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AT Stock Trading
(123689650)

Created by: Andr3as Andr3as
Started: 05/2019
Stocks
Last trade: 12 days ago
Trading style: Equity Trend-following

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 $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
-23.8%
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.

(43.3%)
Max Drawdown
80
Num Trades
23.8%
Win Trades
0.6 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                            (0.5%)+3.6%+1.7%(1.1%)(0.5%)+0.4%+2.5%+6.3%+12.7%
2020+4.9%(10.7%)(25.7%)(2.8%)                                                (32.4%)

Model Account Details

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

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

Trading Record

This strategy has placed 1 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/19/20 9:41 RSG REPUBLIC SERVICES LONG 83 73.00 3/23 12:09 67.00 1.23%
Trade id #128136821
Max drawdown($494)
Time3/23/20 11:46
Quant open83
Worst price67.04
Drawdown as % of equity-1.23%
($500)
Includes Typical Broker Commissions trade costs of $1.66
3/12/20 9:53 CAH CARDINAL HEALTH LONG 133 43.51 3/23 11:46 39.89 1.19%
Trade id #128002069
Max drawdown($478)
Time3/23/20 11:46
Quant open133
Worst price39.91
Drawdown as % of equity-1.19%
($484)
Includes Typical Broker Commissions trade costs of $2.66
3/20/20 15:49 K KELLOGG LONG 200 55.74 3/23 11:45 53.25 1.21%
Trade id #128167151
Max drawdown($488)
Time3/23/20 11:44
Quant open200
Worst price53.30
Drawdown as % of equity-1.21%
($502)
Includes Typical Broker Commissions trade costs of $4.00
3/20/20 15:03 KLAC KLA CORP LONG 50 122.00 3/23 9:38 111.97 1.24%
Trade id #128166177
Max drawdown($499)
Time3/23/20 9:33
Quant open50
Worst price112.00
Drawdown as % of equity-1.24%
($503)
Includes Typical Broker Commissions trade costs of $1.00
3/20/20 9:32 RMD RESMED LONG 61 131.34 3/20 12:55 123.45 1.09%
Trade id #128157757
Max drawdown($447)
Time3/20/20 12:55
Quant open61
Worst price124.01
Drawdown as % of equity-1.09%
($482)
Includes Typical Broker Commissions trade costs of $1.22
3/12/20 9:30 SBAC SBA COMMUNICATIONS LONG 48 254.50 3/19 9:41 241.84 0.96%
Trade id #128001001
Max drawdown($430)
Time3/12/20 9:54
Quant open48
Worst price245.53
Drawdown as % of equity-0.96%
($609)
Includes Typical Broker Commissions trade costs of $0.96
3/16/20 9:45 ASML ASML HOLDING LONG 33 209.62 3/18 12:24 202.00 0.59%
Trade id #128062241
Max drawdown($246)
Time3/18/20 12:24
Quant open33
Worst price202.14
Drawdown as % of equity-0.59%
($252)
Includes Typical Broker Commissions trade costs of $0.66
3/12/20 9:30 STT STATE STREET LONG 125 50.15 3/17 9:39 47.45 0.72%
Trade id #128001113
Max drawdown($333)
Time3/12/20 10:24
Quant open125
Worst price47.48
Drawdown as % of equity-0.72%
($341)
Includes Typical Broker Commissions trade costs of $2.50
3/16/20 9:30 DG DOLLAR GENERAL LONG 63 134.51 3/16 9:47 126.00 1.27%
Trade id #128061593
Max drawdown($536)
Time3/16/20 9:47
Quant open63
Worst price126.00
Drawdown as % of equity-1.27%
($537)
Includes Typical Broker Commissions trade costs of $1.26
3/9/20 10:16 KEYS KEYSIGHT TECHNOLOGIES INC LONG 69 87.71 3/16 9:47 80.00 0.71%
Trade id #127919761
Max drawdown($371)
Time3/12/20 0:00
Quant open69
Worst price82.33
Drawdown as % of equity-0.71%
($533)
Includes Typical Broker Commissions trade costs of $1.38
2/28/20 9:30 JKHY JACK HENRY & ASSOCIATES LONG 75 151.89 3/16 9:46 145.02 1.05%
Trade id #127762810
Max drawdown($441)
Time3/16/20 9:46
Quant open75
Worst price146.00
Drawdown as % of equity-1.05%
($517)
Includes Typical Broker Commissions trade costs of $1.50
3/12/20 11:49 FTNT FORTINET LONG 67 79.73 3/16 9:45 72.11 0.58%
Trade id #128006922
Max drawdown($261)
Time3/12/20 16:00
Quant open67
Worst price75.82
Drawdown as % of equity-0.58%
($512)
Includes Typical Broker Commissions trade costs of $1.34
3/12/20 9:30 JNJ JOHNSON & JOHNSON LONG 92 130.00 3/16 9:30 123.56 1.28%
Trade id #128000840
Max drawdown($624)
Time3/16/20 9:30
Quant open92
Worst price123.21
Drawdown as % of equity-1.28%
($594)
Includes Typical Broker Commissions trade costs of $1.84
3/12/20 9:34 BLL BALL CORP LONG 167 64.01 3/13 10:57 61.24 1.67%
Trade id #128001273
Max drawdown($739)
Time3/13/20 0:00
Quant open167
Worst price59.58
Drawdown as % of equity-1.67%
($466)
Includes Typical Broker Commissions trade costs of $3.34
3/9/20 15:14 TMUS T-MOBILE US INC. COMMON STOCK LONG 171 81.10 3/12 14:36 77.60 1.25%
Trade id #127930036
Max drawdown($572)
Time3/12/20 14:35
Quant open171
Worst price77.75
Drawdown as % of equity-1.25%
($602)
Includes Typical Broker Commissions trade costs of $3.42
3/11/20 13:04 WAT WATERS LONG 30 185.13 3/12 12:10 168.64 1.09%
Trade id #127977866
Max drawdown($567)
Time3/12/20 0:00
Quant open30
Worst price166.22
Drawdown as % of equity-1.09%
($496)
Includes Typical Broker Commissions trade costs of $0.60
3/12/20 9:30 FBHS FORTUNE BRANDS HOME LONG 122 51.53 3/12 11:49 49.89 0.43%
Trade id #128001101
Max drawdown($192)
Time3/12/20 11:48
Quant open122
Worst price49.95
Drawdown as % of equity-0.43%
($202)
Includes Typical Broker Commissions trade costs of $2.44
3/12/20 9:30 EW EDWARDS LIFESCIENCES LONG 50 185.87 3/12 9:54 179.00 0.76%
Trade id #128001059
Max drawdown($340)
Time3/12/20 9:54
Quant open50
Worst price179.06
Drawdown as % of equity-0.76%
($345)
Includes Typical Broker Commissions trade costs of $1.00
3/11/20 15:03 YUM YUM BRANDS LONG 105 80.00 3/12 9:52 74.61 1.09%
Trade id #127980267
Max drawdown($565)
Time3/12/20 0:00
Quant open105
Worst price74.61
Drawdown as % of equity-1.09%
($568)
Includes Typical Broker Commissions trade costs of $2.10
3/9/20 9:32 DOV DOVER CORP LONG 63 93.91 3/12 9:30 88.45 0.2%
Trade id #127918163
Max drawdown($103)
Time3/9/20 14:45
Quant open63
Worst price92.26
Drawdown as % of equity-0.20%
($345)
Includes Typical Broker Commissions trade costs of $1.26
3/9/20 9:56 CMG CHIPOTLE MEXICAN GRILL LONG 13 662.33 3/12 9:30 587.02 0.83%
Trade id #127918950
Max drawdown($469)
Time3/11/20 0:00
Quant open13
Worst price626.19
Drawdown as % of equity-0.83%
($979)
Includes Typical Broker Commissions trade costs of $0.26
3/9/20 9:33 MCO MOODY'S LONG 46 218.00 3/12 9:30 200.34 0.92%
Trade id #127918276
Max drawdown($520)
Time3/11/20 0:00
Quant open46
Worst price206.68
Drawdown as % of equity-0.92%
($813)
Includes Typical Broker Commissions trade costs of $0.92
2/28/20 9:32 AVY AVERY DENNISON LONG 59 112.10 3/12 9:30 104.42 0.18%
Trade id #127763102
Max drawdown($100)
Time3/11/20 0:00
Quant open59
Worst price110.40
Drawdown as % of equity-0.18%
($454)
Includes Typical Broker Commissions trade costs of $1.18
3/12/20 9:30 CINF CINCINNATI FINANCIAL CORP LONG 125 83.73 3/12 9:30 83.73 n/a ($3)
Includes Typical Broker Commissions trade costs of $2.50
3/11/20 11:22 PLD PROLOGIS LONG 100 75.74 3/12 9:30 68.16 2.64%
Trade id #127975208
Max drawdown($1,373)
Time3/12/20 0:00
Quant open100
Worst price62.01
Drawdown as % of equity-2.64%
($760)
Includes Typical Broker Commissions trade costs of $2.00
2/28/20 10:29 TRV TRAVELERS COMPANIES LONG 50 119.00 3/12 9:30 105.91 1.25%
Trade id #127765989
Max drawdown($653)
Time3/12/20 9:30
Quant open50
Worst price105.93
Drawdown as % of equity-1.25%
($656)
Includes Typical Broker Commissions trade costs of $1.00
2/28/20 9:56 AWK AMERICAN WATER WORKS LONG 91 122.75 3/12 9:30 128.18 0.38%
Trade id #127764392
Max drawdown($193)
Time2/28/20 10:20
Quant open91
Worst price120.62
Drawdown as % of equity-0.38%
$492
Includes Typical Broker Commissions trade costs of $1.82
10/18/19 11:50 EL ESTEE LAUDER COS LONG 36 184.00 3/11/20 15:12 170.00 0.97%
Trade id #125854801
Max drawdown($502)
Time3/11/20 15:10
Quant open36
Worst price170.04
Drawdown as % of equity-0.97%
($505)
Includes Typical Broker Commissions trade costs of $0.72
2/28/20 9:30 XEL XCEL ENERGY LONG 240 63.50 3/11 14:24 67.43 1.05%
Trade id #127762827
Max drawdown($540)
Time2/28/20 10:20
Quant open240
Worst price61.25
Drawdown as % of equity-1.05%
$938
Includes Typical Broker Commissions trade costs of $4.80
3/9/20 9:50 ROST ROSS STORES LONG 63 95.47 3/11 14:24 98.87 0.13%
Trade id #127918610
Max drawdown($66)
Time3/9/20 16:00
Quant open63
Worst price94.41
Drawdown as % of equity-0.13%
$213
Includes Typical Broker Commissions trade costs of $1.26

Statistics

  • Strategy began
    5/16/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    324.5
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    80
  • # Profitable
    19
  • % Profitable
    23.80%
  • Avg trade duration
    32.2 days
  • Max peak-to-valley drawdown
    43.34%
  • drawdown period
    Feb 20, 2020 - April 04, 2020
  • Cumul. Return
    -23.8%
  • Avg win
    $876.32
  • Avg loss
    $473.62
  • Model Account Values (Raw)
  • Cash
    $53,245
  • Margin Used
    $28,058
  • Buying Power
    $28,822
  • Ratios
  • W:L ratio
    0.62:1
  • Sharpe Ratio
    -0.98
  • Sortino Ratio
    -1.09
  • Calmar Ratio
    -0.629
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -10.35%
  • Correlation to SP500
    0.55380
  • Return Percent SP500 (cumu) during strategy life
    -13.48%
  • Return Statistics
  • Ann Return (w trading costs)
    -26.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.77%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.238%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -23.0%
  • 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)
    0
  • Popularity (Last 6 weeks)
    877
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    860
  • 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
    $474
  • Avg Win
    $954
  • Sum Trade PL (losers)
    $28,891.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $18,128.000
  • # Winners
    19
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    382
  • Win / Loss
  • # Losers
    61
  • % Winners
    23.8%
  • Frequency
  • Avg Position Time (mins)
    46318.80
  • Avg Position Time (hrs)
    771.98
  • Avg Trade Length
    32.2 days
  • Last Trade Ago
    12
  • Leverage
  • Daily leverage (average)
    1.03
  • Daily leverage (max)
    2.47
  • Regression
  • Alpha
    -0.07
  • Beta
    0.45
  • Treynor Index
    -0.19
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    13.84
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    22.11
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.76
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -2.408
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.185
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.013
  • Hold-and-Hope Ratio
    -0.366
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03328
  • SD
    0.34492
  • Sharpe ratio (Glass type estimate)
    -0.09649
  • Sharpe ratio (Hedges UMVUE)
    -0.08710
  • df
    8.00000
  • t
    -0.08357
  • p
    0.53227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.35724
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17009
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.35068
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17647
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.11588
  • Upside Potential Ratio
    1.04472
  • Upside part of mean
    0.30006
  • Downside part of mean
    -0.33335
  • Upside SD
    0.15281
  • Downside SD
    0.28722
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.07142
  • Mean of criterion
    -0.03328
  • SD of predictor
    0.26607
  • SD of criterion
    0.34492
  • Covariance
    0.08642
  • r
    0.94162
  • b (slope, estimate of beta)
    1.22068
  • a (intercept, estimate of alpha)
    0.05390
  • Mean Square Error
    0.01541
  • DF error
    7.00000
  • t(b)
    7.39954
  • p(b)
    0.00007
  • t(a)
    0.37476
  • p(a)
    0.35947
  • Lowerbound of 95% confidence interval for beta
    0.83059
  • Upperbound of 95% confidence interval for beta
    1.61077
  • Lowerbound of 95% confidence interval for alpha
    -0.28622
  • Upperbound of 95% confidence interval for alpha
    0.39403
  • Treynor index (mean / b)
    -0.02727
  • Jensen alpha (a)
    0.05390
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09356
  • SD
    0.38086
  • Sharpe ratio (Glass type estimate)
    -0.24566
  • Sharpe ratio (Hedges UMVUE)
    -0.22175
  • df
    8.00000
  • t
    -0.21274
  • p
    0.58158
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02805
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.48753
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04402
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28407
  • Upside Potential Ratio
    0.87577
  • Upside part of mean
    0.28844
  • Downside part of mean
    -0.38200
  • Upside SD
    0.14556
  • Downside SD
    0.32936
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.10682
  • Mean of criterion
    -0.09356
  • SD of predictor
    0.28988
  • SD of criterion
    0.38086
  • Covariance
    0.10554
  • r
    0.95594
  • b (slope, estimate of beta)
    1.25594
  • a (intercept, estimate of alpha)
    0.04060
  • Mean Square Error
    0.01429
  • DF error
    7.00000
  • t(b)
    8.61519
  • p(b)
    0.00003
  • t(a)
    0.29233
  • p(a)
    0.38925
  • Lowerbound of 95% confidence interval for beta
    0.91122
  • Upperbound of 95% confidence interval for beta
    1.60066
  • Lowerbound of 95% confidence interval for alpha
    -0.28783
  • Upperbound of 95% confidence interval for alpha
    0.36904
  • Treynor index (mean / b)
    -0.07449
  • Jensen alpha (a)
    0.04060
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17191
  • Expected Shortfall on VaR
    0.20845
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03290
  • Expected Shortfall on VaR
    0.08619
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.75359
  • Quartile 1
    1.00458
  • Median
    1.00718
  • Quartile 3
    1.03542
  • Maximum
    1.11610
  • Mean of quarter 1
    0.91974
  • Mean of quarter 2
    1.00595
  • Mean of quarter 3
    1.02442
  • Mean of quarter 4
    1.08801
  • Inter Quartile Range
    0.03084
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.75359
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.11610
  • 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
    1.00000
  • Minimum
    0.24641
  • Quartile 1
    0.24641
  • Median
    0.24641
  • Quartile 3
    0.24641
  • Maximum
    0.24641
  • 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)
    -0.06406
  • Compounded annual return (geometric extrapolation)
    -0.06354
  • Calmar ratio (compounded annual return / max draw down)
    -0.25788
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.30484
  • 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
    -0.28264
  • SD
    0.23296
  • Sharpe ratio (Glass type estimate)
    -1.21323
  • Sharpe ratio (Hedges UMVUE)
    -1.20891
  • df
    211.00000
  • t
    -1.09134
  • p
    0.86181
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.39375
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97013
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.39083
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97301
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.34472
  • Upside Potential Ratio
    3.65409
  • Upside part of mean
    0.76803
  • Downside part of mean
    -1.05067
  • Upside SD
    0.10072
  • Downside SD
    0.21018
  • N nonnegative terms
    117.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    212.00000
  • Mean of predictor
    -0.14978
  • Mean of criterion
    -0.28264
  • SD of predictor
    0.33639
  • SD of criterion
    0.23296
  • Covariance
    0.04107
  • r
    0.52410
  • b (slope, estimate of beta)
    0.36296
  • a (intercept, estimate of alpha)
    -0.22800
  • Mean Square Error
    0.03955
  • DF error
    210.00000
  • t(b)
    8.91788
  • p(b)
    0.00000
  • t(a)
    -1.03211
  • p(a)
    0.84840
  • Lowerbound of 95% confidence interval for beta
    0.28273
  • Upperbound of 95% confidence interval for beta
    0.44319
  • Lowerbound of 95% confidence interval for alpha
    -0.66428
  • Upperbound of 95% confidence interval for alpha
    0.20773
  • Treynor index (mean / b)
    -0.77870
  • Jensen alpha (a)
    -0.22828
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31096
  • SD
    0.24062
  • Sharpe ratio (Glass type estimate)
    -1.29237
  • Sharpe ratio (Hedges UMVUE)
    -1.28777
  • df
    211.00000
  • t
    -1.16253
  • p
    0.87683
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.47323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89147
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.47010
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89455
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41770
  • Upside Potential Ratio
    3.47839
  • Upside part of mean
    0.76297
  • Downside part of mean
    -1.07393
  • Upside SD
    0.09940
  • Downside SD
    0.21935
  • N nonnegative terms
    117.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    212.00000
  • Mean of predictor
    -0.20682
  • Mean of criterion
    -0.31096
  • SD of predictor
    0.33962
  • SD of criterion
    0.24062
  • Covariance
    0.04403
  • r
    0.53877
  • b (slope, estimate of beta)
    0.38171
  • a (intercept, estimate of alpha)
    -0.23202
  • Mean Square Error
    0.04129
  • DF error
    210.00000
  • t(b)
    9.26757
  • p(b)
    0.00000
  • t(a)
    -1.02643
  • p(a)
    0.84707
  • Lowerbound of 95% confidence interval for beta
    0.30051
  • Upperbound of 95% confidence interval for beta
    0.46290
  • Lowerbound of 95% confidence interval for alpha
    -0.67763
  • Upperbound of 95% confidence interval for alpha
    0.21359
  • Treynor index (mean / b)
    -0.81467
  • Jensen alpha (a)
    -0.23202
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02531
  • Expected Shortfall on VaR
    0.03133
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00826
  • Expected Shortfall on VaR
    0.01895
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    212.00000
  • Minimum
    0.87465
  • Quartile 1
    0.99762
  • Median
    1.00065
  • Quartile 3
    1.00431
  • Maximum
    1.05071
  • Mean of quarter 1
    0.98485
  • Mean of quarter 2
    0.99939
  • Mean of quarter 3
    1.00218
  • Mean of quarter 4
    1.00969
  • Inter Quartile Range
    0.00669
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.07075
  • Mean of outliers low
    0.96200
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.03774
  • Mean of outliers high
    1.02274
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.84660
  • VaR(95%) (moments method)
    0.01349
  • Expected Shortfall (moments method)
    0.09502
  • Extreme Value Index (regression method)
    0.65554
  • VaR(95%) (regression method)
    0.01166
  • Expected Shortfall (regression method)
    0.03824
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00148
  • Median
    0.01002
  • Quartile 3
    0.01309
  • Maximum
    0.39218
  • Mean of quarter 1
    0.00067
  • Mean of quarter 2
    0.00630
  • Mean of quarter 3
    0.01086
  • Mean of quarter 4
    0.11612
  • Inter Quartile Range
    0.01161
  • 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
    0.11765
  • Mean of outliers high
    0.21380
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.27190
  • VaR(95%) (moments method)
    0.09303
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.76588
  • VaR(95%) (regression method)
    0.15812
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.25298
  • Compounded annual return (geometric extrapolation)
    -0.24652
  • Calmar ratio (compounded annual return / max draw down)
    -0.62860
  • Compounded annual return / average of 25% largest draw downs
    -2.12297
  • Compounded annual return / Expected Shortfall lognormal
    -7.86785
  • 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
    -0.52717
  • SD
    0.29223
  • Sharpe ratio (Glass type estimate)
    -1.80395
  • Sharpe ratio (Hedges UMVUE)
    -1.79352
  • df
    130.00000
  • t
    -1.27558
  • p
    0.55559
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.58103
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97991
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.57389
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98684
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.98308
  • Upside Potential Ratio
    3.73321
  • Upside part of mean
    0.99242
  • Downside part of mean
    -1.51958
  • Upside SD
    0.12305
  • Downside SD
    0.26583
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.27635
  • Mean of criterion
    -0.52717
  • SD of predictor
    0.41096
  • SD of criterion
    0.29223
  • Covariance
    0.06407
  • r
    0.53353
  • b (slope, estimate of beta)
    0.37939
  • a (intercept, estimate of alpha)
    -0.42233
  • Mean Square Error
    0.06156
  • DF error
    129.00000
  • t(b)
    7.16461
  • p(b)
    0.17723
  • t(a)
    -1.20252
  • p(a)
    0.56690
  • Lowerbound of 95% confidence interval for beta
    0.27462
  • Upperbound of 95% confidence interval for beta
    0.48416
  • Lowerbound of 95% confidence interval for alpha
    -1.11718
  • Upperbound of 95% confidence interval for alpha
    0.27253
  • Treynor index (mean / b)
    -1.38952
  • Jensen alpha (a)
    -0.42233
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.57195
  • SD
    0.30199
  • Sharpe ratio (Glass type estimate)
    -1.89394
  • Sharpe ratio (Hedges UMVUE)
    -1.88299
  • df
    130.00000
  • t
    -1.33922
  • p
    0.55833
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.67166
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89092
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.66423
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89825
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.06077
  • Upside Potential Ratio
    3.54856
  • Upside part of mean
    0.98488
  • Downside part of mean
    -1.55684
  • Upside SD
    0.12133
  • Downside SD
    0.27754
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.36141
  • Mean of criterion
    -0.57195
  • SD of predictor
    0.41519
  • SD of criterion
    0.30199
  • Covariance
    0.06878
  • r
    0.54854
  • b (slope, estimate of beta)
    0.39899
  • a (intercept, estimate of alpha)
    -0.42775
  • Mean Square Error
    0.06425
  • DF error
    129.00000
  • t(b)
    7.45128
  • p(b)
    0.16919
  • t(a)
    -1.19153
  • p(a)
    0.56630
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.29304
  • Upperbound of 95% confidence interval for beta
    0.50493
  • Lowerbound of 95% confidence interval for alpha
    -1.13804
  • Upperbound of 95% confidence interval for alpha
    0.28253
  • Treynor index (mean / b)
    -1.43351
  • Jensen alpha (a)
    -0.42775
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03234
  • Expected Shortfall on VaR
    0.03983
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01151
  • Expected Shortfall on VaR
    0.02596
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87465
  • Quartile 1
    0.99569
  • Median
    1.00112
  • Quartile 3
    1.00548
  • Maximum
    1.05071
  • Mean of quarter 1
    0.97827
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00316
  • Mean of quarter 4
    1.01201
  • Inter Quartile Range
    0.00979
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.95400
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.04258
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.62499
  • VaR(95%) (moments method)
    0.01897
  • Expected Shortfall (moments method)
    0.05775
  • Extreme Value Index (regression method)
    0.47618
  • VaR(95%) (regression method)
    0.01951
  • Expected Shortfall (regression method)
    0.04528
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00215
  • Median
    0.00754
  • Quartile 3
    0.01649
  • Maximum
    0.39218
  • Mean of quarter 1
    0.00099
  • Mean of quarter 2
    0.00390
  • Mean of quarter 3
    0.01141
  • Mean of quarter 4
    0.14998
  • Inter Quartile Range
    0.01435
  • 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
    0.39218
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.20606
  • VaR(95%) (moments method)
    0.12313
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.76825
  • VaR(95%) (regression method)
    0.50080
  • 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?
    -257447000
  • Max Equity Drawdown (num days)
    44
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.47633
  • Compounded annual return (geometric extrapolation)
    -0.41961
  • Calmar ratio (compounded annual return / max draw down)
    -1.06993
  • Compounded annual return / average of 25% largest draw downs
    -2.79773
  • Compounded annual return / Expected Shortfall lognormal
    -10.53530

Strategy Description

Trading the S&P500, NDX and DJI constituents based on multi time frame trend analysis.

Please beware that this is a long term trading strategy. You will receive trade signals weeks, even months ahead of time. I do not send out "At Market" trades where the strategy entered a trade and send out a signal afterwards.

That means you have plenty of time to even trade this manually.

Summary Statistics

Strategy began
2019-05-16
Suggested Minimum Capital
$35,000
Rank at C2 
#86
# Trades
80
# Profitable
19
% Profitable
23.8%
Net Dividends
Correlation S&P500
0.554
Sharpe Ratio
-0.98
Sortino Ratio
-1.09
Beta
0.45
Alpha
-0.07
Leverage
1.03 Average
2.47 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.

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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.