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Dual QM18
(106187009)

Created by: GonzaloLoayza2 GonzaloLoayza2
Started: 10/2016
Stocks
Last trade: 20 days ago
Trading style: Equity Momentum Sector: Technology

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 $129.00 per month.

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).
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
28.5%
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.

(18.0%)
Max Drawdown
45
Num Trades
57.8%
Win Trades
3.2 : 1
Profit Factor
64.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +0.9%+9.6%+8.8%+20.3%
2017+6.9%(1.4%)+2.8%(0.1%)+7.0%(1.3%)+7.9%+0.6%+1.1%+13.2%(2.1%)(7.6%)+28.2%
2018+10.2%+2.4%(4.2%)  -  +3.2%+1.5%(3.8%)+6.9%+3.0%(9.3%)            +8.7%

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 7 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/6/18 12:20 AMZN AMAZON.COM LONG 7 1957.25 10/1 9:42 2027.59 1.35%
Trade id #119748570
Max drawdown($645)
Time9/24/18 9:34
Quant open7
Worst price1865.00
Drawdown as % of equity-1.35%
$492
Includes Typical Broker Commissions trade costs of $0.14
8/1/18 10:45 CSX CSX LONG 167 70.75 8/31 15:34 74.13 0.3%
Trade id #119226997
Max drawdown($136)
Time8/2/18 8:02
Quant open167
Worst price69.93
Drawdown as % of equity-0.30%
$561
Includes Typical Broker Commissions trade costs of $3.34
8/1/18 10:44 ALGN ALIGN TECHNOLOGY LONG 26 356.77 8/31 15:34 386.29 0.82%
Trade id #119226945
Max drawdown($376)
Time8/17/18 10:26
Quant open26
Worst price342.30
Drawdown as % of equity-0.82%
$767
Includes Typical Broker Commissions trade costs of $0.52
8/1/18 10:43 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 51 83.06 8/31 15:33 83.33 0%
Trade id #119226883
Max drawdown($1)
Time8/1/18 15:12
Quant open51
Worst price83.04
Drawdown as % of equity-0.00%
$13
Includes Typical Broker Commissions trade costs of $1.02
8/1/18 10:46 IDXX IDEXX LABORATORIES LONG 38 234.15 8/31 15:33 253.08 0.1%
Trade id #119227014
Max drawdown($45)
Time8/1/18 11:34
Quant open38
Worst price232.94
Drawdown as % of equity-0.10%
$718
Includes Typical Broker Commissions trade costs of $0.76
8/1/18 10:48 ILMN ILLUMINA LONG 23 322.11 8/31 15:33 353.22 0.17%
Trade id #119227056
Max drawdown($76)
Time8/2/18 9:41
Quant open23
Worst price318.79
Drawdown as % of equity-0.17%
$716
Includes Typical Broker Commissions trade costs of $0.46
4/2/18 9:53 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 145 83.45 8/1 10:38 83.13 0.11%
Trade id #117324338
Max drawdown($50)
Time5/15/18 14:23
Quant open140
Worst price83.09
Drawdown as % of equity-0.11%
($49)
Includes Typical Broker Commissions trade costs of $2.90
2/1/18 9:46 NFLX NETFLIX LONG 40 284.97 8/1 10:38 329.47 n/a $1,779
Includes Typical Broker Commissions trade costs of $0.80
7/2/18 15:40 FOX TWENTY-FIRST CENTURY FOX INC. LONG 217 48.53 8/1 10:38 44.49 2.46%
Trade id #118750218
Max drawdown($1,098)
Time7/30/18 16:08
Quant open217
Worst price43.47
Drawdown as % of equity-2.46%
($881)
Includes Typical Broker Commissions trade costs of $4.34
6/1/18 15:08 ALGN ALIGN TECHNOLOGY LONG 26 333.57 8/1 10:38 354.16 0.1%
Trade id #118219076
Max drawdown($47)
Time6/8/18 8:01
Quant open26
Worst price331.75
Drawdown as % of equity-0.10%
$534
Includes Typical Broker Commissions trade costs of $0.52
6/1/18 15:07 ADBE ADOBE INC LONG 47 250.73 8/1 10:38 246.85 1.51%
Trade id #118219065
Max drawdown($692)
Time6/25/18 14:54
Quant open46
Worst price235.87
Drawdown as % of equity-1.51%
($183)
Includes Typical Broker Commissions trade costs of $0.94
6/1/18 15:09 MU MICRON TECHNOLOGY LONG 111 58.24 6/25 9:41 53.98 0.99%
Trade id #118219094
Max drawdown($473)
Time6/25/18 9:41
Quant open0
Worst price53.98
Drawdown as % of equity-0.99%
($475)
Includes Typical Broker Commissions trade costs of $2.22
4/2/18 9:52 STX SEAGATE TECHNOLOGY LONG 146 58.45 6/1 10:13 57.50 2.97%
Trade id #117324290
Max drawdown($1,312)
Time5/1/18 9:33
Quant open135
Worst price49.08
Drawdown as % of equity-2.97%
($142)
Includes Typical Broker Commissions trade costs of $2.92
5/1/18 9:59 IDXX IDEXX LABORATORIES LONG 45 194.74 6/1 10:12 213.15 0.55%
Trade id #117735554
Max drawdown($239)
Time5/3/18 10:58
Quant open45
Worst price189.41
Drawdown as % of equity-0.55%
$827
Includes Typical Broker Commissions trade costs of $0.90
2/1/18 9:42 AMZN AMAZON.COM LONG 12 1449.00 6/1 10:10 1530.08 5.39%
Trade id #116220456
Max drawdown($2,196)
Time2/9/18 12:51
Quant open12
Worst price1265.93
Drawdown as % of equity-5.39%
$973
Includes Typical Broker Commissions trade costs of $0.24
2/1/18 9:45 MELI MERCADOLIBRE LONG 26 386.37 5/1 9:54 341.75 3.35%
Trade id #116220769
Max drawdown($1,456)
Time4/17/18 9:35
Quant open20
Worst price313.55
Drawdown as % of equity-3.35%
($1,161)
Includes Typical Broker Commissions trade costs of $0.52
11/30/17 14:05 ALGN ALIGN TECHNOLOGY LONG 61 258.14 4/2/18 9:46 255.28 6.36%
Trade id #115125734
Max drawdown($2,591)
Time12/22/17 9:31
Quant open53
Worst price212.86
Drawdown as % of equity-6.36%
($176)
Includes Typical Broker Commissions trade costs of $1.22
12/29/17 13:01 MU MICRON TECHNOLOGY LONG 312 41.79 2/1/18 9:37 43.42 0.46%
Trade id #115597175
Max drawdown($187)
Time1/2/18 9:33
Quant open312
Worst price41.19
Drawdown as % of equity-0.46%
$503
Includes Typical Broker Commissions trade costs of $6.24
12/29/17 12:59 DLTR DOLLAR TREE STORES LONG 121 108.36 2/1/18 9:37 112.56 0.53%
Trade id #115597108
Max drawdown($225)
Time1/4/18 9:49
Quant open121
Worst price106.50
Drawdown as % of equity-0.53%
$506
Includes Typical Broker Commissions trade costs of $2.42
8/31/17 15:37 PYPL PAYPAL HOLDINGS CORP LONG 220 61.80 12/29 12:57 72.96 0.7%
Trade id #113478155
Max drawdown($268)
Time9/5/17 12:35
Quant open220
Worst price60.58
Drawdown as % of equity-0.70%
$2,452
Includes Typical Broker Commissions trade costs of $4.40
11/30/17 14:05 NVDA NVIDIA LONG 70 199.45 12/29 12:57 195.96 3.31%
Trade id #115125744
Max drawdown($1,320)
Time12/5/17 9:32
Quant open70
Worst price180.58
Drawdown as % of equity-3.31%
($245)
Includes Typical Broker Commissions trade costs of $1.40
10/2/17 9:50 LRCX LAM RESEARCH LONG 67 186.13 11/30 13:59 194.63 n/a $569
Includes Typical Broker Commissions trade costs of $1.34
10/31/17 15:16 MU MICRON TECHNOLOGY LONG 317 44.44 11/30 13:59 42.81 1.42%
Trade id #114617735
Max drawdown($629)
Time11/6/17 11:15
Quant open317
Worst price42.45
Drawdown as % of equity-1.42%
($521)
Includes Typical Broker Commissions trade costs of $6.34
8/31/17 15:36 NVDA NVIDIA LONG 80 169.23 10/31 15:12 203.11 1.37%
Trade id #113478101
Max drawdown($521)
Time9/8/17 15:26
Quant open80
Worst price162.71
Drawdown as % of equity-1.37%
$2,708
Includes Typical Broker Commissions trade costs of $1.60
8/1/17 9:43 VRTX VERTEX LONG 91 152.05 10/2 9:48 152.64 1.29%
Trade id #112916645
Max drawdown($469)
Time8/21/17 8:20
Quant open91
Worst price146.89
Drawdown as % of equity-1.29%
$52
Includes Typical Broker Commissions trade costs of $1.82
8/1/17 9:44 ATVI ACTIVISION BLIZZARD LONG 223 61.92 8/31 15:31 65.49 1.6%
Trade id #112916674
Max drawdown($604)
Time8/11/17 8:01
Quant open223
Worst price59.21
Drawdown as % of equity-1.60%
$792
Includes Typical Broker Commissions trade costs of $4.46
8/1/17 9:43 JD JD.COM INC LONG 301 45.84 8/31 15:30 41.86 5.39%
Trade id #112916613
Max drawdown($1,998)
Time8/29/17 4:11
Quant open301
Worst price39.20
Drawdown as % of equity-5.39%
($1,204)
Includes Typical Broker Commissions trade costs of $6.02
6/1/17 10:08 TSLA TESLA INC. LONG 34 349.28 7/31 14:34 322.50 4.62%
Trade id #111869571
Max drawdown($1,569)
Time7/10/17 9:59
Quant open34
Worst price303.13
Drawdown as % of equity-4.62%
($911)
Includes Typical Broker Commissions trade costs of $0.68
7/3/17 9:41 VRTX VERTEX LONG 98 128.44 7/31 14:31 152.33 0.84%
Trade id #112383694
Max drawdown($288)
Time7/6/17 10:29
Quant open98
Worst price125.50
Drawdown as % of equity-0.84%
$2,339
Includes Typical Broker Commissions trade costs of $1.96
6/1/17 10:07 JD JD.COM INC LONG 320 40.21 7/31 14:27 45.31 3.05%
Trade id #111869533
Max drawdown($1,072)
Time6/15/17 10:12
Quant open310
Worst price36.77
Drawdown as % of equity-3.05%
$1,626
Includes Typical Broker Commissions trade costs of $6.40

Statistics

  • Strategy began
    10/3/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    747.79
  • Age
    25 months ago
  • What it trades
    Stocks
  • # Trades
    45
  • # Profitable
    26
  • % Profitable
    57.80%
  • Avg trade duration
    58.8 days
  • Max peak-to-valley drawdown
    18.02%
  • drawdown period
    Nov 24, 2017 - Feb 09, 2018
  • Annual Return (Compounded)
    28.5%
  • Avg win
    $1,167
  • Avg loss
    $515.68
  • Model Account Values (Raw)
  • Cash
    $25,718
  • Margin Used
    $0
  • Buying Power
    $22,478
  • Ratios
  • W:L ratio
    3.16:1
  • Sharpe Ratio
    1.452
  • Sortino Ratio
    2.096
  • Calmar Ratio
    2.253
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.41200
  • Return Statistics
  • Ann Return (w trading costs)
    28.5%
  • Ann Return (Compnd, No Fees)
    33.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.50%
  • Chance of 20% account loss
    9.50%
  • 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)
    847
  • C2 Score
    92.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    15
  • Win / Loss
  • Avg Loss
    $548
  • Avg Win
    $1,167
  • # Winners
    26
  • # Losers
    19
  • % Winners
    57.8%
  • Frequency
  • Avg Position Time (mins)
    84663.90
  • Avg Position Time (hrs)
    1411.06
  • Avg Trade Length
    58.8 days
  • Last Trade Ago
    20
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31603
  • SD
    0.22804
  • Sharpe ratio (Glass type estimate)
    1.38583
  • Sharpe ratio (Hedges UMVUE)
    1.34006
  • df
    23.00000
  • t
    1.95986
  • p
    0.03112
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06998
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81398
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09893
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77905
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00436
  • Upside Potential Ratio
    4.60183
  • Upside part of mean
    0.48407
  • Downside part of mean
    -0.16804
  • Upside SD
    0.21702
  • Downside SD
    0.10519
  • N nonnegative terms
    16.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.11952
  • Mean of criterion
    0.31603
  • SD of predictor
    0.07882
  • SD of criterion
    0.22804
  • Covariance
    0.00953
  • r
    0.53008
  • b (slope, estimate of beta)
    1.53363
  • a (intercept, estimate of alpha)
    0.13273
  • Mean Square Error
    0.03909
  • DF error
    22.00000
  • t(b)
    2.93215
  • p(b)
    0.00386
  • t(a)
    0.86671
  • p(a)
    0.19773
  • Lowerbound of 95% confidence interval for beta
    0.44891
  • Upperbound of 95% confidence interval for beta
    2.61834
  • Lowerbound of 95% confidence interval for alpha
    -0.18487
  • Upperbound of 95% confidence interval for alpha
    0.45034
  • Treynor index (mean / b)
    0.20607
  • Jensen alpha (a)
    0.13273
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28760
  • SD
    0.22230
  • Sharpe ratio (Glass type estimate)
    1.29374
  • Sharpe ratio (Hedges UMVUE)
    1.25101
  • df
    23.00000
  • t
    1.82963
  • p
    0.04015
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15418
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71561
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18126
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68329
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.62581
  • Upside Potential Ratio
    4.20970
  • Upside part of mean
    0.46108
  • Downside part of mean
    -0.17348
  • Upside SD
    0.20556
  • Downside SD
    0.10953
  • N nonnegative terms
    16.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.11571
  • Mean of criterion
    0.28760
  • SD of predictor
    0.07852
  • SD of criterion
    0.22230
  • Covariance
    0.00941
  • r
    0.53888
  • b (slope, estimate of beta)
    1.52569
  • a (intercept, estimate of alpha)
    0.11105
  • Mean Square Error
    0.03666
  • DF error
    22.00000
  • t(b)
    3.00053
  • p(b)
    0.00329
  • t(a)
    0.75227
  • p(a)
    0.22993
  • Lowerbound of 95% confidence interval for beta
    0.47118
  • Upperbound of 95% confidence interval for beta
    2.58020
  • Lowerbound of 95% confidence interval for alpha
    -0.19510
  • Upperbound of 95% confidence interval for alpha
    0.41720
  • Treynor index (mean / b)
    0.18850
  • Jensen alpha (a)
    0.11105
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07835
  • Expected Shortfall on VaR
    0.10248
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02433
  • Expected Shortfall on VaR
    0.05231
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.90667
  • Quartile 1
    0.98525
  • Median
    1.01248
  • Quartile 3
    1.08866
  • Maximum
    1.13452
  • Mean of quarter 1
    0.95074
  • Mean of quarter 2
    1.00040
  • Mean of quarter 3
    1.04764
  • Mean of quarter 4
    1.11587
  • Inter Quartile Range
    0.10341
  • 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)
    -0.62665
  • VaR(95%) (moments method)
    0.04188
  • Expected Shortfall (moments method)
    0.04906
  • Extreme Value Index (regression method)
    -1.31322
  • VaR(95%) (regression method)
    0.06340
  • Expected Shortfall (regression method)
    0.06742
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01492
  • Quartile 1
    0.02343
  • Median
    0.03446
  • Quartile 3
    0.09018
  • Maximum
    0.09333
  • Mean of quarter 1
    0.01918
  • Mean of quarter 2
    0.03446
  • Mean of quarter 3
    0.09018
  • Mean of quarter 4
    0.09333
  • Inter Quartile Range
    0.06675
  • 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)
    0.43975
  • Compounded annual return (geometric extrapolation)
    0.37095
  • Calmar ratio (compounded annual return / max draw down)
    3.97453
  • Compounded annual return / average of 25% largest draw downs
    3.97453
  • Compounded annual return / Expected Shortfall lognormal
    3.61970
  • 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
    0.29194
  • SD
    0.20073
  • Sharpe ratio (Glass type estimate)
    1.45436
  • Sharpe ratio (Hedges UMVUE)
    1.45230
  • df
    531.00000
  • t
    2.07242
  • p
    0.01935
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83193
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07409
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83052
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.09640
  • Upside Potential Ratio
    9.46721
  • Upside part of mean
    1.31836
  • Downside part of mean
    -1.02643
  • Upside SD
    0.14543
  • Downside SD
    0.13926
  • N nonnegative terms
    305.00000
  • N negative terms
    227.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    532.00000
  • Mean of predictor
    0.09975
  • Mean of criterion
    0.29194
  • SD of predictor
    0.10752
  • SD of criterion
    0.20073
  • Covariance
    0.00917
  • r
    0.42482
  • b (slope, estimate of beta)
    0.79312
  • a (intercept, estimate of alpha)
    0.21300
  • Mean Square Error
    0.03308
  • DF error
    530.00000
  • t(b)
    10.80350
  • p(b)
    0.00000
  • t(a)
    1.66458
  • p(a)
    0.04829
  • Lowerbound of 95% confidence interval for beta
    0.64891
  • Upperbound of 95% confidence interval for beta
    0.93734
  • Lowerbound of 95% confidence interval for alpha
    -0.03834
  • Upperbound of 95% confidence interval for alpha
    0.46399
  • Treynor index (mean / b)
    0.36808
  • Jensen alpha (a)
    0.21282
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27161
  • SD
    0.20104
  • Sharpe ratio (Glass type estimate)
    1.35100
  • Sharpe ratio (Hedges UMVUE)
    1.34909
  • df
    531.00000
  • t
    1.92514
  • p
    0.02737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72825
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02874
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72693
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.92102
  • Upside Potential Ratio
    9.24984
  • Upside part of mean
    1.30782
  • Downside part of mean
    -1.03621
  • Upside SD
    0.14364
  • Downside SD
    0.14139
  • N nonnegative terms
    305.00000
  • N negative terms
    227.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    532.00000
  • Mean of predictor
    0.09392
  • Mean of criterion
    0.27161
  • SD of predictor
    0.10790
  • SD of criterion
    0.20104
  • Covariance
    0.00923
  • r
    0.42550
  • b (slope, estimate of beta)
    0.79282
  • a (intercept, estimate of alpha)
    0.19714
  • Mean Square Error
    0.03316
  • DF error
    530.00000
  • t(b)
    10.82460
  • p(b)
    0.00000
  • t(a)
    1.54041
  • p(a)
    0.06203
  • Lowerbound of 95% confidence interval for beta
    0.64894
  • Upperbound of 95% confidence interval for beta
    0.93671
  • Lowerbound of 95% confidence interval for alpha
    -0.05427
  • Upperbound of 95% confidence interval for alpha
    0.44856
  • Treynor index (mean / b)
    0.34259
  • Jensen alpha (a)
    0.19714
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01921
  • Expected Shortfall on VaR
    0.02427
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00808
  • Expected Shortfall on VaR
    0.01672
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    532.00000
  • Minimum
    0.93256
  • Quartile 1
    0.99528
  • Median
    1.00171
  • Quartile 3
    1.00782
  • Maximum
    1.06964
  • Mean of quarter 1
    0.98598
  • Mean of quarter 2
    0.99879
  • Mean of quarter 3
    1.00456
  • Mean of quarter 4
    1.01556
  • Inter Quartile Range
    0.01254
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.03571
  • Mean of outliers low
    0.96815
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.01692
  • Mean of outliers high
    1.03543
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13787
  • VaR(95%) (moments method)
    0.01258
  • Expected Shortfall (moments method)
    0.01886
  • Extreme Value Index (regression method)
    0.14930
  • VaR(95%) (regression method)
    0.01240
  • Expected Shortfall (regression method)
    0.01865
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00462
  • Median
    0.02375
  • Quartile 3
    0.07036
  • Maximum
    0.15496
  • Mean of quarter 1
    0.00168
  • Mean of quarter 2
    0.01000
  • Mean of quarter 3
    0.05291
  • Mean of quarter 4
    0.10733
  • Inter Quartile Range
    0.06574
  • 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)
    -1.51776
  • VaR(95%) (moments method)
    0.11852
  • Expected Shortfall (moments method)
    0.12165
  • Extreme Value Index (regression method)
    -0.42769
  • VaR(95%) (regression method)
    0.12102
  • Expected Shortfall (regression method)
    0.13532
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41225
  • Compounded annual return (geometric extrapolation)
    0.34921
  • Calmar ratio (compounded annual return / max draw down)
    2.25349
  • Compounded annual return / average of 25% largest draw downs
    3.25352
  • Compounded annual return / Expected Shortfall lognormal
    14.38650
  • 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
    0.02041
  • SD
    0.13158
  • Sharpe ratio (Glass type estimate)
    0.15513
  • Sharpe ratio (Hedges UMVUE)
    0.15424
  • df
    130.00000
  • t
    0.10970
  • p
    0.49519
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.61698
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92677
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.61763
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92611
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20363
  • Upside Potential Ratio
    7.91418
  • Upside part of mean
    0.79336
  • Downside part of mean
    -0.77295
  • Upside SD
    0.08447
  • Downside SD
    0.10025
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03265
  • Mean of criterion
    0.02041
  • SD of predictor
    0.10857
  • SD of criterion
    0.13158
  • Covariance
    0.00933
  • r
    0.65287
  • b (slope, estimate of beta)
    0.79126
  • a (intercept, estimate of alpha)
    -0.00542
  • Mean Square Error
    0.01001
  • DF error
    129.00000
  • t(b)
    9.78934
  • p(b)
    0.11615
  • t(a)
    -0.03832
  • p(a)
    0.50215
  • Lowerbound of 95% confidence interval for beta
    0.63133
  • Upperbound of 95% confidence interval for beta
    0.95118
  • Lowerbound of 95% confidence interval for alpha
    -0.28543
  • Upperbound of 95% confidence interval for alpha
    0.27459
  • Treynor index (mean / b)
    0.02580
  • Jensen alpha (a)
    -0.00542
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01179
  • SD
    0.13194
  • Sharpe ratio (Glass type estimate)
    0.08935
  • Sharpe ratio (Hedges UMVUE)
    0.08883
  • df
    130.00000
  • t
    0.06318
  • p
    0.49723
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86066
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11658
  • Upside Potential Ratio
    7.80946
  • Upside part of mean
    0.78974
  • Downside part of mean
    -0.77795
  • Upside SD
    0.08397
  • Downside SD
    0.10113
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02678
  • Mean of criterion
    0.01179
  • SD of predictor
    0.10889
  • SD of criterion
    0.13194
  • Covariance
    0.00938
  • r
    0.65281
  • b (slope, estimate of beta)
    0.79105
  • a (intercept, estimate of alpha)
    -0.00939
  • Mean Square Error
    0.01007
  • DF error
    129.00000
  • t(b)
    9.78783
  • p(b)
    0.11618
  • t(a)
    -0.06618
  • p(a)
    0.50371
  • Lowerbound of 95% confidence interval for beta
    0.63115
  • Upperbound of 95% confidence interval for beta
    0.95096
  • Lowerbound of 95% confidence interval for alpha
    -0.29017
  • Upperbound of 95% confidence interval for alpha
    0.27139
  • Treynor index (mean / b)
    0.01490
  • Jensen alpha (a)
    -0.00939
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01327
  • Expected Shortfall on VaR
    0.01662
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00620
  • Expected Shortfall on VaR
    0.01253
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97259
  • Quartile 1
    0.99578
  • Median
    1.00105
  • Quartile 3
    1.00502
  • Maximum
    1.02113
  • Mean of quarter 1
    0.98969
  • Mean of quarter 2
    0.99892
  • Mean of quarter 3
    1.00291
  • Mean of quarter 4
    1.00930
  • Inter Quartile Range
    0.00924
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97779
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02113
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42653
  • VaR(95%) (moments method)
    0.01136
  • Expected Shortfall (moments method)
    0.02202
  • Extreme Value Index (regression method)
    0.35230
  • VaR(95%) (regression method)
    0.00893
  • Expected Shortfall (regression method)
    0.01472
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00080
  • Quartile 1
    0.00356
  • Median
    0.00553
  • Quartile 3
    0.03152
  • Maximum
    0.09308
  • Mean of quarter 1
    0.00207
  • Mean of quarter 2
    0.00495
  • Mean of quarter 3
    0.02413
  • Mean of quarter 4
    0.08461
  • Inter Quartile Range
    0.02796
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.08461
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -46.34730
  • VaR(95%) (moments method)
    0.06316
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.39732
  • VaR(95%) (regression method)
    0.12858
  • Expected Shortfall (regression method)
    0.12952
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04009
  • Compounded annual return (geometric extrapolation)
    0.04049
  • Calmar ratio (compounded annual return / max draw down)
    0.43505
  • Compounded annual return / average of 25% largest draw downs
    0.47859
  • Compounded annual return / Expected Shortfall lognormal
    2.43576

Strategy Description

Dual QM18 is a Adaptive Asset Allocation (AAA) Strategy.

*Adaptive Asset Allocation (AAA) is based on the Nobel Prize winning portfolio theory of Markowitz (1952).
*AAA combines asset’s momentum, volatilities, and cross-correlations for building diversified investment portfolios.
*In a tactical application AAA exploits momentum for crash detection and results in consistent returns at mitigated risk levels.
*In up-trending markets capital is allocated into offensive assets, like stocks, some ETFs, REITs, and commodities, while during market sell-offs especially intermediate US-treasuries are in vogue or ETFs and Stocks with low correlation.

This strategy opens the possibility of capturing high returns in the short term of High Quality Stocks. Through the use of Stocks and some ETFs with a low correlation between them, we seek to identify market anomalies with a Low ratio: Risk / Reward.

Through a quantitative methodology called "Adaptive Asset Allocation" (AAA), this strategy allows to adapt each month, both the composition of the portfolio and the size of each position. In this way, it seeks to maximize profitability over the medium term and control portfolio volatility.

The system has been backtested from 2010 and in this testing has produced consistently profitable results. Based on this backtesting staking levels are set to target an average return of around 100% every two years.
Backtesting data is hypothetical and it has not been verified by C2.

My system generates around 50 trades a year. This is not a high frequency system, we would expect 4 trades per month on average . This is a purely mechanical system with no discretionary elements. If you wish to receive the results of the Back Testing applied to this strategy, feel free to request them.

I invite you to see an additional strategy that has been recording similar results: https://collective2.com/details/106804598

Summary Statistics

Strategy began
2016-10-03
Suggested Minimum Capital
$15,000
# Trades
45
# Profitable
26
% Profitable
57.8%
Net Dividends
Correlation S&P500
0.412
Sharpe Ratio
1.452

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

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.