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

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Gulf Harbour

By JVermoesen

Stocks · Started Jul 2010

hypothetical · Annual Return (Compounded)
-62.7%
Max Drawdown
—
Trades
158
Win Trades
43.0%
Profit Factor
0.70
Win Months
3.6%

About this strategy

We like to keep it simple: postion is initiated long or short; and at the same time a stop is placed about 5% below/above the buy/short level.
Profits will be topped at 10%; resulting in a automatical closing of the position. Positions can run in time from days untill weeks.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201012.2-3.24.4-0.33.08.926.9
20113.1-0.5-13.63.9-9.5-3.2-18.6-40.02.8-92.2-4.4-18.2-97.5
20120.0-0.00.00.00.00.00.00.00.00.00.00.0-0.0
20130.00.00.0-0.20.00.00.00.00.00.00.00.0-0.2
20140.00.00.00.00.00.00.0-0.00.00.00.00.0-0.0
20150.00.00.00.00.0-0.10.00.00.00.00.00.0-0.1
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
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
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 began7/5/2010
Suggested Minimum Capital$100,000
Age197 months
What it tradesStocks
# Trades158
# Profitable68
% Profitable43.0%
Avg trade duration7.4 days
Max peak-to-valley drawdown—
drawdown period—
Annual return (compounded)-9.3%
Avg win$2,198
Avg loss$2,546

Ratios

W:L ratio0.65
Sharpe Ratio0.17
Sortino Ratio1.73
Calmar Ratio-0.37

CORRELATION STATISTICS

Correlation to SP500-0.06
Return Percent SP500 (cumu) during strategy life638.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-146.3%

Return Statistics

Ann Return (w trading costs)-62.7%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-9.3%

Slump

Current Slump as Pcnt Equity4490.7%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks0.9%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss41.5%
Chance of 20% account loss9.5%
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$2,546
Avg Win$2,198
# Winners68
Sum Trade PL (losers)$229,114
Sum Trade PL (winners)$149,497
Num Months Winners8
# Losers90
% Winners43.0%

Dividends

Dividends Received in Model Acct82

Age

Num Months filled monthly returns table195

Frequency

Avg Position Time (mins)10593.83
Avg Position Time (hrs)176.56
Avg Trade Length7.40
Last Trade Ago5400

Regression

Alpha0.28
Beta-1.50
Treynor Index-0.16

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.10
MAE:Equity, 95th Percentile Value for this strat0.16
MAE:Equity, average, losing trades0.09
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.10
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-4.29
MAE:PL (avg, all trades)0.75
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats19.11
MAE:PL - Winning Trades - this strat Percentile of All Strats66.40
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.69
Avg(MAE) / Avg(PL) - Losing trades-1.11
Hold-and-Hope Ratio-0.23

RATIO STATISTICS

a (intercept, estimate of alpha)0.29
VAR (95 Confidence Intrvl)0.10

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)254
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 15 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ACTG1117L40 long740Nov 9, 2011Dec 2, 2011($66,436)
SPX1119W1100 long88Oct 25, 2011Nov 1, 2011$14,837
CRM short4088Oct 18, 2011Oct 24, 2011($3,357)
CRM long4088Oct 17, 2011Oct 18, 2011$2,313
CRM short4088Oct 14, 2011Oct 17, 2011$4,357
CRM short4132Sep 26, 2011Oct 3, 2011$5,251
CRM long4100Sep 8, 2011Sep 12, 2011($3,449)
EUR/USD long700Sep 9, 2011Sep 12, 2011($368)
USD/NOK short700Sep 12, 2011Sep 12, 2011$424
CRM short4720Sep 6, 2011Sep 8, 2011($6,550)
CRM short4000Aug 31, 2011Sep 6, 2011$6,935
WEN long3900Jul 27, 2011Aug 9, 2011($2,579)
YM U1long11Aug 8, 2011Aug 8, 2011($18,513)
KBX long5070Jul 27, 2011Aug 5, 2011($2,084)
XPO long928Jul 27, 2011Aug 5, 2011($2,826)
MTSN long5000Jul 27, 2011Aug 5, 2011($2,055)
HTCH long3149Jul 27, 2011Aug 4, 2011($2,052)
AIS long4256Jul 27, 2011Aug 4, 2011($2,048)
OWW long2926Jul 27, 2011Aug 4, 2011($2,053)
LRAD long3093Jul 27, 2011Aug 4, 2011($2,077)
VALV long1450Jul 28, 2011Aug 1, 2011($1,600)
LMLP long3047Jul 27, 2011Jul 28, 2011($2,077)
ALAN long5530Jul 22, 2011Jul 22, 2011$327
GPL long2627Jul 22, 2011Jul 22, 2011($84)
DTLK long2236Jul 22, 2011Jul 22, 2011$84
BIOS long2850Jul 22, 2011Jul 22, 2011$252
KNDI long3468Jul 22, 2011Jul 22, 2011$134
SCLN long3020Jul 22, 2011Jul 22, 2011($65)
BAA long2170Jul 22, 2011Jul 22, 2011($244)
XPO long616Jul 22, 2011Jul 22, 2011($5)

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.