Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $29,300 Hypothetical

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SMA

By richard_haines

Stocks · Started Dec 2007

hypothetical · Annual Return (Compounded)
23.9%
Max Drawdown
28.3%
Trades
165
Win Trades
66.7%
Profit Factor
1.60
Win Months
5.8%

About this strategy









This is a trading program I have designed for some of my family.

This signal will trade with a 50% IWM weighting 25% QQQQ weighting and 25% MDY weighting. The account trades with an account value plus 75% margin. All signals have a technical trigger with another confirmation trigger. When both are in the same direction a signal will occur. It can hold between 0 and 3 positions at a time.


Realism Factor 100.0
Trades 165
Profitable 110
Losses 55
Win % 66.7%
APD Ratio 0.24

Correlation w/ S&P 0.057
Cumu $ $48,300
after typical commission $45,781
and real-life slippage $45,781

Keep after worst-case slippage 100.0%
Avg Win $1,184
Avg Loss $1,491
Profit Factor 1.6:1
P/L per unit $0.43
after typical commission $0.42
after real-life slippage $0.42

Avg Trade Length 4.3 days
Compound Annual % 53.9% over 550 days
Sharpe Ratio 1.347
Max Drawdown 28.29% (20080925 to 20081016)
Risk of 20% account loss 19.0%
Risk of 50% account loss 0.0%
Risk of 100% account loss 0.0%


Crowd Opinion

Viewed 5,746 times
Tracked by 132 My Analyst pages
With commentary: 3











Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20072.12.1
2008-15.612.09.712.29.13.7-1.11.111.5-8.0-13.228.550.5
20091.5-3.22.524.61.5-3.30.00.00.0-0.00.00.023.3
20100.00.00.00.00.00.0-0.00.00.0-0.00.00.00.0
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began12/17/2007
Suggested Minimum Capital$50,000
Age228 months
What it tradesStocks
# Trades165
# Profitable110
% Profitable66.7%
Avg trade duration4.3 days
Max peak-to-valley drawdown28.3%
drawdown periodSept 25, 2008 - Oct 16, 2008
Annual return (compounded)3.7%
Avg win$1,185
Avg loss$1,491

Ratios

W:L ratio1.59
Sharpe Ratio0.18
Sortino Ratio0.28
Calmar Ratio0.36

CORRELATION STATISTICS

Correlation to SP5000.03
Return Percent SP500 (cumu) during strategy life428.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)77.3%

Return Statistics

Ann Return (w trading costs)23.9%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)3.7%

Slump

Current Slump as Pcnt Equity6.9%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss34.1%
Chance of 20% account loss19.1%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$1,491
Avg Win$1,185
# Winners110
Sum Trade PL (losers)$82,017
Sum Trade PL (winners)$130,314
Num Months Winners17
# Losers55
% Winners66.7%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table226

Frequency

Avg Position Time (mins)6249.88
Avg Position Time (hrs)104.17
Avg Trade Length4.30
Last Trade Ago6287

Regression

Alpha0
Beta0.01
Treynor Index0.39

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.03
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades5.36
MAE:PL (avg, all trades)0.39
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats37.48
MAE:PL - Winning Trades - this strat Percentile of All Strats39.50
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.57
Avg(MAE) / Avg(PL) - Losing trades-1.48
Hold-and-Hope Ratio0.19

RATIO STATISTICS

a (intercept, estimate of alpha)0.30
VAR (95 Confidence Intrvl)0.06

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)21
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 6 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
IWM long1674Jun 9, 2009Jun 18, 2009($3,470)
MDY long408Jun 9, 2009Jun 17, 2009($1,689)
QQQQ long1200Jun 9, 2009Jun 10, 2009$391
MDY short406Jun 3, 2009Jun 8, 2009$126
QQQQ short1223Jun 2, 2009Jun 8, 2009($421)
IWM short1682Jun 3, 2009Jun 8, 2009($829)
MDY long410May 27, 2009Jun 1, 2009$1,230
IWM long1706May 27, 2009Jun 1, 2009$2,725
QQQQ long1247May 26, 2009May 29, 2009$2,227
QQQQ short1216May 19, 2009May 22, 2009$433
IWM long1682May 14, 2009May 19, 2009$3,325
MDY long402May 14, 2009May 18, 2009$551
QQQQ long1187May 12, 2009May 18, 2009($1,014)
MDY short406Apr 30, 2009May 12, 2009($609)
IWM short1690Apr 30, 2009May 12, 2009($1,475)
QQQQ short1283Apr 30, 2009May 8, 2009($95)
QQQQ long1283Apr 21, 2009Apr 27, 2009$1,701
IWM short1769Apr 13, 2009Apr 22, 2009$119
MDY short425Apr 16, 2009Apr 20, 2009($311)
QQQQ short1262Apr 16, 2009Apr 20, 2009$159
QQQQ long1207Apr 9, 2009Apr 13, 2009$321
MDY long417Apr 9, 2009Apr 13, 2009$701
IWM long1770Apr 8, 2009Apr 13, 2009$4,863
QQQQ short1175Apr 6, 2009Apr 8, 2009$289
QQQQ long1160Mar 31, 2009Apr 3, 2009$2,013
MDY long396Mar 31, 2009Apr 3, 2009$1,984
IWM long1669Mar 31, 2009Apr 3, 2009$4,485
IWM short1889Mar 16, 2009Mar 31, 2009($4,463)
QQQQ short1301Mar 16, 2009Mar 23, 2009($1,254)
MDY short449Mar 16, 2009Mar 23, 2009($1,203)

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.