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These are hypothetical performance results that have certain inherent limitations. Learn more

Organized Chaos
(126530009)

Created by: RichardBailey4 RichardBailey4
Started: 12/2019
Stocks, Options
Last trade: 506 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 $50.00 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).
-1.7%
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.

(48.0%)
Max Drawdown
295
Num Trades
52.2%
Win Trades
1.0 : 1
Profit Factor
48.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                             +19.1%+19.1%
2020+2.3%(3.4%)(6.5%)+30.9%(4.7%)(4.8%)+2.6%+0.1%(16.1%)(4.7%)+14.8%+8.1%+11.7%
2021+4.6%(22.4%)(6.5%)+8.5%(5.4%)+7.1%(0.4%)+4.8%(0.8%)+19.1%+0.2%(0.7%)+2.5%
2022(17.7%)(1.6%)+12.0%(2.4%)(14.4%)(6%)+16.8%(3.9%)(0.5%)(8.1%)(7.1%)(11.8%)(40.2%)
2023+4.7%+7.5%+4.6%(4.8%)+6.2%+7.7%+1.8%(4.5%)+0.3%(4.5%)+5.8%+2.3%+29.3%
2024(8.9%)+1.4%(4.8%)                                                      (12.1%)

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 48 hours.

Trading Record

This strategy has placed 233 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1490 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/14/20 9:45 SHOP SHOPIFY INC LONG 5 992.13 2/16/22 9:54 792.99 2.62%
Trade id #130621708
Max drawdown($780)
Time2/16/22 9:54
Quant open3
Worst price732.00
Drawdown as % of equity-2.62%
($996)
Includes Typical Broker Commissions trade costs of $0.10
8/19/20 15:14 DHI DR HORTON LONG 50 74.02 2/1/21 10:21 31.90 1.16%
Trade id #130695183
Max drawdown($388)
Time1/6/21 0:00
Quant open40
Worst price64.32
Drawdown as % of equity-1.16%
($2,107)
Includes Typical Broker Commissions trade costs of $1.00
5/1/20 11:04 MSFT MICROSOFT LONG 85 195.09 2/1/21 10:10 161.61 0.28%
Trade id #128830149
Max drawdown($95)
Time5/4/20 0:00
Quant open25
Worst price173.80
Drawdown as % of equity-0.28%
($2,848)
Includes Typical Broker Commissions trade costs of $1.70
10/15/20 9:44 SPY2030J348 SPY Oct30'20 348 call LONG 5 4.39 10/22 10:09 2.25 3.74%
Trade id #131713077
Max drawdown($1,070)
Time10/22/20 10:09
Quant open5
Worst price2.25
Drawdown as % of equity-3.74%
($1,077)
Includes Typical Broker Commissions trade costs of $7.00
9/11/20 13:16 NKE NIKE LONG 40 117.62 10/12 10:35 127.86 0.88%
Trade id #131136333
Max drawdown($235)
Time9/21/20 0:00
Quant open40
Worst price111.74
Drawdown as % of equity-0.88%
$409
Includes Typical Broker Commissions trade costs of $0.80
10/2/20 10:19 SPY2016J334 SPY Oct16'20 334 call LONG 1 7.06 10/12 10:35 16.39 0.55%
Trade id #131485394
Max drawdown($156)
Time10/2/20 12:05
Quant open1
Worst price5.50
Drawdown as % of equity-0.55%
$931
Includes Typical Broker Commissions trade costs of $2.00
9/28/20 15:42 SQ2006K160 SQ Nov6'20 160 call LONG 1 15.95 10/1 11:17 17.55 0.05%
Trade id #131401468
Max drawdown($14)
Time9/30/20 0:00
Quant open1
Worst price15.81
Drawdown as % of equity-0.05%
$158
Includes Typical Broker Commissions trade costs of $2.00
8/19/20 9:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 70 130.70 10/1 11:17 131.17 1.77%
Trade id #130686437
Max drawdown($474)
Time9/21/20 0:00
Quant open21
Worst price108.10
Drawdown as % of equity-1.77%
$31
Includes Typical Broker Commissions trade costs of $1.40
9/28/20 15:38 AAPL2009J115 AAPL Oct9'20 115 call LONG 1 3.25 9/30 10:20 3.60 0.23%
Trade id #131401396
Max drawdown($66)
Time9/30/20 9:30
Quant open1
Worst price2.59
Drawdown as % of equity-0.23%
$33
Includes Typical Broker Commissions trade costs of $2.00
9/28/20 15:43 ZM2016J500 ZM Oct16'20 500 call LONG 1 28.90 9/28 15:46 28.10 0.15%
Trade id #131401490
Max drawdown($40)
Time9/28/20 15:46
Quant open1
Worst price28.50
Drawdown as % of equity-0.15%
($82)
Includes Typical Broker Commissions trade costs of $2.00
9/11/20 11:59 MSFT2009J210 MSFT Oct9'20 210 call LONG 3 6.85 9/17 9:30 3.80 3.26%
Trade id #131134435
Max drawdown($915)
Time9/17/20 9:30
Quant open3
Worst price3.80
Drawdown as % of equity-3.26%
($919)
Includes Typical Broker Commissions trade costs of $4.20
8/14/20 12:02 AAPL2018I117.5 AAPL Sep18'20 117.5 call LONG 8 3.81 9/11 10:09 4.70 2.5%
Trade id #130625828
Max drawdown($691)
Time9/11/20 10:09
Quant open3
Worst price1.50
Drawdown as % of equity-2.50%
$705
Includes Typical Broker Commissions trade costs of $11.50
9/8/20 15:51 AAPL2009J120 AAPL Oct9'20 120 call LONG 5 5.10 9/10 14:29 3.70 2.41%
Trade id #131073004
Max drawdown($700)
Time9/10/20 14:29
Quant open5
Worst price3.70
Drawdown as % of equity-2.41%
($707)
Includes Typical Broker Commissions trade costs of $7.00
8/21/20 14:22 TSLA2004U1700 TSLA Sep4'20 1700 put LONG 1 23.15 8/26 9:45 12.67 3.19%
Trade id #130735390
Max drawdown($1,048)
Time8/26/20 9:45
Quant open1
Worst price12.67
Drawdown as % of equity-3.19%
($1,050)
Includes Typical Broker Commissions trade costs of $2.00
8/18/20 15:33 LRCX2018I380 LRCX Sep18'20 380 call LONG 2 14.60 8/20 9:37 8.65 3.94%
Trade id #130675383
Max drawdown($1,190)
Time8/20/20 9:37
Quant open2
Worst price8.65
Drawdown as % of equity-3.94%
($1,193)
Includes Typical Broker Commissions trade costs of $2.80
8/19/20 15:14 SPY2031H340 SPY Aug31'20 340 call LONG 10 2.68 8/20 9:30 1.67 3.26%
Trade id #130695172
Max drawdown($1,010)
Time8/20/20 0:00
Quant open10
Worst price1.67
Drawdown as % of equity-3.26%
($1,024)
Includes Typical Broker Commissions trade costs of $14.00
8/17/20 14:29 UNH2018I320 UNH Sep18'20 320 call LONG 5 10.00 8/20 9:30 6.78 3.84%
Trade id #130654337
Max drawdown($1,190)
Time8/20/20 9:30
Quant open2
Worst price4.05
Drawdown as % of equity-3.84%
($1,617)
Includes Typical Broker Commissions trade costs of $7.30
8/19/20 15:04 AMZN2004I3500 AMZN Sep4'20 3500 call LONG 1 33.25 8/19 15:06 30.30 0.92%
Trade id #130694989
Max drawdown($295)
Time8/19/20 15:06
Quant open1
Worst price30.30
Drawdown as % of equity-0.92%
($297)
Includes Typical Broker Commissions trade costs of $2.00
8/17/20 14:38 NKE2018I105 NKE Sep18'20 105 call LONG 5 3.35 8/18 14:57 4.05 0.31%
Trade id #130654516
Max drawdown($100)
Time8/17/20 15:14
Quant open5
Worst price3.15
Drawdown as % of equity-0.31%
$343
Includes Typical Broker Commissions trade costs of $7.00
8/17/20 15:20 TSLA2018U1500 TSLA Sep18'20 1500 put LONG 1 39.65 8/17 15:20 38.95 0.21%
Trade id #130655089
Max drawdown($70)
Time8/17/20 15:20
Quant open1
Worst price38.95
Drawdown as % of equity-0.21%
($72)
Includes Typical Broker Commissions trade costs of $2.00
8/13/20 11:30 TSLA2018U1250 TSLA Sep18'20 1250 put LONG 1 27.00 8/17 9:36 17.00 3.05%
Trade id #130603626
Max drawdown($1,000)
Time8/17/20 9:36
Quant open1
Worst price17.00
Drawdown as % of equity-3.05%
($1,002)
Includes Typical Broker Commissions trade costs of $2.00
7/24/20 15:20 TQQQ PROSHARES ULTRAPRO QQQ LONG 50 106.06 8/14 15:05 116.81 0.12%
Trade id #130267721
Max drawdown($38)
Time7/24/20 15:31
Quant open36
Worst price104.99
Drawdown as % of equity-0.12%
$537
Includes Typical Broker Commissions trade costs of $1.00
8/6/20 15:26 AAPL2021T455 AAPL Aug21'20 455 put LONG 1 12.45 8/14 15:05 7.00 2%
Trade id #130496737
Max drawdown($675)
Time8/13/20 0:00
Quant open1
Worst price5.70
Drawdown as % of equity-2.00%
($547)
Includes Typical Broker Commissions trade costs of $2.00
7/27/20 15:08 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 120 44.58 8/14 15:05 41.98 1.08%
Trade id #130299726
Max drawdown($364)
Time8/13/20 0:00
Quant open80
Worst price40.03
Drawdown as % of equity-1.08%
($314)
Includes Typical Broker Commissions trade costs of $2.40
8/10/20 13:49 TQQQ2018I120 TQQQ Sep18'20 120 call LONG 1 15.50 8/14 15:04 15.85 1.23%
Trade id #130543573
Max drawdown($430)
Time8/11/20 0:00
Quant open1
Worst price11.20
Drawdown as % of equity-1.23%
$33
Includes Typical Broker Commissions trade costs of $2.00
7/30/20 15:28 AAPL2021H375 AAPL Aug21'20 375 call LONG 1 17.60 8/14 12:01 79.40 0.13%
Trade id #130372169
Max drawdown($40)
Time7/30/20 15:53
Quant open1
Worst price17.20
Drawdown as % of equity-0.13%
$6,178
Includes Typical Broker Commissions trade costs of $2.00
8/14/20 9:46 TSLA2018U1300 TSLA Sep18'20 1300 put LONG 1 32.80 8/14 9:50 31.45 0.23%
Trade id #130621747
Max drawdown($78)
Time8/14/20 9:50
Quant open1
Worst price32.02
Drawdown as % of equity-0.23%
($137)
Includes Typical Broker Commissions trade costs of $2.00
8/3/20 10:00 SQQQ2021H5.5 SQQQ Aug21'20 5.5 call LONG 10 0.51 8/14 9:49 0.24 0.98%
Trade id #130419701
Max drawdown($330)
Time8/13/20 0:00
Quant open10
Worst price0.18
Drawdown as % of equity-0.98%
($284)
Includes Typical Broker Commissions trade costs of $14.00
7/31/20 11:36 UDOW PROSHARES ULTRAPRO DOW30 LONG 50 65.59 8/14 9:49 76.17 0.21%
Trade id #130390326
Max drawdown($68)
Time7/31/20 12:57
Quant open50
Worst price64.22
Drawdown as % of equity-0.21%
$528
Includes Typical Broker Commissions trade costs of $1.00
8/11/20 9:50 QQQ2021T269 QQQ Aug21'20 269 put LONG 5 4.32 8/13 9:30 2.79 2.27%
Trade id #130558181
Max drawdown($765)
Time8/13/20 9:30
Quant open5
Worst price2.79
Drawdown as % of equity-2.27%
($772)
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    12/7/2019
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1568.47
  • Age
    52 months ago
  • What it trades
    Stocks, Options
  • # Trades
    295
  • # Profitable
    154
  • % Profitable
    52.20%
  • Avg trade duration
    20.6 days
  • Max peak-to-valley drawdown
    48.02%
  • drawdown period
    June 09, 2020 - Jan 08, 2023
  • Annual Return (Compounded)
    -1.7%
  • Avg win
    $476.60
  • Avg loss
    $510.60
  • Model Account Values (Raw)
  • Cash
    $18,013
  • Margin Used
    $0
  • Buying Power
    $25,477
  • Ratios
  • W:L ratio
    1.03:1
  • Sharpe Ratio
    0.04
  • Sortino Ratio
    0.05
  • Calmar Ratio
    0.103
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -73.64%
  • Correlation to SP500
    0.37460
  • Return Percent SP500 (cumu) during strategy life
    66.92%
  • Return Statistics
  • Ann Return (w trading costs)
    -1.7%
  • Slump
  • Current Slump as Pcnt Equity
    67.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.017%
  • Instruments
  • Percent Trades Options
    0.38%
  • Percent Trades Stocks
    0.62%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.7%
  • Automation
  • Percentage Signals Automated
    31.66%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $511
  • Avg Win
    $477
  • Sum Trade PL (losers)
    $71,994.000
  • Age
  • Num Months filled monthly returns table
    52
  • Win / Loss
  • Sum Trade PL (winners)
    $73,396.000
  • # Winners
    154
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    488
  • Win / Loss
  • # Losers
    141
  • % Winners
    52.2%
  • Frequency
  • Avg Position Time (mins)
    29721.80
  • Avg Position Time (hrs)
    495.36
  • Avg Trade Length
    20.6 days
  • Last Trade Ago
    528
  • Leverage
  • Daily leverage (average)
    2.93
  • Daily leverage (max)
    16.77
  • Regression
  • Alpha
    -0.01
  • Beta
    0.54
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.40
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -7.941
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.284
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.898
  • Hold-and-Hope Ratio
    -0.135
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12420
  • SD
    0.41472
  • Sharpe ratio (Glass type estimate)
    0.29949
  • Sharpe ratio (Hedges UMVUE)
    0.28864
  • df
    21.00000
  • t
    0.40551
  • p
    0.44396
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16152
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73880
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42750
  • Upside Potential Ratio
    2.21978
  • Upside part of mean
    0.64494
  • Downside part of mean
    -0.52073
  • Upside SD
    0.28469
  • Downside SD
    0.29054
  • N nonnegative terms
    13.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.27916
  • Mean of criterion
    0.12420
  • SD of predictor
    0.29875
  • SD of criterion
    0.41472
  • Covariance
    0.04659
  • r
    0.37603
  • b (slope, estimate of beta)
    0.52199
  • a (intercept, estimate of alpha)
    -0.02151
  • Mean Square Error
    0.15506
  • DF error
    20.00000
  • t(b)
    1.81485
  • p(b)
    0.31199
  • t(a)
    -0.07131
  • p(a)
    0.50797
  • Lowerbound of 95% confidence interval for beta
    -0.07798
  • Upperbound of 95% confidence interval for beta
    1.12197
  • Lowerbound of 95% confidence interval for alpha
    -0.65086
  • Upperbound of 95% confidence interval for alpha
    0.60783
  • Treynor index (mean / b)
    0.23794
  • Jensen alpha (a)
    -0.02151
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03845
  • SD
    0.42832
  • Sharpe ratio (Glass type estimate)
    0.08976
  • Sharpe ratio (Hedges UMVUE)
    0.08651
  • df
    21.00000
  • t
    0.12154
  • p
    0.48312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35906
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53651
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36125
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53428
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11857
  • Upside Potential Ratio
    1.87100
  • Upside part of mean
    0.60672
  • Downside part of mean
    -0.56827
  • Upside SD
    0.26474
  • Downside SD
    0.32428
  • N nonnegative terms
    13.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.22944
  • Mean of criterion
    0.03845
  • SD of predictor
    0.32034
  • SD of criterion
    0.42832
  • Covariance
    0.05148
  • r
    0.37521
  • b (slope, estimate of beta)
    0.50168
  • a (intercept, estimate of alpha)
    -0.07666
  • Mean Square Error
    0.16551
  • DF error
    20.00000
  • t(b)
    1.81026
  • p(b)
    0.31239
  • t(a)
    -0.24961
  • p(a)
    0.52786
  • Lowerbound of 95% confidence interval for beta
    -0.07641
  • Upperbound of 95% confidence interval for beta
    1.07977
  • Lowerbound of 95% confidence interval for alpha
    -0.71730
  • Upperbound of 95% confidence interval for alpha
    0.56398
  • Treynor index (mean / b)
    0.07664
  • Jensen alpha (a)
    -0.07666
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18141
  • Expected Shortfall on VaR
    0.22183
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08854
  • Expected Shortfall on VaR
    0.17307
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.73902
  • Quartile 1
    0.93022
  • Median
    1.03899
  • Quartile 3
    1.10154
  • Maximum
    1.22616
  • Mean of quarter 1
    0.85873
  • Mean of quarter 2
    0.98996
  • Mean of quarter 3
    1.06443
  • Mean of quarter 4
    1.14243
  • Inter Quartile Range
    0.17132
  • 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)
    -0.10284
  • VaR(95%) (moments method)
    0.14847
  • Expected Shortfall (moments method)
    0.18974
  • Extreme Value Index (regression method)
    0.13629
  • VaR(95%) (regression method)
    0.19898
  • Expected Shortfall (regression method)
    0.29688
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08763
  • Quartile 1
    0.14702
  • Median
    0.20641
  • Quartile 3
    0.26580
  • Maximum
    0.32518
  • Mean of quarter 1
    0.08763
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.32518
  • Inter Quartile Range
    0.11878
  • 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)
    0.07056
  • Compounded annual return (geometric extrapolation)
    0.06861
  • Calmar ratio (compounded annual return / max draw down)
    0.21098
  • Compounded annual return / average of 25% largest draw downs
    0.21098
  • Compounded annual return / Expected Shortfall lognormal
    0.30928
  • 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
    0.12078
  • SD
    0.46784
  • Sharpe ratio (Glass type estimate)
    0.25816
  • Sharpe ratio (Hedges UMVUE)
    0.25776
  • df
    483.00000
  • t
    0.35088
  • p
    0.36292
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18410
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70015
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69988
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.37459
  • Upside Potential Ratio
    7.72980
  • Upside part of mean
    2.49225
  • Downside part of mean
    -2.37148
  • Upside SD
    0.33842
  • Downside SD
    0.32242
  • N nonnegative terms
    247.00000
  • N negative terms
    237.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    484.00000
  • Mean of predictor
    0.29524
  • Mean of criterion
    0.12078
  • SD of predictor
    0.33961
  • SD of criterion
    0.46784
  • Covariance
    0.06178
  • r
    0.38882
  • b (slope, estimate of beta)
    0.53564
  • a (intercept, estimate of alpha)
    -0.03700
  • Mean Square Error
    0.18617
  • DF error
    482.00000
  • t(b)
    9.26542
  • p(b)
    0.00000
  • t(a)
    -0.11752
  • p(a)
    0.54675
  • Lowerbound of 95% confidence interval for beta
    0.42205
  • Upperbound of 95% confidence interval for beta
    0.64923
  • Lowerbound of 95% confidence interval for alpha
    -0.66204
  • Upperbound of 95% confidence interval for alpha
    0.58731
  • Treynor index (mean / b)
    0.22548
  • Jensen alpha (a)
    -0.03736
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01168
  • SD
    0.46773
  • Sharpe ratio (Glass type estimate)
    0.02498
  • Sharpe ratio (Hedges UMVUE)
    0.02494
  • df
    483.00000
  • t
    0.03395
  • p
    0.48646
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41706
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46702
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41710
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46698
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03490
  • Upside Potential Ratio
    7.28070
  • Upside part of mean
    2.43754
  • Downside part of mean
    -2.42586
  • Upside SD
    0.32593
  • Downside SD
    0.33480
  • N nonnegative terms
    247.00000
  • N negative terms
    237.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    484.00000
  • Mean of predictor
    0.23715
  • Mean of criterion
    0.01168
  • SD of predictor
    0.34143
  • SD of criterion
    0.46773
  • Covariance
    0.06188
  • r
    0.38746
  • b (slope, estimate of beta)
    0.53079
  • a (intercept, estimate of alpha)
    -0.11419
  • Mean Square Error
    0.18632
  • DF error
    482.00000
  • t(b)
    9.22720
  • p(b)
    0.00000
  • t(a)
    -0.35925
  • p(a)
    0.64022
  • Lowerbound of 95% confidence interval for beta
    0.41776
  • Upperbound of 95% confidence interval for beta
    0.64382
  • Lowerbound of 95% confidence interval for alpha
    -0.73878
  • Upperbound of 95% confidence interval for alpha
    0.51039
  • Treynor index (mean / b)
    0.02201
  • Jensen alpha (a)
    -0.11419
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04638
  • Expected Shortfall on VaR
    0.05777
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02044
  • Expected Shortfall on VaR
    0.04149
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    484.00000
  • Minimum
    0.84166
  • Quartile 1
    0.98874
  • Median
    1.00047
  • Quartile 3
    1.01156
  • Maximum
    1.19604
  • Mean of quarter 1
    0.96793
  • Mean of quarter 2
    0.99608
  • Mean of quarter 3
    1.00449
  • Mean of quarter 4
    1.03377
  • Inter Quartile Range
    0.02282
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.04752
  • Mean of outliers low
    0.93043
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.04752
  • Mean of outliers high
    1.07182
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22494
  • VaR(95%) (moments method)
    0.03041
  • Expected Shortfall (moments method)
    0.04853
  • Extreme Value Index (regression method)
    0.12370
  • VaR(95%) (regression method)
    0.02866
  • Expected Shortfall (regression method)
    0.04207
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00244
  • Median
    0.00413
  • Quartile 3
    0.02080
  • Maximum
    0.39161
  • Mean of quarter 1
    0.00110
  • Mean of quarter 2
    0.00324
  • Mean of quarter 3
    0.01112
  • Mean of quarter 4
    0.19728
  • Inter Quartile Range
    0.01836
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    0.25598
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.93438
  • VaR(95%) (moments method)
    0.15357
  • Expected Shortfall (moments method)
    2.62555
  • Extreme Value Index (regression method)
    2.30564
  • VaR(95%) (regression method)
    0.22003
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04107
  • Compounded annual return (geometric extrapolation)
    0.04038
  • Calmar ratio (compounded annual return / max draw down)
    0.10312
  • Compounded annual return / average of 25% largest draw downs
    0.20471
  • Compounded annual return / Expected Shortfall lognormal
    0.69909
  • 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
    -0.59290
  • SD
    0.44472
  • Sharpe ratio (Glass type estimate)
    -1.33319
  • Sharpe ratio (Hedges UMVUE)
    -1.32549
  • df
    130.00000
  • t
    -0.94271
  • p
    0.54120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.10720
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44589
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.10197
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45100
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.82322
  • Upside Potential Ratio
    6.89168
  • Upside part of mean
    2.24113
  • Downside part of mean
    -2.83402
  • Upside SD
    0.30308
  • Downside SD
    0.32519
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30572
  • Mean of criterion
    -0.59290
  • SD of predictor
    0.40643
  • SD of criterion
    0.44472
  • Covariance
    0.11038
  • r
    0.61065
  • b (slope, estimate of beta)
    0.66818
  • a (intercept, estimate of alpha)
    -0.79717
  • Mean Square Error
    0.12499
  • DF error
    129.00000
  • t(b)
    8.75833
  • p(b)
    0.13698
  • t(a)
    -1.59270
  • p(a)
    0.58812
  • Lowerbound of 95% confidence interval for beta
    0.51724
  • Upperbound of 95% confidence interval for beta
    0.81912
  • Lowerbound of 95% confidence interval for alpha
    -1.78746
  • Upperbound of 95% confidence interval for alpha
    0.19311
  • Treynor index (mean / b)
    -0.88733
  • Jensen alpha (a)
    -0.79717
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.69178
  • SD
    0.44482
  • Sharpe ratio (Glass type estimate)
    -1.55519
  • Sharpe ratio (Hedges UMVUE)
    -1.54620
  • df
    130.00000
  • t
    -1.09969
  • p
    0.54800
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.33054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22596
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.32437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23197
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.07311
  • Upside Potential Ratio
    6.58285
  • Upside part of mean
    2.19666
  • Downside part of mean
    -2.88844
  • Upside SD
    0.29467
  • Downside SD
    0.33369
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22332
  • Mean of criterion
    -0.69178
  • SD of predictor
    0.40761
  • SD of criterion
    0.44482
  • Covariance
    0.10983
  • r
    0.60576
  • b (slope, estimate of beta)
    0.66106
  • a (intercept, estimate of alpha)
    -0.83941
  • Mean Square Error
    0.12623
  • DF error
    129.00000
  • t(b)
    8.64715
  • p(b)
    0.13945
  • t(a)
    -1.66965
  • p(a)
    0.59226
  • VAR (95 Confidence Intrvl)
    0.04600
  • Lowerbound of 95% confidence interval for beta
    0.50981
  • Upperbound of 95% confidence interval for beta
    0.81232
  • Lowerbound of 95% confidence interval for alpha
    -1.83411
  • Upperbound of 95% confidence interval for alpha
    0.15528
  • Treynor index (mean / b)
    -1.04647
  • Jensen alpha (a)
    -0.83941
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04672
  • Expected Shortfall on VaR
    0.05755
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02614
  • Expected Shortfall on VaR
    0.04795
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90431
  • Quartile 1
    0.98346
  • Median
    1.00000
  • Quartile 3
    1.00948
  • Maximum
    1.10145
  • Mean of quarter 1
    0.96461
  • Mean of quarter 2
    0.99267
  • Mean of quarter 3
    1.00297
  • Mean of quarter 4
    1.03128
  • Inter Quartile Range
    0.02602
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.93316
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.07001
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.31949
  • VaR(95%) (moments method)
    0.03554
  • Expected Shortfall (moments method)
    0.04241
  • Extreme Value Index (regression method)
    -0.40795
  • VaR(95%) (regression method)
    0.03869
  • Expected Shortfall (regression method)
    0.04552
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08649
  • Quartile 1
    0.15375
  • Median
    0.22101
  • Quartile 3
    0.28828
  • Maximum
    0.35554
  • Mean of quarter 1
    0.08649
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.35554
  • Inter Quartile Range
    0.13452
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -473781000
  • Max Equity Drawdown (num days)
    943
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.56494
  • Compounded annual return (geometric extrapolation)
    -0.48515
  • Calmar ratio (compounded annual return / max draw down)
    -1.36455
  • Compounded annual return / average of 25% largest draw downs
    -1.36455
  • Compounded annual return / Expected Shortfall lognormal
    -8.42977

Strategy Description

We use consistent methods in choosing companies primed for growth and long term gains. Our algorithm systems gives us ideas as to which companies are under heavy accumulation, and adds confidence to our value and growth picks. Our goal is to have a good mix of investments that can withstand market turbulence. We also feel that with some of our higher risk investments a wise strategy is to buy put options from time to time, in order to preserve our gains. These short strategies are usually brief in nature and will be used only from time to time. We will continue to look for the best opportunities to invest your money and give you the highest rates of return possible.

Summary Statistics

Strategy began
2019-12-07
Suggested Minimum Capital
$25,000
# Trades
295
# Profitable
154
% Profitable
52.2%
Net Dividends
Correlation S&P500
0.375
Sharpe Ratio
0.04
Sortino Ratio
0.05
Beta
0.54
Alpha
-0.01
Leverage
2.93 Average
16.77 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.