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Dutch Swingtrader
(96195601)

Created by: DutchVolatrader DutchVolatrader
Started: 07/2015
Stocks
Last trade: 2 days ago
Trading style: Equity Short-term Reversal

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 $69.00 per month.

Trading Category: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
4.0%
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.

(15.3%)
Max Drawdown
262
Num Trades
67.6%
Win Trades
1.3 : 1
Profit Factor
61.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                            -  (1.8%)(6.2%)+11.5%+1.7%(4.9%)(0.6%)
2016(1.3%)+3.2%+0.1%(1.6%)(3.1%)+1.3%+0.9%(2.1%)+3.9%+1.3%+3.8%+2.0%+8.4%
2017(2.1%)+0.9%+1.8%+1.6%+0.6%+1.0%+1.0%+2.5%(6.4%)+1.8%+1.3%+0.9%+4.6%
2018(0.9%)(0.6%)+1.7%(0.9%)  -  +0.1%+1.5%+3.2%(0.1%)(4.8%)+0.7%+1.6%+1.4%

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 5 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/7/18 13:07 GDX VANECK VECTORS GOLD MINERS ETF SHORT 853 20.19 12/17 9:30 20.29 0.26%
Trade id #121403073
Max drawdown($304)
Time12/10/18 11:28
Quant open-853
Worst price20.55
Drawdown as % of equity-0.26%
($91)
Includes Typical Broker Commissions trade costs of $8.46
12/10/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 112 40.57 12/14 9:30 39.89 0.17%
Trade id #121421848
Max drawdown($202)
Time12/10/18 11:30
Quant open-112
Worst price42.38
Drawdown as % of equity-0.17%
$74
Includes Typical Broker Commissions trade costs of $2.24
12/3/18 9:30 XLI INDUSTRIAL SELECT SECTOR SPDR LONG 94 74.00 12/6 9:31 68.96 0.41%
Trade id #121308103
Max drawdown($488)
Time12/6/18 9:22
Quant open94
Worst price68.80
Drawdown as % of equity-0.41%
($476)
Includes Typical Broker Commissions trade costs of $1.88
11/28/18 9:30 QQQ POWERSHARES QQQ SHORT 137 167.50 12/6 9:30 162.46 0.76%
Trade id #121213777
Max drawdown($887)
Time12/3/18 8:02
Quant open-137
Worst price173.98
Drawdown as % of equity-0.76%
$688
Includes Typical Broker Commissions trade costs of $2.74
11/28/18 9:30 XLF FINANCIAL SELECT SECTOR SPDR SHORT 844 27.06 12/6 9:30 25.38 0.27%
Trade id #121213784
Max drawdown($310)
Time12/3/18 4:02
Quant open-424
Worst price27.50
Drawdown as % of equity-0.27%
$1,409
Includes Typical Broker Commissions trade costs of $10.94
11/30/18 9:31 SPY SPDR S&P 500 SHORT 41 273.98 12/3 9:31 280.28 0.26%
Trade id #121270204
Max drawdown($299)
Time12/3/18 8:02
Quant open-41
Worst price281.28
Drawdown as % of equity-0.26%
($259)
Includes Typical Broker Commissions trade costs of $0.82
11/12/18 15:07 BHGE BAKER HUGHES A GE COMPANY LONG 356 23.73 11/29 9:30 23.00 0.67%
Trade id #120890468
Max drawdown($786)
Time11/23/18 8:35
Quant open356
Worst price21.52
Drawdown as % of equity-0.67%
($267)
Includes Typical Broker Commissions trade costs of $7.12
11/14/18 11:14 EQT EQT LONG 490 17.07 11/27 9:30 18.56 0.33%
Trade id #120935292
Max drawdown($382)
Time11/16/18 15:00
Quant open490
Worst price16.29
Drawdown as % of equity-0.33%
$720
Includes Typical Broker Commissions trade costs of $9.80
11/15/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 124 37.94 11/19 9:30 35.19 0.1%
Trade id #120963763
Max drawdown($117)
Time11/15/18 10:38
Quant open-124
Worst price38.88
Drawdown as % of equity-0.10%
$338
Includes Typical Broker Commissions trade costs of $2.48
10/23/18 10:13 TSRO TESARO LONG 246 34.00 11/14 9:30 28.99 2.23%
Trade id #120487404
Max drawdown($2,605)
Time11/9/18 15:50
Quant open246
Worst price23.41
Drawdown as % of equity-2.23%
($1,237)
Includes Typical Broker Commissions trade costs of $4.92
11/1/18 9:30 XLF FINANCIAL SELECT SECTOR SPDR SHORT 855 26.66 11/13 9:30 26.62 0.63%
Trade id #120664421
Max drawdown($737)
Time11/8/18 12:20
Quant open-855
Worst price27.52
Drawdown as % of equity-0.63%
$21
Includes Typical Broker Commissions trade costs of $11.05
10/30/18 9:30 LUV SOUTHWEST AIRLINES LONG 190 47.26 11/2 9:30 51.00 n/a $707
Includes Typical Broker Commissions trade costs of $3.80
10/23/18 9:30 SNV SYNOVUS FINANCIAL LONG 225 37.17 11/1 9:30 37.76 0.18%
Trade id #120486223
Max drawdown($209)
Time10/26/18 11:00
Quant open225
Worst price36.24
Drawdown as % of equity-0.18%
$129
Includes Typical Broker Commissions trade costs of $4.50
10/25/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 282 39.54 10/31 9:30 38.02 0.46%
Trade id #120535759
Max drawdown($527)
Time10/29/18 15:46
Quant open-142
Worst price42.20
Drawdown as % of equity-0.46%
$421
Includes Typical Broker Commissions trade costs of $5.64
10/10/18 12:43 SWCH SWITCH INC LONG 964 8.82 10/18 9:30 9.02 0.31%
Trade id #120279813
Max drawdown($356)
Time10/12/18 15:19
Quant open964
Worst price8.45
Drawdown as % of equity-0.31%
$188
Includes Typical Broker Commissions trade costs of $5.00
10/8/18 10:24 SPY SPDR S&P 500 LONG 118 287.05 10/17 9:30 280.44 1.71%
Trade id #120232259
Max drawdown($1,969)
Time10/11/18 14:47
Quant open118
Worst price270.36
Drawdown as % of equity-1.71%
($782)
Includes Typical Broker Commissions trade costs of $2.36
10/10/18 11:08 COHR COHERENT LONG 62 136.23 10/17 9:30 143.82 0.36%
Trade id #120276495
Max drawdown($409)
Time10/15/18 10:20
Quant open62
Worst price129.63
Drawdown as % of equity-0.36%
$470
Includes Typical Broker Commissions trade costs of $1.24
10/8/18 10:24 QQQ POWERSHARES QQQ LONG 65 179.27 10/17 9:30 178.14 0.65%
Trade id #120232282
Max drawdown($744)
Time10/11/18 14:47
Quant open65
Worst price167.81
Drawdown as % of equity-0.65%
($74)
Includes Typical Broker Commissions trade costs of $1.30
9/12/18 9:31 ALNY ALNYLAM PHARMACEUTICALS LONG 91 95.00 10/15 9:30 81.27 1.27%
Trade id #119818592
Max drawdown($1,469)
Time10/11/18 14:49
Quant open91
Worst price78.85
Drawdown as % of equity-1.27%
($1,251)
Includes Typical Broker Commissions trade costs of $1.82
10/5/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 794 29.10 10/15 9:30 34.84 6.59%
Trade id #120203651
Max drawdown($7,611)
Time10/11/18 14:47
Quant open-794
Worst price38.69
Drawdown as % of equity-6.59%
($4,565)
Includes Typical Broker Commissions trade costs of $10.44
9/27/18 9:30 XLF FINANCIAL SELECT SECTOR SPDR LONG 162 28.00 10/4 9:30 27.94 0.07%
Trade id #120062422
Max drawdown($85)
Time10/2/18 10:39
Quant open162
Worst price27.47
Drawdown as % of equity-0.07%
($13)
Includes Typical Broker Commissions trade costs of $3.24
9/17/18 10:36 MNK MALLINCKRODT PUBLIC LIMITED CO LONG 298 29.02 10/4 9:30 29.74 0.08%
Trade id #119886959
Max drawdown($98)
Time9/27/18 9:39
Quant open298
Worst price28.69
Drawdown as % of equity-0.08%
$209
Includes Typical Broker Commissions trade costs of $5.96
9/6/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 331 68.72 9/21 9:31 70.26 1.04%
Trade id #119743320
Max drawdown($1,254)
Time9/17/18 19:51
Quant open331
Worst price64.93
Drawdown as % of equity-1.04%
$503
Includes Typical Broker Commissions trade costs of $6.62
9/10/18 9:30 XLF FINANCIAL SELECT SECTOR SPDR LONG 805 28.22 9/17 9:30 28.23 0.16%
Trade id #119776923
Max drawdown($197)
Time9/13/18 11:30
Quant open805
Worst price27.97
Drawdown as % of equity-0.16%
$1
Includes Typical Broker Commissions trade costs of $10.55
9/7/18 9:30 QQQ POWERSHARES QQQ LONG 26 180.53 9/12 9:30 182.87 0%
Trade id #119759074
Max drawdown($2)
Time9/7/18 9:33
Quant open26
Worst price180.44
Drawdown as % of equity-0.00%
$60
Includes Typical Broker Commissions trade costs of $0.52
9/7/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 148 30.98 9/11 9:30 30.37 0.05%
Trade id #119758904
Max drawdown($56)
Time9/7/18 9:39
Quant open-148
Worst price31.36
Drawdown as % of equity-0.05%
$87
Includes Typical Broker Commissions trade costs of $2.96
9/4/18 9:30 XLF FINANCIAL SELECT SECTOR SPDR LONG 160 28.27 9/5 9:30 28.45 0.01%
Trade id #119712056
Max drawdown($11)
Time9/4/18 9:51
Quant open160
Worst price28.20
Drawdown as % of equity-0.01%
$26
Includes Typical Broker Commissions trade costs of $3.20
8/31/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 152 29.78 9/4 9:30 29.26 0.02%
Trade id #119678668
Max drawdown($18)
Time8/31/18 12:34
Quant open-152
Worst price29.90
Drawdown as % of equity-0.02%
$76
Includes Typical Broker Commissions trade costs of $3.04
8/28/18 13:20 SIG SIGNET JEWELERS LONG 156 55.58 8/31 9:30 67.68 0.28%
Trade id #119630135
Max drawdown($338)
Time8/29/18 18:57
Quant open156
Worst price53.41
Drawdown as % of equity-0.28%
$1,885
Includes Typical Broker Commissions trade costs of $3.12
8/14/18 9:30 XLF FINANCIAL SELECT SECTOR SPDR LONG 410 27.84 8/17 9:30 28.03 0.03%
Trade id #119427677
Max drawdown($31)
Time8/15/18 14:32
Quant open164
Worst price27.61
Drawdown as % of equity-0.03%
$69
Includes Typical Broker Commissions trade costs of $8.20

Statistics

  • Strategy began
    7/31/2015
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1236.77
  • Age
    41 months ago
  • What it trades
    Stocks
  • # Trades
    262
  • # Profitable
    177
  • % Profitable
    67.60%
  • Avg trade duration
    8.6 days
  • Max peak-to-valley drawdown
    15.33%
  • drawdown period
    Sept 08, 2017 - Feb 09, 2018
  • Annual Return (Compounded)
    4.0%
  • Avg win
    $469.80
  • Avg loss
    $768.82
  • Model Account Values (Raw)
  • Cash
    $118,813
  • Margin Used
    $0
  • Buying Power
    $118,813
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    0.285
  • Sortino Ratio
    0.425
  • Calmar Ratio
    0.453
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.26700
  • Return Statistics
  • Ann Return (w trading costs)
    4.0%
  • Ann Return (Compnd, No Fees)
    5.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.00%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    566
  • Popularity (Last 6 weeks)
    749
  • C2 Score
    93.2
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    14
  • Win / Loss
  • Avg Loss
    $769
  • Avg Win
    $470
  • # Winners
    177
  • # Losers
    85
  • % Winners
    67.6%
  • Frequency
  • Avg Position Time (mins)
    12401.70
  • Avg Position Time (hrs)
    206.69
  • Avg Trade Length
    8.6 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02481
  • SD
    0.10790
  • Sharpe ratio (Glass type estimate)
    0.22991
  • Sharpe ratio (Hedges UMVUE)
    0.22534
  • df
    38.00000
  • t
    0.41448
  • p
    0.34042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85998
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.31686
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86303
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31371
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.35457
  • Upside Potential Ratio
    2.03511
  • Upside part of mean
    0.14238
  • Downside part of mean
    -0.11757
  • Upside SD
    0.08062
  • Downside SD
    0.06996
  • N nonnegative terms
    24.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.06678
  • Mean of criterion
    0.02481
  • SD of predictor
    0.12383
  • SD of criterion
    0.10790
  • Covariance
    0.00655
  • r
    0.49009
  • b (slope, estimate of beta)
    0.42704
  • a (intercept, estimate of alpha)
    -0.00371
  • Mean Square Error
    0.00908
  • DF error
    37.00000
  • t(b)
    3.41998
  • p(b)
    0.00077
  • t(a)
    -0.06936
  • p(a)
    0.52746
  • Lowerbound of 95% confidence interval for beta
    0.17404
  • Upperbound of 95% confidence interval for beta
    0.68004
  • Lowerbound of 95% confidence interval for alpha
    -0.11216
  • Upperbound of 95% confidence interval for alpha
    0.10474
  • Treynor index (mean / b)
    0.05809
  • Jensen alpha (a)
    -0.00371
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01917
  • SD
    0.10652
  • Sharpe ratio (Glass type estimate)
    0.17994
  • Sharpe ratio (Hedges UMVUE)
    0.17636
  • df
    38.00000
  • t
    0.32439
  • p
    0.37371
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90917
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26671
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91155
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26428
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.26777
  • Upside Potential Ratio
    1.94168
  • Upside part of mean
    0.13899
  • Downside part of mean
    -0.11982
  • Upside SD
    0.07721
  • Downside SD
    0.07158
  • N nonnegative terms
    24.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.05898
  • Mean of criterion
    0.01917
  • SD of predictor
    0.12430
  • SD of criterion
    0.10652
  • Covariance
    0.00630
  • r
    0.47554
  • b (slope, estimate of beta)
    0.40752
  • a (intercept, estimate of alpha)
    -0.00487
  • Mean Square Error
    0.00902
  • DF error
    37.00000
  • t(b)
    3.28816
  • p(b)
    0.00111
  • t(a)
    -0.09152
  • p(a)
    0.53621
  • Lowerbound of 95% confidence interval for beta
    0.15640
  • Upperbound of 95% confidence interval for beta
    0.65863
  • Lowerbound of 95% confidence interval for alpha
    -0.11262
  • Upperbound of 95% confidence interval for alpha
    0.10289
  • Treynor index (mean / b)
    0.04703
  • Jensen alpha (a)
    -0.00487
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04780
  • Expected Shortfall on VaR
    0.05990
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01900
  • Expected Shortfall on VaR
    0.03885
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    39.00000
  • Minimum
    0.93697
  • Quartile 1
    0.99344
  • Median
    1.00923
  • Quartile 3
    1.02020
  • Maximum
    1.12052
  • Mean of quarter 1
    0.96656
  • Mean of quarter 2
    1.00163
  • Mean of quarter 3
    1.01404
  • Mean of quarter 4
    1.03632
  • Inter Quartile Range
    0.02676
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.05128
  • Mean of outliers low
    0.94082
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02564
  • Mean of outliers high
    1.12052
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.65848
  • VaR(95%) (moments method)
    0.02236
  • Expected Shortfall (moments method)
    0.02255
  • Extreme Value Index (regression method)
    -0.74367
  • VaR(95%) (regression method)
    0.04329
  • Expected Shortfall (regression method)
    0.04991
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.03780
  • Quartile 1
    0.04198
  • Median
    0.05533
  • Quartile 3
    0.06788
  • Maximum
    0.07935
  • Mean of quarter 1
    0.03989
  • Mean of quarter 2
    0.05533
  • Mean of quarter 3
    0.06788
  • Mean of quarter 4
    0.07935
  • Inter Quartile Range
    0.02590
  • 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)
    0.05087
  • Compounded annual return (geometric extrapolation)
    0.04820
  • Calmar ratio (compounded annual return / max draw down)
    0.60744
  • Compounded annual return / average of 25% largest draw downs
    0.60744
  • Compounded annual return / Expected Shortfall lognormal
    0.80472
  • 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
    0.02980
  • SD
    0.10452
  • Sharpe ratio (Glass type estimate)
    0.28512
  • Sharpe ratio (Hedges UMVUE)
    0.28487
  • df
    863.00000
  • t
    0.51777
  • p
    0.30238
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36443
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79451
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36426
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42503
  • Upside Potential Ratio
    5.92356
  • Upside part of mean
    0.41534
  • Downside part of mean
    -0.38554
  • Upside SD
    0.07746
  • Downside SD
    0.07012
  • N nonnegative terms
    349.00000
  • N negative terms
    515.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    864.00000
  • Mean of predictor
    0.03930
  • Mean of criterion
    0.02980
  • SD of predictor
    0.13655
  • SD of criterion
    0.10452
  • Covariance
    0.00391
  • r
    0.27383
  • b (slope, estimate of beta)
    0.20961
  • a (intercept, estimate of alpha)
    0.02200
  • Mean Square Error
    0.01012
  • DF error
    862.00000
  • t(b)
    8.35921
  • p(b)
    0.00000
  • t(a)
    0.38926
  • p(a)
    0.34859
  • Lowerbound of 95% confidence interval for beta
    0.16039
  • Upperbound of 95% confidence interval for beta
    0.25882
  • Lowerbound of 95% confidence interval for alpha
    -0.08717
  • Upperbound of 95% confidence interval for alpha
    0.13030
  • Treynor index (mean / b)
    0.14218
  • Jensen alpha (a)
    0.02156
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02436
  • SD
    0.10433
  • Sharpe ratio (Glass type estimate)
    0.23346
  • Sharpe ratio (Hedges UMVUE)
    0.23325
  • df
    863.00000
  • t
    0.42395
  • p
    0.33585
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84593
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.31278
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84610
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31261
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34333
  • Upside Potential Ratio
    5.81259
  • Upside part of mean
    0.41235
  • Downside part of mean
    -0.38799
  • Upside SD
    0.07643
  • Downside SD
    0.07094
  • N nonnegative terms
    349.00000
  • N negative terms
    515.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    864.00000
  • Mean of predictor
    0.02995
  • Mean of criterion
    0.02436
  • SD of predictor
    0.13692
  • SD of criterion
    0.10433
  • Covariance
    0.00394
  • r
    0.27571
  • b (slope, estimate of beta)
    0.21007
  • a (intercept, estimate of alpha)
    0.01806
  • Mean Square Error
    0.01007
  • DF error
    862.00000
  • t(b)
    8.42117
  • p(b)
    0.00000
  • t(a)
    0.32691
  • p(a)
    0.37191
  • Lowerbound of 95% confidence interval for beta
    0.16111
  • Upperbound of 95% confidence interval for beta
    0.25903
  • Lowerbound of 95% confidence interval for alpha
    -0.09040
  • Upperbound of 95% confidence interval for alpha
    0.12652
  • Treynor index (mean / b)
    0.11594
  • Jensen alpha (a)
    0.01806
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01045
  • Expected Shortfall on VaR
    0.01311
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00371
  • Expected Shortfall on VaR
    0.00803
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    864.00000
  • Minimum
    0.95905
  • Quartile 1
    0.99918
  • Median
    1.00000
  • Quartile 3
    1.00115
  • Maximum
    1.04418
  • Mean of quarter 1
    0.99457
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00037
  • Mean of quarter 4
    1.00615
  • Inter Quartile Range
    0.00197
  • Number outliers low
    92.00000
  • Percentage of outliers low
    0.10648
  • Mean of outliers low
    0.98963
  • Number of outliers high
    95.00000
  • Percentage of outliers high
    0.10995
  • Mean of outliers high
    1.01101
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82741
  • VaR(95%) (moments method)
    0.00497
  • Expected Shortfall (moments method)
    0.03138
  • Extreme Value Index (regression method)
    0.45647
  • VaR(95%) (regression method)
    0.00429
  • Expected Shortfall (regression method)
    0.00976
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00115
  • Median
    0.00475
  • Quartile 3
    0.01223
  • Maximum
    0.11846
  • Mean of quarter 1
    0.00054
  • Mean of quarter 2
    0.00282
  • Mean of quarter 3
    0.00772
  • Mean of quarter 4
    0.06488
  • Inter Quartile Range
    0.01109
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.17857
  • Mean of outliers high
    0.08548
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.00520
  • VaR(95%) (moments method)
    0.04210
  • Expected Shortfall (moments method)
    0.06180
  • Extreme Value Index (regression method)
    -0.20354
  • VaR(95%) (regression method)
    0.06260
  • Expected Shortfall (regression method)
    0.08472
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05704
  • Compounded annual return (geometric extrapolation)
    0.05365
  • Calmar ratio (compounded annual return / max draw down)
    0.45292
  • Compounded annual return / average of 25% largest draw downs
    0.82698
  • Compounded annual return / Expected Shortfall lognormal
    4.09179
  • 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
    0.02069
  • SD
    0.07915
  • Sharpe ratio (Glass type estimate)
    0.26145
  • Sharpe ratio (Hedges UMVUE)
    0.25994
  • df
    130.00000
  • t
    0.18487
  • p
    0.49189
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.51102
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.03296
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.51205
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03192
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32014
  • Upside Potential Ratio
    5.48154
  • Upside part of mean
    0.35433
  • Downside part of mean
    -0.33363
  • Upside SD
    0.04517
  • Downside SD
    0.06464
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.17932
  • Mean of criterion
    0.02069
  • SD of predictor
    0.15303
  • SD of criterion
    0.07915
  • Covariance
    0.00375
  • r
    0.30960
  • b (slope, estimate of beta)
    0.16013
  • a (intercept, estimate of alpha)
    0.04941
  • Mean Square Error
    0.00571
  • DF error
    129.00000
  • t(b)
    3.69805
  • p(b)
    0.30610
  • t(a)
    0.46120
  • p(a)
    0.47418
  • Lowerbound of 95% confidence interval for beta
    0.07446
  • Upperbound of 95% confidence interval for beta
    0.24580
  • Lowerbound of 95% confidence interval for alpha
    -0.16255
  • Upperbound of 95% confidence interval for alpha
    0.26137
  • Treynor index (mean / b)
    0.12923
  • Jensen alpha (a)
    0.04941
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01755
  • SD
    0.07974
  • Sharpe ratio (Glass type estimate)
    0.22010
  • Sharpe ratio (Hedges UMVUE)
    0.21883
  • df
    130.00000
  • t
    0.15563
  • p
    0.49318
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55220
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99168
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.55310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99076
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.26809
  • Upside Potential Ratio
    5.39588
  • Upside part of mean
    0.35327
  • Downside part of mean
    -0.33572
  • Upside SD
    0.04500
  • Downside SD
    0.06547
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19106
  • Mean of criterion
    0.01755
  • SD of predictor
    0.15374
  • SD of criterion
    0.07974
  • Covariance
    0.00383
  • r
    0.31242
  • b (slope, estimate of beta)
    0.16205
  • a (intercept, estimate of alpha)
    0.04851
  • Mean Square Error
    0.00578
  • DF error
    129.00000
  • t(b)
    3.73544
  • p(b)
    0.30439
  • t(a)
    0.44976
  • p(a)
    0.47482
  • Lowerbound of 95% confidence interval for beta
    0.07622
  • Upperbound of 95% confidence interval for beta
    0.24788
  • Lowerbound of 95% confidence interval for alpha
    -0.16490
  • Upperbound of 95% confidence interval for alpha
    0.26192
  • Treynor index (mean / b)
    0.10831
  • Jensen alpha (a)
    0.04851
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00800
  • Expected Shortfall on VaR
    0.01004
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00309
  • Expected Shortfall on VaR
    0.00682
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96575
  • Quartile 1
    0.99901
  • Median
    1.00000
  • Quartile 3
    1.00159
  • Maximum
    1.01164
  • Mean of quarter 1
    0.99554
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00053
  • Mean of quarter 4
    1.00505
  • Inter Quartile Range
    0.00258
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98808
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.00774
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.83588
  • VaR(95%) (moments method)
    0.00440
  • Expected Shortfall (moments method)
    0.02794
  • Extreme Value Index (regression method)
    0.86000
  • VaR(95%) (regression method)
    0.00388
  • Expected Shortfall (regression method)
    0.02741
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00104
  • Median
    0.00265
  • Quartile 3
    0.00641
  • Maximum
    0.07246
  • Mean of quarter 1
    0.00024
  • Mean of quarter 2
    0.00156
  • Mean of quarter 3
    0.00479
  • Mean of quarter 4
    0.02944
  • Inter Quartile Range
    0.00537
  • 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
    0.08333
  • Mean of outliers high
    0.07246
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.95609
  • VaR(95%) (moments method)
    0.02684
  • Expected Shortfall (moments method)
    0.67667
  • Extreme Value Index (regression method)
    3.39443
  • VaR(95%) (regression method)
    0.08612
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04598
  • Compounded annual return (geometric extrapolation)
    0.04651
  • Calmar ratio (compounded annual return / max draw down)
    0.64188
  • Compounded annual return / average of 25% largest draw downs
    1.57951
  • Compounded annual return / Expected Shortfall lognormal
    4.63098

Strategy Description

Welcome to Dutch Swingtrader!

Who are we?
As our name indicates, we are traders from the Netherlands. We are "system traders" and we work with strategies based on the trading philosofy of Larry Connors. We trade multiple strategies simultaneously, to ensure the smoothest possible long-term equity curve build-up.

What do we trade?
We trade EFTs as well as US stocks, both long and short.

What can you expect?
Well before the market opens, you will receive the new trades of the day. If no new positions are taken, which regularly occurs, you will receive a brief message from us stating that there are no new orders for the day.

Orders.
We usually work with limit orders.
Since the distance to the order is linked to marketvolatility, such orders may be far removed from yesterday's closing, but there is no need to let this worry you.
Many orders expire at the end of the day. Those that do get triggered, statistically have a good chance of success.
We sometimes also work with marketorders that are executed immediately at opening. Stay alert, because we sometimes also allocate to short equity positions.

Money management.
We utilize a certain percentage of the main sum we risk for a transaction. Quite regularly, we scale in our position for a number of consecutive days. We scale in/purchase until we are completely filled. We base our position size on our account size. Recalculate the correct position size per transaction, and do not ever deviate from it! To ensure safe and successful trading in the long term, it is very important to take this seriously.

If you have any questions, please do not hesitate to contact us.

Good luck!

Best regards,

Team Dutch Swingtrader.

Summary Statistics

Strategy began
2015-07-31
Suggested Minimum Capital
$35,000
# Trades
262
# Profitable
177
% Profitable
67.6%
Net Dividends
Correlation S&P500
0.267
Sharpe Ratio
0.285

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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