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Acquisitn trgts Stocks
(109847989)

Created by: HkaurHkaur HkaurHkaur
Started: 02/2017
Stocks
Last trade: 235 days ago

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 $30.00 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.

11.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(30.0%)
Max Drawdown
258
Num Trades
55.4%
Win Trades
1.3 : 1
Profit Factor
55.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017       (2.7%)+9.2%+2.2%+2.8%+9.0%(0.9%)(1.8%)+9.1%(1.3%)(0.8%)+1.1%+27.9%
2018+11.4%(2.5%)(3.8%)+0.3%+10.5%(2.4%)+1.1%+7.2%  -  (15%)+1.4%(14.1%)(9.3%)
2019+11.0%+4.6%(0.7%)+2.2%+0.6%(6.4%)                                    +10.8%

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 447 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/4/17 9:40 HABT HABIT RESTAURANTS INC LONG 26 12.38 9/17/18 14:40 16.75 0.66%
Trade id #112987185
Max drawdown($83)
Time11/2/17 9:43
Quant open20
Worst price9.05
Drawdown as % of equity-0.66%
$113
Includes Typical Broker Commissions trade costs of $0.52
10/20/17 9:35 ABUS ARBUTUS BIOPHARMA CORPORATION COMMON STOCK LONG 40 6.18 8/21/18 14:19 9.26 0.47%
Trade id #114391029
Max drawdown($60)
Time12/14/17 14:12
Quant open28
Worst price4.30
Drawdown as % of equity-0.47%
$122
Includes Typical Broker Commissions trade costs of $0.80
3/15/18 14:38 MDGL MADRIGAL PHARMACEUTICALS INC LONG 1 112.42 7/11 13:51 288.62 n/a $176
Includes Typical Broker Commissions trade costs of $0.02
3/16/18 15:13 CLF CLEVELAND-CLIFFS INC LONG 25 7.52 4/23 12:05 7.30 0.18%
Trade id #117101356
Max drawdown($25)
Time3/28/18 15:02
Quant open25
Worst price6.50
Drawdown as % of equity-0.18%
($7)
Includes Typical Broker Commissions trade costs of $0.50
10/23/17 15:30 MULE MULESOFT INC LONG 9 23.74 3/21/18 11:30 44.34 n/a $185
Includes Typical Broker Commissions trade costs of $0.18
1/23/18 9:36 TIVO TIVO LONG 10 14.85 3/12 9:35 15.05 0.13%
Trade id #116046499
Max drawdown($17)
Time2/12/18 10:20
Quant open10
Worst price13.05
Drawdown as % of equity-0.13%
$2
Includes Typical Broker Commissions trade costs of $0.20
12/21/17 14:29 NXTD NXT-ID INC. CMN STK LONG 20 5.53 2/15/18 9:36 2.30 0.56%
Trade id #115470652
Max drawdown($78)
Time2/6/18 8:20
Quant open20
Worst price1.63
Drawdown as % of equity-0.56%
($65)
Includes Typical Broker Commissions trade costs of $0.40
10/6/17 13:58 UA UNDERARMOUR CLASS C LONG 15 15.49 2/14/18 14:30 16.16 0.45%
Trade id #114072075
Max drawdown($62)
Time2/8/18 17:11
Quant open15
Worst price11.32
Drawdown as % of equity-0.45%
$10
Includes Typical Broker Commissions trade costs of $0.30
12/6/17 15:28 FNJN FINJAN HOLDINGS INC. COMMON S LONG 55 2.27 2/14/18 14:28 2.91 0.22%
Trade id #115229049
Max drawdown($31)
Time2/5/18 9:32
Quant open55
Worst price1.69
Drawdown as % of equity-0.22%
$34
Includes Typical Broker Commissions trade costs of $1.10
10/26/17 9:33 VXZ IPATH SER B S&P 500 VIX MID-TERM FUTURES ETN LONG 20 19.70 2/9/18 9:36 22.02 0.46%
Trade id #114538321
Max drawdown($65)
Time1/12/18 13:36
Quant open20
Worst price16.42
Drawdown as % of equity-0.46%
$46
Includes Typical Broker Commissions trade costs of $0.40
5/12/17 15:18 ACET ACETO LONG 30 13.41 2/2/18 11:00 7.97 1.12%
Trade id #111580048
Max drawdown($164)
Time2/2/18 10:54
Quant open30
Worst price7.91
Drawdown as % of equity-1.12%
($164)
Includes Typical Broker Commissions trade costs of $0.60
10/6/17 9:40 CASC CASCADIAN THERAPEUTICS INC LONG 50 4.48 1/31/18 11:58 10.12 0.34%
Trade id #114064058
Max drawdown($48)
Time1/8/18 9:46
Quant open50
Worst price3.52
Drawdown as % of equity-0.34%
$281
Includes Typical Broker Commissions trade costs of $1.00
9/19/17 12:32 BEAT BIOTELEMETRY INC. COMMON STOC LONG 9 28.78 1/29/18 13:53 32.97 0.23%
Trade id #113747475
Max drawdown($28)
Time11/7/17 16:38
Quant open4
Worst price22.60
Drawdown as % of equity-0.23%
$38
Includes Typical Broker Commissions trade costs of $0.18
5/23/17 9:34 ERJ EMBRAER LONG 20 19.32 1/22/18 9:40 24.05 0.21%
Trade id #111727452
Max drawdown($26)
Time6/27/17 14:19
Quant open13
Worst price17.99
Drawdown as % of equity-0.21%
$95
Includes Typical Broker Commissions trade costs of $0.40
9/26/17 12:34 ATRA ATARA BIOTHERAPEUTICS INC LONG 15 16.30 1/22/18 9:40 27.07 0.37%
Trade id #113868711
Max drawdown($46)
Time12/6/17 13:07
Quant open15
Worst price13.20
Drawdown as % of equity-0.37%
$162
Includes Typical Broker Commissions trade costs of $0.30
11/9/17 10:38 OSTK OVERSTOCK.COM LONG 3 47.85 12/26 10:38 66.30 0.14%
Trade id #114769952
Max drawdown($18)
Time12/7/17 9:45
Quant open3
Worst price41.79
Drawdown as % of equity-0.14%
$55
Includes Typical Broker Commissions trade costs of $0.06
10/6/17 13:58 CBIO CATALYST BIOSCIENCES INC. COMMON STOCK LONG 30 5.53 12/26 10:35 13.20 n/a $229
Includes Typical Broker Commissions trade costs of $0.60
7/12/17 12:26 SIGM SIGMA DESIGNS LONG 35 6.05 12/8 12:06 6.90 0.34%
Trade id #112554818
Max drawdown($43)
Time12/7/17 16:23
Quant open35
Worst price4.80
Drawdown as % of equity-0.34%
$29
Includes Typical Broker Commissions trade costs of $0.70
5/22/17 10:19 NTNX NUTANIX INC. CLASS A COMMON STOCK LONG 35 18.45 12/6 15:29 23.09 0.2%
Trade id #111710061
Max drawdown($24)
Time6/8/17 9:34
Quant open20
Worst price16.64
Drawdown as % of equity-0.20%
$161
Includes Typical Broker Commissions trade costs of $0.70
7/3/17 11:26 GRPN GROUPON INC LONG 80 3.74 12/6 15:28 5.33 n/a $125
Includes Typical Broker Commissions trade costs of $1.60
10/17/17 13:03 PIRS PIERIS PHARMACEUTICALS INC. COMMON STOCK LONG 35 5.39 12/1 9:37 6.17 0.2%
Trade id #114331208
Max drawdown($25)
Time11/7/17 12:11
Quant open35
Worst price4.67
Drawdown as % of equity-0.20%
$26
Includes Typical Broker Commissions trade costs of $0.70
5/23/17 10:18 DAIO DATA I/O LONG 30 8.31 11/16 11:58 12.60 n/a $128
Includes Typical Broker Commissions trade costs of $0.60
10/5/17 10:58 COLL COLLEGIUM PHARMACEUTICAL INC. COMMON STOCK LONG 30 11.93 11/16 11:57 15.22 0.41%
Trade id #114039944
Max drawdown($53)
Time10/27/17 11:19
Quant open20
Worst price9.34
Drawdown as % of equity-0.41%
$98
Includes Typical Broker Commissions trade costs of $0.60
9/19/17 12:41 OSTK OVERSTOCK.COM LONG 9 24.55 11/9 10:38 39.58 0.1%
Trade id #113747689
Max drawdown($13)
Time9/26/17 13:35
Quant open9
Worst price23.10
Drawdown as % of equity-0.10%
$135
Includes Typical Broker Commissions trade costs of $0.18
3/28/17 15:27 OPK OPKO HEALTH LONG 60 7.94 11/9 10:37 5.74 1.05%
Trade id #110492089
Max drawdown($132)
Time11/9/17 10:37
Quant open20
Worst price5.51
Drawdown as % of equity-1.05%
($133)
Includes Typical Broker Commissions trade costs of $1.20
8/28/17 12:01 MGTI MGT CAP INVTS INC COMMON STOCK LONG 75 2.79 11/9 10:37 2.01 0.67%
Trade id #113387355
Max drawdown($87)
Time10/25/17 12:13
Quant open75
Worst price1.63
Drawdown as % of equity-0.67%
($60)
Includes Typical Broker Commissions trade costs of $1.50
10/17/17 13:04 GBT GLOBAL BLOOD THERAPEUTICS INC. COMMON STOCK LONG 4 33.30 11/9 10:37 39.20 0.14%
Trade id #114331231
Max drawdown($19)
Time10/23/17 7:06
Quant open4
Worst price28.50
Drawdown as % of equity-0.14%
$24
Includes Typical Broker Commissions trade costs of $0.08
10/4/17 14:46 KND KINDRED HEALTHCARE LONG 30 6.75 11/7 15:54 8.50 0.23%
Trade id #114020977
Max drawdown($30)
Time11/1/17 14:00
Quant open30
Worst price5.75
Drawdown as % of equity-0.23%
$52
Includes Typical Broker Commissions trade costs of $0.60
7/14/17 13:26 TSEM TOWER SEMICONDUCTOR LONG 10 26.19 11/3 13:34 32.44 n/a $63
Includes Typical Broker Commissions trade costs of $0.20
9/15/17 14:17 KLAC KLA-TENCOR LONG 2 98.62 11/3 13:32 105.65 n/a $14
Includes Typical Broker Commissions trade costs of $0.04

Statistics

  • Strategy began
    2/25/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    840.29
  • Age
    28 months ago
  • What it trades
    Stocks
  • # Trades
    258
  • # Profitable
    143
  • % Profitable
    55.40%
  • Avg trade duration
    192.7 days
  • Max peak-to-valley drawdown
    29.97%
  • drawdown period
    Sept 04, 2018 - Dec 26, 2018
  • Annual Return (Compounded)
    11.5%
  • Avg win
    $63.69
  • Avg loss
    $60.64
  • Model Account Values (Raw)
  • Cash
    $8,658
  • Margin Used
    $0
  • Buying Power
    $8,162
  • Ratios
  • W:L ratio
    1.34:1
  • Sharpe Ratio
    0.56
  • Sortino Ratio
    0.78
  • Calmar Ratio
    0.697
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.46440
  • Return Statistics
  • Ann Return (w trading costs)
    11.5%
  • Ann Return (Compnd, No Fees)
    15.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.00%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    588
  • C2 Score
    20.2
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $65
  • Avg Win
    $79
  • # Winners
    143
  • # Losers
    115
  • % Winners
    55.4%
  • Frequency
  • Avg Position Time (mins)
    355279.00
  • Avg Position Time (hrs)
    5921.31
  • Avg Trade Length
    246.7 days
  • Last Trade Ago
    235
  • Leverage
  • Daily leverage (average)
    1.15
  • Daily leverage (max)
    1.49
  • Unknown
  • Alpha
    0.02
  • Beta
    0.59
  • Treynor Index
    0.05
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17084
  • SD
    0.21376
  • Sharpe ratio (Glass type estimate)
    0.79919
  • Sharpe ratio (Hedges UMVUE)
    0.77158
  • df
    22.00000
  • t
    1.10642
  • p
    0.14025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22547
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66237
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20553
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37284
  • Upside Potential Ratio
    3.09212
  • Upside part of mean
    0.38479
  • Downside part of mean
    -0.21395
  • Upside SD
    0.17508
  • Downside SD
    0.12444
  • N nonnegative terms
    11.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.05636
  • Mean of criterion
    0.17084
  • SD of predictor
    0.13423
  • SD of criterion
    0.21376
  • Covariance
    0.02178
  • r
    0.75897
  • b (slope, estimate of beta)
    1.20863
  • a (intercept, estimate of alpha)
    0.10272
  • Mean Square Error
    0.02030
  • DF error
    21.00000
  • t(b)
    5.34161
  • p(b)
    0.06840
  • t(a)
    0.99069
  • p(a)
    0.36649
  • Lowerbound of 95% confidence interval for beta
    0.73808
  • Upperbound of 95% confidence interval for beta
    1.67918
  • Lowerbound of 95% confidence interval for alpha
    -0.11291
  • Upperbound of 95% confidence interval for alpha
    0.31836
  • Treynor index (mean / b)
    0.14135
  • Jensen alpha (a)
    0.10272
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14782
  • SD
    0.21239
  • Sharpe ratio (Glass type estimate)
    0.69596
  • Sharpe ratio (Hedges UMVUE)
    0.67192
  • df
    22.00000
  • t
    0.96352
  • p
    0.17288
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74211
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11869
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75765
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10148
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13623
  • Upside Potential Ratio
    2.84003
  • Upside part of mean
    0.36947
  • Downside part of mean
    -0.22165
  • Upside SD
    0.16747
  • Downside SD
    0.13009
  • N nonnegative terms
    11.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.04740
  • Mean of criterion
    0.14782
  • SD of predictor
    0.13560
  • SD of criterion
    0.21239
  • Covariance
    0.02217
  • r
    0.76988
  • b (slope, estimate of beta)
    1.20588
  • a (intercept, estimate of alpha)
    0.09066
  • Mean Square Error
    0.01925
  • DF error
    21.00000
  • t(b)
    5.52818
  • p(b)
    0.06392
  • t(a)
    0.89987
  • p(a)
    0.37810
  • Lowerbound of 95% confidence interval for beta
    0.75225
  • Upperbound of 95% confidence interval for beta
    1.65951
  • Lowerbound of 95% confidence interval for alpha
    -0.11885
  • Upperbound of 95% confidence interval for alpha
    0.30016
  • Treynor index (mean / b)
    0.12258
  • Jensen alpha (a)
    0.09066
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08473
  • Expected Shortfall on VaR
    0.10765
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04224
  • Expected Shortfall on VaR
    0.08150
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.88865
  • Quartile 1
    0.98549
  • Median
    1.00011
  • Quartile 3
    1.06388
  • Maximum
    1.10974
  • Mean of quarter 1
    0.94074
  • Mean of quarter 2
    0.99557
  • Mean of quarter 3
    1.04092
  • Mean of quarter 4
    1.09308
  • Inter Quartile Range
    0.07839
  • 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)
    -0.83668
  • VaR(95%) (moments method)
    0.05055
  • Expected Shortfall (moments method)
    0.05681
  • Extreme Value Index (regression method)
    -0.36046
  • VaR(95%) (regression method)
    0.08405
  • Expected Shortfall (regression method)
    0.10655
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00395
  • Quartile 1
    0.00734
  • Median
    0.05785
  • Quartile 3
    0.07526
  • Maximum
    0.21955
  • Mean of quarter 1
    0.00564
  • Mean of quarter 2
    0.05785
  • Mean of quarter 3
    0.07526
  • Mean of quarter 4
    0.21955
  • Inter Quartile Range
    0.06792
  • 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
    0.20000
  • Mean of outliers high
    0.21955
  • 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)
    0.20894
  • Compounded annual return (geometric extrapolation)
    0.19211
  • Calmar ratio (compounded annual return / max draw down)
    0.87500
  • Compounded annual return / average of 25% largest draw downs
    0.87500
  • Compounded annual return / Expected Shortfall lognormal
    1.78460
  • 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
    0.16012
  • SD
    0.17238
  • Sharpe ratio (Glass type estimate)
    0.92888
  • Sharpe ratio (Hedges UMVUE)
    0.92753
  • df
    516.00000
  • t
    1.30483
  • p
    0.09627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46795
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32486
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46887
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32393
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34576
  • Upside Potential Ratio
    9.54643
  • Upside part of mean
    1.13584
  • Downside part of mean
    -0.97572
  • Upside SD
    0.12489
  • Downside SD
    0.11898
  • N nonnegative terms
    276.00000
  • N negative terms
    241.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    517.00000
  • Mean of predictor
    0.08167
  • Mean of criterion
    0.16012
  • SD of predictor
    0.13784
  • SD of criterion
    0.17238
  • Covariance
    0.01119
  • r
    0.47089
  • b (slope, estimate of beta)
    0.58889
  • a (intercept, estimate of alpha)
    0.11200
  • Mean Square Error
    0.02317
  • DF error
    515.00000
  • t(b)
    12.11310
  • p(b)
    -0.00000
  • t(a)
    1.03312
  • p(a)
    0.15102
  • Lowerbound of 95% confidence interval for beta
    0.49338
  • Upperbound of 95% confidence interval for beta
    0.68440
  • Lowerbound of 95% confidence interval for alpha
    -0.10100
  • Upperbound of 95% confidence interval for alpha
    0.32505
  • Treynor index (mean / b)
    0.27190
  • Jensen alpha (a)
    0.11203
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14522
  • SD
    0.17245
  • Sharpe ratio (Glass type estimate)
    0.84212
  • Sharpe ratio (Hedges UMVUE)
    0.84089
  • df
    516.00000
  • t
    1.18295
  • p
    0.11869
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55445
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23795
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55530
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23709
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20760
  • Upside Potential Ratio
    9.38000
  • Upside part of mean
    1.12802
  • Downside part of mean
    -0.98280
  • Upside SD
    0.12369
  • Downside SD
    0.12026
  • N nonnegative terms
    276.00000
  • N negative terms
    241.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    517.00000
  • Mean of predictor
    0.07215
  • Mean of criterion
    0.14522
  • SD of predictor
    0.13808
  • SD of criterion
    0.17245
  • Covariance
    0.01126
  • r
    0.47306
  • b (slope, estimate of beta)
    0.59082
  • a (intercept, estimate of alpha)
    0.10260
  • Mean Square Error
    0.02313
  • DF error
    515.00000
  • t(b)
    12.18500
  • p(b)
    -0.00000
  • t(a)
    0.94718
  • p(a)
    0.17200
  • Lowerbound of 95% confidence interval for beta
    0.49556
  • Upperbound of 95% confidence interval for beta
    0.68607
  • Lowerbound of 95% confidence interval for alpha
    -0.11021
  • Upperbound of 95% confidence interval for alpha
    0.31540
  • Treynor index (mean / b)
    0.24580
  • Jensen alpha (a)
    0.10260
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01683
  • Expected Shortfall on VaR
    0.02119
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00824
  • Expected Shortfall on VaR
    0.01597
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    517.00000
  • Minimum
    0.95269
  • Quartile 1
    0.99472
  • Median
    1.00085
  • Quartile 3
    1.00715
  • Maximum
    1.04215
  • Mean of quarter 1
    0.98752
  • Mean of quarter 2
    0.99791
  • Mean of quarter 3
    1.00402
  • Mean of quarter 4
    1.01352
  • Inter Quartile Range
    0.01243
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.01354
  • Mean of outliers low
    0.96626
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.01161
  • Mean of outliers high
    1.03374
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00780
  • VaR(95%) (moments method)
    0.01161
  • Expected Shortfall (moments method)
    0.01549
  • Extreme Value Index (regression method)
    -0.03832
  • VaR(95%) (regression method)
    0.01234
  • Expected Shortfall (regression method)
    0.01643
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00103
  • Quartile 1
    0.00840
  • Median
    0.01774
  • Quartile 3
    0.05107
  • Maximum
    0.27119
  • Mean of quarter 1
    0.00439
  • Mean of quarter 2
    0.01242
  • Mean of quarter 3
    0.03109
  • Mean of quarter 4
    0.11147
  • Inter Quartile Range
    0.04267
  • 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
    0.03704
  • Mean of outliers high
    0.27119
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.03716
  • VaR(95%) (moments method)
    0.10918
  • Expected Shortfall (moments method)
    0.15063
  • Extreme Value Index (regression method)
    0.52474
  • VaR(95%) (regression method)
    0.10518
  • Expected Shortfall (regression method)
    0.20957
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20638
  • Compounded annual return (geometric extrapolation)
    0.18902
  • Calmar ratio (compounded annual return / max draw down)
    0.69700
  • Compounded annual return / average of 25% largest draw downs
    1.69571
  • Compounded annual return / Expected Shortfall lognormal
    8.92180
  • 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
    -0.23369
  • SD
    0.21894
  • Sharpe ratio (Glass type estimate)
    -1.06736
  • Sharpe ratio (Hedges UMVUE)
    -1.06119
  • df
    130.00000
  • t
    -0.75474
  • p
    0.53302
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.84027
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70941
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.83600
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71361
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41676
  • Upside Potential Ratio
    7.47912
  • Upside part of mean
    1.23366
  • Downside part of mean
    -1.46734
  • Upside SD
    0.14342
  • Downside SD
    0.16495
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01220
  • Mean of criterion
    -0.23369
  • SD of predictor
    0.19685
  • SD of criterion
    0.21894
  • Covariance
    0.02231
  • r
    0.51772
  • b (slope, estimate of beta)
    0.57581
  • a (intercept, estimate of alpha)
    -0.24072
  • Mean Square Error
    0.03536
  • DF error
    129.00000
  • t(b)
    6.87292
  • p(b)
    0.18579
  • t(a)
    -0.90518
  • p(a)
    0.55052
  • Lowerbound of 95% confidence interval for beta
    0.41005
  • Upperbound of 95% confidence interval for beta
    0.74157
  • Lowerbound of 95% confidence interval for alpha
    -0.76687
  • Upperbound of 95% confidence interval for alpha
    0.28544
  • Treynor index (mean / b)
    -0.40585
  • Jensen alpha (a)
    -0.24072
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25762
  • SD
    0.21931
  • Sharpe ratio (Glass type estimate)
    -1.17466
  • Sharpe ratio (Hedges UMVUE)
    -1.16787
  • df
    130.00000
  • t
    -0.83061
  • p
    0.53633
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.94797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60299
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.94331
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60756
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.54211
  • Upside Potential Ratio
    7.32334
  • Upside part of mean
    1.22341
  • Downside part of mean
    -1.48102
  • Upside SD
    0.14169
  • Downside SD
    0.16706
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00702
  • Mean of criterion
    -0.25762
  • SD of predictor
    0.19678
  • SD of criterion
    0.21931
  • Covariance
    0.02249
  • r
    0.52110
  • b (slope, estimate of beta)
    0.58078
  • a (intercept, estimate of alpha)
    -0.25354
  • Mean Square Error
    0.03531
  • DF error
    129.00000
  • t(b)
    6.93453
  • p(b)
    0.18395
  • t(a)
    -0.95411
  • p(a)
    0.55323
  • Lowerbound of 95% confidence interval for beta
    0.41507
  • Upperbound of 95% confidence interval for beta
    0.74648
  • Lowerbound of 95% confidence interval for alpha
    -0.77932
  • Upperbound of 95% confidence interval for alpha
    0.27223
  • Treynor index (mean / b)
    -0.44358
  • Jensen alpha (a)
    -0.25354
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02300
  • Expected Shortfall on VaR
    0.02850
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01274
  • Expected Shortfall on VaR
    0.02338
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95269
  • Quartile 1
    0.99042
  • Median
    1.00081
  • Quartile 3
    1.00674
  • Maximum
    1.04215
  • Mean of quarter 1
    0.98218
  • Mean of quarter 2
    0.99583
  • Mean of quarter 3
    1.00422
  • Mean of quarter 4
    1.01478
  • Inter Quartile Range
    0.01632
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95738
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03616
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09125
  • VaR(95%) (moments method)
    0.01828
  • Expected Shortfall (moments method)
    0.02288
  • Extreme Value Index (regression method)
    0.15748
  • VaR(95%) (regression method)
    0.01692
  • Expected Shortfall (regression method)
    0.02295
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05127
  • Quartile 1
    0.10625
  • Median
    0.16123
  • Quartile 3
    0.21621
  • Maximum
    0.27119
  • Mean of quarter 1
    0.05127
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27119
  • Inter Quartile Range
    0.10996
  • 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)
    -0.21701
  • Compounded annual return (geometric extrapolation)
    -0.20524
  • Calmar ratio (compounded annual return / max draw down)
    -0.75679
  • Compounded annual return / average of 25% largest draw downs
    -0.75679
  • Compounded annual return / Expected Shortfall lognormal
    -7.20016

Strategy Description

This is a diversified portfolio of 40-60 companies that we believe are potential acquisition targets.



Summary Statistics

Strategy began
2017-02-25
Suggested Minimum Capital
$15,000
# Trades
258
# Profitable
143
% Profitable
55.4%
Net Dividends
Correlation S&P500
0.464
Sharpe Ratio
0.56
Sortino Ratio
0.78
Beta
0.59
Alpha
0.02
Leverage
1.15 Average
1.49 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.