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Stock Selection
(104874116)

Created by: Trader7 Trader7
Started: 07/2016
Stocks
Last trade: 11 days ago
Trading style: Equity Momentum

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 $59.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
11.6%
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.

(42.3%)
Max Drawdown
278
Num Trades
59.7%
Win Trades
1.3 : 1
Profit Factor
58.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                          (0.2%)(2.9%)+6.3%+3.4%+0.5%+3.2%+10.4%
2017+2.9%(3.5%)(1.8%)(3.3%)+4.3%(1.6%)+5.3%+3.9%(2.6%)+5.5%(5.3%)+2.7%+5.9%
2018(1.7%)+7.0%(0.8%)+1.0%+9.3%+6.5%+0.4%+4.2%(0.4%)(11.2%)(3%)(21.2%)(13.3%)
2019+16.6%+5.0%+6.5%(2.1%)+1.3%+5.0%                                    +35.7%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 298 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/3/19 9:31 APC ANADARKO PETROLEUM LONG 54 70.44 6/6 11:47 70.18 0.1%
Trade id #123910869
Max drawdown($35)
Time6/5/19 15:56
Quant open54
Worst price69.79
Drawdown as % of equity-0.10%
($15)
Includes Typical Broker Commissions trade costs of $1.08
6/3/19 9:30 MKC MCCORMICK LONG 24 156.43 6/6 11:47 156.88 0.25%
Trade id #123910759
Max drawdown($89)
Time6/4/19 15:41
Quant open24
Worst price152.71
Drawdown as % of equity-0.25%
$11
Includes Typical Broker Commissions trade costs of $0.48
6/3/19 9:30 TSS TOTAL SYSTEM SERVICES LONG 30 123.66 6/6 11:46 125.44 0.42%
Trade id #123910745
Max drawdown($148)
Time6/3/19 15:27
Quant open30
Worst price118.71
Drawdown as % of equity-0.42%
$52
Includes Typical Broker Commissions trade costs of $0.60
6/3/19 9:30 XRAY DENTSPLY SIRONA INC LONG 70 54.03 6/6 11:46 55.23 0.07%
Trade id #123910698
Max drawdown($25)
Time6/3/19 15:33
Quant open70
Worst price53.67
Drawdown as % of equity-0.07%
$83
Includes Typical Broker Commissions trade costs of $1.40
6/3/19 9:31 AMT AMERICAN TOWER LONG 18 208.86 6/6 11:46 211.94 0.13%
Trade id #123910796
Max drawdown($44)
Time6/4/19 12:49
Quant open18
Worst price206.41
Drawdown as % of equity-0.13%
$55
Includes Typical Broker Commissions trade costs of $0.36
6/3/19 9:30 DG DOLLAR GENERAL LONG 30 127.87 6/6 11:46 131.03 n/a $94
Includes Typical Broker Commissions trade costs of $0.60
6/3/19 9:30 VRSN VERISIGN LONG 19 194.79 6/6 11:46 200.62 0.36%
Trade id #123910654
Max drawdown($125)
Time6/3/19 15:33
Quant open19
Worst price188.16
Drawdown as % of equity-0.36%
$111
Includes Typical Broker Commissions trade costs of $0.38
6/3/19 9:31 TGNA TEGNA INC LONG 250 15.11 6/6 11:46 15.55 0.09%
Trade id #123910826
Max drawdown($31)
Time6/3/19 15:50
Quant open250
Worst price14.98
Drawdown as % of equity-0.09%
$105
Includes Typical Broker Commissions trade costs of $5.00
6/3/19 9:30 SE SEA LTD ADS LONG 132 28.44 6/6 11:46 29.20 0.4%
Trade id #123910687
Max drawdown($139)
Time6/4/19 10:08
Quant open132
Worst price27.38
Drawdown as % of equity-0.40%
$97
Includes Typical Broker Commissions trade costs of $2.64
6/3/19 9:31 CINF CINCINNATI FINANCIAL CORP LONG 38 98.51 6/6 11:46 101.67 0.04%
Trade id #123910867
Max drawdown($15)
Time6/3/19 10:03
Quant open38
Worst price98.09
Drawdown as % of equity-0.04%
$119
Includes Typical Broker Commissions trade costs of $0.76
6/3/19 9:31 DIS WALT DISNEY LONG 28 132.02 6/6 11:46 136.62 0.04%
Trade id #123910862
Max drawdown($14)
Time6/3/19 12:36
Quant open28
Worst price131.49
Drawdown as % of equity-0.04%
$128
Includes Typical Broker Commissions trade costs of $0.56
6/3/19 9:32 CMG CHIPOTLE MEXICAN GRILL LONG 5 657.63 6/6 11:46 683.64 0.3%
Trade id #123910922
Max drawdown($104)
Time6/3/19 15:33
Quant open5
Worst price636.73
Drawdown as % of equity-0.30%
$130
Includes Typical Broker Commissions trade costs of $0.10
6/3/19 9:30 HSY HERSHEY COMPANY LONG 28 131.93 6/6 11:45 136.80 0.06%
Trade id #123910736
Max drawdown($21)
Time6/3/19 10:00
Quant open28
Worst price131.16
Drawdown as % of equity-0.06%
$135
Includes Typical Broker Commissions trade costs of $0.56
6/3/19 9:30 VEEV VEEVA SYSTEMS INC LONG 25 154.86 6/6 11:45 161.38 0.51%
Trade id #123910645
Max drawdown($180)
Time6/3/19 15:33
Quant open25
Worst price147.63
Drawdown as % of equity-0.51%
$163
Includes Typical Broker Commissions trade costs of $0.50
6/3/19 9:30 AZO AUTOZONE LONG 4 1027.12 6/6 11:45 1078.29 n/a $205
Includes Typical Broker Commissions trade costs of $0.08
6/3/19 9:31 BLL BALL CORP LONG 61 61.50 6/6 11:45 65.08 0.06%
Trade id #123910804
Max drawdown($20)
Time6/3/19 10:03
Quant open61
Worst price61.17
Drawdown as % of equity-0.06%
$217
Includes Typical Broker Commissions trade costs of $1.22
5/2/19 9:30 QCOM QUALCOMM LONG 210 87.50 5/31 15:54 67.00 13.62%
Trade id #123503752
Max drawdown($4,809)
Time5/31/19 6:17
Quant open210
Worst price64.60
Drawdown as % of equity-13.62%
($4,309)
Includes Typical Broker Commissions trade costs of $4.20
5/24/19 14:54 VEEV VEEVA SYSTEMS INC LONG 130 140.27 5/30 9:57 154.00 2.45%
Trade id #123817736
Max drawdown($815)
Time5/29/19 16:03
Quant open130
Worst price134.00
Drawdown as % of equity-2.45%
$1,782
Includes Typical Broker Commissions trade costs of $2.60
5/2/19 9:31 SE SEA LTD ADS LONG 720 25.00 5/16 12:34 27.00 3.94%
Trade id #123503805
Max drawdown($1,396)
Time5/2/19 11:26
Quant open720
Worst price23.06
Drawdown as % of equity-3.94%
$1,435
Includes Typical Broker Commissions trade costs of $5.00
5/9/19 9:45 VEEV VEEVA SYSTEMS INC LONG 130 138.00 5/16 12:23 145.05 1.17%
Trade id #123588854
Max drawdown($426)
Time5/13/19 15:36
Quant open130
Worst price134.72
Drawdown as % of equity-1.17%
$914
Includes Typical Broker Commissions trade costs of $2.60
5/2/19 9:30 VEEV VEEVA SYSTEMS INC LONG 130 138.10 5/3 13:23 143.21 0.32%
Trade id #123503715
Max drawdown($111)
Time5/2/19 9:34
Quant open130
Worst price137.24
Drawdown as % of equity-0.32%
$661
Includes Typical Broker Commissions trade costs of $2.60
4/3/19 13:42 ULTA ULTA BEAUTY INC LONG 34 351.98 4/30 15:55 349.08 0.89%
Trade id #123190250
Max drawdown($316)
Time4/11/19 8:53
Quant open34
Worst price342.66
Drawdown as % of equity-0.89%
($100)
Includes Typical Broker Commissions trade costs of $0.68
4/3/19 13:41 CMG CHIPOTLE MEXICAN GRILL LONG 17 705.34 4/30 13:57 685.00 2.25%
Trade id #123190231
Max drawdown($796)
Time4/25/19 10:34
Quant open17
Worst price658.50
Drawdown as % of equity-2.25%
($346)
Includes Typical Broker Commissions trade costs of $0.34
4/3/19 13:43 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 300 37.80 4/30 12:22 32.00 6.52%
Trade id #123190270
Max drawdown($2,226)
Time4/23/19 11:48
Quant open300
Worst price30.38
Drawdown as % of equity-6.52%
($1,746)
Includes Typical Broker Commissions trade costs of $6.00
4/3/19 13:41 SE SEA LTD ADS LONG 510 23.48 4/25 9:31 24.45 2.45%
Trade id #123190208
Max drawdown($841)
Time4/4/19 12:41
Quant open510
Worst price21.83
Drawdown as % of equity-2.45%
$490
Includes Typical Broker Commissions trade costs of $5.00
4/3/19 13:43 VEEV VEEVA SYSTEMS INC LONG 88 131.00 4/25 9:30 137.40 1.56%
Trade id #123190296
Max drawdown($521)
Time4/18/19 10:29
Quant open88
Worst price125.07
Drawdown as % of equity-1.56%
$561
Includes Typical Broker Commissions trade costs of $1.76
4/3/19 13:42 XLNX XILINX LONG 93 129.11 4/15 9:30 134.41 0.62%
Trade id #123190241
Max drawdown($212)
Time4/4/19 13:59
Quant open93
Worst price126.82
Drawdown as % of equity-0.62%
$491
Includes Typical Broker Commissions trade costs of $1.86
3/5/19 9:30 VRSN VERISIGN LONG 31 176.98 3/18 9:41 181.22 0.29%
Trade id #122787579
Max drawdown($97)
Time3/8/19 9:31
Quant open31
Worst price173.84
Drawdown as % of equity-0.29%
$130
Includes Typical Broker Commissions trade costs of $0.62
3/5/19 9:30 SE SEA LTD ADS LONG 237 23.21 3/18 9:41 23.95 0.76%
Trade id #122787563
Max drawdown($253)
Time3/7/19 9:59
Quant open237
Worst price22.14
Drawdown as % of equity-0.76%
$170
Includes Typical Broker Commissions trade costs of $4.74
3/5/19 9:30 XLNX XILINX LONG 44 122.38 3/18 9:41 124.71 0.76%
Trade id #122787595
Max drawdown($255)
Time3/8/19 9:32
Quant open44
Worst price116.57
Drawdown as % of equity-0.76%
$102
Includes Typical Broker Commissions trade costs of $0.88

Statistics

  • Strategy began
    7/28/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1054.07
  • Age
    35 months ago
  • What it trades
    Stocks
  • # Trades
    278
  • # Profitable
    166
  • % Profitable
    59.70%
  • Avg trade duration
    27.5 days
  • Max peak-to-valley drawdown
    42.32%
  • drawdown period
    Aug 22, 2018 - Dec 24, 2018
  • Annual Return (Compounded)
    11.6%
  • Avg win
    $306.49
  • Avg loss
    $364.36
  • Model Account Values (Raw)
  • Cash
    $37,103
  • Margin Used
    $0
  • Buying Power
    $37,103
  • Ratios
  • W:L ratio
    1.35:1
  • Sharpe Ratio
    0.43
  • Sortino Ratio
    0.62
  • Calmar Ratio
    0.421
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.49680
  • Return Statistics
  • Ann Return (w trading costs)
    11.6%
  • Ann Return (Compnd, No Fees)
    14.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.50%
  • Chance of 20% account loss
    24.00%
  • Chance of 30% account loss
    10.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    566
  • C2 Score
    60.9
  • 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
    $364
  • Avg Win
    $306
  • # Winners
    166
  • # Losers
    112
  • % Winners
    59.7%
  • Frequency
  • Avg Position Time (mins)
    39531.50
  • Avg Position Time (hrs)
    658.86
  • Avg Trade Length
    27.5 days
  • Last Trade Ago
    11
  • Leverage
  • Daily leverage (average)
    1.34
  • Daily leverage (max)
    2.49
  • Unknown
  • Alpha
    0.01
  • Beta
    0.92
  • Treynor Index
    0.04
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13264
  • SD
    0.18109
  • Sharpe ratio (Glass type estimate)
    0.73248
  • Sharpe ratio (Hedges UMVUE)
    0.71516
  • df
    32.00000
  • t
    1.21469
  • p
    0.11669
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46841
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92228
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47966
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90998
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.11803
  • Upside Potential Ratio
    2.74739
  • Upside part of mean
    0.32595
  • Downside part of mean
    -0.19331
  • Upside SD
    0.13853
  • Downside SD
    0.11864
  • N nonnegative terms
    20.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.08176
  • Mean of criterion
    0.13264
  • SD of predictor
    0.10034
  • SD of criterion
    0.18109
  • Covariance
    0.00761
  • r
    0.41888
  • b (slope, estimate of beta)
    0.75595
  • a (intercept, estimate of alpha)
    0.07084
  • Mean Square Error
    0.02791
  • DF error
    31.00000
  • t(b)
    2.56839
  • p(b)
    0.00763
  • t(a)
    0.68388
  • p(a)
    0.24957
  • Lowerbound of 95% confidence interval for beta
    0.15566
  • Upperbound of 95% confidence interval for beta
    1.35624
  • Lowerbound of 95% confidence interval for alpha
    -0.14042
  • Upperbound of 95% confidence interval for alpha
    0.28209
  • Treynor index (mean / b)
    0.17547
  • Jensen alpha (a)
    0.07084
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11570
  • SD
    0.18242
  • Sharpe ratio (Glass type estimate)
    0.63428
  • Sharpe ratio (Hedges UMVUE)
    0.61927
  • df
    32.00000
  • t
    1.05183
  • p
    0.15038
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56256
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82144
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57233
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81087
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92936
  • Upside Potential Ratio
    2.53860
  • Upside part of mean
    0.31605
  • Downside part of mean
    -0.20035
  • Upside SD
    0.13373
  • Downside SD
    0.12450
  • N nonnegative terms
    20.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.07648
  • Mean of criterion
    0.11570
  • SD of predictor
    0.09977
  • SD of criterion
    0.18242
  • Covariance
    0.00785
  • r
    0.43116
  • b (slope, estimate of beta)
    0.78832
  • a (intercept, estimate of alpha)
    0.05541
  • Mean Square Error
    0.02796
  • DF error
    31.00000
  • t(b)
    2.66060
  • p(b)
    0.00612
  • t(a)
    0.53613
  • p(a)
    0.29785
  • Lowerbound of 95% confidence interval for beta
    0.18402
  • Upperbound of 95% confidence interval for beta
    1.39261
  • Lowerbound of 95% confidence interval for alpha
    -0.15538
  • Upperbound of 95% confidence interval for alpha
    0.26621
  • Treynor index (mean / b)
    0.14677
  • Jensen alpha (a)
    0.05541
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07409
  • Expected Shortfall on VaR
    0.09407
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03160
  • Expected Shortfall on VaR
    0.06532
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.86730
  • Quartile 1
    0.98043
  • Median
    1.02491
  • Quartile 3
    1.04918
  • Maximum
    1.10225
  • Mean of quarter 1
    0.94622
  • Mean of quarter 2
    1.00548
  • Mean of quarter 3
    1.03722
  • Mean of quarter 4
    1.07301
  • Inter Quartile Range
    0.06875
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03030
  • Mean of outliers low
    0.86730
  • 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)
    -0.01201
  • VaR(95%) (moments method)
    0.04857
  • Expected Shortfall (moments method)
    0.06655
  • Extreme Value Index (regression method)
    0.31230
  • VaR(95%) (regression method)
    0.06265
  • Expected Shortfall (regression method)
    0.11085
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00140
  • Quartile 1
    0.02059
  • Median
    0.03170
  • Quartile 3
    0.08812
  • Maximum
    0.26285
  • Mean of quarter 1
    0.01048
  • Mean of quarter 2
    0.02365
  • Mean of quarter 3
    0.03975
  • Mean of quarter 4
    0.18355
  • Inter Quartile Range
    0.06753
  • 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
    0.26285
  • 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)
    0.17610
  • Compounded annual return (geometric extrapolation)
    0.15443
  • Calmar ratio (compounded annual return / max draw down)
    0.58754
  • Compounded annual return / average of 25% largest draw downs
    0.84138
  • Compounded annual return / Expected Shortfall lognormal
    1.64174
  • 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
    0.13922
  • SD
    0.21885
  • Sharpe ratio (Glass type estimate)
    0.63613
  • Sharpe ratio (Hedges UMVUE)
    0.63547
  • df
    722.00000
  • t
    1.05673
  • p
    0.14550
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81622
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54485
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81578
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89622
  • Upside Potential Ratio
    8.40609
  • Upside part of mean
    1.30580
  • Downside part of mean
    -1.16658
  • Upside SD
    0.15419
  • Downside SD
    0.15534
  • N nonnegative terms
    366.00000
  • N negative terms
    357.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    723.00000
  • Mean of predictor
    0.08397
  • Mean of criterion
    0.13922
  • SD of predictor
    0.12701
  • SD of criterion
    0.21885
  • Covariance
    0.01354
  • r
    0.48721
  • b (slope, estimate of beta)
    0.83952
  • a (intercept, estimate of alpha)
    0.06900
  • Mean Square Error
    0.03658
  • DF error
    721.00000
  • t(b)
    14.98050
  • p(b)
    -0.00000
  • t(a)
    0.59644
  • p(a)
    0.27553
  • Lowerbound of 95% confidence interval for beta
    0.72949
  • Upperbound of 95% confidence interval for beta
    0.94954
  • Lowerbound of 95% confidence interval for alpha
    -0.15749
  • Upperbound of 95% confidence interval for alpha
    0.29495
  • Treynor index (mean / b)
    0.16583
  • Jensen alpha (a)
    0.06873
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11521
  • SD
    0.21924
  • Sharpe ratio (Glass type estimate)
    0.52549
  • Sharpe ratio (Hedges UMVUE)
    0.52494
  • df
    722.00000
  • t
    0.87294
  • p
    0.19149
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70548
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65522
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70511
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73025
  • Upside Potential Ratio
    8.20203
  • Upside part of mean
    1.29398
  • Downside part of mean
    -1.17877
  • Upside SD
    0.15218
  • Downside SD
    0.15776
  • N nonnegative terms
    366.00000
  • N negative terms
    357.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    723.00000
  • Mean of predictor
    0.07587
  • Mean of criterion
    0.11521
  • SD of predictor
    0.12725
  • SD of criterion
    0.21924
  • Covariance
    0.01365
  • r
    0.48935
  • b (slope, estimate of beta)
    0.84312
  • a (intercept, estimate of alpha)
    0.05124
  • Mean Square Error
    0.03661
  • DF error
    721.00000
  • t(b)
    15.06710
  • p(b)
    -0.00000
  • t(a)
    0.44455
  • p(a)
    0.32839
  • Lowerbound of 95% confidence interval for beta
    0.73326
  • Upperbound of 95% confidence interval for beta
    0.95298
  • Lowerbound of 95% confidence interval for alpha
    -0.17503
  • Upperbound of 95% confidence interval for alpha
    0.27751
  • Treynor index (mean / b)
    0.13664
  • Jensen alpha (a)
    0.05124
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02160
  • Expected Shortfall on VaR
    0.02711
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01013
  • Expected Shortfall on VaR
    0.02035
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    723.00000
  • Minimum
    0.93633
  • Quartile 1
    0.99439
  • Median
    1.00017
  • Quartile 3
    1.00782
  • Maximum
    1.05769
  • Mean of quarter 1
    0.98424
  • Mean of quarter 2
    0.99819
  • Mean of quarter 3
    1.00356
  • Mean of quarter 4
    1.01658
  • Inter Quartile Range
    0.01343
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.03320
  • Mean of outliers low
    0.96265
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.02351
  • Mean of outliers high
    1.03792
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23750
  • VaR(95%) (moments method)
    0.01505
  • Expected Shortfall (moments method)
    0.02432
  • Extreme Value Index (regression method)
    0.06209
  • VaR(95%) (regression method)
    0.01562
  • Expected Shortfall (regression method)
    0.02258
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00050
  • Quartile 1
    0.00394
  • Median
    0.01609
  • Quartile 3
    0.03995
  • Maximum
    0.36565
  • Mean of quarter 1
    0.00184
  • Mean of quarter 2
    0.01066
  • Mean of quarter 3
    0.02387
  • Mean of quarter 4
    0.12231
  • Inter Quartile Range
    0.03601
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11429
  • Mean of outliers high
    0.20791
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.58037
  • VaR(95%) (moments method)
    0.13384
  • Expected Shortfall (moments method)
    0.34971
  • Extreme Value Index (regression method)
    0.75519
  • VaR(95%) (regression method)
    0.13187
  • Expected Shortfall (regression method)
    0.52439
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17549
  • Compounded annual return (geometric extrapolation)
    0.15386
  • Calmar ratio (compounded annual return / max draw down)
    0.42079
  • Compounded annual return / average of 25% largest draw downs
    1.25794
  • Compounded annual return / Expected Shortfall lognormal
    5.67506
  • 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
    0.27824
  • SD
    0.26672
  • Sharpe ratio (Glass type estimate)
    1.04318
  • Sharpe ratio (Hedges UMVUE)
    1.03715
  • df
    130.00000
  • t
    0.73764
  • p
    0.46772
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81596
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73752
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.81183
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46656
  • Upside Potential Ratio
    8.25652
  • Upside part of mean
    1.56644
  • Downside part of mean
    -1.28820
  • Upside SD
    0.18681
  • Downside SD
    0.18972
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17072
  • Mean of criterion
    0.27824
  • SD of predictor
    0.15961
  • SD of criterion
    0.26672
  • Covariance
    0.02531
  • r
    0.59446
  • b (slope, estimate of beta)
    0.99341
  • a (intercept, estimate of alpha)
    0.10864
  • Mean Square Error
    0.04636
  • DF error
    129.00000
  • t(b)
    8.39651
  • p(b)
    0.14521
  • t(a)
    0.35601
  • p(a)
    0.48006
  • Lowerbound of 95% confidence interval for beta
    0.75933
  • Upperbound of 95% confidence interval for beta
    1.22750
  • Lowerbound of 95% confidence interval for alpha
    -0.49512
  • Upperbound of 95% confidence interval for alpha
    0.71240
  • Treynor index (mean / b)
    0.28008
  • Jensen alpha (a)
    0.10864
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24262
  • SD
    0.26773
  • Sharpe ratio (Glass type estimate)
    0.90621
  • Sharpe ratio (Hedges UMVUE)
    0.90097
  • df
    130.00000
  • t
    0.64078
  • p
    0.47194
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67851
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87300
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67494
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25302
  • Upside Potential Ratio
    8.00085
  • Upside part of mean
    1.54917
  • Downside part of mean
    -1.30655
  • Upside SD
    0.18402
  • Downside SD
    0.19362
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15807
  • Mean of criterion
    0.24262
  • SD of predictor
    0.15911
  • SD of criterion
    0.26773
  • Covariance
    0.02550
  • r
    0.59860
  • b (slope, estimate of beta)
    1.00722
  • a (intercept, estimate of alpha)
    0.08341
  • Mean Square Error
    0.04635
  • DF error
    129.00000
  • t(b)
    8.48732
  • p(b)
    0.14309
  • t(a)
    0.27342
  • p(a)
    0.48468
  • Lowerbound of 95% confidence interval for beta
    0.77242
  • Upperbound of 95% confidence interval for beta
    1.24202
  • Lowerbound of 95% confidence interval for alpha
    -0.52014
  • Upperbound of 95% confidence interval for alpha
    0.68695
  • Treynor index (mean / b)
    0.24088
  • Jensen alpha (a)
    0.08341
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02594
  • Expected Shortfall on VaR
    0.03263
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01112
  • Expected Shortfall on VaR
    0.02324
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93633
  • Quartile 1
    0.99635
  • Median
    1.00018
  • Quartile 3
    1.01005
  • Maximum
    1.05769
  • Mean of quarter 1
    0.98181
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00356
  • Mean of quarter 4
    1.02049
  • Inter Quartile Range
    0.01370
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.96239
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.04474
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33587
  • VaR(95%) (moments method)
    0.01461
  • Expected Shortfall (moments method)
    0.02758
  • Extreme Value Index (regression method)
    0.22021
  • VaR(95%) (regression method)
    0.01918
  • Expected Shortfall (regression method)
    0.03352
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.01015
  • Quartile 1
    0.01983
  • Median
    0.03365
  • Quartile 3
    0.06687
  • Maximum
    0.22423
  • Mean of quarter 1
    0.01164
  • Mean of quarter 2
    0.02772
  • Mean of quarter 3
    0.04577
  • Mean of quarter 4
    0.15945
  • Inter Quartile Range
    0.04704
  • 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
    0.12500
  • Mean of outliers high
    0.22423
  • 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)
    0.28967
  • Compounded annual return (geometric extrapolation)
    0.31065
  • Calmar ratio (compounded annual return / max draw down)
    1.38538
  • Compounded annual return / average of 25% largest draw downs
    1.94822
  • Compounded annual return / Expected Shortfall lognormal
    9.52073

Strategy Description

Execution is manual, but decision making is automated.

Summary Statistics

Strategy began
2016-07-28
Suggested Minimum Capital
$15,000
# Trades
278
# Profitable
166
% Profitable
59.7%
Net Dividends
Correlation S&P500
0.497
Sharpe Ratio
0.43
Sortino Ratio
0.62
Beta
0.92
Alpha
0.01
Leverage
1.34 Average
2.49 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 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.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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.