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Pick a Stock
(123821047)

Created by: QuantWizard QuantWizard
Started: 05/2019
Stocks
Last trade: 8 days ago
Trading style: Equity Non-hedged Equity

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $129.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
-7.5%
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.

(25.8%)
Max Drawdown
65
Num Trades
53.8%
Win Trades
1.2 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                            (1.2%)+3.7%(2%)+0.5%+1.4%+3.2%+0.3%+1.9%+7.9%
2020+2.5%(7%)(11.1%)+1.2%                                                (14.3%)

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/23/20 9:30 SJM J.M. SMUCKER LONG 20 103.66 3/30 9:30 104.30 0.48%
Trade id #128189609
Max drawdown($205)
Time3/23/20 15:31
Quant open20
Worst price93.41
Drawdown as % of equity-0.48%
$13
Includes Typical Broker Commissions trade costs of $0.40
3/23/20 9:30 WLTW WILLIS TOWERS WATSON PUBLIC LTD LONG 20 152.18 3/30 9:30 168.83 0.42%
Trade id #128189599
Max drawdown($176)
Time3/23/20 15:37
Quant open20
Worst price143.34
Drawdown as % of equity-0.42%
$333
Includes Typical Broker Commissions trade costs of $0.40
3/16/20 9:31 EXPD EXPEDITORS INTERNATIONAL LONG 50 57.85 3/30 9:30 65.52 0.61%
Trade id #128061783
Max drawdown($265)
Time3/23/20 0:00
Quant open50
Worst price52.55
Drawdown as % of equity-0.61%
$383
Includes Typical Broker Commissions trade costs of $1.00
3/16/20 9:31 ED CONSOLIDATED EDISON LONG 10 82.65 3/23 9:30 72.50 0.26%
Trade id #128061796
Max drawdown($115)
Time3/20/20 0:00
Quant open10
Worst price71.07
Drawdown as % of equity-0.26%
($102)
Includes Typical Broker Commissions trade costs of $0.20
3/16/20 9:46 JKHY JACK HENRY & ASSOCIATES LONG 50 148.00 3/23 9:30 134.41 1.97%
Trade id #128062392
Max drawdown($885)
Time3/20/20 0:00
Quant open50
Worst price130.30
Drawdown as % of equity-1.97%
($681)
Includes Typical Broker Commissions trade costs of $1.00
3/9/20 10:30 DG DOLLAR GENERAL LONG 30 150.79 3/23 9:30 139.88 1.58%
Trade id #127920249
Max drawdown($773)
Time3/16/20 0:00
Quant open30
Worst price125.00
Drawdown as % of equity-1.58%
($328)
Includes Typical Broker Commissions trade costs of $0.60
3/16/20 9:47 HRL HORMEL FOODS LONG 70 39.80 3/23 9:30 45.30 0.08%
Trade id #128062445
Max drawdown($34)
Time3/16/20 10:05
Quant open70
Worst price39.30
Drawdown as % of equity-0.08%
$384
Includes Typical Broker Commissions trade costs of $1.40
3/16/20 9:31 MMC MARSH & MCLENNAN LONG 60 88.56 3/23 9:30 78.40 1.63%
Trade id #128061780
Max drawdown($766)
Time3/18/20 0:00
Quant open60
Worst price75.79
Drawdown as % of equity-1.63%
($611)
Includes Typical Broker Commissions trade costs of $1.20
9/3/19 9:35 KMI KINDER MORGAN LONG 160 20.02 3/23/20 9:30 13.30 2.78%
Trade id #125194127
Max drawdown($1,271)
Time3/19/20 0:00
Quant open120
Worst price9.42
Drawdown as % of equity-2.78%
($1,077)
Includes Typical Broker Commissions trade costs of $3.20
5/28/19 9:36 RSG REPUBLIC SERVICES LONG 110 85.60 3/16/20 9:56 83.15 1.12%
Trade id #123842717
Max drawdown($496)
Time3/16/20 9:56
Quant open50
Worst price75.68
Drawdown as % of equity-1.12%
($272)
Includes Typical Broker Commissions trade costs of $2.20
3/9/20 10:30 PPG PPG INDUSTRIES LONG 10 95.79 3/16 9:49 82.93 0.19%
Trade id #127920245
Max drawdown($93)
Time3/12/20 0:00
Quant open10
Worst price86.44
Drawdown as % of equity-0.19%
($129)
Includes Typical Broker Commissions trade costs of $0.20
3/9/20 10:30 ARE ALEXANDRIA REAL ESTATE LONG 10 153.36 3/16 9:47 134.33 0.49%
Trade id #127920243
Max drawdown($217)
Time3/16/20 9:47
Quant open10
Worst price131.64
Drawdown as % of equity-0.49%
($190)
Includes Typical Broker Commissions trade costs of $0.20
3/9/20 10:30 ATO ATMOS ENERGY LONG 10 107.11 3/16 9:45 92.87 0.33%
Trade id #127920247
Max drawdown($166)
Time3/12/20 0:00
Quant open10
Worst price90.51
Drawdown as % of equity-0.33%
($142)
Includes Typical Broker Commissions trade costs of $0.20
1/27/20 9:32 PAYX PAYCHEX LONG 120 88.13 3/16 9:31 63.61 6.06%
Trade id #127231188
Max drawdown($2,966)
Time3/16/20 9:31
Quant open120
Worst price63.41
Drawdown as % of equity-6.06%
($2,945)
Includes Typical Broker Commissions trade costs of $2.40
10/14/19 9:30 BRK.B BERKSHIRE HATHAWAY LONG 50 214.07 3/16/20 9:31 191.20 2.45%
Trade id #125763867
Max drawdown($1,202)
Time3/16/20 9:31
Quant open30
Worst price174.00
Drawdown as % of equity-2.45%
($1,145)
Includes Typical Broker Commissions trade costs of $1.00
3/9/20 10:30 PEP PEPSICO LONG 30 130.18 3/16 9:31 114.69 0.99%
Trade id #127920253
Max drawdown($497)
Time3/12/20 0:00
Quant open30
Worst price113.59
Drawdown as % of equity-0.99%
($466)
Includes Typical Broker Commissions trade costs of $0.60
11/18/19 9:30 MCD MCDONALD'S LONG 20 194.20 3/9/20 10:30 187.67 0.33%
Trade id #126250262
Max drawdown($174)
Time3/9/20 9:31
Quant open20
Worst price185.50
Drawdown as % of equity-0.33%
($131)
Includes Typical Broker Commissions trade costs of $0.40
3/2/20 9:30 UDR UDR LONG 30 45.33 3/9 10:30 46.50 0.01%
Trade id #127802379
Max drawdown($4)
Time3/2/20 10:23
Quant open30
Worst price45.18
Drawdown as % of equity-0.01%
$34
Includes Typical Broker Commissions trade costs of $0.60
2/18/20 9:34 WMT WALMART INC LONG 40 118.47 3/9 10:30 112.27 1.08%
Trade id #127571894
Max drawdown($564)
Time2/28/20 0:00
Quant open40
Worst price104.37
Drawdown as % of equity-1.08%
($249)
Includes Typical Broker Commissions trade costs of $0.80
2/18/20 9:34 FE FIRSTENERGY LONG 30 52.39 3/9 10:30 43.52 0.75%
Trade id #127571896
Max drawdown($394)
Time3/9/20 9:52
Quant open30
Worst price39.25
Drawdown as % of equity-0.75%
($267)
Includes Typical Broker Commissions trade costs of $0.60
2/18/20 9:34 ECL ECOLAB LONG 10 207.18 3/9 10:30 182.75 0.64%
Trade id #127571892
Max drawdown($331)
Time2/28/20 0:00
Quant open10
Worst price174.01
Drawdown as % of equity-0.64%
($244)
Includes Typical Broker Commissions trade costs of $0.20
2/18/20 9:34 AIV APARTMENT INVESTMENT LONG 30 54.97 3/2 9:30 47.95 0.5%
Trade id #127571898
Max drawdown($259)
Time2/28/20 0:00
Quant open30
Worst price46.31
Drawdown as % of equity-0.50%
($212)
Includes Typical Broker Commissions trade costs of $0.60
12/16/19 9:30 VMC VULCAN MATERIALS LONG 10 143.86 2/18/20 9:34 142.74 0.1%
Trade id #126637522
Max drawdown($58)
Time1/28/20 0:00
Quant open10
Worst price138.06
Drawdown as % of equity-0.10%
($11)
Includes Typical Broker Commissions trade costs of $0.20
12/2/19 9:30 SYY SYSCO LONG 60 80.77 2/18/20 9:34 79.32 0.57%
Trade id #126439094
Max drawdown($318)
Time2/5/20 0:00
Quant open50
Worst price74.39
Drawdown as % of equity-0.57%
($88)
Includes Typical Broker Commissions trade costs of $1.20
2/3/20 9:31 DUK DUKE ENERGY LONG 20 97.63 2/18 9:34 101.65 0.07%
Trade id #127333910
Max drawdown($38)
Time2/10/20 0:00
Quant open20
Worst price95.71
Drawdown as % of equity-0.07%
$80
Includes Typical Broker Commissions trade costs of $0.40
2/3/20 9:31 AVB AVALONBAY COMMUNITIES LONG 10 217.32 2/18 9:34 228.06 0.03%
Trade id #127333919
Max drawdown($16)
Time2/6/20 0:00
Quant open10
Worst price215.68
Drawdown as % of equity-0.03%
$107
Includes Typical Broker Commissions trade costs of $0.20
1/27/20 9:32 FE FIRSTENERGY LONG 30 50.42 2/3 9:31 50.96 0.02%
Trade id #127231192
Max drawdown($11)
Time1/27/20 10:35
Quant open30
Worst price50.03
Drawdown as % of equity-0.02%
$15
Includes Typical Broker Commissions trade costs of $0.60
7/1/19 9:35 EQR EQUITY RESIDENTIAL LONG 20 80.50 2/3/20 9:31 83.35 0.03%
Trade id #124287487
Max drawdown($15)
Time7/1/19 11:07
Quant open10
Worst price74.83
Drawdown as % of equity-0.03%
$57
Includes Typical Broker Commissions trade costs of $0.40
9/3/19 9:35 EVRG EVERGY INC LONG 30 65.03 1/27/20 9:32 71.28 0.17%
Trade id #125194110
Max drawdown($91)
Time12/12/19 0:00
Quant open30
Worst price61.97
Drawdown as % of equity-0.17%
$187
Includes Typical Broker Commissions trade costs of $0.60
9/3/19 9:35 CTXS CITRIX SYSTEMS LONG 110 92.34 1/27/20 9:31 123.86 0.05%
Trade id #125194108
Max drawdown($25)
Time9/3/19 14:34
Quant open110
Worst price92.11
Drawdown as % of equity-0.05%
$3,465
Includes Typical Broker Commissions trade costs of $2.20

Statistics

  • Strategy began
    5/25/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    317.81
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    65
  • # Profitable
    35
  • % Profitable
    53.80%
  • Avg trade duration
    49.7 days
  • Max peak-to-valley drawdown
    25.75%
  • drawdown period
    Feb 20, 2020 - March 23, 2020
  • Cumul. Return
    -7.5%
  • Avg win
    $391.57
  • Avg loss
    $684.40
  • Model Account Values (Raw)
  • Cash
    $34,477
  • Margin Used
    $0
  • Buying Power
    $34,709
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    -0.53
  • Sortino Ratio
    -0.62
  • Calmar Ratio
    -0.201
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -1.73%
  • Correlation to SP500
    0.68140
  • Return Percent SP500 (cumu) during strategy life
    -5.75%
  • Return Statistics
  • Ann Return (w trading costs)
    -8.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.25%
  • 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)
    -0.075%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -5.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.50%
  • 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)
    770
  • Trading Style
  • Any stock shorts? 0/1
    0
  • 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
    $710
  • Avg Win
    $399
  • Sum Trade PL (losers)
    $21,310.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $13,953.000
  • # Winners
    35
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    5105
  • Win / Loss
  • # Losers
    30
  • % Winners
    53.9%
  • Frequency
  • Avg Position Time (mins)
    71566.20
  • Avg Position Time (hrs)
    1192.77
  • Avg Trade Length
    49.7 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    0.96
  • Daily leverage (max)
    1.09
  • Regression
  • Alpha
    -0.03
  • Beta
    0.36
  • Treynor Index
    -0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.67
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -1.796
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.375
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.882
  • Hold-and-Hope Ratio
    -0.549
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08217
  • SD
    0.18789
  • Sharpe ratio (Glass type estimate)
    -0.43733
  • Sharpe ratio (Hedges UMVUE)
    -0.39966
  • df
    9.00000
  • t
    -0.39923
  • p
    0.65048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.58179
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73074
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.55462
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75529
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.48910
  • Upside Potential Ratio
    0.90924
  • Upside part of mean
    0.15275
  • Downside part of mean
    -0.23492
  • Upside SD
    0.06411
  • Downside SD
    0.16800
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.12163
  • Mean of criterion
    -0.08217
  • SD of predictor
    0.24429
  • SD of criterion
    0.18789
  • Covariance
    0.04409
  • r
    0.96061
  • b (slope, estimate of beta)
    0.73882
  • a (intercept, estimate of alpha)
    0.00769
  • Mean Square Error
    0.00307
  • DF error
    8.00000
  • t(b)
    9.77630
  • p(b)
    0.00001
  • t(a)
    0.12537
  • p(a)
    0.45166
  • Lowerbound of 95% confidence interval for beta
    0.56455
  • Upperbound of 95% confidence interval for beta
    0.91309
  • Lowerbound of 95% confidence interval for alpha
    -0.13381
  • Upperbound of 95% confidence interval for alpha
    0.14920
  • Treynor index (mean / b)
    -0.11122
  • Jensen alpha (a)
    0.00769
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09955
  • SD
    0.19977
  • Sharpe ratio (Glass type estimate)
    -0.49831
  • Sharpe ratio (Hedges UMVUE)
    -0.45540
  • df
    9.00000
  • t
    -0.45489
  • p
    0.67002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.64387
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67413
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.61271
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70192
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.54990
  • Upside Potential Ratio
    0.83076
  • Upside part of mean
    0.15039
  • Downside part of mean
    -0.24994
  • Upside SD
    0.06302
  • Downside SD
    0.18103
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.15208
  • Mean of criterion
    -0.09955
  • SD of predictor
    0.26524
  • SD of criterion
    0.19977
  • Covariance
    0.05123
  • r
    0.96681
  • b (slope, estimate of beta)
    0.72817
  • a (intercept, estimate of alpha)
    0.01119
  • Mean Square Error
    0.00293
  • DF error
    8.00000
  • t(b)
    10.70230
  • p(b)
    0.00000
  • t(a)
    0.18591
  • p(a)
    0.42857
  • Lowerbound of 95% confidence interval for beta
    0.57127
  • Upperbound of 95% confidence interval for beta
    0.88506
  • Lowerbound of 95% confidence interval for alpha
    -0.12764
  • Upperbound of 95% confidence interval for alpha
    0.15002
  • Treynor index (mean / b)
    -0.13671
  • Jensen alpha (a)
    0.01119
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09801
  • Expected Shortfall on VaR
    0.11929
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03805
  • Expected Shortfall on VaR
    0.08328
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.85248
  • Quartile 1
    0.98979
  • Median
    1.01116
  • Quartile 3
    1.02445
  • Maximum
    1.03763
  • Mean of quarter 1
    0.93753
  • Mean of quarter 2
    1.00394
  • Mean of quarter 3
    1.01721
  • Mean of quarter 4
    1.03331
  • Inter Quartile Range
    0.03467
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.85248
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51842
  • VaR(95%) (moments method)
    0.05608
  • Expected Shortfall (moments method)
    0.14459
  • Extreme Value Index (regression method)
    2.33789
  • VaR(95%) (regression method)
    0.22031
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01394
  • Quartile 1
    0.05286
  • Median
    0.09179
  • Quartile 3
    0.13072
  • Maximum
    0.16965
  • Mean of quarter 1
    0.01394
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16965
  • Inter Quartile Range
    0.07786
  • 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)
    -0.06955
  • Compounded annual return (geometric extrapolation)
    -0.06914
  • Calmar ratio (compounded annual return / max draw down)
    -0.40753
  • Compounded annual return / average of 25% largest draw downs
    -0.40753
  • Compounded annual return / Expected Shortfall lognormal
    -0.57958
  • 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
    -0.06624
  • SD
    0.15164
  • Sharpe ratio (Glass type estimate)
    -0.43684
  • Sharpe ratio (Hedges UMVUE)
    -0.43535
  • df
    220.00000
  • t
    -0.40121
  • p
    0.65567
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.57084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.56978
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69908
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.51495
  • Upside Potential Ratio
    5.31614
  • Upside part of mean
    0.68386
  • Downside part of mean
    -0.75011
  • Upside SD
    0.07975
  • Downside SD
    0.12864
  • N nonnegative terms
    125.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    221.00000
  • Mean of predictor
    -0.03071
  • Mean of criterion
    -0.06624
  • SD of predictor
    0.33783
  • SD of criterion
    0.15164
  • Covariance
    0.03425
  • r
    0.66864
  • b (slope, estimate of beta)
    0.30013
  • a (intercept, estimate of alpha)
    -0.05700
  • Mean Square Error
    0.01277
  • DF error
    219.00000
  • t(b)
    13.30700
  • p(b)
    -0.00000
  • t(a)
    -0.46341
  • p(a)
    0.67824
  • Lowerbound of 95% confidence interval for beta
    0.25568
  • Upperbound of 95% confidence interval for beta
    0.34458
  • Lowerbound of 95% confidence interval for alpha
    -0.29955
  • Upperbound of 95% confidence interval for alpha
    0.18550
  • Treynor index (mean / b)
    -0.22071
  • Jensen alpha (a)
    -0.05702
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07788
  • SD
    0.15351
  • Sharpe ratio (Glass type estimate)
    -0.50731
  • Sharpe ratio (Hedges UMVUE)
    -0.50558
  • df
    220.00000
  • t
    -0.46593
  • p
    0.67914
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.64130
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62783
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.64014
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62898
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.59339
  • Upside Potential Ratio
    5.18614
  • Upside part of mean
    0.68065
  • Downside part of mean
    -0.75852
  • Upside SD
    0.07910
  • Downside SD
    0.13124
  • N nonnegative terms
    125.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    221.00000
  • Mean of predictor
    -0.08809
  • Mean of criterion
    -0.07788
  • SD of predictor
    0.34052
  • SD of criterion
    0.15351
  • Covariance
    0.03529
  • r
    0.67506
  • b (slope, estimate of beta)
    0.30433
  • a (intercept, estimate of alpha)
    -0.05107
  • Mean Square Error
    0.01289
  • DF error
    219.00000
  • t(b)
    13.54080
  • p(b)
    -0.00000
  • t(a)
    -0.41315
  • p(a)
    0.66005
  • Lowerbound of 95% confidence interval for beta
    0.26003
  • Upperbound of 95% confidence interval for beta
    0.34862
  • Lowerbound of 95% confidence interval for alpha
    -0.29469
  • Upperbound of 95% confidence interval for alpha
    0.19255
  • Treynor index (mean / b)
    -0.25590
  • Jensen alpha (a)
    -0.05107
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01577
  • Expected Shortfall on VaR
    0.01966
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00583
  • Expected Shortfall on VaR
    0.01302
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    221.00000
  • Minimum
    0.93335
  • Quartile 1
    0.99752
  • Median
    1.00107
  • Quartile 3
    1.00388
  • Maximum
    1.03129
  • Mean of quarter 1
    0.98954
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.00242
  • Mean of quarter 4
    1.00815
  • Inter Quartile Range
    0.00636
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.97255
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.01810
  • Mean of outliers high
    1.02438
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.73391
  • VaR(95%) (moments method)
    0.01051
  • Expected Shortfall (moments method)
    0.04252
  • Extreme Value Index (regression method)
    0.56600
  • VaR(95%) (regression method)
    0.00881
  • Expected Shortfall (regression method)
    0.02257
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00051
  • Quartile 1
    0.00166
  • Median
    0.00374
  • Quartile 3
    0.01159
  • Maximum
    0.24233
  • Mean of quarter 1
    0.00106
  • Mean of quarter 2
    0.00277
  • Mean of quarter 3
    0.00606
  • Mean of quarter 4
    0.06910
  • Inter Quartile Range
    0.00994
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15790
  • Mean of outliers high
    0.10562
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.01627
  • VaR(95%) (moments method)
    0.06874
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.37740
  • VaR(95%) (regression method)
    0.10019
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04893
  • Compounded annual return (geometric extrapolation)
    -0.04874
  • Calmar ratio (compounded annual return / max draw down)
    -0.20114
  • Compounded annual return / average of 25% largest draw downs
    -0.70540
  • Compounded annual return / Expected Shortfall lognormal
    -2.47955
  • 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
    -0.14855
  • SD
    0.18454
  • Sharpe ratio (Glass type estimate)
    -0.80494
  • Sharpe ratio (Hedges UMVUE)
    -0.80029
  • df
    130.00000
  • t
    -0.56918
  • p
    0.52493
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.57703
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97004
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.57380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97322
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.92781
  • Upside Potential Ratio
    4.73983
  • Upside part of mean
    0.75886
  • Downside part of mean
    -0.90741
  • Upside SD
    0.09081
  • Downside SD
    0.16010
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11582
  • Mean of criterion
    -0.14855
  • SD of predictor
    0.42224
  • SD of criterion
    0.18454
  • Covariance
    0.05363
  • r
    0.68828
  • b (slope, estimate of beta)
    0.30081
  • a (intercept, estimate of alpha)
    -0.11371
  • Mean Square Error
    0.01806
  • DF error
    129.00000
  • t(b)
    10.77590
  • p(b)
    0.09943
  • t(a)
    -0.59817
  • p(a)
    0.53347
  • Lowerbound of 95% confidence interval for beta
    0.24558
  • Upperbound of 95% confidence interval for beta
    0.35604
  • Lowerbound of 95% confidence interval for alpha
    -0.48980
  • Upperbound of 95% confidence interval for alpha
    0.26239
  • Treynor index (mean / b)
    -0.49381
  • Jensen alpha (a)
    -0.11371
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16579
  • SD
    0.18712
  • Sharpe ratio (Glass type estimate)
    -0.88601
  • Sharpe ratio (Hedges UMVUE)
    -0.88089
  • df
    130.00000
  • t
    -0.62650
  • p
    0.52743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.65822
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88958
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.65476
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89298
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.01352
  • Upside Potential Ratio
    4.61378
  • Upside part of mean
    0.75471
  • Downside part of mean
    -0.92050
  • Upside SD
    0.08996
  • Downside SD
    0.16358
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.20523
  • Mean of criterion
    -0.16579
  • SD of predictor
    0.42569
  • SD of criterion
    0.18712
  • Covariance
    0.05533
  • r
    0.69468
  • b (slope, estimate of beta)
    0.30536
  • a (intercept, estimate of alpha)
    -0.10312
  • Mean Square Error
    0.01826
  • DF error
    129.00000
  • t(b)
    10.96880
  • p(b)
    0.09649
  • t(a)
    -0.53941
  • p(a)
    0.53019
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    0.25028
  • Upperbound of 95% confidence interval for beta
    0.36044
  • Lowerbound of 95% confidence interval for alpha
    -0.48136
  • Upperbound of 95% confidence interval for alpha
    0.27512
  • Treynor index (mean / b)
    -0.54293
  • Jensen alpha (a)
    -0.10312
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01946
  • Expected Shortfall on VaR
    0.02417
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00641
  • Expected Shortfall on VaR
    0.01471
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93335
  • Quartile 1
    0.99842
  • Median
    1.00149
  • Quartile 3
    1.00380
  • Maximum
    1.03129
  • Mean of quarter 1
    0.98679
  • Mean of quarter 2
    1.00006
  • Mean of quarter 3
    1.00254
  • Mean of quarter 4
    1.00887
  • Inter Quartile Range
    0.00537
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.97366
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.02188
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.99585
  • VaR(95%) (moments method)
    0.01141
  • Expected Shortfall (moments method)
    2.97605
  • Extreme Value Index (regression method)
    0.46894
  • VaR(95%) (regression method)
    0.01132
  • Expected Shortfall (regression method)
    0.02752
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00051
  • Quartile 1
    0.00149
  • Median
    0.00294
  • Quartile 3
    0.00787
  • Maximum
    0.24233
  • Mean of quarter 1
    0.00094
  • Mean of quarter 2
    0.00199
  • Mean of quarter 3
    0.00468
  • Mean of quarter 4
    0.07389
  • Inter Quartile Range
    0.00638
  • 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
    0.12500
  • Mean of outliers high
    0.13618
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.22427
  • VaR(95%) (moments method)
    0.05891
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.53397
  • VaR(95%) (regression method)
    0.12926
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -282510000
  • Max Equity Drawdown (num days)
    32
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13324
  • Compounded annual return (geometric extrapolation)
    -0.12880
  • Calmar ratio (compounded annual return / max draw down)
    -0.53150
  • Compounded annual return / average of 25% largest draw downs
    -1.74322
  • Compounded annual return / Expected Shortfall lognormal
    -5.32840

Strategy Description

Summary Statistics

Strategy began
2019-05-25
Suggested Minimum Capital
$15,000
Rank at C2 
#86
# Trades
65
# Profitable
35
% Profitable
53.8%
Net Dividends
Correlation S&P500
0.681
Sharpe Ratio
-0.53
Sortino Ratio
-0.62
Beta
0.36
Alpha
-0.03
Leverage
0.96 Average
1.09 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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