Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

Smart Money Trends
(107358486)

Created by: AndresCardenal AndresCardenal
Started: 03/2017
Stocks
Last trade: 38 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $100.00 per month.

33.6%
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.

23.1%
Max Drawdown
39
Num Trades
76.9%
Win Trades
2.7 : 1
Profit Factor
78.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017              +5.9%+3.2%+0.7%+3.8%+6.6%(0.7%)+2.9%(3.9%)+3.6%+2.6%+27.1%
2018+10.4%(17.6%)+18.3%+1.4%                                                +9.2%

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 17 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/11/17 13:38 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 3 1914.75 3/9/18 13:24 2176.00 1.97%
Trade id #114159054
Max drawdown($602)
Time2/9/18 12:51
Quant open3
Worst price1714.07
Drawdown as % of equity-1.97%
$784
Includes Typical Broker Commissions trade costs of $0.06
2/2/18 14:11 LRCX1816O160 LRCX Mar16'18 160 put SHORT 3 2.10 2/26 14:34 0.35 9.2%
Trade id #116255361
Max drawdown($2,610)
Time2/9/18 13:39
Quant open-3
Worst price10.80
Drawdown as % of equity-9.20%
$521
Includes Typical Broker Commissions trade costs of $4.20
2/7/18 11:14 MU MICRON TECHNOLOGY LONG 200 43.00 2/9 12:41 38.05 3.25%
Trade id #116370789
Max drawdown($990)
Time2/9/18 12:41
Quant open0
Worst price38.05
Drawdown as % of equity-3.25%
($994)
Includes Typical Broker Commissions trade costs of $4.00
2/6/18 12:59 EWY ISHARES MSCI SOUTH KOREA ETF LONG 70 74.45 2/8 11:16 70.50 0.84%
Trade id #116349060
Max drawdown($277)
Time2/8/18 11:16
Quant open0
Worst price70.50
Drawdown as % of equity-0.84%
($278)
Includes Typical Broker Commissions trade costs of $1.40
10/4/17 11:27 CELG CELGENE LONG 35 146.07 2/5/18 15:09 94.25 5.35%
Trade id #114014352
Max drawdown($1,814)
Time2/5/18 15:09
Quant open0
Worst price94.25
Drawdown as % of equity-5.35%
($1,815)
Includes Typical Broker Commissions trade costs of $0.70
1/17/18 10:09 FCG FIRST TRUST NATURAL GAS ETF LONG 250 23.91 2/5 9:31 21.48 1.72%
Trade id #115927251
Max drawdown($607)
Time2/5/18 9:31
Quant open0
Worst price21.48
Drawdown as % of equity-1.72%
($612)
Includes Typical Broker Commissions trade costs of $5.00
1/30/18 13:17 XBI SPDR S&P BIOTECH LONG 60 95.30 2/5 9:30 90.32 0.85%
Trade id #116181883
Max drawdown($299)
Time2/5/18 9:30
Quant open0
Worst price90.32
Drawdown as % of equity-0.85%
($300)
Includes Typical Broker Commissions trade costs of $1.20
10/26/17 11:23 KRE SPDR S&P REGIONAL BANKING ETF LONG 150 57.52 1/25/18 10:25 63.06 n/a $828
Includes Typical Broker Commissions trade costs of $3.00
10/3/17 9:30 RXL PROSHARES ULTRA HEALTH CARE LONG 60 87.00 1/17/18 10:19 97.70 n/a $641
Includes Typical Broker Commissions trade costs of $1.20
10/4/17 13:35 EET PROSHARES ULTRA MSCI EMERGING LONG 60 85.91 1/17/18 10:10 102.90 0.46%
Trade id #114018777
Max drawdown($144)
Time12/6/17 9:31
Quant open60
Worst price83.50
Drawdown as % of equity-0.46%
$1,018
Includes Typical Broker Commissions trade costs of $1.20
10/24/17 11:30 NFLX NETFLIX LONG 30 193.64 1/12/18 10:54 219.28 0.77%
Trade id #114465261
Max drawdown($252)
Time12/27/17 13:24
Quant open30
Worst price185.22
Drawdown as % of equity-0.77%
$768
Includes Typical Broker Commissions trade costs of $0.60
11/13/17 14:17 JPM JPMORGAN CHASE LONG 60 97.95 1/4/18 11:08 109.38 0.33%
Trade id #114830641
Max drawdown($106)
Time12/12/17 15:33
Quant open60
Worst price96.17
Drawdown as % of equity-0.33%
$685
Includes Typical Broker Commissions trade costs of $1.20
10/27/17 10:17 NIB IPATH BLOOMBERG COCOA TR SUB-I LONG 250 25.50 11/10 12:02 27.20 0.73%
Trade id #114569127
Max drawdown($225)
Time11/3/17 10:22
Quant open250
Worst price24.60
Drawdown as % of equity-0.73%
$420
Includes Typical Broker Commissions trade costs of $5.00
10/17/17 10:23 BAC BANK OF AMERICA CORP LONG 200 26.36 10/23 10:43 27.30 0.16%
Trade id #114317640
Max drawdown($52)
Time10/18/17 5:06
Quant open200
Worst price26.10
Drawdown as % of equity-0.16%
$184
Includes Typical Broker Commissions trade costs of $4.00
4/13/17 11:12 JPM JPMORGAN CHASE LONG 60 86.04 10/11 14:01 96.40 n/a $621
Includes Typical Broker Commissions trade costs of $1.20
5/15/17 10:03 MA MASTERCARD LONG 50 118.00 10/10 10:34 145.66 n/a $1,382
Includes Typical Broker Commissions trade costs of $1.00
3/8/17 12:12 XLF1729X21 XLF Dec29'17 21 put SHORT 6 0.60 10/5 14:43 0.06 n/a $316
Includes Typical Broker Commissions trade costs of $8.40
3/7/17 15:08 TZA1720J23 TZA Oct20'17 23 call SHORT 3 2.15 10/3 11:31 0.03 n/a $632
Includes Typical Broker Commissions trade costs of $4.20
5/10/17 12:31 BA BOEING LONG 27 185.08 10/3 9:30 256.40 n/a $1,925
Includes Typical Broker Commissions trade costs of $0.54
5/4/17 14:05 CAT CATERPILLAR LONG 50 99.51 7/12 9:50 110.00 n/a $524
Includes Typical Broker Commissions trade costs of $1.00
5/3/17 12:10 BRF VANECK VECTORS BRAZIL SMALL-CA LONG 250 20.74 5/16 13:05 22.10 0.6%
Trade id #111387865
Max drawdown($165)
Time5/4/17 9:31
Quant open250
Worst price20.08
Drawdown as % of equity-0.60%
$335
Includes Typical Broker Commissions trade costs of $5.00
3/16/17 13:19 JETS US GLOBAL JETS ETF LONG 180 28.00 5/16 12:35 30.10 0.16%
Trade id #110280186
Max drawdown($41)
Time4/18/17 12:47
Quant open180
Worst price27.77
Drawdown as % of equity-0.16%
$374
Includes Typical Broker Commissions trade costs of $3.60
4/4/17 10:39 BAL IPATH BLOOMBERG COTTON TR SUB- SHORT 100 48.70 5/15 9:30 56.45 2.77%
Trade id #110687182
Max drawdown($775)
Time5/15/17 9:30
Quant open0
Worst price56.45
Drawdown as % of equity-2.77%
($777)
Includes Typical Broker Commissions trade costs of $2.00
5/1/17 10:59 SAN SANTANDER FINANCE SA UNIPERSON LONG 750 6.57 5/5 12:27 6.93 0.11%
Trade id #111344361
Max drawdown($30)
Time5/2/17 10:11
Quant open750
Worst price6.53
Drawdown as % of equity-0.11%
$265
Includes Typical Broker Commissions trade costs of $5.00
4/27/17 14:01 PCLN THE PRICELINE GROUP INC. COMMO LONG 3 1813.46 5/4 14:30 1901.52 0.01%
Trade id #111301280
Max drawdown($3)
Time4/27/17 14:04
Quant open3
Worst price1812.32
Drawdown as % of equity-0.01%
$264
Includes Typical Broker Commissions trade costs of $0.06
4/6/17 13:37 HD HOME DEPOT LONG 35 147.83 5/1 10:51 155.58 0.31%
Trade id #110777092
Max drawdown($81)
Time4/13/17 16:10
Quant open35
Worst price145.51
Drawdown as % of equity-0.31%
$270
Includes Typical Broker Commissions trade costs of $0.70
3/17/17 10:28 EDC DIREXION DAILY EMRG MKTS BULL LONG 100 74.96 4/25 10:19 78.42 1.96%
Trade id #110303611
Max drawdown($505)
Time4/19/17 15:44
Quant open100
Worst price69.91
Drawdown as % of equity-1.96%
$344
Includes Typical Broker Commissions trade costs of $2.00
3/7/17 14:24 RY1721P70 RY Apr21'17 70 put SHORT 3 0.55 4/17 13:54 0.15 0.7%
Trade id #110086695
Max drawdown($180)
Time3/22/17 10:05
Quant open-3
Worst price1.15
Drawdown as % of equity-0.70%
$116
Includes Typical Broker Commissions trade costs of $4.20
3/17/17 11:37 NIB IPATH BLOOMBERG COCOA TR SUB-I LONG 200 24.80 4/10 10:15 25.55 0.29%
Trade id #110306952
Max drawdown($76)
Time4/10/17 9:56
Quant open100
Worst price24.03
Drawdown as % of equity-0.29%
$146
Includes Typical Broker Commissions trade costs of $4.00
3/27/17 12:31 TECL DIREXION DAILY TECHNOLOGY BULL LONG 150 64.99 4/6 10:30 66.59 0.1%
Trade id #110448447
Max drawdown($25)
Time3/28/17 9:53
Quant open150
Worst price64.82
Drawdown as % of equity-0.10%
$237
Includes Typical Broker Commissions trade costs of $3.00

Statistics

  • Strategy began
    3/7/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    409.56
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    39
  • # Profitable
    30
  • % Profitable
    76.90%
  • Avg trade duration
    78.7 days
  • Max peak-to-valley drawdown
    23.07%
  • drawdown period
    Jan 24, 2018 - March 02, 2018
  • Annual Return (Compounded)
    33.6%
  • Avg win
    $523.13
  • Avg loss
    $687.78
  • Model Account Values (Raw)
  • Cash
    $17,333
  • Margin Used
    $0
  • Buying Power
    $18,521
  • Ratios
  • W:L ratio
    2.65:1
  • Sharpe Ratio
    1.327
  • Sortino Ratio
    1.964
  • Calmar Ratio
    2.078
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.44600
  • Return Statistics
  • Ann Return (w trading costs)
    33.6%
  • Ann Return (Compnd, No Fees)
    39.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.50%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    291
  • Popularity (Last 6 weeks)
    830
  • C2 Score
    73.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    10
  • Win / Loss
  • Avg Loss
    $688
  • Avg Win
    $569
  • # Winners
    30
  • # Losers
    9
  • % Winners
    76.9%
  • Frequency
  • Avg Position Time (mins)
    113265.00
  • Avg Position Time (hrs)
    1887.75
  • Avg Trade Length
    78.7 days
  • Last Trade Ago
    18
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35042
  • SD
    0.26714
  • Sharpe ratio (Glass type estimate)
    1.31173
  • Sharpe ratio (Hedges UMVUE)
    1.21986
  • df
    11.00000
  • t
    1.31173
  • p
    0.10816
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74898
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31784
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80531
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24502
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03366
  • Upside Potential Ratio
    3.23138
  • Upside part of mean
    0.55679
  • Downside part of mean
    -0.20638
  • Upside SD
    0.21438
  • Downside SD
    0.17231
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.08595
  • Mean of criterion
    0.35042
  • SD of predictor
    0.08134
  • SD of criterion
    0.26714
  • Covariance
    0.00559
  • r
    0.25741
  • b (slope, estimate of beta)
    0.84537
  • a (intercept, estimate of alpha)
    0.27775
  • Mean Square Error
    0.07330
  • DF error
    10.00000
  • t(b)
    0.84240
  • p(b)
    0.20963
  • t(a)
    0.97751
  • p(a)
    0.17569
  • Lowerbound of 95% confidence interval for beta
    -1.39062
  • Upperbound of 95% confidence interval for beta
    3.08137
  • Lowerbound of 95% confidence interval for alpha
    -0.35536
  • Upperbound of 95% confidence interval for alpha
    0.91087
  • Treynor index (mean / b)
    0.41451
  • Jensen alpha (a)
    0.27775
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31163
  • SD
    0.27324
  • Sharpe ratio (Glass type estimate)
    1.14051
  • Sharpe ratio (Hedges UMVUE)
    1.06062
  • df
    11.00000
  • t
    1.14051
  • p
    0.13915
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89942
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13205
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07007
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66069
  • Upside Potential Ratio
    2.84643
  • Upside part of mean
    0.53413
  • Downside part of mean
    -0.22250
  • Upside SD
    0.20327
  • Downside SD
    0.18765
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.08244
  • Mean of criterion
    0.31163
  • SD of predictor
    0.08126
  • SD of criterion
    0.27324
  • Covariance
    0.00675
  • r
    0.30385
  • b (slope, estimate of beta)
    1.02177
  • a (intercept, estimate of alpha)
    0.22740
  • Mean Square Error
    0.07454
  • DF error
    10.00000
  • t(b)
    1.00856
  • p(b)
    0.16848
  • t(a)
    0.79645
  • p(a)
    0.22213
  • Lowerbound of 95% confidence interval for beta
    -1.23556
  • Upperbound of 95% confidence interval for beta
    3.27911
  • Lowerbound of 95% confidence interval for alpha
    -0.40876
  • Upperbound of 95% confidence interval for alpha
    0.86356
  • Treynor index (mean / b)
    0.30499
  • Jensen alpha (a)
    0.22740
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09857
  • Expected Shortfall on VaR
    0.12743
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02271
  • Expected Shortfall on VaR
    0.05718
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.83386
  • Quartile 1
    1.01873
  • Median
    1.05094
  • Quartile 3
    1.05734
  • Maximum
    1.15671
  • Mean of quarter 1
    0.93354
  • Mean of quarter 2
    1.03866
  • Mean of quarter 3
    1.05410
  • Mean of quarter 4
    1.09982
  • Inter Quartile Range
    0.03860
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.83386
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.15671
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.94640
  • VaR(95%) (regression method)
    0.16024
  • Expected Shortfall (regression method)
    3.87209
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03379
  • Quartile 1
    0.06688
  • Median
    0.09997
  • Quartile 3
    0.13305
  • Maximum
    0.16614
  • Mean of quarter 1
    0.03379
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16614
  • Inter Quartile Range
    0.06617
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40430
  • Compounded annual return (geometric extrapolation)
    0.40430
  • Calmar ratio (compounded annual return / max draw down)
    2.43345
  • Compounded annual return / average of 25% largest draw downs
    2.43345
  • Compounded annual return / Expected Shortfall lognormal
    3.17279
  • 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
    0.36729
  • SD
    0.27593
  • Sharpe ratio (Glass type estimate)
    1.33110
  • Sharpe ratio (Hedges UMVUE)
    1.32744
  • df
    273.00000
  • t
    1.36125
  • p
    0.08728
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58987
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24970
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59235
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24724
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.96432
  • Upside Potential Ratio
    6.80169
  • Upside part of mean
    1.27179
  • Downside part of mean
    -0.90450
  • Upside SD
    0.20350
  • Downside SD
    0.18698
  • N nonnegative terms
    159.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    274.00000
  • Mean of predictor
    0.09404
  • Mean of criterion
    0.36729
  • SD of predictor
    0.12028
  • SD of criterion
    0.27593
  • Covariance
    0.01455
  • r
    0.43833
  • b (slope, estimate of beta)
    1.00560
  • a (intercept, estimate of alpha)
    0.27300
  • Mean Square Error
    0.06174
  • DF error
    272.00000
  • t(b)
    8.04290
  • p(b)
    0.00000
  • t(a)
    1.12119
  • p(a)
    0.13160
  • Lowerbound of 95% confidence interval for beta
    0.75945
  • Upperbound of 95% confidence interval for beta
    1.25174
  • Lowerbound of 95% confidence interval for alpha
    -0.20616
  • Upperbound of 95% confidence interval for alpha
    0.75162
  • Treynor index (mean / b)
    0.36525
  • Jensen alpha (a)
    0.27273
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32892
  • SD
    0.27726
  • Sharpe ratio (Glass type estimate)
    1.18630
  • Sharpe ratio (Hedges UMVUE)
    1.18304
  • df
    273.00000
  • t
    1.21317
  • p
    0.11306
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73388
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10441
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73609
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10217
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66413
  • Upside Potential Ratio
    6.33510
  • Upside part of mean
    1.25213
  • Downside part of mean
    -0.92322
  • Upside SD
    0.19478
  • Downside SD
    0.19765
  • N nonnegative terms
    159.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    274.00000
  • Mean of predictor
    0.08676
  • Mean of criterion
    0.32892
  • SD of predictor
    0.12084
  • SD of criterion
    0.27726
  • Covariance
    0.01464
  • r
    0.43704
  • b (slope, estimate of beta)
    1.00277
  • a (intercept, estimate of alpha)
    0.24191
  • Mean Square Error
    0.06242
  • DF error
    272.00000
  • t(b)
    8.01368
  • p(b)
    0.00000
  • t(a)
    0.98923
  • p(a)
    0.16171
  • Lowerbound of 95% confidence interval for beta
    0.75642
  • Upperbound of 95% confidence interval for beta
    1.24912
  • Lowerbound of 95% confidence interval for alpha
    -0.23953
  • Upperbound of 95% confidence interval for alpha
    0.72336
  • Treynor index (mean / b)
    0.32801
  • Jensen alpha (a)
    0.24191
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02656
  • Expected Shortfall on VaR
    0.03348
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00677
  • Expected Shortfall on VaR
    0.01578
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    274.00000
  • Minimum
    0.85049
  • Quartile 1
    0.99730
  • Median
    1.00111
  • Quartile 3
    1.00560
  • Maximum
    1.15047
  • Mean of quarter 1
    0.98727
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00323
  • Mean of quarter 4
    1.01615
  • Inter Quartile Range
    0.00830
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.04745
  • Mean of outliers low
    0.96305
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.05109
  • Mean of outliers high
    1.03781
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58730
  • VaR(95%) (moments method)
    0.01099
  • Expected Shortfall (moments method)
    0.03031
  • Extreme Value Index (regression method)
    0.54726
  • VaR(95%) (regression method)
    0.01097
  • Expected Shortfall (regression method)
    0.02800
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00094
  • Median
    0.00677
  • Quartile 3
    0.02484
  • Maximum
    0.20637
  • Mean of quarter 1
    0.00031
  • Mean of quarter 2
    0.00287
  • Mean of quarter 3
    0.01348
  • Mean of quarter 4
    0.07608
  • Inter Quartile Range
    0.02390
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    0.11755
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.22516
  • VaR(95%) (moments method)
    0.07172
  • Expected Shortfall (moments method)
    0.11811
  • Extreme Value Index (regression method)
    0.61309
  • VaR(95%) (regression method)
    0.11901
  • Expected Shortfall (regression method)
    0.35146
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43251
  • Compounded annual return (geometric extrapolation)
    0.42878
  • Calmar ratio (compounded annual return / max draw down)
    2.07776
  • Compounded annual return / average of 25% largest draw downs
    5.63584
  • Compounded annual return / Expected Shortfall lognormal
    12.80570
  • 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
    0.28529
  • SD
    0.38133
  • Sharpe ratio (Glass type estimate)
    0.74814
  • Sharpe ratio (Hedges UMVUE)
    0.74381
  • df
    130.00000
  • t
    0.52901
  • p
    0.47683
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02649
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52011
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51709
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08207
  • Upside Potential Ratio
    6.54080
  • Upside part of mean
    1.72447
  • Downside part of mean
    -1.43918
  • Upside SD
    0.27405
  • Downside SD
    0.26365
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06906
  • Mean of criterion
    0.28529
  • SD of predictor
    0.15624
  • SD of criterion
    0.38133
  • Covariance
    0.02584
  • r
    0.43374
  • b (slope, estimate of beta)
    1.05862
  • a (intercept, estimate of alpha)
    0.21218
  • Mean Square Error
    0.11897
  • DF error
    129.00000
  • t(b)
    5.46741
  • p(b)
    0.23279
  • t(a)
    0.43482
  • p(a)
    0.47565
  • Lowerbound of 95% confidence interval for beta
    0.67553
  • Upperbound of 95% confidence interval for beta
    1.44171
  • Lowerbound of 95% confidence interval for alpha
    -0.75329
  • Upperbound of 95% confidence interval for alpha
    1.17765
  • Treynor index (mean / b)
    0.26949
  • Jensen alpha (a)
    0.21218
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21257
  • SD
    0.38350
  • Sharpe ratio (Glass type estimate)
    0.55429
  • Sharpe ratio (Hedges UMVUE)
    0.55109
  • df
    130.00000
  • t
    0.39194
  • p
    0.48282
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21930
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32595
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22153
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32370
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.76086
  • Upside Potential Ratio
    6.04592
  • Upside part of mean
    1.68913
  • Downside part of mean
    -1.47656
  • Upside SD
    0.26090
  • Downside SD
    0.27938
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05684
  • Mean of criterion
    0.21257
  • SD of predictor
    0.15712
  • SD of criterion
    0.38350
  • Covariance
    0.02605
  • r
    0.43228
  • b (slope, estimate of beta)
    1.05513
  • a (intercept, estimate of alpha)
    0.15260
  • Mean Square Error
    0.12052
  • DF error
    129.00000
  • t(b)
    5.44479
  • p(b)
    0.23363
  • t(a)
    0.31074
  • p(a)
    0.48259
  • Lowerbound of 95% confidence interval for beta
    0.67172
  • Upperbound of 95% confidence interval for beta
    1.43855
  • Lowerbound of 95% confidence interval for alpha
    -0.81901
  • Upperbound of 95% confidence interval for alpha
    1.12420
  • Treynor index (mean / b)
    0.20147
  • Jensen alpha (a)
    0.15260
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03744
  • Expected Shortfall on VaR
    0.04689
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01169
  • Expected Shortfall on VaR
    0.02622
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85049
  • Quartile 1
    0.99574
  • Median
    1.00088
  • Quartile 3
    1.00849
  • Maximum
    1.15047
  • Mean of quarter 1
    0.98018
  • Mean of quarter 2
    0.99829
  • Mean of quarter 3
    1.00440
  • Mean of quarter 4
    1.02202
  • Inter Quartile Range
    0.01275
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.94778
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.07104
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55462
  • VaR(95%) (moments method)
    0.01756
  • Expected Shortfall (moments method)
    0.04523
  • Extreme Value Index (regression method)
    0.39890
  • VaR(95%) (regression method)
    0.01955
  • Expected Shortfall (regression method)
    0.04054
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00291
  • Quartile 1
    0.01607
  • Median
    0.06328
  • Quartile 3
    0.08299
  • Maximum
    0.20637
  • Mean of quarter 1
    0.00949
  • Mean of quarter 2
    0.06328
  • Mean of quarter 3
    0.08299
  • Mean of quarter 4
    0.20637
  • Inter Quartile Range
    0.06693
  • 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
    0.20000
  • Mean of outliers high
    0.20637
  • 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)
    0.25553
  • Compounded annual return (geometric extrapolation)
    0.27186
  • Calmar ratio (compounded annual return / max draw down)
    1.31735
  • Compounded annual return / average of 25% largest draw downs
    1.31735
  • Compounded annual return / Expected Shortfall lognormal
    5.79820

Strategy Description

The strategy combines quantitative and qualitative factors in search for promising opportunities offering attractive potential for gains in comparison to risks.
Smart Money Trends considers fundamental data, quantitative price indicators and sentiment in each specific position. Trade decisiones are ultimately discretional, and the strategy can trade individual stocks, ETFs and options. Smart Money Trends can make both trend following and mean reversal trades depending on the particular market environment and available opportunities.

Summary Statistics

Strategy began
2017-03-07
Suggested Minimum Capital
$35,000
# Trades
39
# Profitable
30
% Profitable
76.9%
Net Dividends
Correlation S&P500
0.446
Sharpe Ratio
1.327

Latest Activity

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.