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HFX 5 Stock Healthcare
(102163422)

Created by: Andrew_Gibbs Andrew_Gibbs
Started: 05/2016
Stocks
Last trade: 803 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $49.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

18.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(28.8%)
Max Drawdown
72
Num Trades
54.2%
Win Trades
2.4 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                            +6.9%+12.7%+9.4%+39.8%(8.8%)(3.7%)+1.6%+0.2%+65.0%
2017(4.9%)+2.6%(1.9%)(4.4%)+0.2%+4.7%(2.1%)+1.7%+0.7%+4.5%+1.1%(3.4%)(1.7%)
2018(7.3%)(7.9%)(3%)+7.0%(1.2%)+3.9%(0.2%)+1.2%+0.5%(6.6%)+7.5%(5.8%)(12.7%)
2019+6.8%+10.9%+2.6%+0.7%+0.1%+8.4%(2.3%)(4.9%)                        +23.4%

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 6 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/17/17 9:30 LMNX LUMINEX LONG 280 21.13 6/6 9:30 20.56 0.79%
Trade id #111638255
Max drawdown($313)
Time5/26/17 9:31
Quant open280
Worst price20.01
Drawdown as % of equity-0.79%
($166)
Includes Typical Broker Commissions trade costs of $5.60
5/2/17 9:30 ESRX EXPRESS SCRIPTS LONG 45 61.05 5/17 9:30 59.47 0.2%
Trade id #111360295
Max drawdown($81)
Time5/17/17 8:54
Quant open45
Worst price59.25
Drawdown as % of equity-0.20%
($72)
Includes Typical Broker Commissions trade costs of $0.90
4/4/17 9:30 CRHM CRH MEDICAL CORP LONG 400 8.20 5/17 9:30 5.80 2.67%
Trade id #110683255
Max drawdown($1,040)
Time4/24/17 12:33
Quant open400
Worst price5.60
Drawdown as % of equity-2.67%
($968)
Includes Typical Broker Commissions trade costs of $8.00
5/2/17 9:30 MDXG MIMEDX GROUP LONG 230 12.53 5/17 9:30 15.36 0.14%
Trade id #111360496
Max drawdown($55)
Time5/2/17 9:45
Quant open230
Worst price12.29
Drawdown as % of equity-0.14%
$646
Includes Typical Broker Commissions trade costs of $4.60
4/18/17 9:30 ANGO ANGIODYNAMICS LONG 180 15.37 5/17 9:30 15.46 0.26%
Trade id #111083540
Max drawdown($102)
Time4/27/17 9:38
Quant open180
Worst price14.80
Drawdown as % of equity-0.26%
$12
Includes Typical Broker Commissions trade costs of $3.60
5/2/17 9:30 ICLR ICON LONG 32 84.63 5/17 9:30 87.79 0.05%
Trade id #111360302
Max drawdown($17)
Time5/3/17 9:32
Quant open32
Worst price84.07
Drawdown as % of equity-0.05%
$100
Includes Typical Broker Commissions trade costs of $0.64
3/14/17 9:30 AVDL AVADEL PHARMACEUTICALS PLC ADR LONG 340 10.60 5/17 9:30 10.01 1.59%
Trade id #110216814
Max drawdown($625)
Time5/8/17 9:34
Quant open340
Worst price8.76
Drawdown as % of equity-1.59%
($208)
Includes Typical Broker Commissions trade costs of $6.80
4/18/17 9:30 LNTH LANTHEUS HOLDINGS INC. COMMON STOCK LONG 240 11.40 5/2 9:30 13.50 0.03%
Trade id #111083526
Max drawdown($12)
Time4/18/17 9:34
Quant open240
Worst price11.35
Drawdown as % of equity-0.03%
$499
Includes Typical Broker Commissions trade costs of $4.80
3/14/17 9:30 DRAD DIGIRAD LONG 640 5.35 5/2 9:30 4.60 1.55%
Trade id #110216808
Max drawdown($608)
Time4/28/17 9:35
Quant open640
Worst price4.40
Drawdown as % of equity-1.55%
($485)
Includes Typical Broker Commissions trade costs of $5.00
4/11/17 9:30 CUTR CUTERA LONG 125 20.05 4/18 9:30 19.85 0.06%
Trade id #110908681
Max drawdown($25)
Time4/11/17 9:48
Quant open125
Worst price19.85
Drawdown as % of equity-0.06%
($28)
Includes Typical Broker Commissions trade costs of $2.50
3/21/17 9:30 ADUS ADDUS HOMECARE LONG 95 32.10 4/18 9:30 31.85 0.52%
Trade id #110350752
Max drawdown($209)
Time3/24/17 10:30
Quant open95
Worst price29.90
Drawdown as % of equity-0.52%
($26)
Includes Typical Broker Commissions trade costs of $1.90
3/28/17 9:30 PFNX PFENEX INC. LONG 520 5.90 4/11 9:31 4.74 1.58%
Trade id #110476662
Max drawdown($629)
Time4/10/17 9:35
Quant open520
Worst price4.69
Drawdown as % of equity-1.58%
($608)
Includes Typical Broker Commissions trade costs of $5.00
2/21/17 9:37 ELMD ELECTROMED LONG 670 5.14 4/4 9:31 4.78 1.47%
Trade id #109704487
Max drawdown($596)
Time3/13/17 9:31
Quant open670
Worst price4.25
Drawdown as % of equity-1.47%
($246)
Includes Typical Broker Commissions trade costs of $5.00
2/13/17 15:52 CBM CAMBREX LONG 60 52.05 3/28 9:30 50.40 0.39%
Trade id #109506265
Max drawdown($159)
Time3/15/17 10:01
Quant open60
Worst price49.40
Drawdown as % of equity-0.39%
($100)
Includes Typical Broker Commissions trade costs of $1.20
2/28/17 9:31 CUTR CUTERA LONG 170 21.30 3/21 9:30 20.60 0.47%
Trade id #109904446
Max drawdown($195)
Time3/6/17 9:31
Quant open170
Worst price20.15
Drawdown as % of equity-0.47%
($122)
Includes Typical Broker Commissions trade costs of $3.40
2/13/17 15:53 AGTC APPLIED GENETIC TECHNOLOGIES C LONG 460 7.15 3/14 9:37 7.65 0.51%
Trade id #109506285
Max drawdown($207)
Time2/14/17 12:44
Quant open460
Worst price6.70
Drawdown as % of equity-0.51%
$221
Includes Typical Broker Commissions trade costs of $9.20
2/21/17 9:30 PGNX PROGENICS PHARMACEUTICALS LONG 310 10.65 3/14 9:30 11.41 0.5%
Trade id #109703816
Max drawdown($204)
Time2/22/17 14:52
Quant open310
Worst price9.99
Drawdown as % of equity-0.50%
$230
Includes Typical Broker Commissions trade costs of $6.20
1/4/17 9:30 LCI LANNETT COMPANY LONG 160 22.55 2/28 9:31 22.25 1.59%
Trade id #108333837
Max drawdown($632)
Time1/31/17 9:36
Quant open160
Worst price18.60
Drawdown as % of equity-1.59%
($51)
Includes Typical Broker Commissions trade costs of $3.20
1/24/17 9:30 EBS EMERGENT BIOSOLUTIONS LONG 85 30.11 2/21 9:31 30.23 0.27%
Trade id #108974157
Max drawdown($110)
Time2/8/17 9:38
Quant open85
Worst price28.81
Drawdown as % of equity-0.27%
$8
Includes Typical Broker Commissions trade costs of $1.70
12/20/16 9:30 OFIX ORTHOFIX INTERNATIONAL LONG 110 34.67 2/21/17 9:30 37.18 n/a $274
Includes Typical Broker Commissions trade costs of $2.20
12/28/16 9:30 PDLI PDL BIOPHARMA LONG 1,870 2.11 2/13/17 15:52 2.25 n/a $257
Includes Typical Broker Commissions trade costs of $5.00
1/24/17 9:30 CUTR CUTERA LONG 130 18.60 2/13 15:51 19.55 0.2%
Trade id #108974431
Max drawdown($78)
Time1/26/17 9:44
Quant open130
Worst price18.00
Drawdown as % of equity-0.20%
$121
Includes Typical Broker Commissions trade costs of $2.60
1/16/17 15:30 SCMP SUCAMPO PHARMACEUTICALS LONG 230 12.50 1/24 9:30 11.15 0.89%
Trade id #108670133
Max drawdown($356)
Time1/23/17 10:21
Quant open230
Worst price10.95
Drawdown as % of equity-0.89%
($316)
Includes Typical Broker Commissions trade costs of $4.60
1/10/17 15:52 CCRN CROSS COUNTRY HEALTHCARE LONG 180 15.08 1/24 9:30 13.50 0.71%
Trade id #108504192
Max drawdown($284)
Time1/24/17 9:30
Quant open180
Worst price13.50
Drawdown as % of equity-0.71%
($288)
Includes Typical Broker Commissions trade costs of $3.60
1/10/17 15:51 DPLO DIPLOMAT PHARMACY INC LONG 210 12.99 1/17 9:38 13.94 0.12%
Trade id #108504179
Max drawdown($48)
Time1/11/17 13:28
Quant open210
Worst price12.76
Drawdown as % of equity-0.12%
$196
Includes Typical Broker Commissions trade costs of $4.20
12/20/16 9:30 SCMP SUCAMPO PHARMACEUTICALS LONG 230 14.65 1/10/17 15:50 13.35 1.15%
Trade id #108074060
Max drawdown($483)
Time12/21/16 7:59
Quant open230
Worst price12.55
Drawdown as % of equity-1.15%
($304)
Includes Typical Broker Commissions trade costs of $4.60
12/20/16 9:30 AMAG AMAG PHARMACEUTICALS LONG 110 33.68 1/10/17 15:50 23.10 3.3%
Trade id #108074218
Max drawdown($1,356)
Time1/10/17 9:39
Quant open110
Worst price21.35
Drawdown as % of equity-3.30%
($1,166)
Includes Typical Broker Commissions trade costs of $2.20
12/28/16 9:30 MOH MOLINA HEALTHCARE LONG 70 54.94 1/4/17 9:30 54.58 0.29%
Trade id #108218465
Max drawdown($119)
Time1/3/17 10:59
Quant open70
Worst price53.23
Drawdown as % of equity-0.29%
($26)
Includes Typical Broker Commissions trade costs of $1.40
11/28/16 15:24 ADUS ADDUS HOMECARE LONG 110 34.00 12/28 9:49 35.25 0.17%
Trade id #107550249
Max drawdown($71)
Time12/12/16 9:39
Quant open110
Worst price33.35
Drawdown as % of equity-0.17%
$136
Includes Typical Broker Commissions trade costs of $2.20
12/6/16 9:30 ELOS SYNERON MEDICAL LONG 480 8.15 12/28 9:30 8.60 0.23%
Trade id #107759232
Max drawdown($96)
Time12/6/16 10:01
Quant open480
Worst price7.95
Drawdown as % of equity-0.23%
$206
Includes Typical Broker Commissions trade costs of $9.60

Statistics

  • Strategy began
    5/3/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1201.11
  • Age
    40 months ago
  • What it trades
    Stocks
  • # Trades
    72
  • # Profitable
    39
  • % Profitable
    54.20%
  • Avg trade duration
    69.6 days
  • Max peak-to-valley drawdown
    28.81%
  • drawdown period
    Aug 30, 2016 - March 28, 2018
  • Annual Return (Compounded)
    18.4%
  • Avg win
    $868.54
  • Avg loss
    $427.12
  • Model Account Values (Raw)
  • Cash
    $27,771
  • Margin Used
    $0
  • Buying Power
    $38,747
  • Ratios
  • W:L ratio
    2.40:1
  • Sharpe Ratio
    0.74
  • Sortino Ratio
    1.14
  • Calmar Ratio
    1.052
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.37170
  • Return Statistics
  • Ann Return (w trading costs)
    18.4%
  • Ann Return (Compnd, No Fees)
    19.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    6.67%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $427
  • Avg Win
    $869
  • # Winners
    39
  • # Losers
    33
  • % Winners
    54.2%
  • Frequency
  • Avg Position Time (mins)
    100275.00
  • Avg Position Time (hrs)
    1671.25
  • Avg Trade Length
    69.6 days
  • Last Trade Ago
    803
  • Regression
  • Alpha
    0.03
  • Beta
    0.54
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    2.332
  • Avg(MAE) / Avg(PL) - Winning trades
    0.429
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.574
  • Hold-and-Hope Ratio
    -0.049
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30404
  • SD
    0.36969
  • Sharpe ratio (Glass type estimate)
    0.82240
  • Sharpe ratio (Hedges UMVUE)
    0.79931
  • df
    27.00000
  • t
    1.25624
  • p
    0.10990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48648
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11658
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50138
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10000
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.26507
  • Upside Potential Ratio
    4.02704
  • Upside part of mean
    0.54054
  • Downside part of mean
    -0.23651
  • Upside SD
    0.34854
  • Downside SD
    0.13423
  • N nonnegative terms
    16.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.14409
  • Mean of criterion
    0.30404
  • SD of predictor
    0.13471
  • SD of criterion
    0.36969
  • Covariance
    0.01163
  • r
    0.23350
  • b (slope, estimate of beta)
    0.64081
  • a (intercept, estimate of alpha)
    0.21170
  • Mean Square Error
    0.13419
  • DF error
    26.00000
  • t(b)
    1.22450
  • p(b)
    0.11587
  • t(a)
    0.84213
  • p(a)
    0.20370
  • Lowerbound of 95% confidence interval for beta
    -0.43490
  • Upperbound of 95% confidence interval for beta
    1.71652
  • Lowerbound of 95% confidence interval for alpha
    -0.30503
  • Upperbound of 95% confidence interval for alpha
    0.72844
  • Treynor index (mean / b)
    0.47446
  • Jensen alpha (a)
    0.21170
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24402
  • SD
    0.33044
  • Sharpe ratio (Glass type estimate)
    0.73847
  • Sharpe ratio (Hedges UMVUE)
    0.71773
  • df
    27.00000
  • t
    1.12803
  • p
    0.13462
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56614
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57957
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01503
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.72427
  • Upside Potential Ratio
    3.45974
  • Upside part of mean
    0.48963
  • Downside part of mean
    -0.24561
  • Upside SD
    0.30038
  • Downside SD
    0.14152
  • N nonnegative terms
    16.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.13437
  • Mean of criterion
    0.24402
  • SD of predictor
    0.13311
  • SD of criterion
    0.33044
  • Covariance
    0.01236
  • r
    0.28110
  • b (slope, estimate of beta)
    0.69784
  • a (intercept, estimate of alpha)
    0.15025
  • Mean Square Error
    0.10443
  • DF error
    26.00000
  • t(b)
    1.49356
  • p(b)
    0.07366
  • t(a)
    0.68086
  • p(a)
    0.25099
  • Lowerbound of 95% confidence interval for beta
    -0.26257
  • Upperbound of 95% confidence interval for beta
    1.65824
  • Lowerbound of 95% confidence interval for alpha
    -0.30336
  • Upperbound of 95% confidence interval for alpha
    0.60386
  • Treynor index (mean / b)
    0.34968
  • Jensen alpha (a)
    0.15025
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12765
  • Expected Shortfall on VaR
    0.16122
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04135
  • Expected Shortfall on VaR
    0.08101
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.85727
  • Quartile 1
    0.97964
  • Median
    1.00357
  • Quartile 3
    1.05746
  • Maximum
    1.44452
  • Mean of quarter 1
    0.93568
  • Mean of quarter 2
    0.99036
  • Mean of quarter 3
    1.02675
  • Mean of quarter 4
    1.15786
  • Inter Quartile Range
    0.07782
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03571
  • Mean of outliers low
    0.85727
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.32136
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.29199
  • VaR(95%) (moments method)
    0.05776
  • Expected Shortfall (moments method)
    0.06136
  • Extreme Value Index (regression method)
    -0.00571
  • VaR(95%) (regression method)
    0.07720
  • Expected Shortfall (regression method)
    0.11173
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01972
  • Quartile 1
    0.02100
  • Median
    0.02228
  • Quartile 3
    0.12793
  • Maximum
    0.23358
  • Mean of quarter 1
    0.01972
  • Mean of quarter 2
    0.02228
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23358
  • Inter Quartile Range
    0.10693
  • 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)
    0.37975
  • Compounded annual return (geometric extrapolation)
    0.31249
  • Calmar ratio (compounded annual return / max draw down)
    1.33784
  • Compounded annual return / average of 25% largest draw downs
    1.33784
  • Compounded annual return / Expected Shortfall lognormal
    1.93826
  • 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
    0.23873
  • SD
    0.22720
  • Sharpe ratio (Glass type estimate)
    1.05077
  • Sharpe ratio (Hedges UMVUE)
    1.04950
  • df
    623.00000
  • t
    1.62162
  • p
    0.05270
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22099
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32171
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22184
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32084
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66113
  • Upside Potential Ratio
    7.62946
  • Upside part of mean
    1.09647
  • Downside part of mean
    -0.85774
  • Upside SD
    0.17635
  • Downside SD
    0.14372
  • N nonnegative terms
    316.00000
  • N negative terms
    308.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    624.00000
  • Mean of predictor
    0.12710
  • Mean of criterion
    0.23873
  • SD of predictor
    0.16333
  • SD of criterion
    0.22720
  • Covariance
    0.01615
  • r
    0.43524
  • b (slope, estimate of beta)
    0.60541
  • a (intercept, estimate of alpha)
    0.16200
  • Mean Square Error
    0.04191
  • DF error
    622.00000
  • t(b)
    12.05660
  • p(b)
    0.00000
  • t(a)
    1.21821
  • p(a)
    0.11180
  • Lowerbound of 95% confidence interval for beta
    0.50680
  • Upperbound of 95% confidence interval for beta
    0.70402
  • Lowerbound of 95% confidence interval for alpha
    -0.09901
  • Upperbound of 95% confidence interval for alpha
    0.42257
  • Treynor index (mean / b)
    0.39432
  • Jensen alpha (a)
    0.16178
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21299
  • SD
    0.22636
  • Sharpe ratio (Glass type estimate)
    0.94093
  • Sharpe ratio (Hedges UMVUE)
    0.93980
  • df
    623.00000
  • t
    1.45212
  • p
    0.07349
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33050
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21166
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33128
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21088
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43420
  • Upside Potential Ratio
    7.28201
  • Upside part of mean
    1.08142
  • Downside part of mean
    -0.86843
  • Upside SD
    0.17110
  • Downside SD
    0.14851
  • N nonnegative terms
    316.00000
  • N negative terms
    308.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    624.00000
  • Mean of predictor
    0.11336
  • Mean of criterion
    0.21299
  • SD of predictor
    0.16690
  • SD of criterion
    0.22636
  • Covariance
    0.01708
  • r
    0.45201
  • b (slope, estimate of beta)
    0.61302
  • a (intercept, estimate of alpha)
    0.14349
  • Mean Square Error
    0.04083
  • DF error
    622.00000
  • t(b)
    12.63780
  • p(b)
    0.00000
  • t(a)
    1.09491
  • p(a)
    0.13699
  • Lowerbound of 95% confidence interval for beta
    0.51777
  • Upperbound of 95% confidence interval for beta
    0.70828
  • Lowerbound of 95% confidence interval for alpha
    -0.11387
  • Upperbound of 95% confidence interval for alpha
    0.40086
  • Treynor index (mean / b)
    0.34744
  • Jensen alpha (a)
    0.14349
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02194
  • Expected Shortfall on VaR
    0.02763
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00730
  • Expected Shortfall on VaR
    0.01589
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    624.00000
  • Minimum
    0.87850
  • Quartile 1
    0.99616
  • Median
    1.00015
  • Quartile 3
    1.00446
  • Maximum
    1.13275
  • Mean of quarter 1
    0.98852
  • Mean of quarter 2
    0.99860
  • Mean of quarter 3
    1.00217
  • Mean of quarter 4
    1.01478
  • Inter Quartile Range
    0.00830
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.03205
  • Mean of outliers low
    0.96397
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.03403
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49729
  • VaR(95%) (moments method)
    0.01161
  • Expected Shortfall (moments method)
    0.02557
  • Extreme Value Index (regression method)
    0.44782
  • VaR(95%) (regression method)
    0.00978
  • Expected Shortfall (regression method)
    0.01916
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00482
  • Quartile 1
    0.00909
  • Median
    0.01657
  • Quartile 3
    0.05300
  • Maximum
    0.25891
  • Mean of quarter 1
    0.00598
  • Mean of quarter 2
    0.01358
  • Mean of quarter 3
    0.03837
  • Mean of quarter 4
    0.14884
  • Inter Quartile Range
    0.04391
  • 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
    0.07692
  • Mean of outliers high
    0.25891
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.38655
  • VaR(95%) (moments method)
    0.13013
  • Expected Shortfall (moments method)
    0.15680
  • Extreme Value Index (regression method)
    0.69016
  • VaR(95%) (regression method)
    0.17282
  • Expected Shortfall (regression method)
    0.55427
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32535
  • Compounded annual return (geometric extrapolation)
    0.27239
  • Calmar ratio (compounded annual return / max draw down)
    1.05204
  • Compounded annual return / average of 25% largest draw downs
    1.83007
  • Compounded annual return / Expected Shortfall lognormal
    9.85819
  • 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
    0.38461
  • SD
    0.25346
  • Sharpe ratio (Glass type estimate)
    1.51742
  • Sharpe ratio (Hedges UMVUE)
    1.50865
  • df
    130.00000
  • t
    1.07298
  • p
    0.45315
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26330
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.29246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26921
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28652
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.96413
  • Upside Potential Ratio
    6.58941
  • Upside part of mean
    1.29030
  • Downside part of mean
    -0.90570
  • Upside SD
    0.16116
  • Downside SD
    0.19581
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06609
  • Mean of criterion
    0.38461
  • SD of predictor
    0.27308
  • SD of criterion
    0.25346
  • Covariance
    0.05366
  • r
    0.77533
  • b (slope, estimate of beta)
    0.71963
  • a (intercept, estimate of alpha)
    0.33704
  • Mean Square Error
    0.02582
  • DF error
    129.00000
  • t(b)
    13.94360
  • p(b)
    0.06172
  • t(a)
    1.48295
  • p(a)
    0.41781
  • Lowerbound of 95% confidence interval for beta
    0.61752
  • Upperbound of 95% confidence interval for beta
    0.82174
  • Lowerbound of 95% confidence interval for alpha
    -0.11263
  • Upperbound of 95% confidence interval for alpha
    0.78672
  • Treynor index (mean / b)
    0.53445
  • Jensen alpha (a)
    0.33704
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35129
  • SD
    0.26039
  • Sharpe ratio (Glass type estimate)
    1.34908
  • Sharpe ratio (Hedges UMVUE)
    1.34128
  • df
    130.00000
  • t
    0.95394
  • p
    0.45831
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43011
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12320
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43532
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11788
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70172
  • Upside Potential Ratio
    6.18819
  • Upside part of mean
    1.27746
  • Downside part of mean
    -0.92617
  • Upside SD
    0.15857
  • Downside SD
    0.20644
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02738
  • Mean of criterion
    0.35129
  • SD of predictor
    0.28259
  • SD of criterion
    0.26039
  • Covariance
    0.05791
  • r
    0.78696
  • b (slope, estimate of beta)
    0.72515
  • a (intercept, estimate of alpha)
    0.33144
  • Mean Square Error
    0.02601
  • DF error
    129.00000
  • t(b)
    14.48620
  • p(b)
    0.05710
  • t(a)
    1.45305
  • p(a)
    0.41943
  • Lowerbound of 95% confidence interval for beta
    0.62611
  • Upperbound of 95% confidence interval for beta
    0.82419
  • Lowerbound of 95% confidence interval for alpha
    -0.11986
  • Upperbound of 95% confidence interval for alpha
    0.78274
  • Treynor index (mean / b)
    0.48444
  • Jensen alpha (a)
    0.33144
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02481
  • Expected Shortfall on VaR
    0.03132
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00676
  • Expected Shortfall on VaR
    0.01587
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87850
  • Quartile 1
    0.99648
  • Median
    1.00106
  • Quartile 3
    1.00583
  • Maximum
    1.06030
  • Mean of quarter 1
    0.98756
  • Mean of quarter 2
    0.99907
  • Mean of quarter 3
    1.00346
  • Mean of quarter 4
    1.01626
  • Inter Quartile Range
    0.00935
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.91700
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.03103
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57309
  • VaR(95%) (moments method)
    0.01175
  • Expected Shortfall (moments method)
    0.02988
  • Extreme Value Index (regression method)
    0.34366
  • VaR(95%) (regression method)
    0.00864
  • Expected Shortfall (regression method)
    0.01473
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00036
  • Quartile 1
    0.00705
  • Median
    0.02589
  • Quartile 3
    0.03917
  • Maximum
    0.12150
  • Mean of quarter 1
    0.00241
  • Mean of quarter 2
    0.01725
  • Mean of quarter 3
    0.03188
  • Mean of quarter 4
    0.08644
  • Inter Quartile Range
    0.03212
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.10921
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -35.85900
  • VaR(95%) (moments method)
    0.08192
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.18977
  • VaR(95%) (regression method)
    0.16159
  • Expected Shortfall (regression method)
    0.16411
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41753
  • Compounded annual return (geometric extrapolation)
    0.46112
  • Calmar ratio (compounded annual return / max draw down)
    3.79532
  • Compounded annual return / average of 25% largest draw downs
    5.33447
  • Compounded annual return / Expected Shortfall lognormal
    14.72100

Strategy Description

The Halifax 5 Stock Healthcare portfolio with market timing targets five US stocks in the Healthcare sector that show indications are reasonable value and increasing earnings estimates.

The portfolio will then seek to enter the stock at an oversold level and then exit the stock at an overbought level.

Summary Statistics

Strategy began
2016-05-03
Suggested Minimum Capital
$15,000
# Trades
72
# Profitable
39
% Profitable
54.2%
Correlation S&P500
0.372
Sharpe Ratio
0.74
Sortino Ratio
1.14
Beta
0.54
Alpha
0.03

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.

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