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US Prime Investors
(126530009)

Created by: RichardBailey4 RichardBailey4
Started: 12/2019
Stocks, Options
Last trade: 4 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).
43.6%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(23.5%)
Max Drawdown
244
Num Trades
56.1%
Win Trades
1.2 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                             +19.1%+19.1%
2020+2.2%(3.4%)(6.6%)+31.1%(4.7%)(4.7%)+9.6%                              +20.5%

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 235 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/9/20 15:23 UPRO PROSHARES ULTRAPRO S&P500 LONG 50 46.84 7/10 15:16 48.02 0.11%
Trade id #129999563
Max drawdown($38)
Time7/10/20 10:04
Quant open50
Worst price46.08
Drawdown as % of equity-0.11%
$58
Includes Typical Broker Commissions trade costs of $1.00
7/9/20 11:08 SPY2017G311 SPY Jul17'20 311 call LONG 5 5.54 7/10 13:43 6.85 1.16%
Trade id #129993451
Max drawdown($385)
Time7/9/20 11:26
Quant open5
Worst price4.77
Drawdown as % of equity-1.16%
$647
Includes Typical Broker Commissions trade costs of $7.60
7/7/20 10:51 AAPL2021H375 AAPL Aug21'20 375 call LONG 3 17.35 7/9 15:12 18.70 0.54%
Trade id #129946196
Max drawdown($180)
Time7/7/20 15:59
Quant open1
Worst price15.55
Drawdown as % of equity-0.54%
$399
Includes Typical Broker Commissions trade costs of $6.00
6/30/20 15:52 SPY2017G306 SPY Jul17'20 306 call LONG 12 10.35 7/9 10:56 10.44 0.71%
Trade id #129828726
Max drawdown($231)
Time6/30/20 16:00
Quant open3
Worst price8.16
Drawdown as % of equity-0.71%
$84
Includes Typical Broker Commissions trade costs of $17.70
7/2/20 10:21 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 250 11.10 7/8 14:26 11.13 0.21%
Trade id #129878212
Max drawdown($71)
Time7/7/20 0:00
Quant open250
Worst price10.81
Drawdown as % of equity-0.21%
$4
Includes Typical Broker Commissions trade costs of $5.00
6/22/20 14:23 JCI JOHNSON CONTROLS LONG 100 34.96 7/8 12:53 34.10 0.63%
Trade id #129691528
Max drawdown($226)
Time6/25/20 0:00
Quant open100
Worst price32.70
Drawdown as % of equity-0.63%
($88)
Includes Typical Broker Commissions trade costs of $2.00
7/7/20 15:39 TECL DIREXION DAILY TECHNOLOGY BULL LONG 15 246.81 7/8 12:53 249.36 0.24%
Trade id #129952987
Max drawdown($78)
Time7/7/20 15:59
Quant open15
Worst price241.57
Drawdown as % of equity-0.24%
$38
Includes Typical Broker Commissions trade costs of $0.30
6/30/20 12:02 SPY2013G306 SPY Jul13'20 306 call LONG 8 8.19 7/8 12:52 9.58 0.43%
Trade id #129823948
Max drawdown($141)
Time6/30/20 13:15
Quant open3
Worst price5.53
Drawdown as % of equity-0.43%
$1,103
Includes Typical Broker Commissions trade costs of $11.80
6/18/20 13:14 CLDR CLOUDERA INC LONG 150 13.60 7/8 9:30 11.96 0.87%
Trade id #129640004
Max drawdown($276)
Time7/6/20 0:00
Quant open150
Worst price11.76
Drawdown as % of equity-0.87%
($249)
Includes Typical Broker Commissions trade costs of $3.00
6/17/20 15:19 AXP AMERICAN EXPRESS LONG 30 104.87 7/8 9:30 91.82 1.2%
Trade id #129624455
Max drawdown($398)
Time7/8/20 9:30
Quant open30
Worst price91.59
Drawdown as % of equity-1.20%
($393)
Includes Typical Broker Commissions trade costs of $0.60
5/11/20 11:54 SPCE VIRGIN GALACTIC HOLDINGS INC LONG 100 19.33 7/8 9:30 16.64 1.4%
Trade id #128962364
Max drawdown($512)
Time6/15/20 0:00
Quant open100
Worst price14.21
Drawdown as % of equity-1.40%
($271)
Includes Typical Broker Commissions trade costs of $2.00
5/21/20 12:51 WMT WALMART INC LONG 30 124.66 7/7 15:00 126.73 0.63%
Trade id #129134394
Max drawdown($229)
Time6/15/20 0:00
Quant open30
Worst price117.01
Drawdown as % of equity-0.63%
$61
Includes Typical Broker Commissions trade costs of $0.60
6/22/20 10:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 65 96.95 7/2 14:16 96.26 0.68%
Trade id #129687142
Max drawdown($241)
Time6/26/20 0:00
Quant open30
Worst price88.90
Drawdown as % of equity-0.68%
($46)
Includes Typical Broker Commissions trade costs of $1.30
7/1/20 10:09 SPY2008S310 SPY Jul8'20 310 put LONG 7 3.72 7/2 9:30 1.61 5.2%
Trade id #129843965
Max drawdown($1,694)
Time7/2/20 0:00
Quant open7
Worst price1.30
Drawdown as % of equity-5.20%
($1,487)
Includes Typical Broker Commissions trade costs of $9.80
6/29/20 14:25 VIXW2015G30 VIXW Jul15'20 30 call LONG 2 5.50 7/1 12:35 3.00 1.53%
Trade id #129807645
Max drawdown($500)
Time7/1/20 12:35
Quant open2
Worst price3.00
Drawdown as % of equity-1.53%
($503)
Includes Typical Broker Commissions trade costs of $2.80
6/30/20 13:18 SPY2015S305 SPY Jul15'20 305 put LONG 5 5.83 7/1 9:30 4.25 4.09%
Trade id #129825303
Max drawdown($1,340)
Time7/1/20 0:00
Quant open5
Worst price3.15
Drawdown as % of equity-4.09%
($797)
Includes Typical Broker Commissions trade costs of $7.00
6/29/20 13:52 QQQ2024G242 QQQ Jul24'20 242 call LONG 9 8.03 6/30 13:18 8.34 0.56%
Trade id #129807206
Max drawdown($181)
Time6/29/20 15:05
Quant open3
Worst price7.08
Drawdown as % of equity-0.56%
$269
Includes Typical Broker Commissions trade costs of $12.90
6/22/20 12:39 SPY2002S310 SPY Jul2'20 310 put LONG 2 8.16 6/30 10:46 5.25 1.77%
Trade id #129689826
Max drawdown($582)
Time6/30/20 10:46
Quant open2
Worst price5.25
Drawdown as % of equity-1.77%
($585)
Includes Typical Broker Commissions trade costs of $3.40
6/23/20 15:46 SPY2002G312 SPY Jul2'20 312 call LONG 1 5.82 6/30 9:48 0.53 1.64%
Trade id #129710913
Max drawdown($552)
Time6/29/20 0:00
Quant open1
Worst price0.30
Drawdown as % of equity-1.64%
($531)
Includes Typical Broker Commissions trade costs of $2.00
6/22/20 14:26 A2021H97.5 A Aug21'20 97.5 call LONG 5 1.64 6/29 13:50 0.73 1.15%
Trade id #129691570
Max drawdown($415)
Time6/25/20 0:00
Quant open5
Worst price0.81
Drawdown as % of equity-1.15%
($462)
Includes Typical Broker Commissions trade costs of $7.00
6/22/20 10:44 CAT CATERPILLAR LONG 25 124.14 6/29 12:48 125.38 0.19%
Trade id #129687121
Max drawdown($67)
Time6/25/20 0:00
Quant open15
Worst price120.80
Drawdown as % of equity-0.19%
$31
Includes Typical Broker Commissions trade costs of $0.50
6/11/20 15:32 QQQ2002S230 QQQ Jul2'20 230 put LONG 1 6.38 6/29 10:38 0.60 1.58%
Trade id #129513536
Max drawdown($593)
Time6/23/20 0:00
Quant open1
Worst price0.45
Drawdown as % of equity-1.58%
($580)
Includes Typical Broker Commissions trade costs of $2.00
6/26/20 13:18 QQQ2017G242 QQQ Jul17'20 242 call LONG 3 7.13 6/29 9:37 5.10 1.81%
Trade id #129779027
Max drawdown($609)
Time6/29/20 9:37
Quant open3
Worst price5.10
Drawdown as % of equity-1.81%
($613)
Includes Typical Broker Commissions trade costs of $4.20
6/24/20 11:20 QQQ2017G243 QQQ Jul17'20 243 call LONG 5 7.84 6/26 10:24 6.41 2%
Trade id #129728146
Max drawdown($692)
Time6/26/20 10:24
Quant open4
Worst price6.11
Drawdown as % of equity-2.00%
($721)
Includes Typical Broker Commissions trade costs of $7.30
6/25/20 15:57 NKE2017G105 NKE Jul17'20 105 call LONG 5 2.80 6/26 9:30 1.15 3.43%
Trade id #129762988
Max drawdown($1,225)
Time6/26/20 0:00
Quant open5
Worst price0.35
Drawdown as % of equity-3.43%
($832)
Includes Typical Broker Commissions trade costs of $7.00
6/23/20 10:46 SPY2001G312 SPY Jul1'20 312 call LONG 1 5.21 6/25 14:58 1.20 1.16%
Trade id #129705287
Max drawdown($419)
Time6/25/20 9:48
Quant open1
Worst price1.02
Drawdown as % of equity-1.16%
($403)
Includes Typical Broker Commissions trade costs of $2.00
6/9/20 15:48 TOL TOLL BROTHERS LONG 100 34.86 6/25 11:18 30.46 1.34%
Trade id #129453417
Max drawdown($485)
Time6/25/20 9:31
Quant open100
Worst price30.01
Drawdown as % of equity-1.34%
($442)
Includes Typical Broker Commissions trade costs of $2.00
6/22/20 10:46 QQQ2017S245 QQQ Jul17'20 245 put LONG 1 7.01 6/24 11:19 7.81 0.68%
Trade id #129687214
Max drawdown($256)
Time6/23/20 0:00
Quant open1
Worst price4.45
Drawdown as % of equity-0.68%
$78
Includes Typical Broker Commissions trade costs of $2.00
6/4/20 9:42 UDOW PROSHARES ULTRAPRO DOW30 LONG 60 68.98 6/22 14:22 69.15 0.88%
Trade id #129354260
Max drawdown($321)
Time6/15/20 0:00
Quant open25
Worst price56.52
Drawdown as % of equity-0.88%
$9
Includes Typical Broker Commissions trade costs of $1.20
6/9/20 15:10 BYND BEYOND MEAT INC. COMMON STOCK LONG 20 155.49 6/22 10:42 158.13 0.62%
Trade id #129441883
Max drawdown($238)
Time6/11/20 0:00
Quant open15
Worst price140.25
Drawdown as % of equity-0.62%
$53
Includes Typical Broker Commissions trade costs of $0.40

Statistics

  • Strategy began
    12/7/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    219.31
  • Age
    7 months ago
  • What it trades
    Stocks, Options
  • # Trades
    244
  • # Profitable
    137
  • % Profitable
    56.10%
  • Avg trade duration
    8.6 days
  • Max peak-to-valley drawdown
    23.5%
  • drawdown period
    Feb 20, 2020 - April 03, 2020
  • Cumul. Return
    43.6%
  • Avg win
    $394.76
  • Avg loss
    $417.05
  • Model Account Values (Raw)
  • Cash
    $16,466
  • Margin Used
    $0
  • Buying Power
    $20,669
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    1.26
  • Sortino Ratio
    2.16
  • Calmar Ratio
    4.936
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    43.31%
  • Correlation to SP500
    0.26420
  • Return Percent SP500 (cumu) during strategy life
    0.30%
  • Return Statistics
  • Ann Return (w trading costs)
    81.0%
  • Slump
  • Current Slump as Pcnt Equity
    8.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.15%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.436%
  • Instruments
  • Percent Trades Options
    0.34%
  • Percent Trades Stocks
    0.66%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    92.0%
  • Automation
  • Percentage Signals Automated
    5897.00%
  • Popularity
  • Popularity (Today)
    403
  • Popularity (Last 6 weeks)
    906
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    905
  • Popularity (7 days, Percentile 1000 scale)
    696
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $417
  • Avg Win
    $412
  • Sum Trade PL (losers)
    $44,665.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $56,382.000
  • # Winners
    137
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    341
  • Win / Loss
  • # Losers
    107
  • % Winners
    56.1%
  • Frequency
  • Avg Position Time (mins)
    12371.00
  • Avg Position Time (hrs)
    206.18
  • Avg Trade Length
    8.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.04
  • Daily leverage (max)
    16.77
  • Regression
  • Alpha
    0.20
  • Beta
    0.31
  • Treynor Index
    0.66
  • 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)
    -0.44
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    20.442
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.289
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.934
  • Hold-and-Hope Ratio
    0.040
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76691
  • SD
    0.34996
  • Sharpe ratio (Glass type estimate)
    2.19142
  • Sharpe ratio (Hedges UMVUE)
    1.90353
  • df
    6.00000
  • t
    1.67373
  • p
    0.07260
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71846
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.95746
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.68656
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.32380
  • Upside Potential Ratio
    7.90732
  • Upside part of mean
    0.95895
  • Downside part of mean
    -0.19204
  • Upside SD
    0.37321
  • Downside SD
    0.12127
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.07277
  • Mean of criterion
    0.76691
  • SD of predictor
    0.42738
  • SD of criterion
    0.34996
  • Covariance
    0.08973
  • r
    0.59993
  • b (slope, estimate of beta)
    0.49126
  • a (intercept, estimate of alpha)
    0.73116
  • Mean Square Error
    0.09407
  • DF error
    5.00000
  • t(b)
    1.67675
  • p(b)
    0.07722
  • t(a)
    1.81816
  • p(a)
    0.06436
  • Lowerbound of 95% confidence interval for beta
    -0.26191
  • Upperbound of 95% confidence interval for beta
    1.24443
  • Lowerbound of 95% confidence interval for alpha
    -0.30262
  • Upperbound of 95% confidence interval for alpha
    1.76495
  • Treynor index (mean / b)
    1.56111
  • Jensen alpha (a)
    0.73116
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69515
  • SD
    0.33059
  • Sharpe ratio (Glass type estimate)
    2.10272
  • Sharpe ratio (Hedges UMVUE)
    1.82648
  • df
    6.00000
  • t
    1.60598
  • p
    0.07970
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.84991
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59293
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.49423
  • Upside Potential Ratio
    7.06993
  • Upside part of mean
    0.89451
  • Downside part of mean
    -0.19936
  • Upside SD
    0.34342
  • Downside SD
    0.12652
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.01741
  • Mean of criterion
    0.69515
  • SD of predictor
    0.47574
  • SD of criterion
    0.33059
  • Covariance
    0.10179
  • r
    0.64717
  • b (slope, estimate of beta)
    0.44972
  • a (intercept, estimate of alpha)
    0.70298
  • Mean Square Error
    0.07622
  • DF error
    5.00000
  • t(b)
    1.89826
  • p(b)
    0.05806
  • t(a)
    1.94462
  • p(a)
    0.05471
  • Lowerbound of 95% confidence interval for beta
    -0.15931
  • Upperbound of 95% confidence interval for beta
    1.05875
  • Lowerbound of 95% confidence interval for alpha
    -0.22632
  • Upperbound of 95% confidence interval for alpha
    1.63228
  • Treynor index (mean / b)
    1.54573
  • Jensen alpha (a)
    0.70298
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09430
  • Expected Shortfall on VaR
    0.12917
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02471
  • Expected Shortfall on VaR
    0.05510
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.91237
  • Quartile 1
    1.01915
  • Median
    1.06092
  • Quartile 3
    1.11296
  • Maximum
    1.22616
  • Mean of quarter 1
    0.94632
  • Mean of quarter 2
    1.05947
  • Mean of quarter 3
    1.10480
  • Mean of quarter 4
    1.17364
  • Inter Quartile Range
    0.09381
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01974
  • Quartile 1
    0.03671
  • Median
    0.05368
  • Quartile 3
    0.07066
  • Maximum
    0.08763
  • Mean of quarter 1
    0.01974
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08763
  • Inter Quartile Range
    0.03395
  • 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)
    0.89944
  • Compounded annual return (geometric extrapolation)
    1.06071
  • Calmar ratio (compounded annual return / max draw down)
    12.10450
  • Compounded annual return / average of 25% largest draw downs
    12.10450
  • Compounded annual return / Expected Shortfall lognormal
    8.21187
  • 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
    0.81493
  • SD
    0.49717
  • Sharpe ratio (Glass type estimate)
    1.63912
  • Sharpe ratio (Hedges UMVUE)
    1.63101
  • df
    152.00000
  • t
    1.25258
  • p
    0.44946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93488
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20793
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94033
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20235
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.83873
  • Upside Potential Ratio
    9.74292
  • Upside part of mean
    2.79694
  • Downside part of mean
    -1.98202
  • Upside SD
    0.40705
  • Downside SD
    0.28708
  • N nonnegative terms
    83.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.07385
  • Mean of criterion
    0.81493
  • SD of predictor
    0.42657
  • SD of criterion
    0.49717
  • Covariance
    0.05984
  • r
    0.28214
  • b (slope, estimate of beta)
    0.32883
  • a (intercept, estimate of alpha)
    0.79100
  • Mean Square Error
    0.22901
  • DF error
    151.00000
  • t(b)
    3.61375
  • p(b)
    0.32280
  • t(a)
    1.26247
  • p(a)
    0.43505
  • Lowerbound of 95% confidence interval for beta
    0.14905
  • Upperbound of 95% confidence interval for beta
    0.50862
  • Lowerbound of 95% confidence interval for alpha
    -0.44674
  • Upperbound of 95% confidence interval for alpha
    2.02802
  • Treynor index (mean / b)
    2.47823
  • Jensen alpha (a)
    0.79064
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69436
  • SD
    0.48744
  • Sharpe ratio (Glass type estimate)
    1.42451
  • Sharpe ratio (Hedges UMVUE)
    1.41747
  • df
    152.00000
  • t
    1.08858
  • p
    0.45602
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14756
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99202
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15228
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.98721
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.33680
  • Upside Potential Ratio
    9.15155
  • Upside part of mean
    2.71930
  • Downside part of mean
    -2.02494
  • Upside SD
    0.38677
  • Downside SD
    0.29714
  • N nonnegative terms
    83.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    -0.01742
  • Mean of criterion
    0.69436
  • SD of predictor
    0.42988
  • SD of criterion
    0.48744
  • Covariance
    0.06067
  • r
    0.28952
  • b (slope, estimate of beta)
    0.32829
  • a (intercept, estimate of alpha)
    0.70008
  • Mean Square Error
    0.21912
  • DF error
    151.00000
  • t(b)
    3.71688
  • p(b)
    0.31829
  • t(a)
    1.14287
  • p(a)
    0.44113
  • Lowerbound of 95% confidence interval for beta
    0.15378
  • Upperbound of 95% confidence interval for beta
    0.50280
  • Lowerbound of 95% confidence interval for alpha
    -0.51022
  • Upperbound of 95% confidence interval for alpha
    1.91037
  • Treynor index (mean / b)
    2.11509
  • Jensen alpha (a)
    0.70008
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04580
  • Expected Shortfall on VaR
    0.05767
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01623
  • Expected Shortfall on VaR
    0.03412
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    153.00000
  • Minimum
    0.89755
  • Quartile 1
    0.99168
  • Median
    1.00103
  • Quartile 3
    1.00973
  • Maximum
    1.19604
  • Mean of quarter 1
    0.97253
  • Mean of quarter 2
    0.99805
  • Mean of quarter 3
    1.00497
  • Mean of quarter 4
    1.03813
  • Inter Quartile Range
    0.01805
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.05229
  • Mean of outliers low
    0.93929
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.06221
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15700
  • VaR(95%) (moments method)
    0.02352
  • Expected Shortfall (moments method)
    0.03625
  • Extreme Value Index (regression method)
    -0.00222
  • VaR(95%) (regression method)
    0.02131
  • Expected Shortfall (regression method)
    0.02928
  • 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
    0.21455
  • Mean of quarter 1
    0.00110
  • Mean of quarter 2
    0.00324
  • Mean of quarter 3
    0.01112
  • Mean of quarter 4
    0.14156
  • 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
    0.18168
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.61056
  • VaR(95%) (moments method)
    0.10791
  • Expected Shortfall (moments method)
    0.33121
  • Extreme Value Index (regression method)
    1.12553
  • VaR(95%) (regression method)
    0.07361
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.89846
  • Compounded annual return (geometric extrapolation)
    1.05909
  • Calmar ratio (compounded annual return / max draw down)
    4.93629
  • Compounded annual return / average of 25% largest draw downs
    7.48171
  • Compounded annual return / Expected Shortfall lognormal
    18.36340
  • 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
    0.53988
  • SD
    0.52211
  • Sharpe ratio (Glass type estimate)
    1.03404
  • Sharpe ratio (Hedges UMVUE)
    1.02806
  • df
    130.00000
  • t
    0.73118
  • p
    0.46800
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74255
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80676
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80268
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74344
  • Upside Potential Ratio
    9.06069
  • Upside part of mean
    2.80574
  • Downside part of mean
    -2.26587
  • Upside SD
    0.41921
  • Downside SD
    0.30966
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00961
  • Mean of criterion
    0.53988
  • SD of predictor
    0.46028
  • SD of criterion
    0.52211
  • Covariance
    0.06810
  • r
    0.28338
  • b (slope, estimate of beta)
    0.32145
  • a (intercept, estimate of alpha)
    0.53679
  • Mean Square Error
    0.25265
  • DF error
    129.00000
  • t(b)
    3.35619
  • p(b)
    0.32204
  • t(a)
    0.75515
  • p(a)
    0.45780
  • Lowerbound of 95% confidence interval for beta
    0.13195
  • Upperbound of 95% confidence interval for beta
    0.51094
  • Lowerbound of 95% confidence interval for alpha
    -0.86963
  • Upperbound of 95% confidence interval for alpha
    1.94320
  • Treynor index (mean / b)
    1.67953
  • Jensen alpha (a)
    0.53679
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40788
  • SD
    0.51179
  • Sharpe ratio (Glass type estimate)
    0.79697
  • Sharpe ratio (Hedges UMVUE)
    0.79237
  • df
    130.00000
  • t
    0.56355
  • p
    0.47532
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56903
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98111
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56585
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27242
  • Upside Potential Ratio
    8.49683
  • Upside part of mean
    2.72370
  • Downside part of mean
    -2.31582
  • Upside SD
    0.39725
  • Downside SD
    0.32055
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09652
  • Mean of criterion
    0.40788
  • SD of predictor
    0.46381
  • SD of criterion
    0.51179
  • Covariance
    0.06896
  • r
    0.29051
  • b (slope, estimate of beta)
    0.32056
  • a (intercept, estimate of alpha)
    0.43882
  • Mean Square Error
    0.24168
  • DF error
    129.00000
  • t(b)
    3.44826
  • p(b)
    0.31769
  • t(a)
    0.63113
  • p(a)
    0.46470
  • VAR (95 Confidence Intrvl)
    0.04600
  • Lowerbound of 95% confidence interval for beta
    0.13663
  • Upperbound of 95% confidence interval for beta
    0.50449
  • Lowerbound of 95% confidence interval for alpha
    -0.93684
  • Upperbound of 95% confidence interval for alpha
    1.81449
  • Treynor index (mean / b)
    1.27239
  • Jensen alpha (a)
    0.43882
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04920
  • Expected Shortfall on VaR
    0.06161
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01949
  • Expected Shortfall on VaR
    0.03966
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89755
  • Quartile 1
    0.98831
  • Median
    1.00054
  • Quartile 3
    1.01098
  • Maximum
    1.19604
  • Mean of quarter 1
    0.96938
  • Mean of quarter 2
    0.99652
  • Mean of quarter 3
    1.00453
  • Mean of quarter 4
    1.03831
  • Inter Quartile Range
    0.02267
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.92577
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.07552
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27551
  • VaR(95%) (moments method)
    0.03042
  • Expected Shortfall (moments method)
    0.05051
  • Extreme Value Index (regression method)
    -0.01800
  • VaR(95%) (regression method)
    0.02485
  • Expected Shortfall (regression method)
    0.03276
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00244
  • Median
    0.00306
  • Quartile 3
    0.02118
  • Maximum
    0.21455
  • Mean of quarter 1
    0.00133
  • Mean of quarter 2
    0.00295
  • Mean of quarter 3
    0.01537
  • Mean of quarter 4
    0.18168
  • Inter Quartile Range
    0.01874
  • 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
    0.23077
  • Mean of outliers high
    0.18168
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -145.58800
  • VaR(95%) (moments method)
    0.06684
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.61688
  • VaR(95%) (regression method)
    0.15546
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.16073
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -267511000
  • Max Equity Drawdown (num days)
    43
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48691
  • Compounded annual return (geometric extrapolation)
    0.54618
  • Calmar ratio (compounded annual return / max draw down)
    2.54569
  • Compounded annual return / average of 25% largest draw downs
    3.00622
  • Compounded annual return / Expected Shortfall lognormal
    8.86455

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
$35,000
Rank at C2 %
Top 9.5%
Rank # 
#60
# Trades
244
# Profitable
137
% Profitable
56.1%
Net Dividends
Correlation S&P500
0.264
Sharpe Ratio
1.26
Sortino Ratio
2.16
Beta
0.31
Alpha
0.20
Leverage
3.04 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.