Welcome to Lisa Chen Trading

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System More...

QPI StockPicker SP500

Started: 09/2024
Stocks
Last trade: Today
Trading style: Equity Non-hedged Equity

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 $420.00 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.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
4.6%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(6.8%)
Max Drawdown
391
Num Trades
51.4%
Win Trades
1.4 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                                        +2.3%+0.8%+5.4%(3.8%)+4.6%

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 25 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/23/24 15:55 FTNT FORTINET LONG 41 96.47 12/26 15:55 97.38 n/a $35
Includes Typical Broker Commissions trade costs of $2.00
12/23/24 15:55 PM PHILIP MORRIS LONG 32 123.84 12/26 15:55 121.60 n/a ($74)
Includes Typical Broker Commissions trade costs of $2.00
12/23/24 15:55 IBM INTERNATIONAL BUSINESS MACHINES LONG 17 222.13 12/26 15:55 225.03 n/a $47
Includes Typical Broker Commissions trade costs of $2.00
12/20/24 15:55 BLK BLACKROCK LONG 3 1030.61 12/26 15:55 1054.43 n/a $69
Includes Typical Broker Commissions trade costs of $2.00
12/19/24 15:40 PYPL PAYPAL HOLDINGS CORP LONG 46 86.93 12/26 15:55 88.09 n/a $51
Includes Typical Broker Commissions trade costs of $2.00
12/19/24 15:40 HLT HILTON WORLDWIDE HOLDINGS INC LONG 16 246.30 12/26 15:55 251.79 n/a $86
Includes Typical Broker Commissions trade costs of $2.00
12/9/24 15:40 NVDA NVIDIA LONG 28 138.42 12/26 15:55 140.10 n/a $45
Includes Typical Broker Commissions trade costs of $2.00
12/20/24 15:55 RMD RESMED LONG 16 237.46 12/23 15:55 230.10 0.22%
Trade id #150379260
Max drawdown($207)
Time12/23/24 10:24
Quant open16
Worst price224.51
Drawdown as % of equity-0.22%
 ($120)
Includes Typical Broker Commissions trade costs of $2.00
12/20/24 15:55 MA MASTERCARD LONG 7 529.14 12/23 15:55 529.06 0.06%
Trade id #150379258
Max drawdown($56)
Time12/23/24 11:00
Quant open7
Worst price521.13
Drawdown as % of equity-0.06%
 ($3)
Includes Typical Broker Commissions trade costs of $2.00
12/20/24 15:55 RSG REPUBLIC SERVICES LONG 19 204.06 12/23 15:55 202.32 0.07%
Trade id #150379250
Max drawdown($64)
Time12/23/24 11:38
Quant open19
Worst price200.67
Drawdown as % of equity-0.07%
 ($35)
Includes Typical Broker Commissions trade costs of $2.00
12/19/24 15:40 APH AMPHENOL LONG 56 70.30 12/23 15:55 71.14 0.08%
Trade id #150368563
Max drawdown($75)
Time12/20/24 0:00
Quant open56
Worst price68.95
Drawdown as % of equity-0.08%
 $45
Includes Typical Broker Commissions trade costs of $2.00
12/13/24 15:40 MMM 3M LONG 30 129.70 12/23 15:55 129.04 0.14%
Trade id #150323018
Max drawdown($129)
Time12/18/24 0:00
Quant open30
Worst price125.37
Drawdown as % of equity-0.14%
 ($22)
Includes Typical Broker Commissions trade costs of $2.00
12/19/24 15:40 FIS FIDELITY NATIONAL INFO LONG 49 80.64 12/20 15:55 81.25 0.06%
Trade id #150368567
Max drawdown($51)
Time12/20/24 9:30
Quant open49
Worst price79.59
Drawdown as % of equity-0.06%
 $28
Includes Typical Broker Commissions trade costs of $2.00
12/19/24 15:40 C CITIGROUP LONG 58 68.85 12/20 15:55 69.28 0.05%
Trade id #150368565
Max drawdown($47)
Time12/20/24 9:30
Quant open58
Worst price68.03
Drawdown as % of equity-0.05%
 $23
Includes Typical Broker Commissions trade costs of $2.00
12/19/24 15:40 FTNT FORTINET LONG 42 94.88 12/20 15:55 97.12 0.07%
Trade id #150368561
Max drawdown($63)
Time12/20/24 9:30
Quant open42
Worst price93.36
Drawdown as % of equity-0.07%
 $92
Includes Typical Broker Commissions trade costs of $2.00
12/19/24 15:40 BRO BROWN & BROWN LONG 39 102.53 12/20 15:55 103.06 0.03%
Trade id #150368553
Max drawdown($24)
Time12/20/24 10:04
Quant open39
Worst price101.91
Drawdown as % of equity-0.03%
 $19
Includes Typical Broker Commissions trade costs of $2.00
12/18/24 15:40 CME CME GROUP LONG 16 238.69 12/20 15:55 238.52 0.05%
Trade id #150357664
Max drawdown($49)
Time12/20/24 9:36
Quant open16
Worst price235.60
Drawdown as % of equity-0.05%
 ($5)
Includes Typical Broker Commissions trade costs of $2.00
12/11/24 15:40 V VISA LONG 12 313.87 12/20 15:55 318.13 0.05%
Trade id #150303766
Max drawdown($51)
Time12/18/24 0:00
Quant open12
Worst price309.56
Drawdown as % of equity-0.05%
 $49
Includes Typical Broker Commissions trade costs of $2.00
12/3/24 15:40 GM GENERAL MOTORS LONG 73 53.85 12/20 15:55 51.76 0.3%
Trade id #150236196
Max drawdown($283)
Time12/18/24 0:00
Quant open73
Worst price49.96
Drawdown as % of equity-0.30%
 ($155)
Includes Typical Broker Commissions trade costs of $2.00
11/25/24 15:40 ETN EATON PUBLIC LONG 11 375.42 12/20 15:55 338.88 0.52%
Trade id #150172869
Max drawdown($476)
Time12/20/24 9:31
Quant open11
Worst price332.12
Drawdown as % of equity-0.52%
 ($404)
Includes Typical Broker Commissions trade costs of $2.00
12/18/24 15:40 UDR UDR LONG 89 43.21 12/19 15:40 42.88 0.03%
Trade id #150357666
Max drawdown($30)
Time12/19/24 15:38
Quant open89
Worst price42.87
Drawdown as % of equity-0.03%
 ($31)
Includes Typical Broker Commissions trade costs of $2.00
12/18/24 15:40 BAC BANK OF AMERICA CORPORATION LONG 88 43.68 12/19 15:40 43.58 0.04%
Trade id #150357661
Max drawdown($32)
Time12/19/24 13:04
Quant open88
Worst price43.31
Drawdown as % of equity-0.04%
 ($11)
Includes Typical Broker Commissions trade costs of $2.00
12/18/24 15:40 MTB M&T BANK LONG 20 188.15 12/19 15:40 185.70 0.07%
Trade id #150357651
Max drawdown($65)
Time12/19/24 15:11
Quant open20
Worst price184.86
Drawdown as % of equity-0.07%
 ($51)
Includes Typical Broker Commissions trade costs of $2.00
12/16/24 15:40 TRMB TRIMBLE INC LONG 53 74.28 12/19 15:40 71.00 0.21%
Trade id #150337888
Max drawdown($203)
Time12/18/24 0:00
Quant open53
Worst price70.44
Drawdown as % of equity-0.21%
 ($176)
Includes Typical Broker Commissions trade costs of $2.00
12/13/24 15:40 OKE ONEOK LONG 38 103.74 12/19 15:40 98.34 0.26%
Trade id #150323020
Max drawdown($241)
Time12/19/24 10:07
Quant open38
Worst price97.39
Drawdown as % of equity-0.26%
 ($207)
Includes Typical Broker Commissions trade costs of $2.00
12/13/24 15:40 RJF RAYMOND JAMES FINANCIAL LONG 24 159.85 12/19 15:40 150.40 0.27%
Trade id #150323022
Max drawdown($245)
Time12/19/24 14:35
Quant open24
Worst price149.62
Drawdown as % of equity-0.27%
 ($229)
Includes Typical Broker Commissions trade costs of $2.00
12/13/24 15:40 KR KROGER LONG 63 62.21 12/19 15:40 61.35 0.13%
Trade id #150323016
Max drawdown($119)
Time12/19/24 9:30
Quant open63
Worst price60.32
Drawdown as % of equity-0.13%
 ($56)
Includes Typical Broker Commissions trade costs of $2.00
12/11/24 15:40 GE GE AEROSPACE LONG 23 168.72 12/19 15:40 164.96 0.22%
Trade id #150303758
Max drawdown($209)
Time12/18/24 0:00
Quant open23
Worst price159.60
Drawdown as % of equity-0.22%
 ($88)
Includes Typical Broker Commissions trade costs of $2.00
12/11/24 15:40 IRM IRON MOUNTAIN INC REIT LONG 35 112.92 12/19 15:40 102.18 0.41%
Trade id #150303756
Max drawdown($379)
Time12/19/24 15:11
Quant open35
Worst price102.08
Drawdown as % of equity-0.41%
 ($378)
Includes Typical Broker Commissions trade costs of $2.00
12/10/24 15:40 MS MORGAN STANLEY LONG 31 127.32 12/19 15:40 120.93 0.23%
Trade id #150293372
Max drawdown($217)
Time12/18/24 0:00
Quant open31
Worst price120.29
Drawdown as % of equity-0.23%
 ($200)
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    9/5/2024
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    111.87
  • Age
    112 days ago
  • What it trades
    Stocks
  • # Trades
    391
  • # Profitable
    201
  • % Profitable
    51.40%
  • Avg trade duration
    6.2 days
  • Max peak-to-valley drawdown
    6.82%
  • drawdown period
    Nov 27, 2024 - Dec 18, 2024
  • Cumul. Return
    5.1%
  • Avg win
    $116.60
  • Avg loss
    $90.67
  • Model Account Values (Raw)
  • Cash
    $76,798
  • Margin Used
    ($45,812)
  • Buying Power
    $123,265
  • Ratios
  • W:L ratio
    1.39:1
  • Sharpe Ratio
    1.48
  • Sortino Ratio
    2.24
  • Calmar Ratio
    4.882
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.66%
  • Correlation to SP500
    0.52760
  • Return Percent SP500 (cumu) during strategy life
    9.65%
  • Return Statistics
  • Ann Return (w trading costs)
    17.3%
  • Slump
  • Current Slump as Pcnt Equity
    4.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.27%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.051%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    829
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    524
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $91
  • Avg Win
    $117
  • Sum Trade PL (losers)
    $17,228.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $23,437.000
  • # Winners
    201
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    429
  • AUM
  • AUM (AutoTrader live capital)
    48141
  • Win / Loss
  • # Losers
    190
  • % Winners
    51.4%
  • Frequency
  • Avg Position Time (mins)
    8864.45
  • Avg Position Time (hrs)
    147.74
  • Avg Trade Length
    6.2 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.02
  • Daily leverage (max)
    1.23
  • Regression
  • Alpha
    0.01
  • Beta
    0.40
  • Treynor Index
    0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.92
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    7.549
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.336
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.276
  • Hold-and-Hope Ratio
    0.131
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36611
  • SD
    0.02633
  • Sharpe ratio (Glass type estimate)
    13.90350
  • Sharpe ratio (Hedges UMVUE)
    7.84419
  • df
    2.00000
  • t
    6.95173
  • p
    0.01004
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.29434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78473
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    16.47310
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.36611
  • Downside part of mean
    0.00000
  • Upside SD
    0.10785
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.38446
  • Mean of criterion
    0.36611
  • SD of predictor
    0.02385
  • SD of criterion
    0.02633
  • Covariance
    0.00002
  • r
    0.03043
  • b (slope, estimate of beta)
    0.03359
  • a (intercept, estimate of alpha)
    0.35319
  • Mean Square Error
    0.00139
  • DF error
    1.00000
  • t(b)
    0.03044
  • p(b)
    0.49031
  • t(a)
    0.82006
  • p(a)
    0.28137
  • Lowerbound of 95% confidence interval for beta
    -13.98610
  • Upperbound of 95% confidence interval for beta
    14.05330
  • Lowerbound of 95% confidence interval for alpha
    -5.11926
  • Upperbound of 95% confidence interval for alpha
    5.82564
  • Treynor index (mean / b)
    10.89920
  • Jensen alpha (a)
    0.35319
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35959
  • SD
    0.02555
  • Sharpe ratio (Glass type estimate)
    14.07580
  • Sharpe ratio (Hedges UMVUE)
    7.94143
  • df
    2.00000
  • t
    7.03791
  • p
    0.00980
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.33207
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77249
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    16.65540
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.35959
  • Downside part of mean
    0.00000
  • Upside SD
    0.10588
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.37739
  • Mean of criterion
    0.35959
  • SD of predictor
    0.02307
  • SD of criterion
    0.02555
  • Covariance
    0.00002
  • r
    0.02789
  • b (slope, estimate of beta)
    0.03088
  • a (intercept, estimate of alpha)
    0.34794
  • Mean Square Error
    0.00130
  • DF error
    1.00000
  • t(b)
    0.02790
  • p(b)
    0.49112
  • t(a)
    0.82079
  • p(a)
    0.28123
  • Lowerbound of 95% confidence interval for beta
    -14.03270
  • Upperbound of 95% confidence interval for beta
    14.09450
  • Lowerbound of 95% confidence interval for alpha
    -5.03830
  • Upperbound of 95% confidence interval for alpha
    5.73418
  • Treynor index (mean / b)
    11.64610
  • Jensen alpha (a)
    0.34794
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.01800
  • Expected Shortfall on VaR
    -0.01487
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.02411
  • Quartile 1
    1.03025
  • Median
    1.03638
  • Quartile 3
    1.03720
  • Maximum
    1.03802
  • Mean of quarter 1
    1.02411
  • Mean of quarter 2
    1.03638
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.03802
  • Inter Quartile Range
    0.00695
  • 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)
    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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.40689
  • Compounded annual return (geometric extrapolation)
    0.47329
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000
  • 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
    0.21462
  • SD
    0.09262
  • Sharpe ratio (Glass type estimate)
    2.31711
  • Sharpe ratio (Hedges UMVUE)
    2.29475
  • df
    78.00000
  • t
    1.27236
  • p
    0.10351
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27792
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.89756
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29268
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.88219
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.59157
  • Upside Potential Ratio
    10.82950
  • Upside part of mean
    0.64713
  • Downside part of mean
    -0.43251
  • Upside SD
    0.07124
  • Downside SD
    0.05976
  • N nonnegative terms
    44.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.29010
  • Mean of criterion
    0.21462
  • SD of predictor
    0.12437
  • SD of criterion
    0.09262
  • Covariance
    0.00613
  • r
    0.53210
  • b (slope, estimate of beta)
    0.39627
  • a (intercept, estimate of alpha)
    0.10000
  • Mean Square Error
    0.00623
  • DF error
    77.00000
  • t(b)
    5.51459
  • p(b)
    0.00000
  • t(a)
    0.68617
  • p(a)
    0.24733
  • Lowerbound of 95% confidence interval for beta
    0.25318
  • Upperbound of 95% confidence interval for beta
    0.53936
  • Lowerbound of 95% confidence interval for alpha
    -0.18956
  • Upperbound of 95% confidence interval for alpha
    0.38888
  • Treynor index (mean / b)
    0.54160
  • Jensen alpha (a)
    0.09966
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21028
  • SD
    0.09259
  • Sharpe ratio (Glass type estimate)
    2.27110
  • Sharpe ratio (Hedges UMVUE)
    2.24919
  • df
    78.00000
  • t
    1.24709
  • p
    0.10805
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32310
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.85093
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33753
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.83592
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.49651
  • Upside Potential Ratio
    10.71750
  • Upside part of mean
    0.64455
  • Downside part of mean
    -0.43427
  • Upside SD
    0.07082
  • Downside SD
    0.06014
  • N nonnegative terms
    44.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.28226
  • Mean of criterion
    0.21028
  • SD of predictor
    0.12459
  • SD of criterion
    0.09259
  • Covariance
    0.00610
  • r
    0.52915
  • b (slope, estimate of beta)
    0.39325
  • a (intercept, estimate of alpha)
    0.09928
  • Mean Square Error
    0.00625
  • DF error
    77.00000
  • t(b)
    5.47219
  • p(b)
    0.00000
  • t(a)
    0.68271
  • p(a)
    0.24842
  • Lowerbound of 95% confidence interval for beta
    0.25015
  • Upperbound of 95% confidence interval for beta
    0.53634
  • Lowerbound of 95% confidence interval for alpha
    -0.19029
  • Upperbound of 95% confidence interval for alpha
    0.38885
  • Treynor index (mean / b)
    0.53472
  • Jensen alpha (a)
    0.09928
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00857
  • Expected Shortfall on VaR
    0.01093
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00348
  • Expected Shortfall on VaR
    0.00723
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    79.00000
  • Minimum
    0.97897
  • Quartile 1
    0.99803
  • Median
    1.00038
  • Quartile 3
    1.00458
  • Maximum
    1.02213
  • Mean of quarter 1
    0.99411
  • Mean of quarter 2
    0.99962
  • Mean of quarter 3
    1.00238
  • Mean of quarter 4
    1.00767
  • Inter Quartile Range
    0.00655
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01266
  • Mean of outliers low
    0.97897
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01266
  • Mean of outliers high
    1.02213
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02185
  • VaR(95%) (moments method)
    0.00507
  • Expected Shortfall (moments method)
    0.00690
  • Extreme Value Index (regression method)
    0.04492
  • VaR(95%) (regression method)
    0.00704
  • Expected Shortfall (regression method)
    0.01039
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00520
  • Median
    0.01344
  • Quartile 3
    0.02028
  • Maximum
    0.05509
  • Mean of quarter 1
    0.00131
  • Mean of quarter 2
    0.01310
  • Mean of quarter 3
    0.01377
  • Mean of quarter 4
    0.03877
  • Inter Quartile Range
    0.01508
  • 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
    0.16667
  • Mean of outliers high
    0.05509
  • 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)
    0.24695
  • Compounded annual return (geometric extrapolation)
    0.26894
  • Calmar ratio (compounded annual return / max draw down)
    4.88234
  • Compounded annual return / average of 25% largest draw downs
    6.93740
  • Compounded annual return / Expected Shortfall lognormal
    24.59710
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -365510000
  • Max Equity Drawdown (num days)
    21

Strategy Description

Methodology: Uses machine learning to select the best stocks from the S&P 500. Tested with a walk-forward method (a realistic simulation designed to mimic real-time trading conditions) over 14 years, since 2011. The strategy holds up to 25 stocks and adapts to market changes through daily rebalancing.

Market: S&P 500 stocks.

Risk Management: Limits risk through diversification, with 25 equally weighted stocks and strict stop-loss rules. Daily rebalancing ensures the portfolio adjusts to market conditions.

—————————————————————————
AutoTrade Setup Recommendations (for Scaling 100%)

Stop loss: $1,000

Maximum position size:
○ Stocks: $4,000
○ Options: 0
○ Futures: 0
○ Forex: 0

Summary Statistics

Strategy began
2024-09-05
# Trades
391
# Profitable
201
% Profitable
51.4%
Net Dividends
$429
Correlation S&P500
0.528
Sharpe Ratio
1.48
Sortino Ratio
2.24
Beta
0.40
Alpha
0.01
Leverage
1.02 Average
1.23 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Lisa Chen Trading calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.