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

Healthcare Equity
(112481509)

Created by: NTLLC-GDSingh NTLLC-GDSingh
Started: 07/2017
Stocks
Last trade: 50 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 $30.00 per month.

6.8%
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.

(20.1%)
Max Drawdown
162
Num Trades
53.7%
Win Trades
1.4 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                          (4.8%)+6.9%+3.2%(0.7%)+4.4%+2.6%+11.8%
2018+15.9%(2.4%)(2.3%)(2.6%)+10.4%(3.3%)+0.4%+4.9%(0.3%)(14.5%)+1.1%(5.7%)(1.7%)

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

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/20/17 9:35 ABUS ARBUTUS BIOPHARMA CORPORATION COMMON STOCK LONG 100 5.82 7/30/18 11:52 8.85 0.24%
Trade id #114391031
Max drawdown($64)
Time12/14/17 14:12
Quant open30
Worst price4.30
Drawdown as % of equity-0.24%
$301
Includes Typical Broker Commissions trade costs of $2.00
11/16/17 14:12 VRAY VIEWRAY INC. COMMON STOCK LONG 70 8.98 7/25/18 15:07 12.71 0.5%
Trade id #114900618
Max drawdown($164)
Time7/2/18 9:51
Quant open70
Worst price6.63
Drawdown as % of equity-0.50%
$260
Includes Typical Broker Commissions trade costs of $1.40
1/5/18 15:33 CRSP CRISPR THERAPEUTICS AG COMMON SHARES LONG 30 26.50 6/11 11:19 47.51 0.37%
Trade id #115728519
Max drawdown($111)
Time1/8/18 9:20
Quant open30
Worst price22.78
Drawdown as % of equity-0.37%
$629
Includes Typical Broker Commissions trade costs of $0.60
12/8/17 12:20 ASNS ARSANIS INC. COMMON STOCK LONG 50 14.00 5/2/18 11:19 19.17 0.27%
Trade id #115262000
Max drawdown($85)
Time2/12/18 9:35
Quant open50
Worst price12.30
Drawdown as % of equity-0.27%
$257
Includes Typical Broker Commissions trade costs of $1.00
1/5/18 15:41 OMER OMEROS LONG 15 19.43 3/23 15:44 12.56 0.42%
Trade id #115728862
Max drawdown($133)
Time2/14/18 13:00
Quant open15
Worst price10.55
Drawdown as % of equity-0.42%
($103)
Includes Typical Broker Commissions trade costs of $0.30
12/27/17 15:29 GKOS GLAUKOS CORPORATION LONG 26 28.13 3/23/18 15:44 29.63 0.04%
Trade id #115549543
Max drawdown($11)
Time1/5/18 10:03
Quant open15
Worst price25.25
Drawdown as % of equity-0.04%
$38
Includes Typical Broker Commissions trade costs of $0.52
7/10/17 9:34 CNAT CONATUS PHARMACEUTICALS INC LONG 400 5.79 3/21/18 11:32 6.18 1.77%
Trade id #112493469
Max drawdown($421)
Time8/3/17 9:40
Quant open250
Worst price4.80
Drawdown as % of equity-1.77%
$147
Includes Typical Broker Commissions trade costs of $8.00
2/2/18 9:35 SLDB SOLID BIOSCIENCES INC. COMMON STOCK LONG 12 27.07 3/15 14:28 9.62 0.62%
Trade id #116247178
Max drawdown($214)
Time3/15/18 11:09
Quant open12
Worst price9.18
Drawdown as % of equity-0.62%
($209)
Includes Typical Broker Commissions trade costs of $0.24
1/29/18 9:36 TCON TRACON PHARMACEUTICALS INC. C LONG 150 2.80 3/12 9:35 2.62 0.36%
Trade id #116149122
Max drawdown($112)
Time2/23/18 10:26
Quant open150
Worst price2.05
Drawdown as % of equity-0.36%
($29)
Includes Typical Broker Commissions trade costs of $3.00
10/23/17 15:58 FLDM FLUIDIGM LONG 100 5.50 3/2/18 12:58 6.65 0.01%
Trade id #114430096
Max drawdown($4)
Time2/7/18 9:37
Quant open100
Worst price5.46
Drawdown as % of equity-0.01%
$113
Includes Typical Broker Commissions trade costs of $2.00
2/2/18 10:56 BTX BIOTIME LONG 100 2.97 3/2 12:57 2.80 0.15%
Trade id #116250051
Max drawdown($47)
Time2/9/18 12:12
Quant open100
Worst price2.50
Drawdown as % of equity-0.15%
($19)
Includes Typical Broker Commissions trade costs of $2.00
12/8/17 12:22 SCPH SCPHARMACEUTICALS INC. COMMON STOCK LONG 75 13.19 3/1/18 10:24 15.76 0.39%
Trade id #115262074
Max drawdown($125)
Time2/8/18 9:32
Quant open75
Worst price11.52
Drawdown as % of equity-0.39%
$192
Includes Typical Broker Commissions trade costs of $1.50
7/13/17 9:35 KDMN KADMON HOLDINGS INC LONG 300 3.32 2/26/18 13:58 4.12 0.96%
Trade id #112578618
Max drawdown($221)
Time8/23/17 10:15
Quant open200
Worst price2.16
Drawdown as % of equity-0.96%
$232
Includes Typical Broker Commissions trade costs of $6.00
12/27/17 15:29 CBIO CATALYST BIOSCIENCES INC. COMMON STOCK LONG 15 13.74 2/26/18 13:57 31.31 n/a $264
Includes Typical Broker Commissions trade costs of $0.30
1/29/18 12:48 ATRA ATARA BIOTHERAPEUTICS INC LONG 10 34.98 2/22 9:36 47.54 0.12%
Trade id #116155189
Max drawdown($39)
Time2/2/18 11:09
Quant open10
Worst price31.00
Drawdown as % of equity-0.12%
$126
Includes Typical Broker Commissions trade costs of $0.20
1/12/18 13:28 HTGM HTG MOLECULAR DIAGNOSTICS INC. COMMON STOCK LONG 50 3.61 2/12 14:18 4.27 0.18%
Trade id #115863408
Max drawdown($55)
Time1/16/18 16:13
Quant open50
Worst price2.50
Drawdown as % of equity-0.18%
$32
Includes Typical Broker Commissions trade costs of $1.00
1/5/18 15:39 GALT GALECTIN THERAPEUTICS LONG 70 4.13 2/6 12:37 4.21 0.09%
Trade id #115728775
Max drawdown($29)
Time2/1/18 10:37
Quant open70
Worst price3.71
Drawdown as % of equity-0.09%
$5
Includes Typical Broker Commissions trade costs of $1.40
1/22/18 9:35 MYO MYOMO INC LONG 150 3.63 2/6 12:02 4.35 0.02%
Trade id #116020517
Max drawdown($5)
Time1/22/18 9:37
Quant open150
Worst price3.59
Drawdown as % of equity-0.02%
$105
Includes Typical Broker Commissions trade costs of $3.00
1/29/18 13:56 GERN GERON LONG 100 2.26 2/2 11:55 2.53 0%
Trade id #116156724
Max drawdown$0
Time1/29/18 14:00
Quant open100
Worst price2.26
Drawdown as % of equity0.00%
$25
Includes Typical Broker Commissions trade costs of $2.00
12/26/17 11:55 ONCE SPARK THERAPEUTICS INC LONG 11 54.43 2/2/18 9:35 53.81 0.22%
Trade id #115521440
Max drawdown($66)
Time1/5/18 10:20
Quant open11
Worst price48.40
Drawdown as % of equity-0.22%
($7)
Includes Typical Broker Commissions trade costs of $0.22
10/4/17 12:39 CASC CASCADIAN THERAPEUTICS INC LONG 185 4.36 1/31/18 11:57 8.43 0.36%
Trade id #114017063
Max drawdown($109)
Time1/8/18 9:46
Quant open130
Worst price3.52
Drawdown as % of equity-0.36%
$748
Includes Typical Broker Commissions trade costs of $3.70
9/15/17 14:26 NTLA INTELLIA THERAPEUTICS INC. COMMON STOCK LONG 80 24.15 1/29/18 13:56 27.23 1.08%
Trade id #113705765
Max drawdown($323)
Time1/8/18 12:16
Quant open55
Worst price18.26
Drawdown as % of equity-1.08%
$244
Includes Typical Broker Commissions trade costs of $1.60
1/5/18 15:31 ADMS ADAMAS PHARMACEUTICALS INC. C LONG 10 33.76 1/29 13:55 40.38 0.07%
Trade id #115728482
Max drawdown($21)
Time1/8/18 10:09
Quant open10
Worst price31.65
Drawdown as % of equity-0.07%
$66
Includes Typical Broker Commissions trade costs of $0.20
1/12/18 13:27 ATRA ATARA BIOTHERAPEUTICS INC LONG 20 25.65 1/29 12:47 37.59 0%
Trade id #115863350
Max drawdown$0
Time1/12/18 13:30
Quant open20
Worst price25.65
Drawdown as % of equity0.00%
$239
Includes Typical Broker Commissions trade costs of $0.40
11/9/17 13:12 FLXN FLEXION THERAPEUTICS INC. COM LONG 35 23.24 1/29/18 9:35 23.19 0.08%
Trade id #114774831
Max drawdown($24)
Time1/18/18 14:25
Quant open35
Worst price22.55
Drawdown as % of equity-0.08%
($3)
Includes Typical Broker Commissions trade costs of $0.70
12/27/17 15:29 HTGM HTG MOLECULAR DIAGNOSTICS INC. COMMON STOCK LONG 100 2.04 1/12/18 13:28 3.56 0.03%
Trade id #115549535
Max drawdown($9)
Time12/28/17 14:35
Quant open100
Worst price1.95
Drawdown as % of equity-0.03%
$151
Includes Typical Broker Commissions trade costs of $2.00
11/13/17 9:41 FOLD AMICUS THERAPEUTICS LONG 50 12.73 1/12/18 13:27 15.45 0%
Trade id #114825329
Max drawdown($0)
Time12/15/17 15:43
Quant open50
Worst price12.72
Drawdown as % of equity-0.00%
$135
Includes Typical Broker Commissions trade costs of $1.00
7/18/17 9:33 ATRA ATARA BIOTHERAPEUTICS INC LONG 85 15.67 1/12/18 13:27 20.47 0.64%
Trade id #112658350
Max drawdown($145)
Time8/22/17 9:37
Quant open60
Worst price13.20
Drawdown as % of equity-0.64%
$406
Includes Typical Broker Commissions trade costs of $1.70
9/19/17 12:46 EDIT EDITAS MEDICINE INC. COMMON STOCK LONG 36 23.93 1/5/18 15:33 32.01 0.13%
Trade id #113747826
Max drawdown($32)
Time9/27/17 10:14
Quant open12
Worst price19.06
Drawdown as % of equity-0.13%
$290
Includes Typical Broker Commissions trade costs of $0.72
12/5/17 12:46 CRSP CRISPR THERAPEUTICS AG COMMON SHARES LONG 40 18.58 1/5/18 15:32 26.31 0.18%
Trade id #115204007
Max drawdown($47)
Time12/12/17 14:14
Quant open40
Worst price17.40
Drawdown as % of equity-0.18%
$308
Includes Typical Broker Commissions trade costs of $0.80

Statistics

  • Strategy began
    7/8/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    523.12
  • Age
    17 months ago
  • What it trades
    Stocks
  • # Trades
    162
  • # Profitable
    87
  • % Profitable
    53.70%
  • Avg trade duration
    186.5 days
  • Max peak-to-valley drawdown
    20.15%
  • drawdown period
    June 20, 2018 - Dec 13, 2018
  • Annual Return (Compounded)
    6.8%
  • Avg win
    $196.56
  • Avg loss
    $162.88
  • Model Account Values (Raw)
  • Cash
    $19,879
  • Margin Used
    $0
  • Buying Power
    $11,063
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    0.461
  • Sortino Ratio
    0.653
  • Calmar Ratio
    0.553
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.37300
  • Return Statistics
  • Ann Return (w trading costs)
    6.8%
  • Ann Return (Compnd, No Fees)
    8.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.00%
  • Chance of 20% account loss
    8.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    608
  • C2 Score
    58.5
  • 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
    $210
  • Avg Win
    $218
  • # Winners
    87
  • # Losers
    75
  • % Winners
    53.7%
  • Frequency
  • Avg Position Time (mins)
    268572.00
  • Avg Position Time (hrs)
    4476.20
  • Avg Trade Length
    186.5 days
  • Last Trade Ago
    50
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11150
  • SD
    0.22547
  • Sharpe ratio (Glass type estimate)
    0.49450
  • Sharpe ratio (Hedges UMVUE)
    0.46928
  • df
    15.00000
  • t
    0.57100
  • p
    0.40748
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19284
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23638
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17495
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81372
  • Upside Potential Ratio
    2.88649
  • Upside part of mean
    0.39551
  • Downside part of mean
    -0.28401
  • Upside SD
    0.17298
  • Downside SD
    0.13702
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.06295
  • Mean of criterion
    0.11150
  • SD of predictor
    0.09892
  • SD of criterion
    0.22547
  • Covariance
    0.01036
  • r
    0.46429
  • b (slope, estimate of beta)
    1.05824
  • a (intercept, estimate of alpha)
    0.04488
  • Mean Square Error
    0.04273
  • DF error
    14.00000
  • t(b)
    1.96146
  • p(b)
    0.26785
  • t(a)
    0.24632
  • p(a)
    0.46716
  • Lowerbound of 95% confidence interval for beta
    -0.09891
  • Upperbound of 95% confidence interval for beta
    2.21540
  • Lowerbound of 95% confidence interval for alpha
    -0.34591
  • Upperbound of 95% confidence interval for alpha
    0.43567
  • Treynor index (mean / b)
    0.10536
  • Jensen alpha (a)
    0.04488
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08738
  • SD
    0.22333
  • Sharpe ratio (Glass type estimate)
    0.39126
  • Sharpe ratio (Hedges UMVUE)
    0.37130
  • df
    15.00000
  • t
    0.45178
  • p
    0.42640
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31820
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08793
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33127
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07387
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61694
  • Upside Potential Ratio
    2.68673
  • Upside part of mean
    0.38052
  • Downside part of mean
    -0.29315
  • Upside SD
    0.16533
  • Downside SD
    0.14163
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.05804
  • Mean of criterion
    0.08738
  • SD of predictor
    0.09945
  • SD of criterion
    0.22333
  • Covariance
    0.01037
  • r
    0.46696
  • b (slope, estimate of beta)
    1.04865
  • a (intercept, estimate of alpha)
    0.02651
  • Mean Square Error
    0.04179
  • DF error
    14.00000
  • t(b)
    1.97583
  • p(b)
    0.26652
  • t(a)
    0.14754
  • p(a)
    0.48030
  • Lowerbound of 95% confidence interval for beta
    -0.08967
  • Upperbound of 95% confidence interval for beta
    2.18696
  • Lowerbound of 95% confidence interval for alpha
    -0.35889
  • Upperbound of 95% confidence interval for alpha
    0.41191
  • Treynor index (mean / b)
    0.08332
  • Jensen alpha (a)
    0.02651
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09404
  • Expected Shortfall on VaR
    0.11787
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04680
  • Expected Shortfall on VaR
    0.08375
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.92202
  • Quartile 1
    0.94554
  • Median
    1.02462
  • Quartile 3
    1.05636
  • Maximum
    1.11304
  • Mean of quarter 1
    0.93213
  • Mean of quarter 2
    0.98458
  • Mean of quarter 3
    1.03808
  • Mean of quarter 4
    1.09169
  • Inter Quartile Range
    0.11082
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.55731
  • VaR(95%) (moments method)
    0.07573
  • Expected Shortfall (moments method)
    0.07755
  • Extreme Value Index (regression method)
    -4.52089
  • VaR(95%) (regression method)
    0.09002
  • Expected Shortfall (regression method)
    0.09005
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03903
  • Quartile 1
    0.05040
  • Median
    0.06600
  • Quartile 3
    0.09852
  • Maximum
    0.16062
  • Mean of quarter 1
    0.03903
  • Mean of quarter 2
    0.05418
  • Mean of quarter 3
    0.07782
  • Mean of quarter 4
    0.16062
  • Inter Quartile Range
    0.04812
  • 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)
    0.12462
  • Compounded annual return (geometric extrapolation)
    0.12219
  • Calmar ratio (compounded annual return / max draw down)
    0.76075
  • Compounded annual return / average of 25% largest draw downs
    0.76075
  • Compounded annual return / Expected Shortfall lognormal
    1.03667
  • 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
    0.08282
  • SD
    0.17924
  • Sharpe ratio (Glass type estimate)
    0.46207
  • Sharpe ratio (Hedges UMVUE)
    0.46114
  • df
    370.00000
  • t
    0.54985
  • p
    0.29138
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18559
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10922
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18627
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10854
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65260
  • Upside Potential Ratio
    9.23920
  • Upside part of mean
    1.17258
  • Downside part of mean
    -1.08976
  • Upside SD
    0.12634
  • Downside SD
    0.12691
  • N nonnegative terms
    201.00000
  • N negative terms
    170.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    371.00000
  • Mean of predictor
    0.04334
  • Mean of criterion
    0.08282
  • SD of predictor
    0.13498
  • SD of criterion
    0.17924
  • Covariance
    0.00959
  • r
    0.39623
  • b (slope, estimate of beta)
    0.52618
  • a (intercept, estimate of alpha)
    0.06000
  • Mean Square Error
    0.02716
  • DF error
    369.00000
  • t(b)
    8.28991
  • p(b)
    -0.00000
  • t(a)
    0.43332
  • p(a)
    0.33252
  • Lowerbound of 95% confidence interval for beta
    0.40137
  • Upperbound of 95% confidence interval for beta
    0.65099
  • Lowerbound of 95% confidence interval for alpha
    -0.21235
  • Upperbound of 95% confidence interval for alpha
    0.33240
  • Treynor index (mean / b)
    0.15740
  • Jensen alpha (a)
    0.06002
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06677
  • SD
    0.17937
  • Sharpe ratio (Glass type estimate)
    0.37225
  • Sharpe ratio (Hedges UMVUE)
    0.37150
  • df
    370.00000
  • t
    0.44297
  • p
    0.32902
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27525
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01933
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27579
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01878
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52101
  • Upside Potential Ratio
    9.08709
  • Upside part of mean
    1.16457
  • Downside part of mean
    -1.09780
  • Upside SD
    0.12522
  • Downside SD
    0.12816
  • N nonnegative terms
    201.00000
  • N negative terms
    170.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    371.00000
  • Mean of predictor
    0.03419
  • Mean of criterion
    0.06677
  • SD of predictor
    0.13560
  • SD of criterion
    0.17937
  • Covariance
    0.00967
  • r
    0.39770
  • b (slope, estimate of beta)
    0.52609
  • a (intercept, estimate of alpha)
    0.04878
  • Mean Square Error
    0.02716
  • DF error
    369.00000
  • t(b)
    8.32638
  • p(b)
    -0.00000
  • t(a)
    0.35222
  • p(a)
    0.36244
  • Lowerbound of 95% confidence interval for beta
    0.40184
  • Upperbound of 95% confidence interval for beta
    0.65033
  • Lowerbound of 95% confidence interval for alpha
    -0.22357
  • Upperbound of 95% confidence interval for alpha
    0.32114
  • Treynor index (mean / b)
    0.12692
  • Jensen alpha (a)
    0.04878
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01781
  • Expected Shortfall on VaR
    0.02234
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00915
  • Expected Shortfall on VaR
    0.01731
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    371.00000
  • Minimum
    0.96255
  • Quartile 1
    0.99386
  • Median
    1.00137
  • Quartile 3
    1.00718
  • Maximum
    1.03138
  • Mean of quarter 1
    0.98624
  • Mean of quarter 2
    0.99750
  • Mean of quarter 3
    1.00400
  • Mean of quarter 4
    1.01398
  • Inter Quartile Range
    0.01333
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01348
  • Mean of outliers low
    0.96829
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.00539
  • Mean of outliers high
    1.03037
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12865
  • VaR(95%) (moments method)
    0.01334
  • Expected Shortfall (moments method)
    0.01691
  • Extreme Value Index (regression method)
    -0.09389
  • VaR(95%) (regression method)
    0.01365
  • Expected Shortfall (regression method)
    0.01759
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00010
  • Quartile 1
    0.01088
  • Median
    0.02500
  • Quartile 3
    0.07454
  • Maximum
    0.17959
  • Mean of quarter 1
    0.00397
  • Mean of quarter 2
    0.01643
  • Mean of quarter 3
    0.04905
  • Mean of quarter 4
    0.12229
  • Inter Quartile Range
    0.06365
  • 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
    0.06667
  • Mean of outliers high
    0.17959
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.99675
  • VaR(95%) (moments method)
    0.13289
  • Expected Shortfall (moments method)
    0.13358
  • Extreme Value Index (regression method)
    -0.41666
  • VaR(95%) (regression method)
    0.16253
  • Expected Shortfall (regression method)
    0.18951
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10132
  • Compounded annual return (geometric extrapolation)
    0.09930
  • Calmar ratio (compounded annual return / max draw down)
    0.55296
  • Compounded annual return / average of 25% largest draw downs
    0.81203
  • Compounded annual return / Expected Shortfall lognormal
    4.44487
  • 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
    -0.38769
  • SD
    0.16582
  • Sharpe ratio (Glass type estimate)
    -2.33805
  • Sharpe ratio (Hedges UMVUE)
    -2.32453
  • df
    130.00000
  • t
    -1.65325
  • p
    0.57175
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.12002
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.45266
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.11070
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46164
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.85737
  • Upside Potential Ratio
    6.20609
  • Upside part of mean
    0.84205
  • Downside part of mean
    -1.22974
  • Upside SD
    0.09721
  • Downside SD
    0.13568
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10918
  • Mean of criterion
    -0.38769
  • SD of predictor
    0.14810
  • SD of criterion
    0.16582
  • Covariance
    0.01182
  • r
    0.48143
  • b (slope, estimate of beta)
    0.53902
  • a (intercept, estimate of alpha)
    -0.32884
  • Mean Square Error
    0.02129
  • DF error
    129.00000
  • t(b)
    6.23851
  • p(b)
    0.20580
  • t(a)
    -1.59208
  • p(a)
    0.58809
  • Lowerbound of 95% confidence interval for beta
    0.36807
  • Upperbound of 95% confidence interval for beta
    0.70997
  • Lowerbound of 95% confidence interval for alpha
    -0.73750
  • Upperbound of 95% confidence interval for alpha
    0.07982
  • Treynor index (mean / b)
    -0.71925
  • Jensen alpha (a)
    -0.32884
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.40165
  • SD
    0.16632
  • Sharpe ratio (Glass type estimate)
    -2.41490
  • Sharpe ratio (Hedges UMVUE)
    -2.40094
  • df
    130.00000
  • t
    -1.70759
  • p
    0.57406
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.19759
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.37690
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.18806
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38619
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.93114
  • Upside Potential Ratio
    6.11036
  • Upside part of mean
    0.83729
  • Downside part of mean
    -1.23893
  • Upside SD
    0.09639
  • Downside SD
    0.13703
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12014
  • Mean of criterion
    -0.40165
  • SD of predictor
    0.14875
  • SD of criterion
    0.16632
  • Covariance
    0.01199
  • r
    0.48446
  • b (slope, estimate of beta)
    0.54169
  • a (intercept, estimate of alpha)
    -0.33657
  • Mean Square Error
    0.02133
  • DF error
    129.00000
  • t(b)
    6.28983
  • p(b)
    0.20411
  • t(a)
    -1.62734
  • p(a)
    0.58999
  • Lowerbound of 95% confidence interval for beta
    0.37130
  • Upperbound of 95% confidence interval for beta
    0.71208
  • Lowerbound of 95% confidence interval for alpha
    -0.74577
  • Upperbound of 95% confidence interval for alpha
    0.07263
  • Treynor index (mean / b)
    -0.74147
  • Jensen alpha (a)
    -0.33657
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01827
  • Expected Shortfall on VaR
    0.02246
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01118
  • Expected Shortfall on VaR
    0.02004
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96602
  • Quartile 1
    0.99357
  • Median
    0.99916
  • Quartile 3
    1.00501
  • Maximum
    1.03138
  • Mean of quarter 1
    0.98527
  • Mean of quarter 2
    0.99634
  • Mean of quarter 3
    1.00290
  • Mean of quarter 4
    1.01012
  • Inter Quartile Range
    0.01144
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96744
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02835
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.42167
  • VaR(95%) (moments method)
    0.01451
  • Expected Shortfall (moments method)
    0.01701
  • Extreme Value Index (regression method)
    -0.29601
  • VaR(95%) (regression method)
    0.01426
  • Expected Shortfall (regression method)
    0.01717
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00268
  • Quartile 1
    0.00292
  • Median
    0.00317
  • Quartile 3
    0.09138
  • Maximum
    0.17959
  • Mean of quarter 1
    0.00268
  • Mean of quarter 2
    0.00317
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17959
  • Inter Quartile Range
    0.08845
  • 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)
    -0.34090
  • Compounded annual return (geometric extrapolation)
    -0.31184
  • Calmar ratio (compounded annual return / max draw down)
    -1.73646
  • Compounded annual return / average of 25% largest draw downs
    -1.73646
  • Compounded annual return / Expected Shortfall lognormal
    -13.88160

Strategy Description

Diversified portfolio of 40-50 small cap potentially promising biotech companies with near term (mid/intermediate term) catalysts. Avg position size is 2-3% to manage risk. If you decide to follow or auto-trade, pls select, "join positions in progress" to get full performance.

Summary Statistics

Strategy began
2017-07-08
Suggested Minimum Capital
$15,000
# Trades
162
# Profitable
87
% Profitable
53.7%
Net Dividends
Correlation S&P500
0.373
Sharpe Ratio
0.461

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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