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USTX-SHUN
(123334826)

Created by: mka mka
Started: 04/2019
Stocks
Last trade: 12 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 $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.

27.8%
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.

(15.6%)
Max Drawdown
100
Num Trades
65.0%
Win Trades
3.0 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     +3.5%(14.2%)+23.2%+2.0%+6.0%+1.0%+2.8%(1.5%)+2.5%+24.1%
2020+4.2%                                                                  +4.2%

Model Account Details

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

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

System developer has asked us to delay this information by 120 hours.

Trading Record

This strategy has placed 36 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/28/19 10:37 GLD SPDR GOLD SHARES LONG 325 142.34 1/6/20 13:56 147.28 2.7%
Trade id #125122088
Max drawdown($1,611)
Time11/12/19 0:00
Quant open215
Worst price136.19
Drawdown as % of equity-2.70%
$1,599
Includes Typical Broker Commissions trade costs of $6.50
12/3/19 10:48 CVS CVS HEALTH CORP LONG 32 74.16 12/11 10:57 73.02 0.08%
Trade id #126459804
Max drawdown($48)
Time12/10/19 0:00
Quant open32
Worst price72.64
Drawdown as % of equity-0.08%
($37)
Includes Typical Broker Commissions trade costs of $0.64
12/3/19 10:48 ABBV ABBVIE INC LONG 17 86.12 12/11 10:57 86.88 0.01%
Trade id #126459811
Max drawdown($8)
Time12/3/19 15:10
Quant open17
Worst price85.62
Drawdown as % of equity-0.01%
$13
Includes Typical Broker Commissions trade costs of $0.34
12/3/19 10:48 NEE NEXTERA ENERGY LONG 11 232.28 12/11 10:57 234.83 0.02%
Trade id #126459809
Max drawdown($9)
Time12/3/19 12:21
Quant open11
Worst price231.39
Drawdown as % of equity-0.02%
$28
Includes Typical Broker Commissions trade costs of $0.22
12/3/19 10:48 TGT TARGET LONG 6 124.30 12/11 10:57 125.04 0.01%
Trade id #126459807
Max drawdown($4)
Time12/3/19 13:04
Quant open6
Worst price123.63
Drawdown as % of equity-0.01%
$4
Includes Typical Broker Commissions trade costs of $0.12
12/3/19 10:48 BMY BRISTOL-MYERS SQUIBB LONG 21 57.32 12/11 10:56 62.46 0%
Trade id #126459800
Max drawdown($2)
Time12/3/19 11:01
Quant open21
Worst price57.21
Drawdown as % of equity-0.00%
$108
Includes Typical Broker Commissions trade costs of $0.42
12/3/19 10:48 AMGN AMGEN LONG 13 232.70 12/11 10:56 234.82 0.03%
Trade id #126459797
Max drawdown($18)
Time12/3/19 11:05
Quant open13
Worst price231.31
Drawdown as % of equity-0.03%
$28
Includes Typical Broker Commissions trade costs of $0.26
12/3/19 10:48 AGN ALLERGAN INC LONG 21 185.46 12/11 10:56 186.54 0.02%
Trade id #126459795
Max drawdown($13)
Time12/3/19 11:08
Quant open21
Worst price184.82
Drawdown as % of equity-0.02%
$23
Includes Typical Broker Commissions trade costs of $0.42
8/28/19 10:37 MDT MEDTRONIC PLC LONG 198 109.84 11/21 11:32 110.41 0.53%
Trade id #125122092
Max drawdown($314)
Time10/22/19 0:00
Quant open65
Worst price104.28
Drawdown as % of equity-0.53%
$110
Includes Typical Broker Commissions trade costs of $3.96
10/15/19 11:28 TUR ISHARES MSCI TURKEY INVEST MKT LONG 402 23.36 11/5 11:21 25.04 0.39%
Trade id #125785568
Max drawdown($227)
Time10/16/19 0:00
Quant open402
Worst price22.80
Drawdown as % of equity-0.39%
$665
Includes Typical Broker Commissions trade costs of $8.04
10/15/19 11:30 AMD ADVANCED MICRO DEVICES INC. C LONG 200 30.69 10/22 14:42 31.73 0.14%
Trade id #125785651
Max drawdown($80)
Time10/18/19 0:00
Quant open200
Worst price30.29
Drawdown as % of equity-0.14%
$204
Includes Typical Broker Commissions trade costs of $4.00
10/1/19 10:37 NEE NEXTERA ENERGY LONG 27 231.22 10/22 14:42 237.07 0.21%
Trade id #125570579
Max drawdown($125)
Time10/16/19 0:00
Quant open27
Worst price226.58
Drawdown as % of equity-0.21%
$157
Includes Typical Broker Commissions trade costs of $0.54
10/15/19 11:23 SO SOUTHERN SHORT 44 60.78 10/15 11:24 60.80 0%
Trade id #125785395
Max drawdown($0)
Time10/15/19 11:24
Quant open44
Worst price60.80
Drawdown as % of equity-0.00%
($2)
Includes Typical Broker Commissions trade costs of $0.88
10/1/19 10:37 UPS UNITED PARCEL SERVICE LONG 27 117.82 10/15 11:24 117.78 0.25%
Trade id #125570575
Max drawdown($145)
Time10/8/19 0:00
Quant open27
Worst price112.44
Drawdown as % of equity-0.25%
($2)
Includes Typical Broker Commissions trade costs of $0.54
10/1/19 10:37 WMT WALMART INC LONG 9 118.42 10/15 11:23 119.14 0.06%
Trade id #125570570
Max drawdown($34)
Time10/3/19 0:00
Quant open9
Worst price114.58
Drawdown as % of equity-0.06%
$6
Includes Typical Broker Commissions trade costs of $0.18
10/1/19 10:37 HD HOME DEPOT LONG 7 232.80 10/15 11:23 235.59 0.13%
Trade id #125570568
Max drawdown($74)
Time10/3/19 0:00
Quant open7
Worst price222.12
Drawdown as % of equity-0.13%
$20
Includes Typical Broker Commissions trade costs of $0.14
9/24/19 14:45 CVS CVS HEALTH CORP LONG 10 63.21 10/15 11:23 64.72 0.05%
Trade id #125488359
Max drawdown($30)
Time10/8/19 0:00
Quant open10
Worst price60.14
Drawdown as % of equity-0.05%
$15
Includes Typical Broker Commissions trade costs of $0.20
9/24/19 14:45 AGN ALLERGAN INC LONG 9 167.25 10/15 11:23 170.50 0.04%
Trade id #125488357
Max drawdown($20)
Time10/2/19 0:00
Quant open9
Worst price164.92
Drawdown as % of equity-0.04%
$29
Includes Typical Broker Commissions trade costs of $0.18
9/17/19 10:52 SO SOUTHERN LONG 262 60.63 10/15 11:23 61.65 0.15%
Trade id #125384942
Max drawdown($86)
Time9/18/19 0:00
Quant open262
Worst price60.30
Drawdown as % of equity-0.15%
$263
Includes Typical Broker Commissions trade costs of $5.24
8/28/19 10:37 TGT TARGET LONG 34 106.59 10/15 11:23 108.95 0.06%
Trade id #125122080
Max drawdown($34)
Time9/26/19 0:00
Quant open18
Worst price104.68
Drawdown as % of equity-0.06%
$80
Includes Typical Broker Commissions trade costs of $0.68
9/24/19 14:45 QCOM QUALCOMM LONG 12 75.35 10/1 10:37 76.60 0.01%
Trade id #125488370
Max drawdown($5)
Time9/25/19 0:00
Quant open12
Worst price74.88
Drawdown as % of equity-0.01%
$15
Includes Typical Broker Commissions trade costs of $0.24
9/24/19 14:45 T AT&T LONG 109 37.50 10/1 10:37 37.56 0.06%
Trade id #125488363
Max drawdown($34)
Time9/26/19 0:00
Quant open109
Worst price37.18
Drawdown as % of equity-0.06%
$5
Includes Typical Broker Commissions trade costs of $2.18
9/24/19 14:45 COP CONOCOPHILLIPS LONG 18 58.87 10/1 10:37 56.99 0.07%
Trade id #125488373
Max drawdown($39)
Time9/30/19 0:00
Quant open18
Worst price56.69
Drawdown as % of equity-0.07%
($34)
Includes Typical Broker Commissions trade costs of $0.36
9/24/19 14:45 RTN RAYTHEON CO LONG 4 195.37 10/1 10:37 193.80 0.02%
Trade id #125488367
Max drawdown($9)
Time10/1/19 10:10
Quant open4
Worst price193.01
Drawdown as % of equity-0.02%
($6)
Includes Typical Broker Commissions trade costs of $0.08
9/17/19 10:52 LOW LOWE'S COMPANIES LONG 28 112.16 9/24 14:45 110.24 0.12%
Trade id #125384937
Max drawdown($71)
Time9/23/19 0:00
Quant open28
Worst price109.59
Drawdown as % of equity-0.12%
($55)
Includes Typical Broker Commissions trade costs of $0.56
9/17/19 10:52 CMCSA COMCAST LONG 121 46.13 9/24 14:45 45.65 0.14%
Trade id #125384934
Max drawdown($82)
Time9/24/19 13:07
Quant open121
Worst price45.45
Drawdown as % of equity-0.14%
($60)
Includes Typical Broker Commissions trade costs of $2.42
9/17/19 10:52 SLB SCHLUMBERGER LONG 93 37.78 9/24 14:45 35.49 0.36%
Trade id #125384944
Max drawdown($218)
Time9/24/19 14:12
Quant open93
Worst price35.44
Drawdown as % of equity-0.36%
($215)
Includes Typical Broker Commissions trade costs of $1.86
8/28/19 10:37 T AT&T LONG 26 34.72 9/17 10:52 36.91 0%
Trade id #125122083
Max drawdown($0)
Time8/28/19 10:40
Quant open26
Worst price34.69
Drawdown as % of equity-0.00%
$56
Includes Typical Broker Commissions trade costs of $0.52
8/28/19 10:37 CVS CVS HEALTH CORP LONG 49 58.90 9/17 10:52 63.53 0%
Trade id #125122077
Max drawdown($0)
Time8/28/19 10:38
Quant open49
Worst price58.88
Drawdown as % of equity-0.00%
$226
Includes Typical Broker Commissions trade costs of $0.98
7/30/19 11:06 SBUX STARBUCKS LONG 77 95.69 9/17 10:52 95.09 0.22%
Trade id #124677969
Max drawdown($127)
Time9/10/19 0:00
Quant open20
Worst price89.30
Drawdown as % of equity-0.22%
($48)
Includes Typical Broker Commissions trade costs of $1.54

Statistics

  • Strategy began
    4/16/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    277.94
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    100
  • # Profitable
    65
  • % Profitable
    65.00%
  • Avg trade duration
    18.5 days
  • Max peak-to-valley drawdown
    15.58%
  • drawdown period
    May 01, 2019 - May 31, 2019
  • Cumul. Return
    27.8%
  • Avg win
    $334.83
  • Avg loss
    $218.66
  • Model Account Values (Raw)
  • Cash
    $33,537
  • Margin Used
    $0
  • Buying Power
    $34,549
  • Ratios
  • W:L ratio
    3.02:1
  • Sharpe Ratio
    1.71
  • Sortino Ratio
    3.96
  • Calmar Ratio
    3.211
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    13.28%
  • Correlation to SP500
    0.12820
  • Return Percent SP500 (cumu) during strategy life
    14.54%
  • Return Statistics
  • Ann Return (w trading costs)
    37.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • 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)
    0.278%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    41.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.00%
  • 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
    8344.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    667
  • Popularity (Last 6 weeks)
    822
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    963
  • Popularity (7 days, Percentile 1000 scale)
    803
  • 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
    $219
  • Avg Win
    $339
  • Sum Trade PL (losers)
    $7,653.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $22,050.000
  • # Winners
    65
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    686
  • AUM
  • AUM (AutoTrader live capital)
    64896
  • Win / Loss
  • # Losers
    35
  • % Winners
    65.0%
  • Frequency
  • Avg Position Time (mins)
    26605.70
  • Avg Position Time (hrs)
    443.43
  • Avg Trade Length
    18.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.93
  • Daily leverage (max)
    1.87
  • Regression
  • Alpha
    0.09
  • Beta
    0.18
  • Treynor Index
    0.53
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    24.13
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    40.07
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.37
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.378
  • 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
    0.427
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.343
  • Hold-and-Hope Ratio
    0.737
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33622
  • SD
    0.28435
  • Sharpe ratio (Glass type estimate)
    1.18242
  • Sharpe ratio (Hedges UMVUE)
    1.05023
  • df
    7.00000
  • t
    0.96544
  • p
    0.18324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61979
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41246
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51291
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78842
  • Upside Potential Ratio
    4.16744
  • Upside part of mean
    0.50250
  • Downside part of mean
    -0.16628
  • Upside SD
    0.25618
  • Downside SD
    0.12058
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.12009
  • Mean of criterion
    0.33622
  • SD of predictor
    0.09453
  • SD of criterion
    0.28435
  • Covariance
    -0.00086
  • r
    -0.03205
  • b (slope, estimate of beta)
    -0.09641
  • a (intercept, estimate of alpha)
    0.34780
  • Mean Square Error
    0.09423
  • DF error
    6.00000
  • t(b)
    -0.07855
  • p(b)
    0.53003
  • t(a)
    0.86125
  • p(a)
    0.21109
  • Lowerbound of 95% confidence interval for beta
    -3.09978
  • Upperbound of 95% confidence interval for beta
    2.90696
  • Lowerbound of 95% confidence interval for alpha
    -0.64034
  • Upperbound of 95% confidence interval for alpha
    1.33594
  • Treynor index (mean / b)
    -3.48727
  • Jensen alpha (a)
    0.34780
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29821
  • SD
    0.27182
  • Sharpe ratio (Glass type estimate)
    1.09707
  • Sharpe ratio (Hedges UMVUE)
    0.97442
  • df
    7.00000
  • t
    0.89575
  • p
    0.20007
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40492
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52654
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47970
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.42854
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35771
  • Upside Potential Ratio
    3.73043
  • Upside part of mean
    0.47184
  • Downside part of mean
    -0.17363
  • Upside SD
    0.23678
  • Downside SD
    0.12648
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.11536
  • Mean of criterion
    0.29821
  • SD of predictor
    0.09414
  • SD of criterion
    0.27182
  • Covariance
    -0.00120
  • r
    -0.04707
  • b (slope, estimate of beta)
    -0.13590
  • a (intercept, estimate of alpha)
    0.31389
  • Mean Square Error
    0.08601
  • DF error
    6.00000
  • t(b)
    -0.11542
  • p(b)
    0.54406
  • t(a)
    0.81737
  • p(a)
    0.22248
  • Lowerbound of 95% confidence interval for beta
    -3.01726
  • Upperbound of 95% confidence interval for beta
    2.74545
  • Lowerbound of 95% confidence interval for alpha
    -0.62579
  • Upperbound of 95% confidence interval for alpha
    1.25357
  • Treynor index (mean / b)
    -2.19425
  • Jensen alpha (a)
    0.31389
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09897
  • Expected Shortfall on VaR
    0.12767
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02567
  • Expected Shortfall on VaR
    0.05706
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.90466
  • Quartile 1
    0.99861
  • Median
    1.01482
  • Quartile 3
    1.05459
  • Maximum
    1.19053
  • Mean of quarter 1
    0.94732
  • Mean of quarter 2
    1.00743
  • Mean of quarter 3
    1.03110
  • Mean of quarter 4
    1.13553
  • Inter Quartile Range
    0.05597
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.90466
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.19053
  • 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
    0.01001
  • Quartile 1
    0.03134
  • Median
    0.05268
  • Quartile 3
    0.07401
  • Maximum
    0.09534
  • Mean of quarter 1
    0.01001
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09534
  • 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
    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)
    0.36428
  • Compounded annual return (geometric extrapolation)
    0.38558
  • Calmar ratio (compounded annual return / max draw down)
    4.04415
  • Compounded annual return / average of 25% largest draw downs
    4.04415
  • Compounded annual return / Expected Shortfall lognormal
    3.02007
  • 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
    0.36122
  • SD
    0.16604
  • Sharpe ratio (Glass type estimate)
    2.17548
  • Sharpe ratio (Hedges UMVUE)
    2.16706
  • df
    194.00000
  • t
    1.87682
  • p
    0.43323
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10936
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45486
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11501
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.44913
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.13381
  • Upside Potential Ratio
    12.42590
  • Upside part of mean
    0.87430
  • Downside part of mean
    -0.51308
  • Upside SD
    0.15158
  • Downside SD
    0.07036
  • N nonnegative terms
    112.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    195.00000
  • Mean of predictor
    0.16505
  • Mean of criterion
    0.36122
  • SD of predictor
    0.12244
  • SD of criterion
    0.16604
  • Covariance
    0.00269
  • r
    0.13252
  • b (slope, estimate of beta)
    0.17971
  • a (intercept, estimate of alpha)
    0.33200
  • Mean Square Error
    0.02723
  • DF error
    193.00000
  • t(b)
    1.85744
  • p(b)
    0.41588
  • t(a)
    1.72753
  • p(a)
    0.42164
  • Lowerbound of 95% confidence interval for beta
    -0.01112
  • Upperbound of 95% confidence interval for beta
    0.37054
  • Lowerbound of 95% confidence interval for alpha
    -0.04698
  • Upperbound of 95% confidence interval for alpha
    0.71010
  • Treynor index (mean / b)
    2.00999
  • Jensen alpha (a)
    0.33156
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34770
  • SD
    0.16185
  • Sharpe ratio (Glass type estimate)
    2.14828
  • Sharpe ratio (Hedges UMVUE)
    2.13997
  • df
    194.00000
  • t
    1.85335
  • p
    0.43405
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13630
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.42749
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14185
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.42178
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.90790
  • Upside Potential Ratio
    12.18480
  • Upside part of mean
    0.86322
  • Downside part of mean
    -0.51553
  • Upside SD
    0.14664
  • Downside SD
    0.07084
  • N nonnegative terms
    112.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    195.00000
  • Mean of predictor
    0.15750
  • Mean of criterion
    0.34770
  • SD of predictor
    0.12281
  • SD of criterion
    0.16185
  • Covariance
    0.00277
  • r
    0.13919
  • b (slope, estimate of beta)
    0.18343
  • a (intercept, estimate of alpha)
    0.31881
  • Mean Square Error
    0.02582
  • DF error
    193.00000
  • t(b)
    1.95262
  • p(b)
    0.41168
  • t(a)
    1.70626
  • p(a)
    0.42259
  • Lowerbound of 95% confidence interval for beta
    -0.00185
  • Upperbound of 95% confidence interval for beta
    0.36871
  • Lowerbound of 95% confidence interval for alpha
    -0.04971
  • Upperbound of 95% confidence interval for alpha
    0.68733
  • Treynor index (mean / b)
    1.89557
  • Jensen alpha (a)
    0.31881
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01501
  • Expected Shortfall on VaR
    0.01911
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00403
  • Expected Shortfall on VaR
    0.00838
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    195.00000
  • Minimum
    0.97692
  • Quartile 1
    0.99798
  • Median
    1.00073
  • Quartile 3
    1.00334
  • Maximum
    1.10141
  • Mean of quarter 1
    0.99295
  • Mean of quarter 2
    0.99954
  • Mean of quarter 3
    1.00204
  • Mean of quarter 4
    1.01143
  • Inter Quartile Range
    0.00536
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.05128
  • Mean of outliers low
    0.98512
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.05641
  • Mean of outliers high
    1.02827
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05063
  • VaR(95%) (moments method)
    0.00567
  • Expected Shortfall (moments method)
    0.00815
  • Extreme Value Index (regression method)
    0.06581
  • VaR(95%) (regression method)
    0.00787
  • Expected Shortfall (regression method)
    0.01194
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00074
  • Quartile 1
    0.00180
  • Median
    0.00622
  • Quartile 3
    0.01819
  • Maximum
    0.14197
  • Mean of quarter 1
    0.00100
  • Mean of quarter 2
    0.00488
  • Mean of quarter 3
    0.01401
  • Mean of quarter 4
    0.05331
  • Inter Quartile Range
    0.01639
  • 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
    0.06667
  • Mean of outliers high
    0.14197
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.76309
  • VaR(95%) (moments method)
    0.05989
  • Expected Shortfall (moments method)
    0.26533
  • Extreme Value Index (regression method)
    2.02405
  • VaR(95%) (regression method)
    0.08893
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43336
  • Compounded annual return (geometric extrapolation)
    0.45587
  • Calmar ratio (compounded annual return / max draw down)
    3.21110
  • Compounded annual return / average of 25% largest draw downs
    8.55185
  • Compounded annual return / Expected Shortfall lognormal
    23.85970
  • 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
    0.33511
  • SD
    0.07865
  • Sharpe ratio (Glass type estimate)
    4.26061
  • Sharpe ratio (Hedges UMVUE)
    4.23598
  • df
    130.00000
  • t
    3.01271
  • p
    0.37227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.43311
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.07241
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41676
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.05521
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.57731
  • Upside Potential Ratio
    15.65480
  • Upside part of mean
    0.61162
  • Downside part of mean
    -0.27651
  • Upside SD
    0.07100
  • Downside SD
    0.03907
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18591
  • Mean of criterion
    0.33511
  • SD of predictor
    0.12618
  • SD of criterion
    0.07865
  • Covariance
    0.00142
  • r
    0.14320
  • b (slope, estimate of beta)
    0.08927
  • a (intercept, estimate of alpha)
    0.31851
  • Mean Square Error
    0.00611
  • DF error
    129.00000
  • t(b)
    1.64343
  • p(b)
    0.40914
  • t(a)
    2.87022
  • p(a)
    0.34560
  • Lowerbound of 95% confidence interval for beta
    -0.01820
  • Upperbound of 95% confidence interval for beta
    0.19674
  • Lowerbound of 95% confidence interval for alpha
    0.09895
  • Upperbound of 95% confidence interval for alpha
    0.53808
  • Treynor index (mean / b)
    3.75394
  • Jensen alpha (a)
    0.31851
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33181
  • SD
    0.07835
  • Sharpe ratio (Glass type estimate)
    4.23520
  • Sharpe ratio (Hedges UMVUE)
    4.21072
  • df
    130.00000
  • t
    2.99474
  • p
    0.37298
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.40826
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.04643
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39205
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.02938
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.46183
  • Upside Potential Ratio
    15.53230
  • Upside part of mean
    0.60906
  • Downside part of mean
    -0.27725
  • Upside SD
    0.07053
  • Downside SD
    0.03921
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17789
  • Mean of criterion
    0.33181
  • SD of predictor
    0.12664
  • SD of criterion
    0.07835
  • Covariance
    0.00142
  • r
    0.14330
  • b (slope, estimate of beta)
    0.08865
  • a (intercept, estimate of alpha)
    0.31604
  • Mean Square Error
    0.00606
  • DF error
    129.00000
  • t(b)
    1.64456
  • p(b)
    0.40908
  • t(a)
    2.86020
  • p(a)
    0.34609
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.01800
  • Upperbound of 95% confidence interval for beta
    0.19531
  • Lowerbound of 95% confidence interval for alpha
    0.09742
  • Upperbound of 95% confidence interval for alpha
    0.53466
  • Treynor index (mean / b)
    3.74272
  • Jensen alpha (a)
    0.31604
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00667
  • Expected Shortfall on VaR
    0.00868
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00198
  • Expected Shortfall on VaR
    0.00425
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98801
  • Quartile 1
    0.99921
  • Median
    1.00102
  • Quartile 3
    1.00311
  • Maximum
    1.02363
  • Mean of quarter 1
    0.99615
  • Mean of quarter 2
    1.00006
  • Mean of quarter 3
    1.00203
  • Mean of quarter 4
    1.00733
  • Inter Quartile Range
    0.00390
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.99124
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01629
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15330
  • VaR(95%) (moments method)
    0.00288
  • Expected Shortfall (moments method)
    0.00382
  • Extreme Value Index (regression method)
    0.19940
  • VaR(95%) (regression method)
    0.00353
  • Expected Shortfall (regression method)
    0.00588
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00074
  • Quartile 1
    0.00180
  • Median
    0.01161
  • Quartile 3
    0.01522
  • Maximum
    0.02278
  • Mean of quarter 1
    0.00109
  • Mean of quarter 2
    0.00626
  • Mean of quarter 3
    0.01215
  • Mean of quarter 4
    0.01972
  • Inter Quartile Range
    0.01341
  • 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)
    0.05407
  • VaR(95%) (moments method)
    0.02098
  • Expected Shortfall (moments method)
    0.02340
  • Extreme Value Index (regression method)
    4.18477
  • VaR(95%) (regression method)
    0.02730
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -275272000
  • Max Equity Drawdown (num days)
    30
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39410
  • Compounded annual return (geometric extrapolation)
    0.43292
  • Calmar ratio (compounded annual return / max draw down)
    19.00130
  • Compounded annual return / average of 25% largest draw downs
    21.95260
  • Compounded annual return / Expected Shortfall lognormal
    49.88720

Strategy Description

Our team manages the strategies prefixed ‘USTX’ on C2. Highlights for USTX-SHUN are
- Our portfolios are comprised of (long) Stocks only, no futures or options
- Fully automated
- Uses a proprietary strategy-development and portfolio-management framework
- USTX-SHUN trades SP100 stocks plus ETFS like GLD, SLV and DBO, as well as TLT
- Rebalances every week or every two-weeks under normal (low volatility) market conditions

Summary Statistics

Strategy began
2019-04-16
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 3.7%
Rank # 
#23
# Trades
100
# Profitable
65
% Profitable
65.0%
Net Dividends
Correlation S&P500
0.128
Sharpe Ratio
1.71
Sortino Ratio
3.96
Beta
0.18
Alpha
0.09
Leverage
0.93 Average
1.87 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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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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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.