Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

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.

-41.2%
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.

(52.0%)
Max Drawdown
156
Num Trades
55.8%
Win Trades
0.6 : 1
Profit Factor
61.5%
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+3.9%(8.2%)(43.3%)(11.4%)                                                (52.1%)

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 56 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/25/20 14:05 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,500 21.67 3/26 9:41 21.60 9.48%
Trade id #128247879
Max drawdown($3,690)
Time3/26/20 0:00
Quant open1,500
Worst price19.21
Drawdown as % of equity-9.48%
($110)
Includes Typical Broker Commissions trade costs of $5.00
3/23/20 9:35 BA BOEING LONG 50 99.53 3/24 10:31 121.92 0.88%
Trade id #128189914
Max drawdown($298)
Time3/23/20 11:28
Quant open50
Worst price93.56
Drawdown as % of equity-0.88%
$1,119
Includes Typical Broker Commissions trade costs of $1.00
3/23/20 9:34 TSLA TESLA INC. LONG 20 439.00 3/24 10:30 501.19 1.68%
Trade id #128189897
Max drawdown($570)
Time3/23/20 11:30
Quant open20
Worst price410.50
Drawdown as % of equity-1.68%
$1,244
Includes Typical Broker Commissions trade costs of $0.40
3/20/20 14:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 38.57 3/23 9:38 33.84 11.92%
Trade id #128165814
Max drawdown($4,290)
Time3/23/20 9:32
Quant open1,000
Worst price34.28
Drawdown as % of equity-11.92%
($4,735)
Includes Typical Broker Commissions trade costs of $5.00
3/18/20 15:01 WDC WESTERN DIGITAL LONG 200 29.00 3/19 15:02 31.85 0.82%
Trade id #128122119
Max drawdown($320)
Time3/19/20 0:00
Quant open200
Worst price27.40
Drawdown as % of equity-0.82%
$566
Includes Typical Broker Commissions trade costs of $4.00
3/18/20 15:00 INTC INTEL LONG 700 46.96 3/19 15:02 47.08 3.24%
Trade id #128122075
Max drawdown($1,260)
Time3/19/20 0:00
Quant open700
Worst price45.16
Drawdown as % of equity-3.24%
$79
Includes Typical Broker Commissions trade costs of $5.00
3/2/20 13:22 BA BOEING LONG 50 288.45 3/18 13:29 90.73 25.57%
Trade id #127809017
Max drawdown($9,886)
Time3/18/20 13:29
Quant open50
Worst price90.73
Drawdown as % of equity-25.57%
($9,887)
Includes Typical Broker Commissions trade costs of $1.00
3/2/20 12:07 WDC WESTERN DIGITAL LONG 102 59.23 3/18 13:29 28.88 8%
Trade id #127807592
Max drawdown($3,092)
Time3/18/20 13:29
Quant open102
Worst price28.91
Drawdown as % of equity-8.00%
($3,098)
Includes Typical Broker Commissions trade costs of $2.04
3/3/20 14:14 SLV ISHARES SILVER TRUST LONG 15 15.98 3/18 13:29 10.94 0.2%
Trade id #127832386
Max drawdown($75)
Time3/18/20 13:28
Quant open15
Worst price10.93
Drawdown as % of equity-0.20%
($76)
Includes Typical Broker Commissions trade costs of $0.30
3/3/20 14:15 TSLA TESLA INC. LONG 20 726.73 3/18 13:28 362.28 18.97%
Trade id #127832416
Max drawdown($7,334)
Time3/18/20 13:24
Quant open20
Worst price360.01
Drawdown as % of equity-18.97%
($7,289)
Includes Typical Broker Commissions trade costs of $0.40
3/2/20 13:19 SLV ISHARES SILVER TRUST LONG 612 15.67 3/3 14:13 15.96 0.13%
Trade id #127808938
Max drawdown($73)
Time3/2/20 15:59
Quant open612
Worst price15.55
Drawdown as % of equity-0.13%
$172
Includes Typical Broker Commissions trade costs of $5.00
3/2/20 12:08 NKE NIKE LONG 100 90.67 3/3 13:25 92.06 0.15%
Trade id #127807609
Max drawdown($90)
Time3/2/20 14:44
Quant open100
Worst price89.77
Drawdown as % of equity-0.15%
$137
Includes Typical Broker Commissions trade costs of $2.00
3/2/20 12:07 AMD ADVANCED MICRO DEVICES INC. C LONG 201 46.86 3/3 13:25 47.48 0.41%
Trade id #127807589
Max drawdown($239)
Time3/3/20 0:00
Quant open201
Worst price45.67
Drawdown as % of equity-0.41%
$121
Includes Typical Broker Commissions trade costs of $4.02
3/2/20 12:07 TSLA TESLA INC. LONG 20 727.69 3/2 12:12 717.51 0.3%
Trade id #127807586
Max drawdown($176)
Time3/2/20 12:12
Quant open20
Worst price718.85
Drawdown as % of equity-0.30%
($204)
Includes Typical Broker Commissions trade costs of $0.40
2/25/20 11:02 INTC INTEL LONG 38 61.29 2/28 10:28 54.34 0.49%
Trade id #127699623
Max drawdown($292)
Time2/28/20 9:31
Quant open38
Worst price53.60
Drawdown as % of equity-0.49%
($265)
Includes Typical Broker Commissions trade costs of $0.76
2/25/20 11:02 GILD GILEAD SCIENCES LONG 53 70.07 2/28 10:28 67.04 0.31%
Trade id #127699621
Max drawdown($182)
Time2/28/20 10:16
Quant open53
Worst price66.63
Drawdown as % of equity-0.31%
($162)
Includes Typical Broker Commissions trade costs of $1.06
2/25/20 11:02 AAPL APPLE LONG 4 295.82 2/28 10:28 262.90 0.26%
Trade id #127699617
Max drawdown($157)
Time2/28/20 9:31
Quant open4
Worst price256.37
Drawdown as % of equity-0.26%
($132)
Includes Typical Broker Commissions trade costs of $0.08
2/25/20 11:01 DUK DUKE ENERGY LONG 32 101.85 2/28 10:28 90.33 0.68%
Trade id #127699615
Max drawdown($398)
Time2/28/20 10:20
Quant open32
Worst price89.39
Drawdown as % of equity-0.68%
($370)
Includes Typical Broker Commissions trade costs of $0.64
2/25/20 11:01 NEE NEXTERA ENERGY LONG 52 275.77 2/28 10:28 245.57 2.88%
Trade id #127699611
Max drawdown($1,699)
Time2/28/20 10:16
Quant open52
Worst price243.08
Drawdown as % of equity-2.88%
($1,571)
Includes Typical Broker Commissions trade costs of $1.04
2/25/20 11:01 LLY ELI LILLY LONG 51 138.18 2/28 10:28 123.52 1.39%
Trade id #127699606
Max drawdown($819)
Time2/28/20 10:15
Quant open51
Worst price122.11
Drawdown as % of equity-1.39%
($749)
Includes Typical Broker Commissions trade costs of $1.02
2/25/20 11:01 BMY BRISTOL-MYERS SQUIBB LONG 12 62.98 2/28 10:28 57.20 0.13%
Trade id #127699603
Max drawdown($79)
Time2/28/20 10:05
Quant open12
Worst price56.37
Drawdown as % of equity-0.13%
($69)
Includes Typical Broker Commissions trade costs of $0.24
2/25/20 11:01 GE GENERAL ELECTRIC LONG 211 11.53 2/28 10:28 10.07 0.59%
Trade id #127699600
Max drawdown($354)
Time2/28/20 9:30
Quant open211
Worst price9.85
Drawdown as % of equity-0.59%
($312)
Includes Typical Broker Commissions trade costs of $4.22
2/25/20 11:01 AGN ALLERGAN INC LONG 111 196.09 2/28 10:28 187.32 1.97%
Trade id #127699596
Max drawdown($1,185)
Time2/28/20 9:31
Quant open111
Worst price185.41
Drawdown as % of equity-1.97%
($975)
Includes Typical Broker Commissions trade costs of $2.22
2/11/20 9:54 CL COLGATE-PALMOLIVE LONG 203 76.89 2/28 10:28 73.56 1.46%
Trade id #127455930
Max drawdown($952)
Time2/24/20 0:00
Quant open167
Worst price71.19
Drawdown as % of equity-1.46%
($681)
Includes Typical Broker Commissions trade costs of $4.06
2/19/20 15:17 PFE PFIZER LONG 82 36.38 2/25 11:01 34.35 0.28%
Trade id #127605799
Max drawdown($177)
Time2/25/20 10:54
Quant open82
Worst price34.22
Drawdown as % of equity-0.28%
($168)
Includes Typical Broker Commissions trade costs of $1.64
2/19/20 15:17 F FORD MOTOR LONG 449 8.02 2/25 11:01 7.48 0.41%
Trade id #127605794
Max drawdown($260)
Time2/25/20 10:54
Quant open449
Worst price7.44
Drawdown as % of equity-0.41%
($251)
Includes Typical Broker Commissions trade costs of $8.98
2/11/20 9:54 MDLZ MONDELEZ INTERNATIONAL LONG 193 59.07 2/25 11:01 59.33 0.23%
Trade id #127455908
Max drawdown($147)
Time2/12/20 0:00
Quant open193
Worst price58.30
Drawdown as % of equity-0.23%
$47
Includes Typical Broker Commissions trade costs of $3.86
2/19/20 15:17 SPG SIMON PROPERTY GROUP LONG 34 136.71 2/25 11:01 138.43 0%
Trade id #127605807
Max drawdown($2)
Time2/20/20 0:00
Quant open34
Worst price136.65
Drawdown as % of equity-0.00%
$57
Includes Typical Broker Commissions trade costs of $0.68
2/19/20 15:17 WFC WELLS FARGO LONG 88 47.04 2/25 11:01 45.92 0.18%
Trade id #127605812
Max drawdown($113)
Time2/25/20 10:54
Quant open88
Worst price45.75
Drawdown as % of equity-0.18%
($101)
Includes Typical Broker Commissions trade costs of $1.76
2/19/20 15:17 MO ALTRIA LONG 148 45.20 2/25 11:01 43.55 0.41%
Trade id #127605819
Max drawdown($260)
Time2/25/20 10:55
Quant open148
Worst price43.44
Drawdown as % of equity-0.41%
($247)
Includes Typical Broker Commissions trade costs of $2.96

Statistics

  • Strategy began
    4/16/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    356.46
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    156
  • # Profitable
    87
  • % Profitable
    55.80%
  • Avg trade duration
    14.9 days
  • Max peak-to-valley drawdown
    51.95%
  • drawdown period
    Feb 10, 2020 - March 31, 2020
  • Cumul. Return
    -41.2%
  • Avg win
    $321.52
  • Avg loss
    $695.86
  • Model Account Values (Raw)
  • Cash
    $13,612
  • Margin Used
    $0
  • Buying Power
    $6,412
  • Ratios
  • W:L ratio
    0.62:1
  • Sharpe Ratio
    -0.94
  • Sortino Ratio
    -1.24
  • Calmar Ratio
    -0.716
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -32.87%
  • Correlation to SP500
    0.28010
  • Return Percent SP500 (cumu) during strategy life
    -8.37%
  • Return Statistics
  • Ann Return (w trading costs)
    -41.7%
  • Slump
  • Current Slump as Pcnt Equity
    1.06%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.412%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -38.9%
  • 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
    7728.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    715
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    837
  • Popularity (7 days, Percentile 1000 scale)
    0
  • 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
    $696
  • Avg Win
    $322
  • Sum Trade PL (losers)
    $48,014.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $27,972.000
  • # Winners
    87
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    923
  • Win / Loss
  • # Losers
    69
  • % Winners
    55.8%
  • Frequency
  • Avg Position Time (mins)
    21490.10
  • Avg Position Time (hrs)
    358.17
  • Avg Trade Length
    14.9 days
  • Last Trade Ago
    11
  • Leverage
  • Daily leverage (average)
    1.00
  • Daily leverage (max)
    3.60
  • Regression
  • Alpha
    -0.08
  • Beta
    0.25
  • Treynor Index
    -0.35
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • 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)
    -1.05
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -3.404
  • 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
    0.19
  • Avg(MAE) / Avg(PL) - Winning trades
    0.514
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.150
  • Hold-and-Hope Ratio
    -0.285
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12136
  • SD
    0.52408
  • Sharpe ratio (Glass type estimate)
    -0.23157
  • Sharpe ratio (Hedges UMVUE)
    -0.21368
  • df
    10.00000
  • t
    -0.22171
  • p
    0.58550
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.27551
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26294
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83557
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.27232
  • Upside Potential Ratio
    1.01531
  • Upside part of mean
    0.45248
  • Downside part of mean
    -0.57385
  • Upside SD
    0.22871
  • Downside SD
    0.44566
  • 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
    -0.20283
  • Mean of criterion
    -0.12136
  • SD of predictor
    0.36015
  • SD of criterion
    0.52408
  • Covariance
    0.16331
  • r
    0.86520
  • b (slope, estimate of beta)
    1.25902
  • a (intercept, estimate of alpha)
    0.13400
  • Mean Square Error
    0.07673
  • DF error
    9.00000
  • t(b)
    5.17637
  • p(b)
    0.00029
  • t(a)
    0.45655
  • p(a)
    0.32941
  • Lowerbound of 95% confidence interval for beta
    0.70881
  • Upperbound of 95% confidence interval for beta
    1.80923
  • Lowerbound of 95% confidence interval for alpha
    -0.52994
  • Upperbound of 95% confidence interval for alpha
    0.79794
  • Treynor index (mean / b)
    -0.09639
  • Jensen alpha (a)
    0.13400
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.28189
  • SD
    0.63111
  • Sharpe ratio (Glass type estimate)
    -0.44666
  • Sharpe ratio (Hedges UMVUE)
    -0.41216
  • df
    10.00000
  • t
    -0.42765
  • p
    0.66101
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49199
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62045
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.46722
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64291
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.49551
  • Upside Potential Ratio
    0.75197
  • Upside part of mean
    0.42779
  • Downside part of mean
    -0.70968
  • Upside SD
    0.21232
  • Downside SD
    0.56889
  • 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
    -0.27862
  • Mean of criterion
    -0.28189
  • SD of predictor
    0.42628
  • SD of criterion
    0.63111
  • Covariance
    0.24566
  • r
    0.91314
  • b (slope, estimate of beta)
    1.35193
  • a (intercept, estimate of alpha)
    0.09478
  • Mean Square Error
    0.07354
  • DF error
    9.00000
  • t(b)
    6.72032
  • p(b)
    0.00004
  • t(a)
    0.32826
  • p(a)
    0.37511
  • Lowerbound of 95% confidence interval for beta
    0.89685
  • Upperbound of 95% confidence interval for beta
    1.80701
  • Lowerbound of 95% confidence interval for alpha
    -0.55837
  • Upperbound of 95% confidence interval for alpha
    0.74793
  • Treynor index (mean / b)
    -0.20851
  • Jensen alpha (a)
    0.09478
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.27614
  • Expected Shortfall on VaR
    0.32771
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08592
  • Expected Shortfall on VaR
    0.19592
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.58715
  • Quartile 1
    0.99574
  • Median
    1.01627
  • Quartile 3
    1.05534
  • Maximum
    1.19053
  • Mean of quarter 1
    0.82727
  • Mean of quarter 2
    1.01038
  • Mean of quarter 3
    1.03281
  • Mean of quarter 4
    1.11194
  • Inter Quartile Range
    0.05960
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.18182
  • Mean of outliers low
    0.74591
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.19053
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.81865
  • VaR(95%) (moments method)
    0.04604
  • Expected Shortfall (moments method)
    0.04610
  • Extreme Value Index (regression method)
    0.89562
  • VaR(95%) (regression method)
    0.43765
  • Expected Shortfall (regression method)
    5.24427
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01001
  • Quartile 1
    0.05268
  • Median
    0.09534
  • Quartile 3
    0.25409
  • Maximum
    0.41285
  • Mean of quarter 1
    0.01001
  • Mean of quarter 2
    0.09534
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.41285
  • Inter Quartile Range
    0.20142
  • 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)
    -0.22659
  • Compounded annual return (geometric extrapolation)
    -0.22430
  • Calmar ratio (compounded annual return / max draw down)
    -0.54330
  • Compounded annual return / average of 25% largest draw downs
    -0.54330
  • Compounded annual return / Expected Shortfall lognormal
    -0.68443
  • 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
    -0.46704
  • SD
    0.29935
  • Sharpe ratio (Glass type estimate)
    -1.56021
  • Sharpe ratio (Hedges UMVUE)
    -1.55555
  • df
    251.00000
  • t
    -1.53015
  • p
    0.93638
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.56183
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.44442
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.55865
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44755
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.91570
  • Upside Potential Ratio
    3.76692
  • Upside part of mean
    0.91836
  • Downside part of mean
    -1.38541
  • Upside SD
    0.17506
  • Downside SD
    0.24380
  • N nonnegative terms
    133.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    252.00000
  • Mean of predictor
    -0.06523
  • Mean of criterion
    -0.46704
  • SD of predictor
    0.31908
  • SD of criterion
    0.29935
  • Covariance
    0.01809
  • r
    0.18937
  • b (slope, estimate of beta)
    0.17766
  • a (intercept, estimate of alpha)
    -0.45500
  • Mean Square Error
    0.08674
  • DF error
    250.00000
  • t(b)
    3.04942
  • p(b)
    0.00127
  • t(a)
    -1.51653
  • p(a)
    0.93468
  • Lowerbound of 95% confidence interval for beta
    0.06292
  • Upperbound of 95% confidence interval for beta
    0.29240
  • Lowerbound of 95% confidence interval for alpha
    -1.04695
  • Upperbound of 95% confidence interval for alpha
    0.13604
  • Treynor index (mean / b)
    -2.62889
  • Jensen alpha (a)
    -0.45545
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.51274
  • SD
    0.30277
  • Sharpe ratio (Glass type estimate)
    -1.69353
  • Sharpe ratio (Hedges UMVUE)
    -1.68847
  • df
    251.00000
  • t
    -1.66090
  • p
    0.95101
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.69586
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.31206
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.69239
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31545
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.03066
  • Upside Potential Ratio
    3.57881
  • Upside part of mean
    0.90365
  • Downside part of mean
    -1.41640
  • Upside SD
    0.16897
  • Downside SD
    0.25250
  • N nonnegative terms
    133.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    252.00000
  • Mean of predictor
    -0.11644
  • Mean of criterion
    -0.51274
  • SD of predictor
    0.32159
  • SD of criterion
    0.30277
  • Covariance
    0.01998
  • r
    0.20518
  • b (slope, estimate of beta)
    0.19317
  • a (intercept, estimate of alpha)
    -0.49025
  • Mean Square Error
    0.08816
  • DF error
    250.00000
  • t(b)
    3.31463
  • p(b)
    0.00053
  • t(a)
    -1.61892
  • p(a)
    0.94664
  • Lowerbound of 95% confidence interval for beta
    0.07839
  • Upperbound of 95% confidence interval for beta
    0.30794
  • Lowerbound of 95% confidence interval for alpha
    -1.08667
  • Upperbound of 95% confidence interval for alpha
    0.10616
  • Treynor index (mean / b)
    -2.65442
  • Jensen alpha (a)
    -0.49025
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03219
  • Expected Shortfall on VaR
    0.03971
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01140
  • Expected Shortfall on VaR
    0.02528
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    252.00000
  • Minimum
    0.89414
  • Quartile 1
    0.99668
  • Median
    1.00026
  • Quartile 3
    1.00321
  • Maximum
    1.10141
  • Mean of quarter 1
    0.98023
  • Mean of quarter 2
    0.99884
  • Mean of quarter 3
    1.00172
  • Mean of quarter 4
    1.01250
  • Inter Quartile Range
    0.00653
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.10318
  • Mean of outliers low
    0.96198
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.03422
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78417
  • VaR(95%) (moments method)
    0.01747
  • Expected Shortfall (moments method)
    0.08919
  • Extreme Value Index (regression method)
    0.36226
  • VaR(95%) (regression method)
    0.01689
  • Expected Shortfall (regression method)
    0.03427
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00176
  • Median
    0.00856
  • Quartile 3
    0.01822
  • Maximum
    0.53682
  • Mean of quarter 1
    0.00089
  • Mean of quarter 2
    0.00488
  • Mean of quarter 3
    0.01324
  • Mean of quarter 4
    0.15001
  • Inter Quartile Range
    0.01646
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.33939
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.30602
  • VaR(95%) (moments method)
    0.14769
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.43428
  • VaR(95%) (regression method)
    0.26277
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.38749
  • Compounded annual return (geometric extrapolation)
    -0.38420
  • Calmar ratio (compounded annual return / max draw down)
    -0.71570
  • Compounded annual return / average of 25% largest draw downs
    -2.56119
  • Compounded annual return / Expected Shortfall lognormal
    -9.67617
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.29269
  • SD
    0.35759
  • Sharpe ratio (Glass type estimate)
    -3.61503
  • Sharpe ratio (Hedges UMVUE)
    -3.59414
  • df
    130.00000
  • t
    -2.55621
  • p
    0.60938
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.41461
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.80201
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.40016
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78811
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.94482
  • Upside Potential Ratio
    2.16742
  • Upside part of mean
    0.71025
  • Downside part of mean
    -2.00294
  • Upside SD
    0.16090
  • Downside SD
    0.32769
  • 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
    -0.11582
  • Mean of criterion
    -1.29269
  • SD of predictor
    0.42224
  • SD of criterion
    0.35759
  • Covariance
    0.03040
  • r
    0.20133
  • b (slope, estimate of beta)
    0.17051
  • a (intercept, estimate of alpha)
    -1.27294
  • Mean Square Error
    0.12364
  • DF error
    129.00000
  • t(b)
    2.33453
  • p(b)
    0.37270
  • t(a)
    -2.55951
  • p(a)
    0.63882
  • Lowerbound of 95% confidence interval for beta
    0.02600
  • Upperbound of 95% confidence interval for beta
    0.31501
  • Lowerbound of 95% confidence interval for alpha
    -2.25694
  • Upperbound of 95% confidence interval for alpha
    -0.28895
  • Treynor index (mean / b)
    -7.58151
  • Jensen alpha (a)
    -1.27294
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.36126
  • SD
    0.36548
  • Sharpe ratio (Glass type estimate)
    -3.72454
  • Sharpe ratio (Hedges UMVUE)
    -3.70301
  • df
    130.00000
  • t
    -2.63365
  • p
    0.61253
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.52611
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.90916
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.51112
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89489
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.00381
  • Upside Potential Ratio
    2.05257
  • Upside part of mean
    0.69785
  • Downside part of mean
    -2.05911
  • Upside SD
    0.15504
  • Downside SD
    0.33999
  • 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
    -0.20523
  • Mean of criterion
    -1.36126
  • SD of predictor
    0.42569
  • SD of criterion
    0.36548
  • Covariance
    0.03368
  • r
    0.21649
  • b (slope, estimate of beta)
    0.18587
  • a (intercept, estimate of alpha)
    -1.32311
  • Mean Square Error
    0.12831
  • DF error
    129.00000
  • t(b)
    2.51861
  • p(b)
    0.36326
  • t(a)
    -2.61076
  • p(a)
    0.64141
  • VAR (95 Confidence Intrvl)
    0.03200
  • Lowerbound of 95% confidence interval for beta
    0.03986
  • Upperbound of 95% confidence interval for beta
    0.33189
  • Lowerbound of 95% confidence interval for alpha
    -2.32581
  • Upperbound of 95% confidence interval for alpha
    -0.32041
  • Treynor index (mean / b)
    -7.32358
  • Jensen alpha (a)
    -1.32311
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04145
  • Expected Shortfall on VaR
    0.05042
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01660
  • Expected Shortfall on VaR
    0.03611
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89414
  • Quartile 1
    0.99718
  • Median
    1.00024
  • Quartile 3
    1.00233
  • Maximum
    1.09519
  • Mean of quarter 1
    0.97076
  • Mean of quarter 2
    0.99911
  • Mean of quarter 3
    1.00125
  • Mean of quarter 4
    1.00975
  • Inter Quartile Range
    0.00515
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.95883
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.04504
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.89539
  • VaR(95%) (moments method)
    0.02224
  • Expected Shortfall (moments method)
    0.23872
  • Extreme Value Index (regression method)
    0.34849
  • VaR(95%) (regression method)
    0.02216
  • Expected Shortfall (regression method)
    0.04596
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00132
  • Median
    0.00823
  • Quartile 3
    0.01458
  • Maximum
    0.53682
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00506
  • Mean of quarter 3
    0.01091
  • Mean of quarter 4
    0.27754
  • Inter Quartile Range
    0.01327
  • 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
    0.14286
  • Mean of outliers high
    0.53682
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -258406000
  • Max Equity Drawdown (num days)
    50
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.97318
  • Compounded annual return (geometric extrapolation)
    -0.73641
  • Calmar ratio (compounded annual return / max draw down)
    -1.37180
  • Compounded annual return / average of 25% largest draw downs
    -2.65338
  • Compounded annual return / Expected Shortfall lognormal
    -14.60530

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
$15,000
Rank at C2 
#100
# Trades
156
# Profitable
87
% Profitable
55.8%
Net Dividends
Correlation S&P500
0.280
Sharpe Ratio
-0.94
Sortino Ratio
-1.24
Beta
0.25
Alpha
-0.08
Leverage
1.00 Average
3.60 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.