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

4Trend only ETF
(22906062)

Created by: Timing Timing
Started: 10/2006
Stocks
Last trade: Today
Trading style: Equity Trend-following

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 $20.00 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.
3.4%
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.

(12.4%)
Max Drawdown
1300
Num Trades
38.4%
Win Trades
2.0 : 1
Profit Factor
51.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006                                                               +2.3%+3.6%+1.1%+7.2%
2007+1.3%(0.9%)(0.8%)+3.8%+3.9%(0.9%)(0.3%)(2.7%)+1.9%+5.5%(6.5%)(1.8%)+2.1%
2008(1.8%)  -    -  (0.6%)+1.5%(1.6%)(0.7%)  -  +0.3%  -  (0.1%)+0.1%(3%)
2009  -  (0.1%)(0.4%)+3.0%+6.1%(1.7%)+7.3%+1.4%+5.9%(1.8%)+2.4%+0.6%+24.7%
2010(5.2%)(0.4%)+1.3%+1.6%(5%)  -  (0.2%)(0.5%)+2.7%+2.2%(1.4%)+4.8%(0.5%)
2011(0.5%)+1.9%(0.5%)+1.1%(1.6%)(0.3%)(0.7%)(0.8%)  -    -  (1.7%)+0.1%(3.1%)
2012+1.9%+2.7%(0.4%)(1.2%)(4.4%)+0.7%+0.5%(0.4%)+0.7%(0.1%)(0.5%)+2.7%+2.0%
2013+4.0%(0.4%)+1.8%+3.3%(3.4%)(1.4%)+0.6%(0.6%)+0.8%+1.4%+0.4%+0.5%+7.0%
2014(1.8%)+1.1%+0.3%+1.0%+1.2%+0.6%(0.9%)+1.5%(3.4%)(0.3%)+0.3%(0.4%)(1%)
2015+1.1%+1.0%(0.4%)+0.2%(0.7%)(2.5%)+0.7%(2.5%)(1%)+0.4%(0.7%)(0.7%)(5.1%)
2016(1.1%)+0.1%+3.3%  -  (1.1%)+2.9%+3.4%(0.8%)+1.1%(3%)(1.5%)+0.6%+3.7%
2017+3.5%+1.9%+0.9%+1.4%(2.2%)(2.5%)+2.5%+0.9%+0.9%+1.1%+0.3%+0.7%+9.7%
2018+4.6%(4.1%)(0.3%)+0.1%+0.4%(0.5%)+0.6%+1.1%(0.1%)(3%)+0.4%(1.2%)(2.2%)
2019+1.0%+0.6%+1.0%+2.3%(3.1%)+3.1%+1.2%                              +6.1%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/13/19 9:30 JNJ JOHNSON & JOHNSON LONG 11 141.72 7/15 9:30 135.39 0.03%
Trade id #124064474
Max drawdown($103)
Time6/13/19 9:30
Quant open11
Worst price132.32
Drawdown as % of equity-0.03%
($70)
Includes Typical Broker Commissions trade costs of $0.22
2/5/19 9:30 GOOGL ALPHABET INC CLASS A LONG 1 1129.63 6/4 9:30 1044.49 0.03%
Trade id #122362811
Max drawdown($102)
Time6/3/19 13:02
Quant open1
Worst price1027.03
Drawdown as % of equity-0.03%
($85)
Includes Typical Broker Commissions trade costs of $0.02
1/24/19 9:31 IBM INTERNATIONAL BUSINESS MACHINE LONG 10 132.63 6/3 9:31 127.10 0.02%
Trade id #122154607
Max drawdown($63)
Time6/3/19 8:45
Quant open10
Worst price126.24
Drawdown as % of equity-0.02%
($55)
Includes Typical Broker Commissions trade costs of $0.20
4/22/19 9:35 UTX UNITED TECHNOLOGIES LONG 11 136.35 6/3 9:30 126.45 0.04%
Trade id #123384438
Max drawdown($119)
Time5/31/19 10:28
Quant open11
Worst price125.53
Drawdown as % of equity-0.04%
($109)
Includes Typical Broker Commissions trade costs of $0.22
2/28/19 9:30 ALXN ALEXION PHARMACEUTICALS LONG 5 135.58 6/3 9:30 113.97 0.04%
Trade id #122730899
Max drawdown($113)
Time5/31/19 10:57
Quant open5
Worst price112.86
Drawdown as % of equity-0.04%
($108)
Includes Typical Broker Commissions trade costs of $0.10
5/22/19 9:30 VZ VERIZON COMMUNICATIONS LONG 27 59.09 5/31 9:30 55.09 0.04%
Trade id #123766743
Max drawdown($119)
Time5/31/19 9:27
Quant open27
Worst price54.65
Drawdown as % of equity-0.04%
($109)
Includes Typical Broker Commissions trade costs of $0.54
1/22/19 9:30 NKE NIKE LONG 19 80.33 5/30 9:30 78.92 0.02%
Trade id #122105217
Max drawdown($49)
Time5/29/19 11:48
Quant open19
Worst price77.70
Drawdown as % of equity-0.02%
($27)
Includes Typical Broker Commissions trade costs of $0.38
2/6/19 9:30 CWB SPDR BARCLAYS CAPITAL CONVERTI LONG 463 51.16 5/30 9:30 50.95 0.07%
Trade id #122389331
Max drawdown($213)
Time5/29/19 11:56
Quant open463
Worst price50.70
Drawdown as % of equity-0.07%
($106)
Includes Typical Broker Commissions trade costs of $9.26
4/8/19 9:30 EWW ISHARES MSCI MEXICO ETF LONG 113 46.09 5/29 9:30 43.02 0.11%
Trade id #123237462
Max drawdown($347)
Time5/29/19 9:30
Quant open0
Worst price43.02
Drawdown as % of equity-0.11%
($349)
Includes Typical Broker Commissions trade costs of $2.26
1/28/19 9:30 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 3 261.56 5/24 9:30 262.70 0%
Trade id #122214245
Max drawdown($10)
Time5/23/19 9:50
Quant open3
Worst price258.17
Drawdown as % of equity-0.00%
$3
Includes Typical Broker Commissions trade costs of $0.06
4/11/19 9:30 AAPL APPLE LONG 6 200.85 5/24 9:30 180.20 0.04%
Trade id #123280118
Max drawdown($138)
Time5/23/19 10:01
Quant open6
Worst price177.81
Drawdown as % of equity-0.04%
($124)
Includes Typical Broker Commissions trade costs of $0.12
3/21/19 9:30 EWD ISHARES MSCI SWEDEN ETF LONG 379 31.15 5/24 9:30 30.15 0.2%
Trade id #123011263
Max drawdown($617)
Time5/14/19 16:04
Quant open379
Worst price29.52
Drawdown as % of equity-0.20%
($387)
Includes Typical Broker Commissions trade costs of $7.58
2/5/19 9:30 GXG FTSE COLOMBIA 20 ETF LONG 498 9.28 5/21 9:30 8.69 0.1%
Trade id #122362973
Max drawdown($318)
Time5/20/19 15:03
Quant open498
Worst price8.64
Drawdown as % of equity-0.10%
($304)
Includes Typical Broker Commissions trade costs of $9.96
1/28/19 9:31 EEM ISHARES MSCI EMERGING MARKETS LONG 102 41.57 5/20 9:30 40.17 0.05%
Trade id #122214452
Max drawdown($151)
Time5/20/19 8:57
Quant open102
Worst price40.08
Drawdown as % of equity-0.05%
($145)
Includes Typical Broker Commissions trade costs of $2.04
10/9/18 9:30 EWZ ISHARES MSCI BRAZIL ETF LONG 68 39.20 5/17/19 9:30 37.26 0.05%
Trade id #120250886
Max drawdown($146)
Time5/17/19 9:09
Quant open68
Worst price37.04
Drawdown as % of equity-0.05%
($133)
Includes Typical Broker Commissions trade costs of $1.36
5/2/19 9:31 JNJ JOHNSON & JOHNSON LONG 12 141.91 5/15 9:30 136.90 0.02%
Trade id #123503799
Max drawdown($66)
Time5/10/19 11:55
Quant open12
Worst price136.41
Drawdown as % of equity-0.02%
($60)
Includes Typical Broker Commissions trade costs of $0.24
1/31/19 9:30 BA BOEING LONG 2 387.16 5/14 9:31 339.90 0.03%
Trade id #122289109
Max drawdown($101)
Time5/13/19 16:46
Quant open2
Worst price336.18
Drawdown as % of equity-0.03%
($95)
Includes Typical Broker Commissions trade costs of $0.04
4/11/19 9:30 GS GOLDMAN SACHS GROUP LONG 8 204.23 5/14 9:30 194.99 0.03%
Trade id #123280066
Max drawdown($81)
Time5/13/19 13:23
Quant open8
Worst price194.00
Drawdown as % of equity-0.03%
($74)
Includes Typical Broker Commissions trade costs of $0.16
3/22/19 9:30 NVDA NVIDIA LONG 3 182.84 5/14 9:30 160.05 0.02%
Trade id #123028916
Max drawdown($75)
Time5/13/19 20:00
Quant open3
Worst price157.75
Drawdown as % of equity-0.02%
($68)
Includes Typical Broker Commissions trade costs of $0.06
2/6/19 9:30 INTC INTEL LONG 31 49.95 5/10 9:30 46.44 0.04%
Trade id #122389292
Max drawdown($120)
Time5/9/19 11:03
Quant open31
Worst price46.05
Drawdown as % of equity-0.04%
($110)
Includes Typical Broker Commissions trade costs of $0.62
4/2/19 9:30 EWJ ISHARES MSCI JAPAN INDEX LONG 163 55.04 5/9 9:30 53.32 0.09%
Trade id #123165937
Max drawdown($280)
Time5/9/19 9:30
Quant open0
Worst price53.32
Drawdown as % of equity-0.09%
($283)
Includes Typical Broker Commissions trade costs of $3.26
4/2/19 9:31 CAT CATERPILLAR LONG 11 140.15 5/9 9:30 130.22 0.04%
Trade id #123165948
Max drawdown($110)
Time5/9/19 9:28
Quant open11
Worst price130.10
Drawdown as % of equity-0.04%
($109)
Includes Typical Broker Commissions trade costs of $0.22
2/7/19 9:30 CTSH COGNIZANT TECH SOLUTION LONG 12 74.18 5/3 9:30 60.09 0.05%
Trade id #122412856
Max drawdown($170)
Time5/3/19 9:30
Quant open12
Worst price60.00
Drawdown as % of equity-0.05%
($169)
Includes Typical Broker Commissions trade costs of $0.24
4/15/19 9:31 DWDP DOWDUPONT LONG 41 39.47 5/3 9:30 34.83 0.07%
Trade id #123312787
Max drawdown($225)
Time5/2/19 15:36
Quant open41
Worst price33.98
Drawdown as % of equity-0.07%
($191)
Includes Typical Broker Commissions trade costs of $0.82
3/25/19 9:30 VZ VERIZON COMMUNICATIONS LONG 26 59.63 4/26 9:31 56.06 0.03%
Trade id #123056340
Max drawdown($100)
Time4/25/19 15:37
Quant open26
Worst price55.75
Drawdown as % of equity-0.03%
($94)
Includes Typical Broker Commissions trade costs of $0.52
2/14/19 9:31 MMM 3M LONG 7 206.59 4/26 9:30 190.53 0.04%
Trade id #122522623
Max drawdown($121)
Time4/26/19 8:31
Quant open7
Worst price189.28
Drawdown as % of equity-0.04%
($112)
Includes Typical Broker Commissions trade costs of $0.14
3/19/19 9:30 CVX CHEVRON LONG 13 126.56 4/26 9:30 118.40 0.04%
Trade id #122968978
Max drawdown($119)
Time4/26/19 8:06
Quant open13
Worst price117.40
Drawdown as % of equity-0.04%
($106)
Includes Typical Broker Commissions trade costs of $0.26
4/24/18 9:30 MRK MERCK LONG 25 60.41 4/22/19 9:35 73.16 0.01%
Trade id #117635412
Max drawdown($17)
Time4/24/18 9:30
Quant open25
Worst price59.70
Drawdown as % of equity-0.01%
$319
Includes Typical Broker Commissions trade costs of $0.50
1/11/19 9:30 REGN REGENERON PHARMACEUTICALS LONG 2 405.65 4/17 9:31 366.96 0.03%
Trade id #121917242
Max drawdown($83)
Time4/16/19 16:13
Quant open2
Worst price363.69
Drawdown as % of equity-0.03%
($77)
Includes Typical Broker Commissions trade costs of $0.04
4/5/19 9:33 BIDU BAIDU LONG 7 181.33 4/16 9:30 170.00 0.03%
Trade id #123218442
Max drawdown($97)
Time4/15/19 10:45
Quant open7
Worst price167.40
Drawdown as % of equity-0.03%
($79)
Includes Typical Broker Commissions trade costs of $0.14

Statistics

  • Strategy began
    10/4/2006
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    4667.74
  • Age
    156 months ago
  • What it trades
    Stocks
  • # Trades
    1300
  • # Profitable
    499
  • % Profitable
    38.40%
  • Avg trade duration
    38.2 days
  • Max peak-to-valley drawdown
    12.35%
  • drawdown period
    Oct 19, 2009 - Aug 25, 2010
  • Annual Return (Compounded)
    3.5%
  • Avg win
    $490.04
  • Avg loss
    $215.67
  • Model Account Values (Raw)
  • Cash
    $193,375
  • Margin Used
    $0
  • Buying Power
    $213,114
  • Ratios
  • W:L ratio
    1.95:1
  • Sharpe Ratio
    0.17
  • Sortino Ratio
    0.24
  • Calmar Ratio
    0.267
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.33750
  • Return Statistics
  • Ann Return (w trading costs)
    3.5%
  • Ann Return (Compnd, No Fees)
    3.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.50%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    820
  • C2 Score
    65.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $216
  • Avg Win
    $490
  • # Winners
    499
  • # Losers
    801
  • % Winners
    38.4%
  • Frequency
  • Avg Position Time (mins)
    153182.00
  • Avg Position Time (hrs)
    2553.03
  • Avg Trade Length
    106.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.70
  • Daily leverage (max)
    1.97
  • Unknown
  • Alpha
    0.00
  • Beta
    0.13
  • Treynor Index
    0.04
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00636
  • SD
    0.08478
  • Sharpe ratio (Glass type estimate)
    0.07500
  • Sharpe ratio (Hedges UMVUE)
    0.07462
  • df
    146.00000
  • t
    0.26252
  • p
    0.48914
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48517
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63494
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48544
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63467
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10590
  • Upside Potential Ratio
    1.71973
  • Upside part of mean
    0.10326
  • Downside part of mean
    -0.09691
  • Upside SD
    0.05947
  • Downside SD
    0.06005
  • N nonnegative terms
    72.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    147.00000
  • Mean of predictor
    0.04469
  • Mean of criterion
    0.00636
  • SD of predictor
    0.16085
  • SD of criterion
    0.08478
  • Covariance
    0.00744
  • r
    0.54529
  • b (slope, estimate of beta)
    0.28742
  • a (intercept, estimate of alpha)
    -0.00649
  • Mean Square Error
    0.00509
  • DF error
    145.00000
  • t(b)
    7.83329
  • p(b)
    0.17092
  • t(a)
    -0.31725
  • p(a)
    0.51677
  • Lowerbound of 95% confidence interval for beta
    0.21490
  • Upperbound of 95% confidence interval for beta
    0.35994
  • Lowerbound of 95% confidence interval for alpha
    -0.04689
  • Upperbound of 95% confidence interval for alpha
    0.03392
  • Treynor index (mean / b)
    0.02212
  • Jensen alpha (a)
    -0.00649
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00277
  • SD
    0.08494
  • Sharpe ratio (Glass type estimate)
    0.03264
  • Sharpe ratio (Hedges UMVUE)
    0.03247
  • df
    146.00000
  • t
    0.11422
  • p
    0.49527
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52741
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.59259
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52753
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59247
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04492
  • Upside Potential Ratio
    1.64181
  • Upside part of mean
    0.10132
  • Downside part of mean
    -0.09855
  • Upside SD
    0.05795
  • Downside SD
    0.06171
  • N nonnegative terms
    72.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    147.00000
  • Mean of predictor
    0.03138
  • Mean of criterion
    0.00277
  • SD of predictor
    0.16396
  • SD of criterion
    0.08494
  • Covariance
    0.00752
  • r
    0.53981
  • b (slope, estimate of beta)
    0.27964
  • a (intercept, estimate of alpha)
    -0.00600
  • Mean Square Error
    0.00515
  • DF error
    145.00000
  • t(b)
    7.72194
  • p(b)
    0.17385
  • t(a)
    -0.29245
  • p(a)
    0.51545
  • Lowerbound of 95% confidence interval for beta
    0.20807
  • Upperbound of 95% confidence interval for beta
    0.35122
  • Lowerbound of 95% confidence interval for alpha
    -0.04658
  • Upperbound of 95% confidence interval for alpha
    0.03457
  • Treynor index (mean / b)
    0.00991
  • Jensen alpha (a)
    -0.00600
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03931
  • Expected Shortfall on VaR
    0.04906
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01877
  • Expected Shortfall on VaR
    0.03746
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    147.00000
  • Minimum
    0.90449
  • Quartile 1
    0.99415
  • Median
    1.00130
  • Quartile 3
    1.01394
  • Maximum
    1.08919
  • Mean of quarter 1
    0.97467
  • Mean of quarter 2
    0.99792
  • Mean of quarter 3
    1.00753
  • Mean of quarter 4
    1.03144
  • Inter Quartile Range
    0.01978
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06122
  • Mean of outliers low
    0.94622
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06122
  • Mean of outliers high
    1.05712
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16086
  • VaR(95%) (moments method)
    0.01901
  • Expected Shortfall (moments method)
    0.03015
  • Extreme Value Index (regression method)
    0.08873
  • VaR(95%) (regression method)
    0.02717
  • Expected Shortfall (regression method)
    0.04272
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00220
  • Quartile 1
    0.02733
  • Median
    0.04571
  • Quartile 3
    0.07331
  • Maximum
    0.10946
  • Mean of quarter 1
    0.00578
  • Mean of quarter 2
    0.03880
  • Mean of quarter 3
    0.05667
  • Mean of quarter 4
    0.09779
  • Inter Quartile Range
    0.04598
  • 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)
    -0.81734
  • VaR(95%) (moments method)
    0.10531
  • Expected Shortfall (moments method)
    0.10954
  • Extreme Value Index (regression method)
    0.66211
  • VaR(95%) (regression method)
    0.10891
  • Expected Shortfall (regression method)
    0.16845
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03724
  • Compounded annual return (geometric extrapolation)
    0.03115
  • Calmar ratio (compounded annual return / max draw down)
    0.28461
  • Compounded annual return / average of 25% largest draw downs
    0.31860
  • Compounded annual return / Expected Shortfall lognormal
    0.63501
  • 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
    0.01282
  • SD
    0.13462
  • Sharpe ratio (Glass type estimate)
    0.09526
  • Sharpe ratio (Hedges UMVUE)
    0.09524
  • df
    3221.00000
  • t
    0.33407
  • p
    0.36917
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46364
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.65417
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65415
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13324
  • Upside Potential Ratio
    5.30710
  • Upside part of mean
    0.51084
  • Downside part of mean
    -0.49801
  • Upside SD
    0.09409
  • Downside SD
    0.09626
  • N nonnegative terms
    1569.00000
  • N negative terms
    1653.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3222.00000
  • Mean of predictor
    0.11038
  • Mean of criterion
    0.01282
  • SD of predictor
    0.39583
  • SD of criterion
    0.13462
  • Covariance
    0.02052
  • r
    0.38516
  • b (slope, estimate of beta)
    0.13100
  • a (intercept, estimate of alpha)
    -0.00200
  • Mean Square Error
    0.01544
  • DF error
    3220.00000
  • t(b)
    23.68330
  • p(b)
    0.00000
  • t(a)
    -0.04611
  • p(a)
    0.51839
  • Lowerbound of 95% confidence interval for beta
    0.12015
  • Upperbound of 95% confidence interval for beta
    0.14184
  • Lowerbound of 95% confidence interval for alpha
    -0.07112
  • Upperbound of 95% confidence interval for alpha
    0.06785
  • Treynor index (mean / b)
    0.09790
  • Jensen alpha (a)
    -0.00163
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00375
  • SD
    0.13487
  • Sharpe ratio (Glass type estimate)
    0.02777
  • Sharpe ratio (Hedges UMVUE)
    0.02777
  • df
    3221.00000
  • t
    0.09740
  • p
    0.46121
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53113
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.58668
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53113
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58667
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03806
  • Upside Potential Ratio
    5.14656
  • Upside part of mean
    0.50647
  • Downside part of mean
    -0.50273
  • Upside SD
    0.09219
  • Downside SD
    0.09841
  • N nonnegative terms
    1569.00000
  • N negative terms
    1653.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3222.00000
  • Mean of predictor
    0.03360
  • Mean of criterion
    0.00375
  • SD of predictor
    0.39091
  • SD of criterion
    0.13487
  • Covariance
    0.02056
  • r
    0.38995
  • b (slope, estimate of beta)
    0.13453
  • a (intercept, estimate of alpha)
    -0.00077
  • Mean Square Error
    0.01543
  • DF error
    3220.00000
  • t(b)
    24.03030
  • p(b)
    0.00000
  • t(a)
    -0.02187
  • p(a)
    0.50872
  • Lowerbound of 95% confidence interval for beta
    0.12356
  • Upperbound of 95% confidence interval for beta
    0.14551
  • Lowerbound of 95% confidence interval for alpha
    -0.07022
  • Upperbound of 95% confidence interval for alpha
    0.06867
  • Treynor index (mean / b)
    0.02784
  • Jensen alpha (a)
    -0.00077
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01360
  • Expected Shortfall on VaR
    0.01702
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00431
  • Expected Shortfall on VaR
    0.00965
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3222.00000
  • Minimum
    0.89511
  • Quartile 1
    0.99872
  • Median
    1.00000
  • Quartile 3
    1.00187
  • Maximum
    1.09675
  • Mean of quarter 1
    0.99302
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.00085
  • Mean of quarter 4
    1.00716
  • Inter Quartile Range
    0.00315
  • Number outliers low
    257.00000
  • Percentage of outliers low
    0.07976
  • Mean of outliers low
    0.98445
  • Number of outliers high
    245.00000
  • Percentage of outliers high
    0.07604
  • Mean of outliers high
    1.01550
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71924
  • VaR(95%) (moments method)
    0.00610
  • Expected Shortfall (moments method)
    0.02411
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00572
  • Median
    0.01738
  • Quartile 3
    0.06021
  • Maximum
    0.12051
  • Mean of quarter 1
    0.00264
  • Mean of quarter 2
    0.01237
  • Mean of quarter 3
    0.04429
  • Mean of quarter 4
    0.09170
  • Inter Quartile Range
    0.05449
  • 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)
    -0.19933
  • VaR(95%) (moments method)
    0.09815
  • Expected Shortfall (moments method)
    0.11515
  • Extreme Value Index (regression method)
    -0.74639
  • VaR(95%) (regression method)
    0.08478
  • Expected Shortfall (regression method)
    0.08906
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03870
  • Compounded annual return (geometric extrapolation)
    0.03216
  • Calmar ratio (compounded annual return / max draw down)
    0.26686
  • Compounded annual return / average of 25% largest draw downs
    0.35070
  • Compounded annual return / Expected Shortfall lognormal
    1.88938
  • 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
    0.08570
  • SD
    0.04163
  • Sharpe ratio (Glass type estimate)
    2.05871
  • Sharpe ratio (Hedges UMVUE)
    2.04681
  • df
    130.00000
  • t
    1.45573
  • p
    0.43668
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72825
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.83791
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73614
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.82976
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.04128
  • Upside Potential Ratio
    10.57700
  • Upside part of mean
    0.29806
  • Downside part of mean
    -0.21236
  • Upside SD
    0.03088
  • Downside SD
    0.02818
  • 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
    0.28569
  • Mean of criterion
    0.08570
  • SD of predictor
    0.11084
  • SD of criterion
    0.04163
  • Covariance
    0.00348
  • r
    0.75468
  • b (slope, estimate of beta)
    0.28344
  • a (intercept, estimate of alpha)
    0.00473
  • Mean Square Error
    0.00075
  • DF error
    129.00000
  • t(b)
    13.06450
  • p(b)
    0.07018
  • t(a)
    0.12038
  • p(a)
    0.49325
  • Lowerbound of 95% confidence interval for beta
    0.24051
  • Upperbound of 95% confidence interval for beta
    0.32636
  • Lowerbound of 95% confidence interval for alpha
    -0.07297
  • Upperbound of 95% confidence interval for alpha
    0.08242
  • Treynor index (mean / b)
    0.30237
  • Jensen alpha (a)
    0.00473
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08482
  • SD
    0.04163
  • Sharpe ratio (Glass type estimate)
    2.03737
  • Sharpe ratio (Hedges UMVUE)
    2.02559
  • df
    130.00000
  • t
    1.44064
  • p
    0.43732
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74923
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.81634
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75713
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.80831
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00283
  • Upside Potential Ratio
    10.53410
  • Upside part of mean
    0.29755
  • Downside part of mean
    -0.21273
  • Upside SD
    0.03082
  • Downside SD
    0.02825
  • 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
    0.27941
  • Mean of criterion
    0.08482
  • SD of predictor
    0.11092
  • SD of criterion
    0.04163
  • Covariance
    0.00349
  • r
    0.75555
  • b (slope, estimate of beta)
    0.28357
  • a (intercept, estimate of alpha)
    0.00559
  • Mean Square Error
    0.00075
  • DF error
    129.00000
  • t(b)
    13.09950
  • p(b)
    0.06982
  • t(a)
    0.14259
  • p(a)
    0.49201
  • Lowerbound of 95% confidence interval for beta
    0.24074
  • Upperbound of 95% confidence interval for beta
    0.32640
  • Lowerbound of 95% confidence interval for alpha
    -0.07195
  • Upperbound of 95% confidence interval for alpha
    0.08312
  • Treynor index (mean / b)
    0.29911
  • Jensen alpha (a)
    0.00559
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00390
  • Expected Shortfall on VaR
    0.00497
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00162
  • Expected Shortfall on VaR
    0.00334
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99250
  • Quartile 1
    0.99900
  • Median
    1.00051
  • Quartile 3
    1.00200
  • Maximum
    1.00735
  • Mean of quarter 1
    0.99716
  • Mean of quarter 2
    0.99993
  • Mean of quarter 3
    1.00116
  • Mean of quarter 4
    1.00351
  • Inter Quartile Range
    0.00300
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.99348
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.00735
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29880
  • VaR(95%) (moments method)
    0.00280
  • Expected Shortfall (moments method)
    0.00482
  • Extreme Value Index (regression method)
    0.31717
  • VaR(95%) (regression method)
    0.00262
  • Expected Shortfall (regression method)
    0.00449
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00031
  • Median
    0.00102
  • Quartile 3
    0.00372
  • Maximum
    0.03077
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00057
  • Mean of quarter 3
    0.00204
  • Mean of quarter 4
    0.01206
  • Inter Quartile Range
    0.00341
  • 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
    0.10000
  • Mean of outliers high
    0.02052
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.53707
  • VaR(95%) (moments method)
    0.01323
  • Expected Shortfall (moments method)
    0.03116
  • Extreme Value Index (regression method)
    1.57735
  • VaR(95%) (regression method)
    0.01494
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11596
  • Compounded annual return (geometric extrapolation)
    0.11933
  • Calmar ratio (compounded annual return / max draw down)
    3.87788
  • Compounded annual return / average of 25% largest draw downs
    9.89491
  • Compounded annual return / Expected Shortfall lognormal
    24.01510

Strategy Description

4Trend approach is systematic and trend following (long only). Trade only US STOCK and ETF.
All the order are before the open and at the market.
Orders delayed until 2/3 days not change the results, this demonstrates the robustness of the trading system.
We control the risk, therefore the amounts invested on the single instrument are according to the volatility of this and the instruments already in portfolio.



rgranero@4timing.it
info@4timing.it
or see:

www.4timing.it



























Summary Statistics

Strategy began
2006-10-04
Suggested Minimum Capital
$45,000
# Trades
1300
# Profitable
499
% Profitable
38.4%
Net Dividends
Correlation S&P500
0.338
Sharpe Ratio
0.17
Sortino Ratio
0.24
Beta
0.13
Alpha
0.00
Leverage
0.70 Average
1.97 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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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.