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Meerkat Sectors
(102110837)

Created by: James James
Started: 04/2016
Stocks
Last trade: Yesterday
Trading style: Equity Sector Rotation

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 $40.00 per month.

Trading Category: Equity
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
11.0%
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.

(16.1%)
Max Drawdown
181
Num Trades
63.5%
Win Trades
2.4 : 1
Profit Factor
69.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                     (0.2%)+0.6%+2.4%+1.3%(1.3%)+0.6%(3.2%)+4.6%+2.2%+7.0%
2017+2.5%+3.4%+1.1%(0.3%)+2.4%+0.5%+3.1%+0.8%+2.5%+5.6%+4.3%+0.4%+29.5%
2018+5.0%(4.3%)(3.2%)(0.9%)+5.1%(0.8%)+6.3%+3.6%+1.4%(10.6%)+5.7%(10.3%)(5%)

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 856 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/18 15:55 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 38 65.61 12/13 15:55 66.22 0.01%
Trade id #121451318
Max drawdown($4)
Time12/11/18 16:09
Quant open38
Worst price65.50
Drawdown as % of equity-0.01%
$22
Includes Typical Broker Commissions trade costs of $0.76
11/12/18 15:55 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 81 67.39 12/11 15:46 66.25 0.89%
Trade id #120891821
Max drawdown($324)
Time11/20/18 10:16
Quant open81
Worst price63.38
Drawdown as % of equity-0.89%
($94)
Includes Typical Broker Commissions trade costs of $1.62
11/26/18 13:03 IHE ISHARES DOW JONES US PHARMACEU LONG 20 152.35 11/27 15:55 152.13 0.05%
Trade id #121170122
Max drawdown($19)
Time11/27/18 10:41
Quant open20
Worst price151.38
Drawdown as % of equity-0.05%
($5)
Includes Typical Broker Commissions trade costs of $0.40
10/2/18 15:55 XLY SPDR CONSUMER DISCRET SELECT LONG 77 113.78 11/19 15:55 105.57 2.38%
Trade id #120143026
Max drawdown($857)
Time10/29/18 15:45
Quant open67
Worst price100.99
Drawdown as % of equity-2.38%
($634)
Includes Typical Broker Commissions trade costs of $1.54
11/1/18 15:55 ITA I SHARES US AEROSPACE & DEFENSE LONG 28 196.62 11/12 15:56 198.41 0.09%
Trade id #120678651
Max drawdown($31)
Time11/5/18 10:23
Quant open28
Worst price195.49
Drawdown as % of equity-0.09%
$49
Includes Typical Broker Commissions trade costs of $0.56
11/1/18 15:57 XLC COMMUNICATION SERVICES SELECT SPDR FUND LONG 119 46.00 11/6 15:55 45.81 0.22%
Trade id #120678750
Max drawdown($80)
Time11/5/18 11:45
Quant open119
Worst price45.32
Drawdown as % of equity-0.22%
($24)
Includes Typical Broker Commissions trade costs of $2.38
10/17/18 15:55 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 85 70.60 10/30 15:55 67.63 1.16%
Trade id #120408948
Max drawdown($416)
Time10/29/18 15:45
Quant open83
Worst price65.59
Drawdown as % of equity-1.16%
($254)
Includes Typical Broker Commissions trade costs of $1.70
4/5/17 13:03 ITA I SHARES US AEROSPACE & DEFENSE LONG 146 161.85 10/30/18 15:55 173.49 1.5%
Trade id #110731940
Max drawdown($448)
Time5/17/17 8:01
Quant open42
Worst price140.00
Drawdown as % of equity-1.50%
$1,696
Includes Typical Broker Commissions trade costs of $2.92
10/16/18 15:56 XLV HEALTH CARE SELECT SECTOR SPDR LONG 81 93.28 10/30 13:00 87.76 1.46%
Trade id #120387615
Max drawdown($525)
Time10/25/18 9:42
Quant open75
Worst price86.27
Drawdown as % of equity-1.46%
($449)
Includes Typical Broker Commissions trade costs of $1.62
10/17/18 13:00 IBB ISHARES NASDAQ BIOTECHNOLOGY E LONG 26 114.50 10/18 15:55 112.98 0.18%
Trade id #120406459
Max drawdown($68)
Time10/18/18 13:27
Quant open26
Worst price111.87
Drawdown as % of equity-0.18%
($41)
Includes Typical Broker Commissions trade costs of $0.52
10/1/18 15:55 IHE ISHARES DOW JONES US PHARMACEU LONG 46 164.93 10/18 15:55 162.45 1.25%
Trade id #120123887
Max drawdown($468)
Time10/11/18 14:47
Quant open46
Worst price154.74
Drawdown as % of equity-1.25%
($115)
Includes Typical Broker Commissions trade costs of $0.92
10/15/18 15:55 XLC COMMUNICATION SERVICES SELECT SPDR FUND LONG 128 46.32 10/17 15:55 47.56 0.04%
Trade id #120363158
Max drawdown($16)
Time10/15/18 16:01
Quant open128
Worst price46.19
Drawdown as % of equity-0.04%
$156
Includes Typical Broker Commissions trade costs of $2.56
9/10/18 15:55 IBB ISHARES NASDAQ BIOTECHNOLOGY E LONG 52 117.90 10/15 15:55 110.50 1.34%
Trade id #119787456
Max drawdown($502)
Time10/11/18 14:47
Quant open52
Worst price108.23
Drawdown as % of equity-1.34%
($386)
Includes Typical Broker Commissions trade costs of $1.04
8/16/18 14:55 XLC COMMUNICATION SERVICES SELECT SPDR FUND LONG 136 48.95 10/12 15:55 46.40 1.46%
Trade id #119475457
Max drawdown($546)
Time10/11/18 14:47
Quant open136
Worst price44.93
Drawdown as % of equity-1.46%
($349)
Includes Typical Broker Commissions trade costs of $2.72
9/6/18 15:55 SOXX ISHARES PHLX SEMICONDUCTOR ETF LONG 40 185.87 10/11 13:00 179.32 0.78%
Trade id #119752016
Max drawdown($296)
Time10/11/18 6:34
Quant open15
Worst price166.11
Drawdown as % of equity-0.78%
($263)
Includes Typical Broker Commissions trade costs of $0.80
9/18/18 15:55 VNQ VANGUARD REAL ESTATE ETF LONG 82 82.93 10/9 9:31 79.67 0.76%
Trade id #119917749
Max drawdown($307)
Time9/26/18 15:54
Quant open82
Worst price79.18
Drawdown as % of equity-0.76%
($269)
Includes Typical Broker Commissions trade costs of $1.64
9/12/18 15:55 XLF FINANCIAL SELECT SECTOR SPDR LONG 226 28.09 10/3 15:55 27.99 0.34%
Trade id #119831642
Max drawdown($140)
Time10/2/18 10:39
Quant open226
Worst price27.47
Drawdown as % of equity-0.34%
($27)
Includes Typical Broker Commissions trade costs of $4.52
9/26/18 15:55 XLP SPDR CONSUMER STAPLES SELECT LONG 64 53.94 9/28 15:55 53.88 0.06%
Trade id #120053089
Max drawdown($22)
Time9/27/18 9:34
Quant open64
Worst price53.59
Drawdown as % of equity-0.06%
($5)
Includes Typical Broker Commissions trade costs of $1.28
3/2/18 15:57 XLY SPDR CONSUMER DISCRET SELECT LONG 87 103.97 9/21 15:55 114.49 1.53%
Trade id #116840080
Max drawdown($519)
Time4/2/18 14:07
Quant open80
Worst price97.48
Drawdown as % of equity-1.53%
$913
Includes Typical Broker Commissions trade costs of $1.74
9/4/18 15:55 XLP SPDR CONSUMER STAPLES SELECT LONG 66 53.60 9/21 15:55 55.02 0.02%
Trade id #119721203
Max drawdown($7)
Time9/5/18 9:31
Quant open66
Worst price53.49
Drawdown as % of equity-0.02%
$93
Includes Typical Broker Commissions trade costs of $1.32
9/4/18 15:55 VNQ VANGUARD REAL ESTATE ETF LONG 43 83.00 9/6 12:00 83.57 0.05%
Trade id #119721187
Max drawdown($18)
Time9/5/18 9:38
Quant open43
Worst price82.58
Drawdown as % of equity-0.05%
$23
Includes Typical Broker Commissions trade costs of $0.86
8/15/18 15:10 XLV HEALTH CARE SELECT SECTOR SPDR LONG 86 90.64 9/4 15:59 92.40 0.01%
Trade id #119458206
Max drawdown($2)
Time8/15/18 15:17
Quant open42
Worst price89.74
Drawdown as % of equity-0.01%
$149
Includes Typical Broker Commissions trade costs of $1.72
7/31/18 15:59 IHI ISHARES DOW JONES US MEDICAL D LONG 36 208.35 9/4 15:55 219.11 0.16%
Trade id #119215594
Max drawdown($60)
Time8/15/18 11:01
Quant open36
Worst price206.67
Drawdown as % of equity-0.16%
$386
Includes Typical Broker Commissions trade costs of $0.72
2/5/18 15:58 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 117 64.92 8/30 15:37 73.90 1.29%
Trade id #116313463
Max drawdown($431)
Time2/9/18 13:39
Quant open112
Worst price60.97
Drawdown as % of equity-1.29%
$1,049
Includes Typical Broker Commissions trade costs of $2.34
8/9/18 15:37 IBB ISHARES NASDAQ BIOTECHNOLOGY E LONG 47 117.43 8/21 14:27 116.78 0.3%
Trade id #119367256
Max drawdown($114)
Time8/15/18 16:01
Quant open47
Worst price115.00
Drawdown as % of equity-0.30%
($32)
Includes Typical Broker Commissions trade costs of $0.94
3/27/18 9:46 SOXX ISHARES PHLX SEMICONDUCTOR ETF LONG 26 178.63 8/16 14:46 181.31 0.55%
Trade id #117252142
Max drawdown($189)
Time4/4/18 7:01
Quant open12
Worst price171.27
Drawdown as % of equity-0.55%
$69
Includes Typical Broker Commissions trade costs of $0.52
4/26/18 9:55 XLF FINANCIAL SELECT SECTOR SPDR LONG 225 27.60 8/15 15:01 27.87 0.49%
Trade id #117674033
Max drawdown($186)
Time7/13/18 9:56
Quant open215
Worst price26.70
Drawdown as % of equity-0.49%
$56
Includes Typical Broker Commissions trade costs of $4.50
4/30/18 9:59 XLI INDUSTRIAL SELECT SECTOR SPDR LONG 90 72.90 8/10 15:17 75.78 0.54%
Trade id #117714301
Max drawdown($185)
Time5/3/18 10:37
Quant open73
Worst price70.03
Drawdown as % of equity-0.54%
$258
Includes Typical Broker Commissions trade costs of $1.80
7/30/18 9:38 IBB ISHARES NASDAQ BIOTECHNOLOGY E LONG 24 114.76 8/2 10:05 117.00 0.05%
Trade id #119182399
Max drawdown($20)
Time7/30/18 12:37
Quant open24
Worst price113.90
Drawdown as % of equity-0.05%
$54
Includes Typical Broker Commissions trade costs of $0.48
2/14/18 15:52 ITB I SHARES US HOME CONSTRUCTION LONG 327 40.18 7/31 12:23 38.60 1.35%
Trade id #116515627
Max drawdown($519)
Time7/31/18 12:23
Quant open192
Worst price38.00
Drawdown as % of equity-1.35%
($526)
Includes Typical Broker Commissions trade costs of $6.54

Statistics

  • Strategy began
    4/29/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    963.58
  • Age
    32 months ago
  • What it trades
    Stocks
  • # Trades
    181
  • # Profitable
    115
  • % Profitable
    63.50%
  • Avg trade duration
    42.2 days
  • Max peak-to-valley drawdown
    16.11%
  • drawdown period
    Oct 03, 2018 - Dec 17, 2018
  • Annual Return (Compounded)
    11.0%
  • Avg win
    $150.25
  • Avg loss
    $132.17
  • Model Account Values (Raw)
  • Cash
    $10,203
  • Margin Used
    $0
  • Buying Power
    $7,827
  • Ratios
  • W:L ratio
    2.40:1
  • Sharpe Ratio
    0.926
  • Sortino Ratio
    1.262
  • Calmar Ratio
    0.927
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.64400
  • Return Statistics
  • Ann Return (w trading costs)
    11.0%
  • Ann Return (Compnd, No Fees)
    13.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.50%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    558
  • Popularity (Last 6 weeks)
    875
  • C2 Score
    93.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $141
  • Avg Win
    $150
  • # Winners
    115
  • # Losers
    66
  • % Winners
    63.5%
  • Frequency
  • Avg Position Time (mins)
    60697.60
  • Avg Position Time (hrs)
    1011.63
  • Avg Trade Length
    42.2 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12863
  • SD
    0.10891
  • Sharpe ratio (Glass type estimate)
    1.18099
  • Sharpe ratio (Hedges UMVUE)
    1.15118
  • df
    30.00000
  • t
    1.89818
  • p
    0.03367
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42696
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10256
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40492
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02885
  • Upside Potential Ratio
    3.55864
  • Upside part of mean
    0.22562
  • Downside part of mean
    -0.09699
  • Upside SD
    0.09402
  • Downside SD
    0.06340
  • N nonnegative terms
    20.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.07077
  • Mean of criterion
    0.12863
  • SD of predictor
    0.08644
  • SD of criterion
    0.10891
  • Covariance
    0.00839
  • r
    0.89091
  • b (slope, estimate of beta)
    1.12257
  • a (intercept, estimate of alpha)
    0.04918
  • Mean Square Error
    0.00253
  • DF error
    29.00000
  • t(b)
    10.56370
  • p(b)
    -0.00000
  • t(a)
    1.52761
  • p(a)
    0.06872
  • Lowerbound of 95% confidence interval for beta
    0.90523
  • Upperbound of 95% confidence interval for beta
    1.33991
  • Lowerbound of 95% confidence interval for alpha
    -0.01666
  • Upperbound of 95% confidence interval for alpha
    0.11502
  • Treynor index (mean / b)
    0.11458
  • Jensen alpha (a)
    0.04918
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12199
  • SD
    0.10847
  • Sharpe ratio (Glass type estimate)
    1.12463
  • Sharpe ratio (Hedges UMVUE)
    1.09624
  • df
    30.00000
  • t
    1.80759
  • p
    0.04035
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13614
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36770
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15434
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34682
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88337
  • Upside Potential Ratio
    3.40915
  • Upside part of mean
    0.22082
  • Downside part of mean
    -0.09883
  • Upside SD
    0.09182
  • Downside SD
    0.06477
  • N nonnegative terms
    20.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.06679
  • Mean of criterion
    0.12199
  • SD of predictor
    0.08672
  • SD of criterion
    0.10847
  • Covariance
    0.00837
  • r
    0.88965
  • b (slope, estimate of beta)
    1.11284
  • a (intercept, estimate of alpha)
    0.04766
  • Mean Square Error
    0.00254
  • DF error
    29.00000
  • t(b)
    10.49190
  • p(b)
    -0.00000
  • t(a)
    1.48314
  • p(a)
    0.07441
  • Lowerbound of 95% confidence interval for beta
    0.89591
  • Upperbound of 95% confidence interval for beta
    1.32977
  • Lowerbound of 95% confidence interval for alpha
    -0.01806
  • Upperbound of 95% confidence interval for alpha
    0.11338
  • Treynor index (mean / b)
    0.10962
  • Jensen alpha (a)
    0.04766
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04050
  • Expected Shortfall on VaR
    0.05291
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01459
  • Expected Shortfall on VaR
    0.03157
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.94498
  • Quartile 1
    0.99671
  • Median
    1.01582
  • Quartile 3
    1.03857
  • Maximum
    1.06071
  • Mean of quarter 1
    0.97181
  • Mean of quarter 2
    1.00526
  • Mean of quarter 3
    1.02893
  • Mean of quarter 4
    1.04818
  • Inter Quartile Range
    0.04186
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37504
  • VaR(95%) (moments method)
    0.01746
  • Expected Shortfall (moments method)
    0.03660
  • Extreme Value Index (regression method)
    -0.37783
  • VaR(95%) (regression method)
    0.01810
  • Expected Shortfall (regression method)
    0.02282
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00290
  • Quartile 1
    0.00369
  • Median
    0.03840
  • Quartile 3
    0.06430
  • Maximum
    0.07600
  • Mean of quarter 1
    0.00329
  • Mean of quarter 2
    0.03840
  • Mean of quarter 3
    0.06430
  • Mean of quarter 4
    0.07600
  • Inter Quartile Range
    0.06062
  • 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)
    0.18306
  • Compounded annual return (geometric extrapolation)
    0.16171
  • Calmar ratio (compounded annual return / max draw down)
    2.12787
  • Compounded annual return / average of 25% largest draw downs
    2.12787
  • Compounded annual return / Expected Shortfall lognormal
    3.05667
  • 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
    0.10573
  • SD
    0.11401
  • Sharpe ratio (Glass type estimate)
    0.92736
  • Sharpe ratio (Hedges UMVUE)
    0.92634
  • df
    683.00000
  • t
    1.49840
  • p
    0.06725
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28699
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28768
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14036
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26188
  • Upside Potential Ratio
    8.03810
  • Upside part of mean
    0.67347
  • Downside part of mean
    -0.56775
  • Upside SD
    0.07747
  • Downside SD
    0.08378
  • N nonnegative terms
    390.00000
  • N negative terms
    294.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    684.00000
  • Mean of predictor
    0.05944
  • Mean of criterion
    0.10573
  • SD of predictor
    0.11946
  • SD of criterion
    0.11401
  • Covariance
    0.00884
  • r
    0.64891
  • b (slope, estimate of beta)
    0.61932
  • a (intercept, estimate of alpha)
    0.06900
  • Mean Square Error
    0.00754
  • DF error
    682.00000
  • t(b)
    22.27230
  • p(b)
    0.00000
  • t(a)
    1.28209
  • p(a)
    0.10012
  • Lowerbound of 95% confidence interval for beta
    0.56472
  • Upperbound of 95% confidence interval for beta
    0.67391
  • Lowerbound of 95% confidence interval for alpha
    -0.03662
  • Upperbound of 95% confidence interval for alpha
    0.17445
  • Treynor index (mean / b)
    0.17072
  • Jensen alpha (a)
    0.06891
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09919
  • SD
    0.11426
  • Sharpe ratio (Glass type estimate)
    0.86806
  • Sharpe ratio (Hedges UMVUE)
    0.86711
  • df
    683.00000
  • t
    1.40259
  • p
    0.08060
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34611
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08169
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34679
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08101
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17295
  • Upside Potential Ratio
    7.92817
  • Upside part of mean
    0.67043
  • Downside part of mean
    -0.57124
  • Upside SD
    0.07697
  • Downside SD
    0.08456
  • N nonnegative terms
    390.00000
  • N negative terms
    294.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    684.00000
  • Mean of predictor
    0.05227
  • Mean of criterion
    0.09919
  • SD of predictor
    0.11992
  • SD of criterion
    0.11426
  • Covariance
    0.00890
  • r
    0.64954
  • b (slope, estimate of beta)
    0.61889
  • a (intercept, estimate of alpha)
    0.06684
  • Mean Square Error
    0.00756
  • DF error
    682.00000
  • t(b)
    22.31010
  • p(b)
    0.00000
  • t(a)
    1.24175
  • p(a)
    0.10738
  • Lowerbound of 95% confidence interval for beta
    0.56442
  • Upperbound of 95% confidence interval for beta
    0.67336
  • Lowerbound of 95% confidence interval for alpha
    -0.03885
  • Upperbound of 95% confidence interval for alpha
    0.17253
  • Treynor index (mean / b)
    0.16027
  • Jensen alpha (a)
    0.06684
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01117
  • Expected Shortfall on VaR
    0.01408
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00445
  • Expected Shortfall on VaR
    0.00950
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    684.00000
  • Minimum
    0.96696
  • Quartile 1
    0.99798
  • Median
    1.00064
  • Quartile 3
    1.00380
  • Maximum
    1.02529
  • Mean of quarter 1
    0.99211
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.00211
  • Mean of quarter 4
    1.00832
  • Inter Quartile Range
    0.00582
  • Number outliers low
    42.00000
  • Percentage of outliers low
    0.06140
  • Mean of outliers low
    0.98256
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.03216
  • Mean of outliers high
    1.01744
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49624
  • VaR(95%) (moments method)
    0.00748
  • Expected Shortfall (moments method)
    0.01716
  • Extreme Value Index (regression method)
    0.17808
  • VaR(95%) (regression method)
    0.00679
  • Expected Shortfall (regression method)
    0.01089
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    61.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00140
  • Median
    0.00467
  • Quartile 3
    0.01026
  • Maximum
    0.14614
  • Mean of quarter 1
    0.00065
  • Mean of quarter 2
    0.00237
  • Mean of quarter 3
    0.00734
  • Mean of quarter 4
    0.03896
  • Inter Quartile Range
    0.00886
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.13115
  • Mean of outliers high
    0.05977
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.67850
  • VaR(95%) (moments method)
    0.03951
  • Expected Shortfall (moments method)
    0.13297
  • Extreme Value Index (regression method)
    0.95423
  • VaR(95%) (regression method)
    0.03527
  • Expected Shortfall (regression method)
    0.69434
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15072
  • Compounded annual return (geometric extrapolation)
    0.13552
  • Calmar ratio (compounded annual return / max draw down)
    0.92736
  • Compounded annual return / average of 25% largest draw downs
    3.47827
  • Compounded annual return / Expected Shortfall lognormal
    9.62599
  • 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
    -0.15996
  • SD
    0.14505
  • Sharpe ratio (Glass type estimate)
    -1.10277
  • Sharpe ratio (Hedges UMVUE)
    -1.09640
  • df
    130.00000
  • t
    -0.77978
  • p
    0.53412
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.87577
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67433
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.87141
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67861
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.39059
  • Upside Potential Ratio
    6.80275
  • Upside part of mean
    0.78250
  • Downside part of mean
    -0.94246
  • Upside SD
    0.08800
  • Downside SD
    0.11503
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.17932
  • Mean of criterion
    -0.15996
  • SD of predictor
    0.15303
  • SD of criterion
    0.14505
  • Covariance
    0.01463
  • r
    0.65931
  • b (slope, estimate of beta)
    0.62492
  • a (intercept, estimate of alpha)
    -0.04790
  • Mean Square Error
    0.01199
  • DF error
    129.00000
  • t(b)
    9.95972
  • p(b)
    0.11306
  • t(a)
    -0.30854
  • p(a)
    0.51728
  • Lowerbound of 95% confidence interval for beta
    0.50078
  • Upperbound of 95% confidence interval for beta
    0.74906
  • Lowerbound of 95% confidence interval for alpha
    -0.35503
  • Upperbound of 95% confidence interval for alpha
    0.25924
  • Treynor index (mean / b)
    -0.25596
  • Jensen alpha (a)
    -0.04790
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17048
  • SD
    0.14553
  • Sharpe ratio (Glass type estimate)
    -1.17138
  • Sharpe ratio (Hedges UMVUE)
    -1.16461
  • df
    130.00000
  • t
    -0.82829
  • p
    0.53623
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.94467
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.94003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61081
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.46784
  • Upside Potential Ratio
    6.70377
  • Upside part of mean
    0.77858
  • Downside part of mean
    -0.94906
  • Upside SD
    0.08741
  • Downside SD
    0.11614
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19106
  • Mean of criterion
    -0.17048
  • SD of predictor
    0.15374
  • SD of criterion
    0.14553
  • Covariance
    0.01474
  • r
    0.65867
  • b (slope, estimate of beta)
    0.62351
  • a (intercept, estimate of alpha)
    -0.05135
  • Mean Square Error
    0.01208
  • DF error
    129.00000
  • t(b)
    9.94261
  • p(b)
    0.11336
  • t(a)
    -0.32933
  • p(a)
    0.51845
  • Lowerbound of 95% confidence interval for beta
    0.49943
  • Upperbound of 95% confidence interval for beta
    0.74758
  • Lowerbound of 95% confidence interval for alpha
    -0.35985
  • Upperbound of 95% confidence interval for alpha
    0.25715
  • Treynor index (mean / b)
    -0.27342
  • Jensen alpha (a)
    -0.05135
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01532
  • Expected Shortfall on VaR
    0.01901
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00787
  • Expected Shortfall on VaR
    0.01530
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96696
  • Quartile 1
    0.99497
  • Median
    1.00063
  • Quartile 3
    1.00508
  • Maximum
    1.02153
  • Mean of quarter 1
    0.98784
  • Mean of quarter 2
    0.99814
  • Mean of quarter 3
    1.00253
  • Mean of quarter 4
    1.00956
  • Inter Quartile Range
    0.01011
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97377
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02134
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09814
  • VaR(95%) (moments method)
    0.01139
  • Expected Shortfall (moments method)
    0.01476
  • Extreme Value Index (regression method)
    0.01787
  • VaR(95%) (regression method)
    0.01113
  • Expected Shortfall (regression method)
    0.01504
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00503
  • Quartile 1
    0.00768
  • Median
    0.00892
  • Quartile 3
    0.02178
  • Maximum
    0.14614
  • Mean of quarter 1
    0.00631
  • Mean of quarter 2
    0.00845
  • Mean of quarter 3
    0.01544
  • Mean of quarter 4
    0.09224
  • Inter Quartile Range
    0.01410
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.14614
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.03231
  • VaR(95%) (moments method)
    0.06287
  • Expected Shortfall (moments method)
    0.09202
  • Extreme Value Index (regression method)
    1.70286
  • VaR(95%) (regression method)
    0.21813
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13761
  • Compounded annual return (geometric extrapolation)
    -0.13287
  • Calmar ratio (compounded annual return / max draw down)
    -0.90921
  • Compounded annual return / average of 25% largest draw downs
    -1.44054
  • Compounded annual return / Expected Shortfall lognormal
    -6.99025

Strategy Description

This dual momentum sector rotation strategy seeks to optimise risk/return performance during both bull and bear markets.

Strategy employs a rotational discipline providing subscribers with focused exposure to about half a dozen sectors experiencing the most favourable relative strength and stability, while avoiding exposure to those under prolonged duress. Positions are re-evaluated daily to keep losses to a minimum and take advantage of developing trends. Using Sector SPDR and iShares ETFs for exposure to long-only US equity markets eliminates the risk of single company failure while still retaining better return prospects.

While all sectors are positively correlated the S&P 500 Index (i.e. systematic risk), the correlation of their returns can vary widely. This systematic risk is addressed by liquidating under performing sectors during market rotations, shifting from high-beta to low-beta sectors on market down turns, and rotating to bond ETFs during bear markets. Related sector risk is addressed by avoiding highly correlated sectors and forcing diversity when the market is experiencing higher than normal levels of correlation, which can indicate market topping. While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose money, these strategies together make an effort to control risk while always staying in the market.

Use this coupon to receive 50% off the first month: UGUW44772

Summary Statistics

Strategy began
2016-04-29
Suggested Minimum Capital
$15,000
# Trades
181
# Profitable
115
% Profitable
63.5%
Net Dividends
Correlation S&P500
0.644
Sharpe Ratio
0.926

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.