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

Quick Profit
(121469965)

Created by: LONGTERM LONGTERM
Started: 12/2018
Stocks
Last trade: 17 days ago
Trading style: Equity Non-hedged Equity

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 $99.99 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
35.4%
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.

(14.5%)
Max Drawdown
70
Num Trades
71.4%
Win Trades
4.5 : 1
Profit Factor
64.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             (0.2%)(0.2%)
2019+15.8%+9.8%+4.3%(3.4%)(2.9%)+0.7%(1.6%)(6.6%)+5.5%+3.6%+2.8%+7.1%+38.6%
2020+1.3%                                                                  +1.3%

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

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/20/19 9:30 AOS A.O.SMITH CORP LONG 48 47.76 1/2/20 9:30 47.91 0.05%
Trade id #126702017
Max drawdown($36)
Time12/23/19 0:00
Quant open48
Worst price47.01
Drawdown as % of equity-0.05%
$6
Includes Typical Broker Commissions trade costs of $0.96
12/20/19 9:30 CLX CLOROX LONG 31 152.57 1/2/20 9:30 153.38 0.05%
Trade id #126702015
Max drawdown($35)
Time12/24/19 0:00
Quant open31
Worst price151.43
Drawdown as % of equity-0.05%
$24
Includes Typical Broker Commissions trade costs of $0.62
12/20/19 9:31 SBUX STARBUCKS LONG 52 88.78 1/2/20 9:30 88.12 0.12%
Trade id #126702049
Max drawdown($89)
Time12/30/19 0:00
Quant open52
Worst price87.06
Drawdown as % of equity-0.12%
($36)
Includes Typical Broker Commissions trade costs of $1.04
12/20/19 9:31 V VISA LONG 25 187.60 1/2/20 9:30 189.00 0.04%
Trade id #126702045
Max drawdown($32)
Time12/20/19 9:46
Quant open25
Worst price186.30
Drawdown as % of equity-0.04%
$35
Includes Typical Broker Commissions trade costs of $0.50
12/20/19 9:31 PEP PEPSICO LONG 34 137.41 1/2/20 9:30 136.87 0.1%
Trade id #126702041
Max drawdown($76)
Time12/20/19 9:32
Quant open34
Worst price135.16
Drawdown as % of equity-0.10%
($19)
Includes Typical Broker Commissions trade costs of $0.68
12/20/19 9:30 WBA WALGREEN BOOTS ALLIANCE INC. LONG 80 58.33 1/2/20 9:30 59.28 0.06%
Trade id #126702013
Max drawdown($45)
Time12/20/19 9:31
Quant open80
Worst price57.76
Drawdown as % of equity-0.06%
$74
Includes Typical Broker Commissions trade costs of $1.60
12/20/19 9:31 HON HONEYWELL INTERNATIONAL LONG 26 177.15 1/2/20 9:30 177.50 0.06%
Trade id #126702036
Max drawdown($43)
Time12/31/19 0:00
Quant open26
Worst price175.46
Drawdown as % of equity-0.06%
$8
Includes Typical Broker Commissions trade costs of $0.52
12/20/19 9:31 VFC VF LONG 48 97.83 1/2/20 9:30 99.67 0.07%
Trade id #126702019
Max drawdown($50)
Time12/20/19 9:42
Quant open48
Worst price96.77
Drawdown as % of equity-0.07%
$87
Includes Typical Broker Commissions trade costs of $0.96
12/20/19 9:30 MSFT MICROSOFT LONG 30 157.35 1/2/20 9:30 158.78 0.04%
Trade id #126702009
Max drawdown($31)
Time12/20/19 9:47
Quant open30
Worst price156.29
Drawdown as % of equity-0.04%
$42
Includes Typical Broker Commissions trade costs of $0.60
12/13/19 11:32 ABM ABM INDUSTRIES LONG 74 37.13 12/20 9:30 39.05 0.21%
Trade id #126616614
Max drawdown($154)
Time12/19/19 0:00
Quant open74
Worst price35.04
Drawdown as % of equity-0.21%
$141
Includes Typical Broker Commissions trade costs of $1.48
12/13/19 11:50 FRT FEDERAL REALTY INVESTMENT LONG 21 127.14 12/20 9:30 128.19 0.01%
Trade id #126617490
Max drawdown($8)
Time12/16/19 0:00
Quant open21
Worst price126.72
Drawdown as % of equity-0.01%
$22
Includes Typical Broker Commissions trade costs of $0.42
12/13/19 11:49 CWT CALIFORNIA WATER LONG 55 49.88 12/20 9:30 50.90 0.06%
Trade id #126617412
Max drawdown($42)
Time12/13/19 15:49
Quant open55
Worst price49.10
Drawdown as % of equity-0.06%
$55
Includes Typical Broker Commissions trade costs of $1.10
12/13/19 11:56 TGT TARGET LONG 23 126.61 12/20 9:30 129.45 0.02%
Trade id #126617696
Max drawdown($14)
Time12/16/19 0:00
Quant open23
Worst price125.96
Drawdown as % of equity-0.02%
$65
Includes Typical Broker Commissions trade costs of $0.46
12/13/19 11:47 AWR AMERICAN STATES WATER LONG 33 86.07 12/20 9:30 87.06 0.05%
Trade id #126617370
Max drawdown($38)
Time12/16/19 0:00
Quant open33
Worst price84.91
Drawdown as % of equity-0.05%
$32
Includes Typical Broker Commissions trade costs of $0.66
12/13/19 11:51 HRL HORMEL FOODS LONG 62 44.99 12/20 9:30 45.04 0.07%
Trade id #126617503
Max drawdown($52)
Time12/18/19 0:00
Quant open62
Worst price44.15
Drawdown as % of equity-0.07%
$2
Includes Typical Broker Commissions trade costs of $1.24
12/13/19 11:50 EMR EMERSON ELECTRIC LONG 38 75.83 12/20 9:30 76.92 0.01%
Trade id #126617436
Max drawdown($9)
Time12/13/19 14:37
Quant open38
Worst price75.59
Drawdown as % of equity-0.01%
$40
Includes Typical Broker Commissions trade costs of $0.76
12/13/19 11:48 CINF CINCINNATI FINANCIAL CORP LONG 27 105.22 12/20 9:30 104.75 0.09%
Trade id #126617386
Max drawdown($68)
Time12/19/19 0:00
Quant open27
Worst price102.69
Drawdown as % of equity-0.09%
($14)
Includes Typical Broker Commissions trade costs of $0.54
12/13/19 11:53 NWN NORTHWEST NATURAL HOLDING CO LONG 42 69.36 12/20 9:30 73.44 0.01%
Trade id #126617585
Max drawdown($6)
Time12/13/19 12:40
Quant open42
Worst price69.21
Drawdown as % of equity-0.01%
$170
Includes Typical Broker Commissions trade costs of $0.84
12/13/19 11:49 DOV DOVER CORP LONG 25 113.70 12/20 9:30 114.33 0.02%
Trade id #126617417
Max drawdown($17)
Time12/16/19 0:00
Quant open25
Worst price113.02
Drawdown as % of equity-0.02%
$16
Includes Typical Broker Commissions trade costs of $0.50
12/13/19 11:55 SJW SJW GROUP LONG 40 69.80 12/20 9:30 70.73 0.03%
Trade id #126617682
Max drawdown($25)
Time12/16/19 0:00
Quant open40
Worst price69.17
Drawdown as % of equity-0.03%
$36
Includes Typical Broker Commissions trade costs of $0.80
12/13/19 11:55 SWK STANLEY BLACK & DECKER LONG 18 164.78 12/20 9:30 165.44 0.05%
Trade id #126617691
Max drawdown($39)
Time12/18/19 0:00
Quant open18
Worst price162.58
Drawdown as % of equity-0.05%
$12
Includes Typical Broker Commissions trade costs of $0.36
12/13/19 11:47 CBSH COMMERCE BANCSHARES LONG 44 65.92 12/20 9:30 68.05 0%
Trade id #126617380
Max drawdown($1)
Time12/13/19 11:48
Quant open44
Worst price65.89
Drawdown as % of equity-0.00%
$93
Includes Typical Broker Commissions trade costs of $0.88
12/13/19 11:53 NDSN NORDSON LONG 17 162.82 12/20 9:30 164.50 0.05%
Trade id #126617543
Max drawdown($38)
Time12/16/19 0:00
Quant open17
Worst price160.54
Drawdown as % of equity-0.05%
$29
Includes Typical Broker Commissions trade costs of $0.34
12/13/19 11:54 SCL STEPAN LONG 29 99.17 12/20 9:30 98.99 0.09%
Trade id #126617607
Max drawdown($65)
Time12/18/19 0:00
Quant open29
Worst price96.91
Drawdown as % of equity-0.09%
($6)
Includes Typical Broker Commissions trade costs of $0.58
12/13/19 11:54 PH PARKER HANNIFIN LONG 14 206.44 12/20 9:30 209.59 0.06%
Trade id #126617599
Max drawdown($46)
Time12/17/19 0:00
Quant open14
Worst price203.13
Drawdown as % of equity-0.06%
$44
Includes Typical Broker Commissions trade costs of $0.28
12/13/19 11:52 LANC LANCASTER COLONY LONG 18 155.57 12/20 9:30 159.95 0.03%
Trade id #126617525
Max drawdown($20)
Time12/16/19 0:00
Quant open18
Worst price154.42
Drawdown as % of equity-0.03%
$79
Includes Typical Broker Commissions trade costs of $0.36
12/9/19 9:31 APA APACHE LONG 706 19.78 12/13 9:57 21.74 0.24%
Trade id #126540848
Max drawdown($169)
Time12/9/19 9:32
Quant open706
Worst price19.54
Drawdown as % of equity-0.24%
$1,379
Includes Typical Broker Commissions trade costs of $5.00
12/9/19 9:31 HAL HALLIBURTON LONG 632 22.05 12/13 9:57 24.24 n/a $1,379
Includes Typical Broker Commissions trade costs of $5.00
12/9/19 9:31 NLSN NIELSEN NV LONG 700 20.14 12/13 9:57 19.92 0.59%
Trade id #126540834
Max drawdown($420)
Time12/11/19 0:00
Quant open700
Worst price19.54
Drawdown as % of equity-0.59%
($159)
Includes Typical Broker Commissions trade costs of $5.00
12/9/19 9:31 NOV NATIONAL OILWELL VARCO LONG 606 23.17 12/13 9:57 23.92 0.14%
Trade id #126540828
Max drawdown($96)
Time12/10/19 0:00
Quant open606
Worst price23.01
Drawdown as % of equity-0.14%
$450
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    12/12/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    402.96
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    70
  • # Profitable
    50
  • % Profitable
    71.40%
  • Avg trade duration
    52.8 days
  • Max peak-to-valley drawdown
    14.47%
  • drawdown period
    April 08, 2019 - Aug 27, 2019
  • Annual Return (Compounded)
    35.4%
  • Avg win
    $567.88
  • Avg loss
    $348.35
  • Model Account Values (Raw)
  • Cash
    $41,089
  • Margin Used
    $0
  • Buying Power
    $42,411
  • Ratios
  • W:L ratio
    4.48:1
  • Sharpe Ratio
    1.99
  • Sortino Ratio
    3.74
  • Calmar Ratio
    3.495
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    14.48%
  • Correlation to SP500
    0.41630
  • Return Percent SP500 (cumu) during strategy life
    25.60%
  • Return Statistics
  • Ann Return (w trading costs)
    35.4%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.354%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    38.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • 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)
    481
  • Popularity (Last 6 weeks)
    875
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    298
  • 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
    $350
  • Avg Win
    $575
  • Sum Trade PL (losers)
    $6,995.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $28,749.000
  • # Winners
    50
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    1420
  • Win / Loss
  • # Losers
    20
  • % Winners
    71.4%
  • Frequency
  • Avg Position Time (mins)
    76084.30
  • Avg Position Time (hrs)
    1268.07
  • Avg Trade Length
    52.8 days
  • Last Trade Ago
    17
  • Leverage
  • Daily leverage (average)
    0.76
  • Daily leverage (max)
    1.10
  • Regression
  • Alpha
    0.06
  • Beta
    0.37
  • Treynor Index
    0.22
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.19
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    36.73
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.81
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.204
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.308
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.470
  • Hold-and-Hope Ratio
    0.906
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37732
  • SD
    0.29381
  • Sharpe ratio (Glass type estimate)
    1.28422
  • Sharpe ratio (Hedges UMVUE)
    1.18500
  • df
    10.00000
  • t
    1.22954
  • p
    0.12351
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86637
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37588
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92696
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.29697
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.65053
  • Upside Potential Ratio
    6.22309
  • Upside part of mean
    0.50491
  • Downside part of mean
    -0.12759
  • Upside SD
    0.28941
  • Downside SD
    0.08113
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.20973
  • Mean of criterion
    0.37732
  • SD of predictor
    0.10479
  • SD of criterion
    0.29381
  • Covariance
    0.02066
  • r
    0.67118
  • b (slope, estimate of beta)
    1.88189
  • a (intercept, estimate of alpha)
    -0.01737
  • Mean Square Error
    0.05271
  • DF error
    9.00000
  • t(b)
    2.71624
  • p(b)
    0.01188
  • t(a)
    -0.06196
  • p(a)
    0.52403
  • Lowerbound of 95% confidence interval for beta
    0.31460
  • Upperbound of 95% confidence interval for beta
    3.44917
  • Lowerbound of 95% confidence interval for alpha
    -0.65164
  • Upperbound of 95% confidence interval for alpha
    0.61689
  • Treynor index (mean / b)
    0.20050
  • Jensen alpha (a)
    -0.01737
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33665
  • SD
    0.26851
  • Sharpe ratio (Glass type estimate)
    1.25378
  • Sharpe ratio (Hedges UMVUE)
    1.15692
  • df
    10.00000
  • t
    1.20040
  • p
    0.12882
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89279
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.34263
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95205
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.26589
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.03650
  • Upside Potential Ratio
    5.60365
  • Upside part of mean
    0.46735
  • Downside part of mean
    -0.13070
  • Upside SD
    0.26083
  • Downside SD
    0.08340
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.20256
  • Mean of criterion
    0.33665
  • SD of predictor
    0.10403
  • SD of criterion
    0.26851
  • Covariance
    0.01929
  • r
    0.69046
  • b (slope, estimate of beta)
    1.78207
  • a (intercept, estimate of alpha)
    -0.02433
  • Mean Square Error
    0.04192
  • DF error
    9.00000
  • t(b)
    2.86354
  • p(b)
    0.00934
  • t(a)
    -0.09803
  • p(a)
    0.53797
  • Lowerbound of 95% confidence interval for beta
    0.37426
  • Upperbound of 95% confidence interval for beta
    3.18988
  • Lowerbound of 95% confidence interval for alpha
    -0.58587
  • Upperbound of 95% confidence interval for alpha
    0.53720
  • Treynor index (mean / b)
    0.18891
  • Jensen alpha (a)
    -0.02433
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09466
  • Expected Shortfall on VaR
    0.12315
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01962
  • Expected Shortfall on VaR
    0.04178
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.93619
  • Quartile 1
    0.99661
  • Median
    1.00980
  • Quartile 3
    1.05987
  • Maximum
    1.25768
  • Mean of quarter 1
    0.96369
  • Mean of quarter 2
    1.00516
  • Mean of quarter 3
    1.03774
  • Mean of quarter 4
    1.12982
  • Inter Quartile Range
    0.06326
  • 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
    0.09091
  • Mean of outliers high
    1.25768
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -19.52140
  • VaR(95%) (moments method)
    0.02330
  • Expected Shortfall (moments method)
    0.02330
  • Extreme Value Index (regression method)
    -1.11452
  • VaR(95%) (regression method)
    0.07619
  • Expected Shortfall (regression method)
    0.08335
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.10462
  • Quartile 1
    0.10462
  • Median
    0.10462
  • Quartile 3
    0.10462
  • Maximum
    0.10462
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.43286
  • Compounded annual return (geometric extrapolation)
    0.43987
  • Calmar ratio (compounded annual return / max draw down)
    4.20446
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.57181
  • 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
    0.36025
  • SD
    0.13692
  • Sharpe ratio (Glass type estimate)
    2.63122
  • Sharpe ratio (Hedges UMVUE)
    2.62315
  • df
    245.00000
  • t
    2.54961
  • p
    0.00570
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59256
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.66464
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58717
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65914
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.22673
  • Upside Potential Ratio
    13.27940
  • Upside part of mean
    0.91529
  • Downside part of mean
    -0.55503
  • Upside SD
    0.12006
  • Downside SD
    0.06893
  • N nonnegative terms
    125.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    246.00000
  • Mean of predictor
    0.22633
  • Mean of criterion
    0.36025
  • SD of predictor
    0.15135
  • SD of criterion
    0.13692
  • Covariance
    0.00834
  • r
    0.40255
  • b (slope, estimate of beta)
    0.36416
  • a (intercept, estimate of alpha)
    0.27800
  • Mean Square Error
    0.01577
  • DF error
    244.00000
  • t(b)
    6.86921
  • p(b)
    0.00000
  • t(a)
    2.13452
  • p(a)
    0.01690
  • Lowerbound of 95% confidence interval for beta
    0.25974
  • Upperbound of 95% confidence interval for beta
    0.46858
  • Lowerbound of 95% confidence interval for alpha
    0.02145
  • Upperbound of 95% confidence interval for alpha
    0.53422
  • Treynor index (mean / b)
    0.98928
  • Jensen alpha (a)
    0.27783
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35074
  • SD
    0.13587
  • Sharpe ratio (Glass type estimate)
    2.58131
  • Sharpe ratio (Hedges UMVUE)
    2.57340
  • df
    245.00000
  • t
    2.50125
  • p
    0.00651
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.61430
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53791
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.60889
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.05869
  • Upside Potential Ratio
    13.09760
  • Upside part of mean
    0.90810
  • Downside part of mean
    -0.55737
  • Upside SD
    0.11853
  • Downside SD
    0.06933
  • N nonnegative terms
    125.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    246.00000
  • Mean of predictor
    0.21481
  • Mean of criterion
    0.35074
  • SD of predictor
    0.15131
  • SD of criterion
    0.13587
  • Covariance
    0.00834
  • r
    0.40556
  • b (slope, estimate of beta)
    0.36419
  • a (intercept, estimate of alpha)
    0.27250
  • Mean Square Error
    0.01549
  • DF error
    244.00000
  • t(b)
    6.93060
  • p(b)
    0.00000
  • t(a)
    2.11355
  • p(a)
    0.01778
  • Lowerbound of 95% confidence interval for beta
    0.26069
  • Upperbound of 95% confidence interval for beta
    0.46770
  • Lowerbound of 95% confidence interval for alpha
    0.01854
  • Upperbound of 95% confidence interval for alpha
    0.52647
  • Treynor index (mean / b)
    0.96305
  • Jensen alpha (a)
    0.27250
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01239
  • Expected Shortfall on VaR
    0.01584
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00484
  • Expected Shortfall on VaR
    0.00940
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    246.00000
  • Minimum
    0.97893
  • Quartile 1
    0.99691
  • Median
    1.00023
  • Quartile 3
    1.00508
  • Maximum
    1.04181
  • Mean of quarter 1
    0.99281
  • Mean of quarter 2
    0.99898
  • Mean of quarter 3
    1.00233
  • Mean of quarter 4
    1.01178
  • Inter Quartile Range
    0.00817
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.02439
  • Mean of outliers low
    0.98274
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.04065
  • Mean of outliers high
    1.02926
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09001
  • VaR(95%) (moments method)
    0.00698
  • Expected Shortfall (moments method)
    0.00983
  • Extreme Value Index (regression method)
    0.04265
  • VaR(95%) (regression method)
    0.00707
  • Expected Shortfall (regression method)
    0.00972
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00309
  • Median
    0.01033
  • Quartile 3
    0.01592
  • Maximum
    0.13171
  • Mean of quarter 1
    0.00134
  • Mean of quarter 2
    0.00661
  • Mean of quarter 3
    0.01340
  • Mean of quarter 4
    0.06150
  • Inter Quartile Range
    0.01283
  • 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
    0.08333
  • Mean of outliers high
    0.13171
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38268
  • VaR(95%) (moments method)
    0.05718
  • Expected Shortfall (moments method)
    0.11782
  • Extreme Value Index (regression method)
    2.23428
  • VaR(95%) (regression method)
    0.13442
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45469
  • Compounded annual return (geometric extrapolation)
    0.46030
  • Calmar ratio (compounded annual return / max draw down)
    3.49479
  • Compounded annual return / average of 25% largest draw downs
    7.48515
  • Compounded annual return / Expected Shortfall lognormal
    29.05070
  • 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
    0.27321
  • SD
    0.13174
  • Sharpe ratio (Glass type estimate)
    2.07384
  • Sharpe ratio (Hedges UMVUE)
    2.06185
  • df
    130.00000
  • t
    1.46643
  • p
    0.43622
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85321
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72126
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.84497
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.07342
  • Upside Potential Ratio
    12.61020
  • Upside part of mean
    0.84578
  • Downside part of mean
    -0.57257
  • Upside SD
    0.11406
  • Downside SD
    0.06707
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36795
  • Mean of criterion
    0.27321
  • SD of predictor
    0.13459
  • SD of criterion
    0.13174
  • Covariance
    0.00888
  • r
    0.50077
  • b (slope, estimate of beta)
    0.49017
  • a (intercept, estimate of alpha)
    0.09285
  • Mean Square Error
    0.01310
  • DF error
    129.00000
  • t(b)
    6.57086
  • p(b)
    0.19508
  • t(a)
    0.56546
  • p(a)
    0.46836
  • Lowerbound of 95% confidence interval for beta
    0.34258
  • Upperbound of 95% confidence interval for beta
    0.63777
  • Lowerbound of 95% confidence interval for alpha
    -0.23203
  • Upperbound of 95% confidence interval for alpha
    0.41772
  • Treynor index (mean / b)
    0.55737
  • Jensen alpha (a)
    0.09285
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26452
  • SD
    0.13073
  • Sharpe ratio (Glass type estimate)
    2.02347
  • Sharpe ratio (Hedges UMVUE)
    2.01178
  • df
    130.00000
  • t
    1.43081
  • p
    0.43774
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76298
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.80230
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77079
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.79435
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.92324
  • Upside Potential Ratio
    12.44800
  • Upside part of mean
    0.83929
  • Downside part of mean
    -0.57477
  • Upside SD
    0.11260
  • Downside SD
    0.06742
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35865
  • Mean of criterion
    0.26452
  • SD of predictor
    0.13489
  • SD of criterion
    0.13073
  • Covariance
    0.00886
  • r
    0.50230
  • b (slope, estimate of beta)
    0.48680
  • a (intercept, estimate of alpha)
    0.08993
  • Mean Square Error
    0.01288
  • DF error
    129.00000
  • t(b)
    6.59781
  • p(b)
    0.19423
  • t(a)
    0.55292
  • p(a)
    0.46906
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    0.34082
  • Upperbound of 95% confidence interval for beta
    0.63278
  • Lowerbound of 95% confidence interval for alpha
    -0.23187
  • Upperbound of 95% confidence interval for alpha
    0.41173
  • Treynor index (mean / b)
    0.54338
  • Jensen alpha (a)
    0.08993
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01220
  • Expected Shortfall on VaR
    0.01552
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00490
  • Expected Shortfall on VaR
    0.00926
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98361
  • Quartile 1
    0.99675
  • Median
    1.00048
  • Quartile 3
    1.00460
  • Maximum
    1.03876
  • Mean of quarter 1
    0.99295
  • Mean of quarter 2
    0.99860
  • Mean of quarter 3
    1.00229
  • Mean of quarter 4
    1.01078
  • Inter Quartile Range
    0.00785
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98413
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.02952
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15688
  • VaR(95%) (moments method)
    0.00723
  • Expected Shortfall (moments method)
    0.01054
  • Extreme Value Index (regression method)
    -0.10919
  • VaR(95%) (regression method)
    0.00672
  • Expected Shortfall (regression method)
    0.00848
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00113
  • Quartile 1
    0.00545
  • Median
    0.01373
  • Quartile 3
    0.01557
  • Maximum
    0.08626
  • Mean of quarter 1
    0.00179
  • Mean of quarter 2
    0.00986
  • Mean of quarter 3
    0.01468
  • Mean of quarter 4
    0.05152
  • Inter Quartile Range
    0.01012
  • 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
    0.08626
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -234186000
  • Max Equity Drawdown (num days)
    141
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31489
  • Compounded annual return (geometric extrapolation)
    0.33968
  • Calmar ratio (compounded annual return / max draw down)
    3.93793
  • Compounded annual return / average of 25% largest draw downs
    6.59300
  • Compounded annual return / Expected Shortfall lognormal
    21.88180

Strategy Description

The goal is to beat the returns of the S & P 500 with less volatility of the index especially in times of market downturns, We attempt this by buying high quality, dividend bearing stocks. All stocks are from the S & P 500 & only the best of the best are chosen for this portfolio.

Summary Statistics

Strategy began
2018-12-12
Suggested Minimum Capital
$15,000
# Trades
70
# Profitable
50
% Profitable
71.4%
Net Dividends
Correlation S&P500
0.416
Sharpe Ratio
1.99
Sortino Ratio
3.74
Beta
0.37
Alpha
0.06
Leverage
0.76 Average
1.10 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.