Alpha0.02

Beta0.15

Treynor Index0.23
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.24

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades0.957

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.294

Avg(MAE) / Avg(PL)  Losing trades1.129

HoldandHope Ratio1.056
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.12994

SD0.05451

Sharpe ratio (Glass type estimate)2.38370

Sharpe ratio (Hedges UMVUE)2.26215

df15.00000

t2.75246

p0.15303

Lowerbound of 95% confidence interval for Sharpe Ratio0.45577

Upperbound of 95% confidence interval for Sharpe Ratio4.24839

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.38163

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.14267
 Statistics related to Sortino ratio

Sortino ratio7.74799

Upside Potential Ratio9.40960

Upside part of mean0.15781

Downside part of mean0.02787

Upside SD0.06254

Downside SD0.01677

N nonnegative terms12.00000

N negative terms4.00000
 Statistics related to linear regression on benchmark

N of observations16.00000

Mean of predictor0.26702

Mean of criterion0.12994

SD of predictor0.07216

SD of criterion0.05451

Covariance0.00112

r0.28452

b (slope, estimate of beta)0.21493

a (intercept, estimate of alpha)0.07255

Mean Square Error0.00293

DF error14.00000

t(b)1.11048

p(b)0.35774

t(a)1.04008

p(a)0.36609

Lowerbound of 95% confidence interval for beta0.20018

Upperbound of 95% confidence interval for beta0.63004

Lowerbound of 95% confidence interval for alpha0.07706

Upperbound of 95% confidence interval for alpha0.22215

Treynor index (mean / b)0.60457

Jensen alpha (a)0.07255
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.12759

SD0.05376

Sharpe ratio (Glass type estimate)2.37334

Sharpe ratio (Hedges UMVUE)2.25232

df15.00000

t2.74050

p0.15390

Lowerbound of 95% confidence interval for Sharpe Ratio0.44716

Upperbound of 95% confidence interval for Sharpe Ratio4.23652

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.37331

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.13133
 Statistics related to Sortino ratio

Sortino ratio7.58501

Upside Potential Ratio9.24619

Upside part of mean0.15553

Downside part of mean0.02794

Upside SD0.06151

Downside SD0.01682

N nonnegative terms12.00000

N negative terms4.00000
 Statistics related to linear regression on benchmark

N of observations16.00000

Mean of predictor0.26117

Mean of criterion0.12759

SD of predictor0.07038

SD of criterion0.05376

Covariance0.00109

r0.28758

b (slope, estimate of beta)0.21966

a (intercept, estimate of alpha)0.07022

Mean Square Error0.00284

DF error14.00000

t(b)1.12350

p(b)0.35621

t(a)1.02018

p(a)0.36847

Lowerbound of 95% confidence interval for beta0.19968

Upperbound of 95% confidence interval for beta0.63900

Lowerbound of 95% confidence interval for alpha0.07741

Upperbound of 95% confidence interval for alpha0.21785

Treynor index (mean / b)0.58083

Jensen alpha (a)0.07022
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01478

Expected Shortfall on VaR0.02114
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00326

Expected Shortfall on VaR0.00734
 ORDER STATISTICS
 Quartiles of return rates

Number of observations16.00000

Minimum0.99009

Quartile 11.00131

Median1.01371

Quartile 31.02205

Maximum1.04299

Mean of quarter 10.99304

Mean of quarter 21.00789

Mean of quarter 31.01826

Mean of quarter 41.03344

Inter Quartile Range0.02075

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)46.68110

VaR(95%) (moments method)0.00559

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)1.60050

VaR(95%) (regression method)0.00907

Expected Shortfall (regression method)0.00944
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00741

Quartile 10.00771

Median0.00802

Quartile 30.00897

Maximum0.00991

Mean of quarter 10.00741

Mean of quarter 20.00802

Mean of quarter 30.00000

Mean of quarter 40.00991

Inter Quartile Range0.00125

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.17279

Compounded annual return (geometric extrapolation)0.16823

Calmar ratio (compounded annual return / max draw down)16.97690

Compounded annual return / average of 25% largest draw downs16.97690

Compounded annual return / Expected Shortfall lognormal7.95991

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.12193

SD0.06060

Sharpe ratio (Glass type estimate)2.01198

Sharpe ratio (Hedges UMVUE)2.00775

df357.00000

t2.35187

p0.00961

Lowerbound of 95% confidence interval for Sharpe Ratio0.32742

Upperbound of 95% confidence interval for Sharpe Ratio3.69379

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.32459

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.69091
 Statistics related to Sortino ratio

Sortino ratio2.96778

Upside Potential Ratio9.47066

Upside part of mean0.38909

Downside part of mean0.26716

Upside SD0.04507

Downside SD0.04108

N nonnegative terms199.00000

N negative terms159.00000
 Statistics related to linear regression on benchmark

N of observations358.00000

Mean of predictor0.25043

Mean of criterion0.12193

SD of predictor0.14167

SD of criterion0.06060

Covariance0.00278

r0.32349

b (slope, estimate of beta)0.13838

a (intercept, estimate of alpha)0.08700

Mean Square Error0.00330

DF error356.00000

t(b)6.45041

p(b)0.00000

t(a)1.76606

p(a)0.03912

Lowerbound of 95% confidence interval for beta0.09619

Upperbound of 95% confidence interval for beta0.18057

Lowerbound of 95% confidence interval for alpha0.00991

Upperbound of 95% confidence interval for alpha0.18446

Treynor index (mean / b)0.88111

Jensen alpha (a)0.08727
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.12006

SD0.06063

Sharpe ratio (Glass type estimate)1.98028

Sharpe ratio (Hedges UMVUE)1.97611

df357.00000

t2.31482

p0.01059

Lowerbound of 95% confidence interval for Sharpe Ratio0.29596

Upperbound of 95% confidence interval for Sharpe Ratio3.66194

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.29315

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.65907
 Statistics related to Sortino ratio

Sortino ratio2.90644

Upside Potential Ratio9.39413

Upside part of mean0.38804

Downside part of mean0.26799

Upside SD0.04488

Downside SD0.04131

N nonnegative terms199.00000

N negative terms159.00000
 Statistics related to linear regression on benchmark

N of observations358.00000

Mean of predictor0.24026

Mean of criterion0.12006

SD of predictor0.14195

SD of criterion0.06063

Covariance0.00279

r0.32396

b (slope, estimate of beta)0.13836

a (intercept, estimate of alpha)0.08681

Mean Square Error0.00330

DF error356.00000

t(b)6.46083

p(b)0.00000

t(a)1.75721

p(a)0.03987

Lowerbound of 95% confidence interval for beta0.09624

Upperbound of 95% confidence interval for beta0.18048

Lowerbound of 95% confidence interval for alpha0.01035

Upperbound of 95% confidence interval for alpha0.18398

Treynor index (mean / b)0.86771

Jensen alpha (a)0.08681
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00569

Expected Shortfall on VaR0.00724
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00213

Expected Shortfall on VaR0.00459
 ORDER STATISTICS
 Quartiles of return rates

Number of observations358.00000

Minimum0.98141

Quartile 10.99914

Median1.00039

Quartile 31.00222

Maximum1.01815

Mean of quarter 10.99638

Mean of quarter 20.99980

Mean of quarter 31.00132

Mean of quarter 41.00478

Inter Quartile Range0.00308

Number outliers low16.00000

Percentage of outliers low0.04469

Mean of outliers low0.99045

Number of outliers high13.00000

Percentage of outliers high0.03631

Mean of outliers high1.00974
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.28986

VaR(95%) (moments method)0.00307

Expected Shortfall (moments method)0.00542

Extreme Value Index (regression method)0.15887

VaR(95%) (regression method)0.00368

Expected Shortfall (regression method)0.00600
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations24.00000

Minimum0.00035

Quartile 10.00208

Median0.00654

Quartile 30.01564

Maximum0.03022

Mean of quarter 10.00116

Mean of quarter 20.00343

Mean of quarter 30.01156

Mean of quarter 40.02163

Inter Quartile Range0.01357

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.02327

VaR(95%) (moments method)0.02327

Expected Shortfall (moments method)0.02697

Extreme Value Index (regression method)0.48622

VaR(95%) (regression method)0.02397

Expected Shortfall (regression method)0.03499
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.16398

Compounded annual return (geometric extrapolation)0.15947

Calmar ratio (compounded annual return / max draw down)5.27716

Compounded annual return / average of 25% largest draw downs7.37236

Compounded annual return / Expected Shortfall lognormal22.02530

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

Mean0.04857

SD0.05140

Sharpe ratio (Glass type estimate)0.94493

Sharpe ratio (Hedges UMVUE)0.93947

df130.00000

t0.66817

p0.47075

Lowerbound of 95% confidence interval for Sharpe Ratio1.83094

Upperbound of 95% confidence interval for Sharpe Ratio3.71731

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.83468

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.71363
 Statistics related to Sortino ratio

Sortino ratio1.34114

Upside Potential Ratio7.87387

Upside part of mean0.28515

Downside part of mean0.23658

Upside SD0.03632

Downside SD0.03622

N nonnegative terms68.00000

N negative terms63.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15696

Mean of criterion0.04857

SD of predictor0.10630

SD of criterion0.05140

Covariance0.00139

r0.25400

b (slope, estimate of beta)0.12282

a (intercept, estimate of alpha)0.02929

Mean Square Error0.00249

DF error129.00000

t(b)2.98269

p(b)0.34005

t(a)0.41330

p(a)0.47685

Lowerbound of 95% confidence interval for beta0.04135

Upperbound of 95% confidence interval for beta0.20430

Lowerbound of 95% confidence interval for alpha0.11094

Upperbound of 95% confidence interval for alpha0.16952

Treynor index (mean / b)0.39544

Jensen alpha (a)0.02929
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.04725

SD0.05140

Sharpe ratio (Glass type estimate)0.91921

Sharpe ratio (Hedges UMVUE)0.91389

df130.00000

t0.64998

p0.47154

Lowerbound of 95% confidence interval for Sharpe Ratio1.85654

Upperbound of 95% confidence interval for Sharpe Ratio3.69157

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.86014

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.68792
 Statistics related to Sortino ratio

Sortino ratio1.29892

Upside Potential Ratio7.82019

Upside part of mean0.28447

Downside part of mean0.23722

Upside SD0.03616

Downside SD0.03638

N nonnegative terms68.00000

N negative terms63.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15128

Mean of criterion0.04725

SD of predictor0.10647

SD of criterion0.05140

Covariance0.00139

r0.25461

b (slope, estimate of beta)0.12293

a (intercept, estimate of alpha)0.02865

Mean Square Error0.00249

DF error129.00000

t(b)2.99043

p(b)0.33968

t(a)0.40445

p(a)0.47735

VAR (95 Confidence Intrvl)0.00600

Lowerbound of 95% confidence interval for beta0.04160

Upperbound of 95% confidence interval for beta0.20427

Lowerbound of 95% confidence interval for alpha0.11151

Upperbound of 95% confidence interval for alpha0.16882

Treynor index (mean / b)0.38436

Jensen alpha (a)0.02865
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00503

Expected Shortfall on VaR0.00635
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00199

Expected Shortfall on VaR0.00424
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.98578

Quartile 10.99930

Median1.00022

Quartile 31.00167

Maximum1.01628

Mean of quarter 10.99684

Mean of quarter 20.99979

Mean of quarter 31.00097

Mean of quarter 41.00358

Inter Quartile Range0.00237

Number outliers low7.00000

Percentage of outliers low0.05344

Mean of outliers low0.99203

Number of outliers high3.00000

Percentage of outliers high0.02290

Mean of outliers high1.00985
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.44453

VaR(95%) (moments method)0.00302

Expected Shortfall (moments method)0.00645

Extreme Value Index (regression method)0.45700

VaR(95%) (regression method)0.00361

Expected Shortfall (regression method)0.00812
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations11.00000

Minimum0.00004

Quartile 10.00116

Median0.00187

Quartile 30.01358

Maximum0.01998

Mean of quarter 10.00038

Mean of quarter 20.00158

Mean of quarter 30.00978

Mean of quarter 40.01732

Inter Quartile Range0.01242

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)10.62330

VaR(95%) (moments method)0.01859

Expected Shortfall (moments method)0.01859

Extreme Value Index (regression method)1.67383

VaR(95%) (regression method)0.02199

Last 4 Months  Pcnt Negativen/a

Expected Shortfall (regression method)0.02234

Strat Max DD how much worse than SP500 max DD during strat life?321047000

Max Equity Drawdown (num days)6
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.07659

Compounded annual return (geometric extrapolation)0.07805

Calmar ratio (compounded annual return / max draw down)3.90713

Compounded annual return / average of 25% largest draw downs4.50660

Compounded annual return / Expected Shortfall lognormal12.29330
Strategy Description
Manual trailing stops are used to protect profitable positions. Stops are updated regularly as the stock rises. Stocks will sell off when they hit the stop during a market pullback.
Please note this strategy invests in conservative, high yielding stocks. Therefore it is unlikely to beat the S&P 500 on a regular basis. However, the strategy has produced above average returns with the combination of capital gains and dividend yield. This strategy is best suited for those looking for a conservative approach to a portion of their portfolio.
This strategy buys and holds positions for 4 to 6 months or longer. The number of trades is minimal. Therefore, it is best suited for patient investors
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.