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STOCK MARKET SWINGER
(122867565)

Created by: jim_james jim_james
Started: 03/2019
Futures
Last trade: 3 days ago
Trading style: Futures Trend-following Short Term

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 $99.00 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: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
61.6%
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.

(17.4%)
Max Drawdown
52
Num Trades
67.3%
Win Trades
2.1 : 1
Profit Factor
88.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019              +1.1%+0.6%+1.0%+19.1%+11.1%+10.0%+3.8%(1%)+5.2%      +61.6%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 38 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/8/19 6:02 @ESZ9 E-MINI S&P 500 LONG 1 3084.00 11/15 3:02 3106.75 1.46%
Trade id #126127233
Max drawdown($575)
Time11/8/19 10:02
Quant open1
Worst price3072.50
Drawdown as % of equity-1.46%
$1,130
Includes Typical Broker Commissions trade costs of $8.00
11/5/19 18:00 @ESZ9 E-MINI S&P 500 LONG 1 3071.50 11/6 23:58 3072.25 1.08%
Trade id #126083740
Max drawdown($425)
Time11/6/19 0:00
Quant open1
Worst price3063.00
Drawdown as % of equity-1.08%
$30
Includes Typical Broker Commissions trade costs of $8.00
10/31/19 7:58 @ESZ9 E-MINI S&P 500 LONG 1 3037.75 11/1 10:13 3061.00 2.29%
Trade id #126017955
Max drawdown($875)
Time10/31/19 10:36
Quant open1
Worst price3020.25
Drawdown as % of equity-2.29%
$1,155
Includes Typical Broker Commissions trade costs of $8.00
10/27/19 18:00 @ESZ9 E-MINI S&P 500 LONG 1 3024.25 10/28 16:07 3035.75 0.2%
Trade id #125967654
Max drawdown($75)
Time10/27/19 18:01
Quant open1
Worst price3022.75
Drawdown as % of equity-0.20%
$567
Includes Typical Broker Commissions trade costs of $8.00
10/22/19 5:04 @ESZ9 E-MINI S&P 500 LONG 1 3004.50 10/22 18:00 2991.50 2.14%
Trade id #125888534
Max drawdown($812)
Time10/22/19 16:47
Quant open1
Worst price2988.25
Drawdown as % of equity-2.14%
($658)
Includes Typical Broker Commissions trade costs of $8.00
10/10/19 20:06 @ESZ9 E-MINI S&P 500 LONG 1 2944.50 10/11 14:50 2988.75 0.38%
Trade id #125733154
Max drawdown($137)
Time10/10/19 20:16
Quant open1
Worst price2941.75
Drawdown as % of equity-0.38%
$2,205
Includes Typical Broker Commissions trade costs of $8.00
10/9/19 3:50 @ESZ9 E-MINI S&P 500 SHORT 1 2902.25 10/9 21:46 2917.62 4.48%
Trade id #125692194
Max drawdown($1,600)
Time10/9/19 5:48
Quant open1
Worst price2934.25
Drawdown as % of equity-4.48%
($777)
Includes Typical Broker Commissions trade costs of $8.00
10/6/19 18:00 @ESZ9 E-MINI S&P 500 LONG 1 2932.75 10/7 19:04 2936.00 0.65%
Trade id #125650643
Max drawdown($237)
Time10/6/19 18:01
Quant open1
Worst price2928.00
Drawdown as % of equity-0.65%
$155
Includes Typical Broker Commissions trade costs of $8.00
10/2/19 3:38 @ESZ9 E-MINI S&P 500 LONG 1 2927.75 10/3 0:18 2887.25 7.42%
Trade id #125586530
Max drawdown($2,687)
Time10/2/19 12:56
Quant open1
Worst price2874.00
Drawdown as % of equity-7.42%
($2,033)
Includes Typical Broker Commissions trade costs of $8.00
9/22/19 18:40 @ESZ9 E-MINI S&P 500 SHORT 1 3004.25 9/23 5:12 2986.25 0.26%
Trade id #125451032
Max drawdown($100)
Time9/22/19 21:26
Quant open1
Worst price3006.25
Drawdown as % of equity-0.26%
$892
Includes Typical Broker Commissions trade costs of $8.00
9/20/19 11:25 @ESZ9 E-MINI S&P 500 LONG 1 3012.50 9/22 18:00 2999.25 3.53%
Trade id #125436656
Max drawdown($1,362)
Time9/20/19 13:18
Quant open1
Worst price2985.25
Drawdown as % of equity-3.53%
($671)
Includes Typical Broker Commissions trade costs of $8.00
9/3/19 18:00 @ESU9 E-MINI S&P 500 LONG 1 2903.25 9/4 2:45 2929.50 0.16%
Trade id #125204847
Max drawdown($62)
Time9/3/19 19:56
Quant open1
Worst price2902.00
Drawdown as % of equity-0.16%
$1,305
Includes Typical Broker Commissions trade costs of $8.00
8/27/19 18:22 @ESU9 E-MINI S&P 500 LONG 1 2869.00 8/28 22:13 2877.00 2.28%
Trade id #125113348
Max drawdown($862)
Time8/28/19 0:00
Quant open1
Worst price2851.75
Drawdown as % of equity-2.28%
$392
Includes Typical Broker Commissions trade costs of $8.00
8/27/19 3:36 @ESU9 E-MINI S&P 500 LONG 1 2872.25 8/27 9:10 2895.25 0.31%
Trade id #125097430
Max drawdown($112)
Time8/27/19 4:03
Quant open1
Worst price2870.00
Drawdown as % of equity-0.31%
$1,142
Includes Typical Broker Commissions trade costs of $8.00
8/14/19 6:28 @ESU9 E-MINI S&P 500 LONG 1 2903.50 8/15 3:04 2862.50 9.05%
Trade id #124925436
Max drawdown($3,487)
Time8/14/19 6:28
Quant open1
Worst price2833.75
Drawdown as % of equity-9.05%
($2,058)
Includes Typical Broker Commissions trade costs of $8.00
8/12/19 18:00 @ESU9 E-MINI S&P 500 LONG 1 2882.25 8/13 10:24 2934.00 2.16%
Trade id #124892298
Max drawdown($775)
Time8/12/19 18:00
Quant open1
Worst price2866.75
Drawdown as % of equity-2.16%
$2,580
Includes Typical Broker Commissions trade costs of $8.00
8/8/19 4:17 @ESU9 E-MINI S&P 500 LONG 1 2882.75 8/8 9:10 2898.25 0.11%
Trade id #124829974
Max drawdown($37)
Time8/8/19 4:17
Quant open1
Worst price2882.00
Drawdown as % of equity-0.11%
$767
Includes Typical Broker Commissions trade costs of $8.00
8/6/19 18:00 @ESU9 E-MINI S&P 500 LONG 1 2875.75 8/7 16:44 2878.75 7.49%
Trade id #124800304
Max drawdown($2,625)
Time8/6/19 18:00
Quant open1
Worst price2823.25
Drawdown as % of equity-7.49%
$142
Includes Typical Broker Commissions trade costs of $8.00
7/31/19 18:11 @ESU9 E-MINI S&P 500 LONG 1 2970.75 8/1 10:02 2990.75 3.86%
Trade id #124705966
Max drawdown($1,312)
Time7/31/19 18:11
Quant open1
Worst price2944.50
Drawdown as % of equity-3.86%
$992
Includes Typical Broker Commissions trade costs of $8.00
7/29/19 18:22 @ESU9 E-MINI S&P 500 LONG 1 3024.12 7/30 18:35 3015.25 3.28%
Trade id #124666603
Max drawdown($1,131)
Time7/29/19 18:22
Quant open1
Worst price3001.50
Drawdown as % of equity-3.28%
($452)
Includes Typical Broker Commissions trade costs of $8.00
7/23/19 18:00 @ESU9 E-MINI S&P 500 LONG 1 3003.00 7/25 19:13 3007.25 1.02%
Trade id #124585532
Max drawdown($350)
Time7/23/19 18:00
Quant open1
Worst price2996.00
Drawdown as % of equity-1.02%
$205
Includes Typical Broker Commissions trade costs of $8.00
7/16/19 21:49 @ESU9 E-MINI S&P 500 LONG 1 3007.75 7/18 18:55 2997.00 4.63%
Trade id #124487702
Max drawdown($1,612)
Time7/16/19 21:49
Quant open1
Worst price2975.50
Drawdown as % of equity-4.63%
($546)
Includes Typical Broker Commissions trade costs of $8.00
7/14/19 18:00 @ESU9 E-MINI S&P 500 LONG 1 3014.75 7/16 4:17 3018.50 0.58%
Trade id #124452023
Max drawdown($200)
Time7/14/19 18:00
Quant open1
Worst price3010.75
Drawdown as % of equity-0.58%
$180
Includes Typical Broker Commissions trade costs of $8.00
7/10/19 11:23 @ESU9 E-MINI S&P 500 LONG 1 2990.50 7/11 2:08 3005.25 0.18%
Trade id #124404604
Max drawdown($62)
Time7/10/19 11:23
Quant open1
Worst price2989.25
Drawdown as % of equity-0.18%
$730
Includes Typical Broker Commissions trade costs of $8.00
7/8/19 1:42 @ESU9 E-MINI S&P 500 LONG 1 2980.00 7/10 9:57 3003.75 2.52%
Trade id #124366386
Max drawdown($825)
Time7/8/19 1:42
Quant open1
Worst price2963.50
Drawdown as % of equity-2.52%
$1,180
Includes Typical Broker Commissions trade costs of $8.00
7/1/19 12:32 @ESU9 E-MINI S&P 500 LONG 1 2965.00 7/3 13:12 3000.25 1.54%
Trade id #124292199
Max drawdown($475)
Time7/1/19 12:32
Quant open1
Worst price2955.50
Drawdown as % of equity-1.54%
$1,755
Includes Typical Broker Commissions trade costs of $8.00
6/30/19 18:00 @ESU9 E-MINI S&P 500 LONG 1 2970.50 6/30 18:06 2975.00 0.33%
Trade id #124280908
Max drawdown($100)
Time6/30/19 18:00
Quant open1
Worst price2968.50
Drawdown as % of equity-0.33%
$217
Includes Typical Broker Commissions trade costs of $8.00
6/27/19 6:06 @ESU9 E-MINI S&P 500 LONG 1 2920.00 6/27 18:00 2934.25 0.33%
Trade id #124251164
Max drawdown($100)
Time6/27/19 6:06
Quant open1
Worst price2918.00
Drawdown as % of equity-0.33%
$705
Includes Typical Broker Commissions trade costs of $8.00
6/17/19 5:48 @ESU9 E-MINI S&P 500 LONG 1 2897.50 6/18 8:05 2914.75 1.45%
Trade id #124103918
Max drawdown($425)
Time6/18/19 3:44
Quant open1
Worst price2889.00
Drawdown as % of equity-1.45%
$855
Includes Typical Broker Commissions trade costs of $8.00
6/12/19 18:42 @ESU9 E-MINI S&P 500 SHORT 1 2888.75 6/16 18:00 2895.75 2.39%
Trade id #124056981
Max drawdown($700)
Time6/13/19 21:48
Quant open-1
Worst price2902.75
Drawdown as % of equity-2.39%
($358)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/11/2019
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    251.85
  • Age
    8 months ago
  • What it trades
    Futures
  • # Trades
    52
  • # Profitable
    35
  • % Profitable
    67.30%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    17.44%
  • drawdown period
    March 21, 2019 - May 15, 2019
  • Cumul. Return
    61.6%
  • Avg win
    $904.23
  • Avg loss
    $878.24
  • Model Account Values (Raw)
  • Cash
    $41,718
  • Margin Used
    $0
  • Buying Power
    $41,718
  • Ratios
  • W:L ratio
    2.12:1
  • Sharpe Ratio
    2.32
  • Sortino Ratio
    4.12
  • Calmar Ratio
    11.655
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    49.51%
  • Correlation to SP500
    0.24910
  • Return Percent SP500 (cumu) during strategy life
    12.11%
  • Return Statistics
  • Ann Return (w trading costs)
    99.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.00%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.616%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    109.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    17.50%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    819
  • Popularity (Last 6 weeks)
    975
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    900
  • Popularity (7 days, Percentile 1000 scale)
    898
  • 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
    $878
  • Avg Win
    $904
  • Sum Trade PL (losers)
    $14,930.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months (Age strategy)
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $31,648.000
  • # Winners
    35
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    123906
  • Win / Loss
  • # Losers
    17
  • % Winners
    67.3%
  • Frequency
  • Avg Position Time (mins)
    1958.15
  • Avg Position Time (hrs)
    32.64
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    4.86
  • Daily leverage (max)
    6.12
  • Regression
  • Alpha
    0.18
  • Beta
    0.51
  • Treynor Index
    0.39
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.71
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    40.68
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.24
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    2.825
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.575
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.847
  • Hold-and-Hope Ratio
    0.354
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79959
  • SD
    0.35653
  • Sharpe ratio (Glass type estimate)
    2.24269
  • Sharpe ratio (Hedges UMVUE)
    1.99197
  • df
    7.00000
  • t
    1.83115
  • p
    0.05488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48313
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.84211
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62546
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.60940
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.09734
  • Upside Potential Ratio
    9.65634
  • Upside part of mean
    0.95354
  • Downside part of mean
    -0.15395
  • Upside SD
    0.39339
  • Downside SD
    0.09875
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.13577
  • Mean of criterion
    0.79959
  • SD of predictor
    0.10688
  • SD of criterion
    0.35653
  • Covariance
    0.01019
  • r
    0.26742
  • b (slope, estimate of beta)
    0.89202
  • a (intercept, estimate of alpha)
    0.67848
  • Mean Square Error
    0.13770
  • DF error
    6.00000
  • t(b)
    0.67980
  • p(b)
    0.26099
  • t(a)
    1.38992
  • p(a)
    0.10696
  • Lowerbound of 95% confidence interval for beta
    -2.31884
  • Upperbound of 95% confidence interval for beta
    4.10289
  • Lowerbound of 95% confidence interval for alpha
    -0.51598
  • Upperbound of 95% confidence interval for alpha
    1.87295
  • Treynor index (mean / b)
    0.89638
  • Jensen alpha (a)
    0.67848
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72450
  • SD
    0.32943
  • Sharpe ratio (Glass type estimate)
    2.19923
  • Sharpe ratio (Hedges UMVUE)
    1.95337
  • df
    7.00000
  • t
    1.79567
  • p
    0.05781
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51623
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.78993
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65607
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56280
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.09020
  • Upside Potential Ratio
    8.64315
  • Upside part of mean
    0.88318
  • Downside part of mean
    -0.15868
  • Upside SD
    0.35813
  • Downside SD
    0.10218
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.12979
  • Mean of criterion
    0.72450
  • SD of predictor
    0.10621
  • SD of criterion
    0.32943
  • Covariance
    0.00998
  • r
    0.28515
  • b (slope, estimate of beta)
    0.88443
  • a (intercept, estimate of alpha)
    0.60971
  • Mean Square Error
    0.11632
  • DF error
    6.00000
  • t(b)
    0.72872
  • p(b)
    0.24681
  • t(a)
    1.36578
  • p(a)
    0.11049
  • Lowerbound of 95% confidence interval for beta
    -2.08539
  • Upperbound of 95% confidence interval for beta
    3.85425
  • Lowerbound of 95% confidence interval for alpha
    -0.48265
  • Upperbound of 95% confidence interval for alpha
    1.70207
  • Treynor index (mean / b)
    0.81917
  • Jensen alpha (a)
    0.60971
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09158
  • Expected Shortfall on VaR
    0.12643
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01774
  • Expected Shortfall on VaR
    0.04113
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.92617
  • Quartile 1
    1.02322
  • Median
    1.04965
  • Quartile 3
    1.11134
  • Maximum
    1.24876
  • Mean of quarter 1
    0.95101
  • Mean of quarter 2
    1.03973
  • Mean of quarter 3
    1.07513
  • Mean of quarter 4
    1.20998
  • Inter Quartile Range
    0.08812
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.24876
  • 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
    0.02415
  • Quartile 1
    0.03657
  • Median
    0.04899
  • Quartile 3
    0.06141
  • Maximum
    0.07383
  • Mean of quarter 1
    0.02415
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07383
  • Inter Quartile Range
    0.02484
  • 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)
    0.97705
  • Compounded annual return (geometric extrapolation)
    1.12210
  • Calmar ratio (compounded annual return / max draw down)
    15.19880
  • Compounded annual return / average of 25% largest draw downs
    15.19880
  • Compounded annual return / Expected Shortfall lognormal
    8.87488
  • 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
    0.77124
  • SD
    0.25698
  • Sharpe ratio (Glass type estimate)
    3.00116
  • Sharpe ratio (Hedges UMVUE)
    2.98842
  • df
    177.00000
  • t
    2.47371
  • p
    0.38428
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59870
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.39537
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59026
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.38658
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.28372
  • Upside Potential Ratio
    10.78790
  • Upside part of mean
    1.57467
  • Downside part of mean
    -0.80342
  • Upside SD
    0.21595
  • Downside SD
    0.14597
  • N nonnegative terms
    76.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    178.00000
  • Mean of predictor
    0.14868
  • Mean of criterion
    0.77124
  • SD of predictor
    0.12835
  • SD of criterion
    0.25698
  • Covariance
    0.00857
  • r
    0.25988
  • b (slope, estimate of beta)
    0.52034
  • a (intercept, estimate of alpha)
    0.69400
  • Mean Square Error
    0.06193
  • DF error
    176.00000
  • t(b)
    3.57044
  • p(b)
    0.37006
  • t(a)
    2.29235
  • p(a)
    0.41486
  • Lowerbound of 95% confidence interval for beta
    0.23272
  • Upperbound of 95% confidence interval for beta
    0.80795
  • Lowerbound of 95% confidence interval for alpha
    0.09650
  • Upperbound of 95% confidence interval for alpha
    1.29126
  • Treynor index (mean / b)
    1.48220
  • Jensen alpha (a)
    0.69388
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73757
  • SD
    0.25519
  • Sharpe ratio (Glass type estimate)
    2.89030
  • Sharpe ratio (Hedges UMVUE)
    2.87803
  • df
    177.00000
  • t
    2.38233
  • p
    0.38837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48950
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.28313
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48134
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.27473
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.95595
  • Upside Potential Ratio
    10.42720
  • Upside part of mean
    1.55184
  • Downside part of mean
    -0.81427
  • Upside SD
    0.21138
  • Downside SD
    0.14883
  • N nonnegative terms
    76.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    178.00000
  • Mean of predictor
    0.14040
  • Mean of criterion
    0.73757
  • SD of predictor
    0.12877
  • SD of criterion
    0.25519
  • Covariance
    0.00852
  • r
    0.25918
  • b (slope, estimate of beta)
    0.51364
  • a (intercept, estimate of alpha)
    0.66546
  • Mean Square Error
    0.06109
  • DF error
    176.00000
  • t(b)
    3.56011
  • p(b)
    0.37041
  • t(a)
    2.21411
  • p(a)
    0.41769
  • Lowerbound of 95% confidence interval for beta
    0.22891
  • Upperbound of 95% confidence interval for beta
    0.79838
  • Lowerbound of 95% confidence interval for alpha
    0.07231
  • Upperbound of 95% confidence interval for alpha
    1.25861
  • Treynor index (mean / b)
    1.43596
  • Jensen alpha (a)
    0.66546
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02285
  • Expected Shortfall on VaR
    0.02925
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00752
  • Expected Shortfall on VaR
    0.01638
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    178.00000
  • Minimum
    0.94240
  • Quartile 1
    0.99995
  • Median
    1.00000
  • Quartile 3
    1.00671
  • Maximum
    1.07481
  • Mean of quarter 1
    0.98811
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00218
  • Mean of quarter 4
    1.02182
  • Inter Quartile Range
    0.00676
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.10674
  • Mean of outliers low
    0.97700
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.12921
  • Mean of outliers high
    1.03171
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.55877
  • VaR(95%) (moments method)
    0.00429
  • Expected Shortfall (moments method)
    0.00531
  • Extreme Value Index (regression method)
    0.12810
  • VaR(95%) (regression method)
    0.01216
  • Expected Shortfall (regression method)
    0.02208
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00162
  • Median
    0.00730
  • Quartile 3
    0.01700
  • Maximum
    0.09867
  • Mean of quarter 1
    0.00068
  • Mean of quarter 2
    0.00441
  • Mean of quarter 3
    0.01241
  • Mean of quarter 4
    0.05276
  • Inter Quartile Range
    0.01539
  • 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
    0.13333
  • Mean of outliers high
    0.08135
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.30823
  • VaR(95%) (moments method)
    0.05096
  • Expected Shortfall (moments method)
    0.06440
  • Extreme Value Index (regression method)
    0.26952
  • VaR(95%) (regression method)
    0.08224
  • Expected Shortfall (regression method)
    0.14688
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.00403
  • Compounded annual return (geometric extrapolation)
    1.15002
  • Calmar ratio (compounded annual return / max draw down)
    11.65480
  • Compounded annual return / average of 25% largest draw downs
    21.79780
  • Compounded annual return / Expected Shortfall lognormal
    39.31530
  • 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
    1.11316
  • SD
    0.24580
  • Sharpe ratio (Glass type estimate)
    4.52862
  • Sharpe ratio (Hedges UMVUE)
    4.50244
  • df
    130.00000
  • t
    3.20222
  • p
    0.36480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.69444
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.34607
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67712
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.32776
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.97357
  • Upside Potential Ratio
    15.38720
  • Upside part of mean
    1.71738
  • Downside part of mean
    -0.60422
  • Upside SD
    0.22854
  • Downside SD
    0.11161
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16174
  • Mean of criterion
    1.11316
  • SD of predictor
    0.13393
  • SD of criterion
    0.24580
  • Covariance
    0.01034
  • r
    0.31411
  • b (slope, estimate of beta)
    0.57651
  • a (intercept, estimate of alpha)
    1.01991
  • Mean Square Error
    0.05488
  • DF error
    129.00000
  • t(b)
    3.75780
  • p(b)
    0.30337
  • t(a)
    3.06989
  • p(a)
    0.33579
  • Lowerbound of 95% confidence interval for beta
    0.27297
  • Upperbound of 95% confidence interval for beta
    0.88005
  • Lowerbound of 95% confidence interval for alpha
    0.36258
  • Upperbound of 95% confidence interval for alpha
    1.67724
  • Treynor index (mean / b)
    1.93085
  • Jensen alpha (a)
    1.01991
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.08133
  • SD
    0.24248
  • Sharpe ratio (Glass type estimate)
    4.45947
  • Sharpe ratio (Hedges UMVUE)
    4.43369
  • df
    130.00000
  • t
    3.15332
  • p
    0.36672
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.62704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.27542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.25740
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.53206
  • Upside Potential Ratio
    14.91390
  • Upside part of mean
    1.69185
  • Downside part of mean
    -0.61052
  • Upside SD
    0.22348
  • Downside SD
    0.11344
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15274
  • Mean of criterion
    1.08133
  • SD of predictor
    0.13431
  • SD of criterion
    0.24248
  • Covariance
    0.01025
  • r
    0.31486
  • b (slope, estimate of beta)
    0.56842
  • a (intercept, estimate of alpha)
    0.99451
  • Mean Square Error
    0.05338
  • DF error
    129.00000
  • t(b)
    3.76773
  • p(b)
    0.30292
  • t(a)
    3.03623
  • p(a)
    0.33743
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.26993
  • Upperbound of 95% confidence interval for beta
    0.86691
  • Lowerbound of 95% confidence interval for alpha
    0.34645
  • Upperbound of 95% confidence interval for alpha
    1.64257
  • Treynor index (mean / b)
    1.90234
  • Jensen alpha (a)
    0.99451
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02030
  • Expected Shortfall on VaR
    0.02640
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00545
  • Expected Shortfall on VaR
    0.01198
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95133
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00790
  • Maximum
    1.07481
  • Mean of quarter 1
    0.99107
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00318
  • Mean of quarter 4
    1.02313
  • Inter Quartile Range
    0.00790
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97948
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.03610
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.72210
  • VaR(95%) (moments method)
    0.00369
  • Expected Shortfall (moments method)
    0.00442
  • Extreme Value Index (regression method)
    0.06824
  • VaR(95%) (regression method)
    0.00995
  • Expected Shortfall (regression method)
    0.01741
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00036
  • Quartile 1
    0.00315
  • Median
    0.00730
  • Quartile 3
    0.01700
  • Maximum
    0.06402
  • Mean of quarter 1
    0.00109
  • Mean of quarter 2
    0.00597
  • Mean of quarter 3
    0.01241
  • Mean of quarter 4
    0.04245
  • Inter Quartile Range
    0.01385
  • 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
    0.13333
  • Mean of outliers high
    0.06074
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.12786
  • VaR(95%) (moments method)
    0.04576
  • Expected Shortfall (moments method)
    0.04929
  • Extreme Value Index (regression method)
    -1.30805
  • VaR(95%) (regression method)
    0.05891
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.06193
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -265850000
  • Max Equity Drawdown (num days)
    55
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.48255
  • Compounded annual return (geometric extrapolation)
    2.03204
  • Calmar ratio (compounded annual return / max draw down)
    31.73970
  • Compounded annual return / average of 25% largest draw downs
    47.86580
  • Compounded annual return / Expected Shortfall lognormal
    76.96300

Strategy Description

Technical analysis system.

Summary Statistics

Strategy began
2019-03-11
Suggested Minimum Capital
$40,000
Rank at C2 %
Top 10.0%
Rank # 
#62
# Trades
52
# Profitable
35
% Profitable
67.3%
Correlation S&P500
0.249
Sharpe Ratio
2.32
Sortino Ratio
4.12
Beta
0.51
Alpha
0.18
Leverage
4.86 Average
6.12 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.