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Move North Stock Fund
(107529017)

Created by: MoveNorth MoveNorth
Started: 11/2016
Stocks
Last trade: 9 days ago
Trading style: Equity Momentum

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 $50.00 per month.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
16.0%
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.

(19.5%)
Max Drawdown
99
Num Trades
45.5%
Win Trades
1.9 : 1
Profit Factor
73.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      (0.2%)+1.5%+1.3%
2017+1.3%+1.0%+6.1%+3.4%+13.3%+1.0%+1.0%+0.5%+4.2%+2.7%+0.5%+0.8%+41.3%
2018+10.4%(4.2%)(1.7%)+0.6%+6.1%(2.7%)(3.2%)+9.8%+0.3%(12.2%)+0.7%(6.7%)(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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 132 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/29/18 9:30 LULU LULULEMON ATHLETICA LONG 15 128.03 12/10 9:30 113.35 0.63%
Trade id #121239159
Max drawdown($228)
Time12/7/18 20:00
Quant open15
Worst price112.82
Drawdown as % of equity-0.63%
($220)
Includes Typical Broker Commissions trade costs of $0.30
8/30/18 9:30 GKOS GLAUKOS CORPORATION LONG 33 62.39 11/21 9:30 56.07 0.82%
Trade id #119660927
Max drawdown($305)
Time11/8/18 9:41
Quant open33
Worst price53.13
Drawdown as % of equity-0.82%
($210)
Includes Typical Broker Commissions trade costs of $0.66
8/22/18 9:30 PINC PREMIER INC. CLASS A COMMON S LONG 46 43.79 11/21 9:30 38.89 0.63%
Trade id #119547442
Max drawdown($230)
Time11/20/18 15:54
Quant open46
Worst price38.77
Drawdown as % of equity-0.63%
($226)
Includes Typical Broker Commissions trade costs of $0.92
8/16/18 9:30 PETQ PETIQ INC. CLASS A COMMON STOCK LONG 62 31.86 10/31 9:31 30.73 0.54%
Trade id #119466636
Max drawdown($202)
Time10/30/18 13:41
Quant open62
Worst price28.60
Drawdown as % of equity-0.54%
($71)
Includes Typical Broker Commissions trade costs of $1.24
8/22/18 9:30 RGS REGIS LONG 96 21.00 10/31 9:31 17.27 1.39%
Trade id #119547631
Max drawdown($518)
Time10/30/18 10:07
Quant open96
Worst price15.60
Drawdown as % of equity-1.39%
($360)
Includes Typical Broker Commissions trade costs of $1.92
8/6/18 9:30 HMSY HMS HOLDINGS CORP LONG 66 29.62 10/31 9:30 29.65 0.13%
Trade id #119294028
Max drawdown($50)
Time10/30/18 15:21
Quant open66
Worst price28.86
Drawdown as % of equity-0.13%
$1
Includes Typical Broker Commissions trade costs of $1.32
9/14/17 9:30 CNC CENTENE LONG 17 97.86 10/25/18 9:30 129.75 n/a $542
Includes Typical Broker Commissions trade costs of $0.34
3/29/18 9:30 LULU LULULEMON ATHLETICA LONG 21 86.96 10/22 9:30 136.47 n/a $1,040
Includes Typical Broker Commissions trade costs of $0.42
8/13/18 9:30 SHAK SHAKE SHACK INC LONG 35 56.57 10/22 9:30 54.75 0.25%
Trade id #119405903
Max drawdown($94)
Time10/19/18 14:41
Quant open35
Worst price53.86
Drawdown as % of equity-0.25%
($65)
Includes Typical Broker Commissions trade costs of $0.70
7/27/18 12:36 AMD ADVANCED MICRO DEVICES INC. C LONG 108 18.47 10/22 9:30 24.51 n/a $650
Includes Typical Broker Commissions trade costs of $2.16
9/24/18 9:30 SCS STEELCASE LONG 108 18.90 10/12 9:30 17.34 0.66%
Trade id #119999766
Max drawdown($247)
Time10/11/18 15:37
Quant open108
Worst price16.61
Drawdown as % of equity-0.66%
($170)
Includes Typical Broker Commissions trade costs of $2.16
8/13/18 9:30 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 28 71.00 10/12 9:30 69.29 0.35%
Trade id #119405816
Max drawdown($130)
Time10/11/18 9:31
Quant open28
Worst price66.33
Drawdown as % of equity-0.35%
($49)
Includes Typical Broker Commissions trade costs of $0.56
9/27/18 9:30 ALDX ALDEYRA THERAPEUTICS INC. COM LONG 156 13.90 10/12 9:30 12.04 0.99%
Trade id #120062570
Max drawdown($372)
Time10/11/18 14:46
Quant open156
Worst price11.51
Drawdown as % of equity-0.99%
($293)
Includes Typical Broker Commissions trade costs of $3.12
1/31/18 9:30 GWW W.W. GRAINGER LONG 7 275.98 10/11 9:31 315.13 n/a $274
Includes Typical Broker Commissions trade costs of $0.14
8/6/18 9:30 CTRL CONTROL4 CORPORATION COMMON ST LONG 60 31.96 10/11 9:30 27.10 0.78%
Trade id #119293967
Max drawdown($292)
Time10/11/18 9:30
Quant open0
Worst price27.10
Drawdown as % of equity-0.78%
($293)
Includes Typical Broker Commissions trade costs of $1.20
9/14/18 9:30 EVRI EVERI HLDGS INC LONG 226 9.34 10/8 10:26 8.13 0.79%
Trade id #119859017
Max drawdown($311)
Time10/8/18 10:21
Quant open226
Worst price7.96
Drawdown as % of equity-0.79%
($278)
Includes Typical Broker Commissions trade costs of $4.52
6/25/18 9:30 KMX CARMAX LONG 25 79.37 10/8 9:30 70.70 0.56%
Trade id #118621096
Max drawdown($223)
Time10/5/18 13:37
Quant open25
Worst price70.44
Drawdown as % of equity-0.56%
($218)
Includes Typical Broker Commissions trade costs of $0.50
4/25/18 9:30 HSII HEIDRICK & STRUGGLES LONG 48 37.99 10/2 9:30 32.16 0.67%
Trade id #117655315
Max drawdown($282)
Time10/1/18 15:35
Quant open48
Worst price32.12
Drawdown as % of equity-0.67%
($281)
Includes Typical Broker Commissions trade costs of $0.96
8/31/18 9:30 TLYS TILLY'S LONG 96 20.72 9/18 9:30 17.90 0.8%
Trade id #119678626
Max drawdown($337)
Time9/18/18 9:00
Quant open96
Worst price17.20
Drawdown as % of equity-0.80%
($273)
Includes Typical Broker Commissions trade costs of $1.92
6/25/18 9:30 PKE PARK ELECTROCHEMICAL LONG 87 23.32 9/11 9:30 20.39 0.6%
Trade id #118621091
Max drawdown($255)
Time9/11/18 9:30
Quant open0
Worst price20.39
Drawdown as % of equity-0.60%
($257)
Includes Typical Broker Commissions trade costs of $1.74
5/30/18 9:30 ZTO ZTO EXPRESS CAYMAN LONG 94 20.50 8/31 9:30 18.16 0.68%
Trade id #118165387
Max drawdown($272)
Time8/15/18 10:54
Quant open94
Worst price17.60
Drawdown as % of equity-0.68%
($222)
Includes Typical Broker Commissions trade costs of $1.88
8/28/18 9:30 CRON CRONOS GROUP INC. COMMON SHARE LONG 164 11.68 8/31 9:30 8.72 1.45%
Trade id #119623063
Max drawdown($596)
Time8/30/18 18:34
Quant open164
Worst price8.04
Drawdown as % of equity-1.45%
($488)
Includes Typical Broker Commissions trade costs of $3.28
5/31/18 9:30 MOV MOVADO GROUP LONG 41 49.30 8/30 9:30 42.20 0.88%
Trade id #118187008
Max drawdown($370)
Time8/29/18 9:39
Quant open41
Worst price40.27
Drawdown as % of equity-0.88%
($292)
Includes Typical Broker Commissions trade costs of $0.82
8/23/18 9:30 LZB LA-Z-BOY LONG 53 36.00 8/27 9:31 33.20 0.37%
Trade id #119565341
Max drawdown($156)
Time8/24/18 16:22
Quant open53
Worst price33.05
Drawdown as % of equity-0.37%
($149)
Includes Typical Broker Commissions trade costs of $1.06
3/16/18 9:30 CVTI COVENANT TRANSPORTATION LONG 62 32.38 8/20 9:30 30.25 0.94%
Trade id #117090699
Max drawdown($373)
Time7/26/18 10:29
Quant open62
Worst price26.36
Drawdown as % of equity-0.94%
($133)
Includes Typical Broker Commissions trade costs of $1.24
10/30/17 9:30 INTC INTEL LONG 38 44.50 8/16/18 9:31 47.92 n/a $129
Includes Typical Broker Commissions trade costs of $0.76
4/26/18 9:30 TSG THE STARS GROUP INC LONG 60 31.10 8/14 9:30 28.70 0.65%
Trade id #117673177
Max drawdown($258)
Time8/13/18 13:46
Quant open60
Worst price26.80
Drawdown as % of equity-0.65%
($145)
Includes Typical Broker Commissions trade costs of $1.20
5/10/18 9:30 OXY OCCIDENTAL PETROLEUM LONG 24 83.38 8/10 9:30 77.43 0.44%
Trade id #117872277
Max drawdown($174)
Time8/9/18 12:14
Quant open24
Worst price76.09
Drawdown as % of equity-0.44%
($143)
Includes Typical Broker Commissions trade costs of $0.48
10/30/17 9:30 SIVB SVB FINANCIAL LONG 8 217.72 7/31/18 9:30 302.97 n/a $682
Includes Typical Broker Commissions trade costs of $0.16
7/19/17 9:34 QDEL QUIDEL LONG 44 37.50 7/31/18 9:30 65.34 n/a $1,224
Includes Typical Broker Commissions trade costs of $0.88

Statistics

  • Strategy began
    11/28/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    751.19
  • Age
    25 months ago
  • What it trades
    Stocks
  • # Trades
    99
  • # Profitable
    45
  • % Profitable
    45.50%
  • Avg trade duration
    146.2 days
  • Max peak-to-valley drawdown
    19.49%
  • drawdown period
    June 14, 2018 - Dec 18, 2018
  • Annual Return (Compounded)
    16.0%
  • Avg win
    $477.07
  • Avg loss
    $212.76
  • Model Account Values (Raw)
  • Cash
    $27,631
  • Margin Used
    $0
  • Buying Power
    $28,968
  • Ratios
  • W:L ratio
    1.94:1
  • Sharpe Ratio
    1.124
  • Sortino Ratio
    1.558
  • Calmar Ratio
    1.059
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.51700
  • Return Statistics
  • Ann Return (w trading costs)
    16.0%
  • Ann Return (Compnd, No Fees)
    18.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    20.50%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    661
  • Popularity (Last 6 weeks)
    857
  • C2 Score
    92.0
  • 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
    $213
  • Avg Win
    $477
  • # Winners
    45
  • # Losers
    54
  • % Winners
    45.5%
  • Frequency
  • Avg Position Time (mins)
    210452.00
  • Avg Position Time (hrs)
    3507.54
  • Avg Trade Length
    146.1 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
    0.19155
  • SD
    0.16862
  • Sharpe ratio (Glass type estimate)
    1.13600
  • Sharpe ratio (Hedges UMVUE)
    1.09848
  • df
    23.00000
  • t
    1.60654
  • p
    0.06090
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54823
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32332
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52027
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24540
  • Upside Potential Ratio
    3.85208
  • Upside part of mean
    0.32861
  • Downside part of mean
    -0.13706
  • Upside SD
    0.15175
  • Downside SD
    0.08531
  • N nonnegative terms
    17.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.07895
  • Mean of criterion
    0.19155
  • SD of predictor
    0.09572
  • SD of criterion
    0.16862
  • Covariance
    0.00996
  • r
    0.61724
  • b (slope, estimate of beta)
    1.08728
  • a (intercept, estimate of alpha)
    0.10570
  • Mean Square Error
    0.01840
  • DF error
    22.00000
  • t(b)
    3.67968
  • p(b)
    0.00066
  • t(a)
    1.07083
  • p(a)
    0.14793
  • Lowerbound of 95% confidence interval for beta
    0.47449
  • Upperbound of 95% confidence interval for beta
    1.70007
  • Lowerbound of 95% confidence interval for alpha
    -0.09901
  • Upperbound of 95% confidence interval for alpha
    0.31043
  • Treynor index (mean / b)
    0.17617
  • Jensen alpha (a)
    0.10570
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17650
  • SD
    0.16524
  • Sharpe ratio (Glass type estimate)
    1.06815
  • Sharpe ratio (Hedges UMVUE)
    1.03287
  • df
    23.00000
  • t
    1.51059
  • p
    0.07226
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36233
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47664
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38481
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.45055
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00622
  • Upside Potential Ratio
    3.60356
  • Upside part of mean
    0.31703
  • Downside part of mean
    -0.14053
  • Upside SD
    0.14499
  • Downside SD
    0.08798
  • N nonnegative terms
    17.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.07411
  • Mean of criterion
    0.17650
  • SD of predictor
    0.09636
  • SD of criterion
    0.16524
  • Covariance
    0.01009
  • r
    0.63359
  • b (slope, estimate of beta)
    1.08647
  • a (intercept, estimate of alpha)
    0.09598
  • Mean Square Error
    0.01709
  • DF error
    22.00000
  • t(b)
    3.84119
  • p(b)
    0.00044
  • t(a)
    1.01273
  • p(a)
    0.16110
  • Lowerbound of 95% confidence interval for beta
    0.49988
  • Upperbound of 95% confidence interval for beta
    1.67306
  • Lowerbound of 95% confidence interval for alpha
    -0.10057
  • Upperbound of 95% confidence interval for alpha
    0.29254
  • Treynor index (mean / b)
    0.16245
  • Jensen alpha (a)
    0.09598
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06176
  • Expected Shortfall on VaR
    0.08014
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01798
  • Expected Shortfall on VaR
    0.03964
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.91635
  • Quartile 1
    0.99176
  • Median
    1.01354
  • Quartile 3
    1.04086
  • Maximum
    1.13119
  • Mean of quarter 1
    0.95744
  • Mean of quarter 2
    1.00682
  • Mean of quarter 3
    1.02926
  • Mean of quarter 4
    1.07964
  • Inter Quartile Range
    0.04910
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.91635
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04167
  • Mean of outliers high
    1.13119
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18351
  • VaR(95%) (moments method)
    0.04650
  • Expected Shortfall (moments method)
    0.06698
  • Extreme Value Index (regression method)
    1.00358
  • VaR(95%) (regression method)
    0.04365
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00249
  • Quartile 1
    0.04692
  • Median
    0.06896
  • Quartile 3
    0.08527
  • Maximum
    0.11247
  • Mean of quarter 1
    0.00249
  • Mean of quarter 2
    0.06173
  • Mean of quarter 3
    0.07620
  • Mean of quarter 4
    0.11247
  • Inter Quartile Range
    0.03835
  • 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)
    0.25252
  • Compounded annual return (geometric extrapolation)
    0.22680
  • Calmar ratio (compounded annual return / max draw down)
    2.01662
  • Compounded annual return / average of 25% largest draw downs
    2.01662
  • Compounded annual return / Expected Shortfall lognormal
    2.83019
  • 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
    0.15160
  • SD
    0.13463
  • Sharpe ratio (Glass type estimate)
    1.12604
  • Sharpe ratio (Hedges UMVUE)
    1.12446
  • df
    534.00000
  • t
    1.60909
  • p
    0.05409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24768
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49881
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24878
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49769
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55786
  • Upside Potential Ratio
    9.15823
  • Upside part of mean
    0.89122
  • Downside part of mean
    -0.73962
  • Upside SD
    0.09333
  • Downside SD
    0.09731
  • N nonnegative terms
    310.00000
  • N negative terms
    225.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    535.00000
  • Mean of predictor
    0.05058
  • Mean of criterion
    0.15160
  • SD of predictor
    0.12061
  • SD of criterion
    0.13463
  • Covariance
    0.00850
  • r
    0.52319
  • b (slope, estimate of beta)
    0.58401
  • a (intercept, estimate of alpha)
    0.12200
  • Mean Square Error
    0.01319
  • DF error
    533.00000
  • t(b)
    14.17330
  • p(b)
    -0.00000
  • t(a)
    1.51827
  • p(a)
    0.06477
  • Lowerbound of 95% confidence interval for beta
    0.50306
  • Upperbound of 95% confidence interval for beta
    0.66495
  • Lowerbound of 95% confidence interval for alpha
    -0.03587
  • Upperbound of 95% confidence interval for alpha
    0.27999
  • Treynor index (mean / b)
    0.25959
  • Jensen alpha (a)
    0.12206
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14248
  • SD
    0.13489
  • Sharpe ratio (Glass type estimate)
    1.05628
  • Sharpe ratio (Hedges UMVUE)
    1.05479
  • df
    534.00000
  • t
    1.50940
  • p
    0.06589
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31724
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42885
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42783
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45111
  • Upside Potential Ratio
    9.03201
  • Upside part of mean
    0.88681
  • Downside part of mean
    -0.74433
  • Upside SD
    0.09272
  • Downside SD
    0.09818
  • N nonnegative terms
    310.00000
  • N negative terms
    225.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    535.00000
  • Mean of predictor
    0.04327
  • Mean of criterion
    0.14248
  • SD of predictor
    0.12113
  • SD of criterion
    0.13489
  • Covariance
    0.00858
  • r
    0.52485
  • b (slope, estimate of beta)
    0.58447
  • a (intercept, estimate of alpha)
    0.11718
  • Mean Square Error
    0.01321
  • DF error
    533.00000
  • t(b)
    14.23530
  • p(b)
    -0.00000
  • t(a)
    1.45676
  • p(a)
    0.07289
  • Lowerbound of 95% confidence interval for beta
    0.50382
  • Upperbound of 95% confidence interval for beta
    0.66513
  • Lowerbound of 95% confidence interval for alpha
    -0.04084
  • Upperbound of 95% confidence interval for alpha
    0.27521
  • Treynor index (mean / b)
    0.24377
  • Jensen alpha (a)
    0.11718
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01308
  • Expected Shortfall on VaR
    0.01650
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00579
  • Expected Shortfall on VaR
    0.01185
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    535.00000
  • Minimum
    0.96665
  • Quartile 1
    0.99669
  • Median
    1.00122
  • Quartile 3
    1.00562
  • Maximum
    1.02493
  • Mean of quarter 1
    0.98996
  • Mean of quarter 2
    0.99917
  • Mean of quarter 3
    1.00333
  • Mean of quarter 4
    1.01031
  • Inter Quartile Range
    0.00893
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.03178
  • Mean of outliers low
    0.97665
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.01308
  • Mean of outliers high
    1.02154
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01155
  • VaR(95%) (moments method)
    0.00845
  • Expected Shortfall (moments method)
    0.01170
  • Extreme Value Index (regression method)
    -0.13969
  • VaR(95%) (regression method)
    0.01077
  • Expected Shortfall (regression method)
    0.01438
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00221
  • Median
    0.00605
  • Quartile 3
    0.02308
  • Maximum
    0.17538
  • Mean of quarter 1
    0.00117
  • Mean of quarter 2
    0.00347
  • Mean of quarter 3
    0.01456
  • Mean of quarter 4
    0.06506
  • Inter Quartile Range
    0.02087
  • 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
    0.09375
  • Mean of outliers high
    0.11527
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.53965
  • VaR(95%) (moments method)
    0.07237
  • Expected Shortfall (moments method)
    0.16903
  • Extreme Value Index (regression method)
    0.95775
  • VaR(95%) (regression method)
    0.07189
  • Expected Shortfall (regression method)
    1.37433
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20378
  • Compounded annual return (geometric extrapolation)
    0.18576
  • Calmar ratio (compounded annual return / max draw down)
    1.05918
  • Compounded annual return / average of 25% largest draw downs
    2.85520
  • Compounded annual return / Expected Shortfall lognormal
    11.25620
  • 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
    -0.35399
  • SD
    0.14069
  • Sharpe ratio (Glass type estimate)
    -2.51609
  • Sharpe ratio (Hedges UMVUE)
    -2.50155
  • df
    130.00000
  • t
    -1.77914
  • p
    0.57709
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.29998
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.27727
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.28998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28689
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.99728
  • Upside Potential Ratio
    5.98855
  • Upside part of mean
    0.70726
  • Downside part of mean
    -1.06125
  • Upside SD
    0.07856
  • Downside SD
    0.11810
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.17932
  • Mean of criterion
    -0.35399
  • SD of predictor
    0.15303
  • SD of criterion
    0.14069
  • Covariance
    0.01013
  • r
    0.47051
  • b (slope, estimate of beta)
    0.43257
  • a (intercept, estimate of alpha)
    -0.27642
  • Mean Square Error
    0.01553
  • DF error
    129.00000
  • t(b)
    6.05628
  • p(b)
    0.21191
  • t(a)
    -1.56427
  • p(a)
    0.58659
  • Lowerbound of 95% confidence interval for beta
    0.29125
  • Upperbound of 95% confidence interval for beta
    0.57388
  • Lowerbound of 95% confidence interval for alpha
    -0.62604
  • Upperbound of 95% confidence interval for alpha
    0.07320
  • Treynor index (mean / b)
    -0.81834
  • Jensen alpha (a)
    -0.27642
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.36407
  • SD
    0.14122
  • Sharpe ratio (Glass type estimate)
    -2.57802
  • Sharpe ratio (Hedges UMVUE)
    -2.56312
  • df
    130.00000
  • t
    -1.82293
  • p
    0.57894
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.36263
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.21630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.35238
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22614
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.05570
  • Upside Potential Ratio
    5.90988
  • Upside part of mean
    0.70413
  • Downside part of mean
    -1.06819
  • Upside SD
    0.07811
  • Downside SD
    0.11914
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19106
  • Mean of criterion
    -0.36407
  • SD of predictor
    0.15374
  • SD of criterion
    0.14122
  • Covariance
    0.01023
  • r
    0.47117
  • b (slope, estimate of beta)
    0.43279
  • a (intercept, estimate of alpha)
    -0.28138
  • Mean Square Error
    0.01564
  • DF error
    129.00000
  • t(b)
    6.06715
  • p(b)
    0.21154
  • t(a)
    -1.58646
  • p(a)
    0.58779
  • Lowerbound of 95% confidence interval for beta
    0.29166
  • Upperbound of 95% confidence interval for beta
    0.57393
  • Lowerbound of 95% confidence interval for alpha
    -0.63230
  • Upperbound of 95% confidence interval for alpha
    0.06954
  • Treynor index (mean / b)
    -0.84120
  • Jensen alpha (a)
    -0.28138
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01562
  • Expected Shortfall on VaR
    0.01919
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00948
  • Expected Shortfall on VaR
    0.01716
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97341
  • Quartile 1
    0.99367
  • Median
    0.99968
  • Quartile 3
    1.00503
  • Maximum
    1.02122
  • Mean of quarter 1
    0.98739
  • Mean of quarter 2
    0.99675
  • Mean of quarter 3
    1.00228
  • Mean of quarter 4
    1.00871
  • Inter Quartile Range
    0.01137
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97513
  • 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)
    0.04633
  • VaR(95%) (moments method)
    0.01272
  • Expected Shortfall (moments method)
    0.01708
  • Extreme Value Index (regression method)
    -0.35015
  • VaR(95%) (regression method)
    0.01191
  • Expected Shortfall (regression method)
    0.01380
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01714
  • Quartile 1
    0.05378
  • Median
    0.09042
  • Quartile 3
    0.13164
  • Maximum
    0.17287
  • Mean of quarter 1
    0.01714
  • Mean of quarter 2
    0.09042
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17287
  • Inter Quartile Range
    0.07786
  • 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)
    -0.30943
  • Compounded annual return (geometric extrapolation)
    -0.28549
  • Calmar ratio (compounded annual return / max draw down)
    -1.65152
  • Compounded annual return / average of 25% largest draw downs
    -1.65152
  • Compounded annual return / Expected Shortfall lognormal
    -14.87400

Strategy Description

Move North Stock Fund is an actively managed, hypothetical portfolio of stocks and exchange traded funds (ETFs). The fund is not managed using an automated trading algorithm. Instead, I perform fundamental and technical analysis of individual stocks and ETFs and buy those that exhibit characteristics which, according to my research, often lead to significant capital gains in the near future (typically between 2-3 months to 2-3 years). I apply selling rules for profit taking and in order to control risk.

The goal of the fund is to provide long term investors with superior risk-adjusted returns compared to stock market indices. While I encourage you to examine the fund’s historical performance when deciding whether to subscribe, note that past performance is no guarantee of future results.

The fund consists of only long positions, but it may hold inverse ETFs. Depending on market conditions the fund may also hold bond and commodity ETFs, stay largely in cash, or use margin. All orders are decided upon and placed after the close of the market.

Summary Statistics

Strategy began
2016-11-28
Suggested Minimum Capital
$15,000
# Trades
99
# Profitable
45
% Profitable
45.5%
Net Dividends
Correlation S&P500
0.517
Sharpe Ratio
1.124

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.

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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.