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

Shining Delta Capital
(124753017)

Created by: LarsLarsen LarsLarsen
Started: 08/2019
Stocks
Last trade: 26 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 $100.00 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.
2.0%
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.

(20.9%)
Max Drawdown
28
Num Trades
39.3%
Win Trades
1.2 : 1
Profit Factor
44.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +6.8%(1.6%)+4.6%+5.3%+5.2%+21.7%
2020(5.9%)(4%)(7.2%)  -                                                  (16.2%)

Model Account Details

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

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

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

Trading Record

This strategy has placed 7 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/25/20 15:40 CSGP COSTAR GROUP LONG 16 695.51 3/12 15:24 623.13 2.99%
Trade id #127706300
Max drawdown($1,522)
Time3/12/20 9:51
Quant open16
Worst price600.35
Drawdown as % of equity-2.99%
($1,158)
Includes Typical Broker Commissions trade costs of $0.32
2/18/20 15:27 LK LUCKIN COFFEE INC. AMERICAN DEPOSITARY SHARES LONG 300 40.22 3/10 10:59 36.87 3.32%
Trade id #127581679
Max drawdown($1,890)
Time2/27/20 0:00
Quant open300
Worst price33.92
Drawdown as % of equity-3.32%
($1,011)
Includes Typical Broker Commissions trade costs of $6.00
1/7/20 15:27 NFLX NETFLIX LONG 34 331.32 3/10 10:34 357.24 0.42%
Trade id #126903318
Max drawdown($262)
Time1/22/20 0:00
Quant open34
Worst price323.60
Drawdown as % of equity-0.42%
$880
Includes Typical Broker Commissions trade costs of $0.68
2/28/20 13:31 DXCM DEXCOM LONG 40 274.49 3/10 10:33 269.10 1.08%
Trade id #127776998
Max drawdown($579)
Time3/9/20 0:00
Quant open40
Worst price260.00
Drawdown as % of equity-1.08%
($217)
Includes Typical Broker Commissions trade costs of $0.80
2/28/20 13:22 SQ SQUARE INC LONG 131 83.40 3/6 15:28 71.48 3.26%
Trade id #127776746
Max drawdown($1,720)
Time3/6/20 12:30
Quant open131
Worst price70.27
Drawdown as % of equity-3.26%
($1,565)
Includes Typical Broker Commissions trade costs of $2.62
2/4/20 11:29 LOW LOWE'S COMPANIES LONG 100 119.77 2/28 13:26 106.11 3.04%
Trade id #127357056
Max drawdown($1,677)
Time2/28/20 10:04
Quant open100
Worst price103.00
Drawdown as % of equity-3.04%
($1,368)
Includes Typical Broker Commissions trade costs of $2.00
2/25/20 15:45 DLR DIGITAL REALTY TRUST LONG 87 134.05 2/28 13:21 120.20 2.94%
Trade id #127706411
Max drawdown($1,622)
Time2/28/20 10:05
Quant open87
Worst price115.40
Drawdown as % of equity-2.94%
($1,207)
Includes Typical Broker Commissions trade costs of $1.74
1/28/20 14:06 AMD ADVANCED MICRO DEVICES INC. C LONG 240 50.26 2/25 15:31 47.50 1.64%
Trade id #127255288
Max drawdown($997)
Time1/29/20 0:00
Quant open240
Worst price46.10
Drawdown as % of equity-1.64%
($666)
Includes Typical Broker Commissions trade costs of $4.80
2/4/20 11:16 FCX FREEPORT-MCMORAN INC LONG 1,006 11.94 2/25 15:31 10.69 2.24%
Trade id #127356737
Max drawdown($1,277)
Time2/25/20 15:23
Quant open1,006
Worst price10.67
Drawdown as % of equity-2.24%
($1,263)
Includes Typical Broker Commissions trade costs of $5.00
2/11/20 11:30 GS GOLDMAN SACHS GROUP LONG 50 238.63 2/18 15:25 232.91 0.59%
Trade id #127458253
Max drawdown($371)
Time2/18/20 11:57
Quant open50
Worst price231.20
Drawdown as % of equity-0.59%
($287)
Includes Typical Broker Commissions trade costs of $1.00
12/26/19 9:41 NKE NIKE LONG 110 100.64 2/11/20 11:28 99.72 0.87%
Trade id #126755002
Max drawdown($519)
Time1/31/20 0:00
Quant open110
Worst price95.92
Drawdown as % of equity-0.87%
($103)
Includes Typical Broker Commissions trade costs of $2.20
1/21/20 14:20 MU MICRON TECHNOLOGY LONG 206 58.65 2/4 11:28 55.53 2.06%
Trade id #127131004
Max drawdown($1,225)
Time1/31/20 0:00
Quant open206
Worst price52.70
Drawdown as % of equity-2.06%
($646)
Includes Typical Broker Commissions trade costs of $4.12
1/14/20 14:37 W WAYFAIR INC LONG 116 103.23 2/4 11:15 98.98 1.94%
Trade id #126994158
Max drawdown($1,153)
Time1/31/20 0:00
Quant open116
Worst price93.29
Drawdown as % of equity-1.94%
($495)
Includes Typical Broker Commissions trade costs of $2.32
10/25/19 11:04 LVS LAS VEGAS SANDS LONG 178 61.08 1/28/20 14:02 64.18 0.24%
Trade id #125950223
Max drawdown($137)
Time11/21/19 0:00
Quant open178
Worst price60.31
Drawdown as % of equity-0.24%
$548
Includes Typical Broker Commissions trade costs of $3.56
11/12/19 11:07 DIS WALT DISNEY LONG 78 138.51 1/21/20 14:14 143.41 0.24%
Trade id #126170174
Max drawdown($130)
Time11/13/19 0:00
Quant open78
Worst price136.84
Drawdown as % of equity-0.24%
$380
Includes Typical Broker Commissions trade costs of $1.56
10/18/19 12:38 AMD ADVANCED MICRO DEVICES INC. C LONG 342 30.47 1/14/20 14:13 48.00 0.01%
Trade id #125855895
Max drawdown($6)
Time10/18/19 12:44
Quant open342
Worst price30.45
Drawdown as % of equity-0.01%
$5,988
Includes Typical Broker Commissions trade costs of $6.84
10/18/19 12:36 ISRG INTUITIVE SURGICAL LONG 19 559.40 1/7/20 15:26 582.68 0.88%
Trade id #125855864
Max drawdown($465)
Time10/22/19 0:00
Quant open19
Worst price534.91
Drawdown as % of equity-0.88%
$442
Includes Typical Broker Commissions trade costs of $0.38
11/26/19 12:02 WMT WALMART INC LONG 96 118.94 12/26 9:34 119.52 0.25%
Trade id #126371779
Max drawdown($145)
Time12/5/19 0:00
Quant open96
Worst price117.42
Drawdown as % of equity-0.25%
$54
Includes Typical Broker Commissions trade costs of $1.92
8/5/19 14:42 LRCX LAM RESEARCH LONG 52 192.74 11/26 11:57 268.17 0.21%
Trade id #124774260
Max drawdown($105)
Time8/7/19 0:00
Quant open52
Worst price190.71
Drawdown as % of equity-0.21%
$3,921
Includes Typical Broker Commissions trade costs of $1.04
8/5/19 14:34 TMUS T-MOBILE US INC. COMMON STOCK LONG 131 75.84 11/12 11:04 78.29 0.15%
Trade id #124774074
Max drawdown($74)
Time8/7/19 0:00
Quant open131
Worst price75.27
Drawdown as % of equity-0.15%
$318
Includes Typical Broker Commissions trade costs of $2.62
10/2/19 12:19 XEL XCEL ENERGY LONG 165 63.34 10/25 10:57 64.05 0.17%
Trade id #125596168
Max drawdown($89)
Time10/16/19 0:00
Quant open165
Worst price62.80
Drawdown as % of equity-0.17%
$114
Includes Typical Broker Commissions trade costs of $3.30
8/6/19 15:56 FIS FIDELITY NATIONAL INFO LONG 77 130.96 10/18 12:32 128.02 0.5%
Trade id #124798740
Max drawdown($254)
Time8/7/19 0:00
Quant open77
Worst price127.65
Drawdown as % of equity-0.50%
($228)
Includes Typical Broker Commissions trade costs of $1.54
9/30/19 13:26 NOC NORTHROP GRUMMAN LONG 30 376.65 10/18 12:32 349.45 1.57%
Trade id #125559188
Max drawdown($819)
Time10/18/19 11:38
Quant open30
Worst price349.33
Drawdown as % of equity-1.57%
($817)
Includes Typical Broker Commissions trade costs of $0.60
8/5/19 14:31 SPGI S & P GLOBAL INC LONG 41 243.59 10/2 12:13 237.17 0.5%
Trade id #124773999
Max drawdown($260)
Time10/2/19 10:42
Quant open41
Worst price237.24
Drawdown as % of equity-0.50%
($264)
Includes Typical Broker Commissions trade costs of $0.82
9/4/19 15:31 AMRN AMARIN LONG 650 16.08 9/30 13:21 14.92 1.6%
Trade id #125221717
Max drawdown($838)
Time9/30/19 11:43
Quant open650
Worst price14.79
Drawdown as % of equity-1.60%
($759)
Includes Typical Broker Commissions trade costs of $5.00
8/26/19 14:35 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 41 249.49 9/4 15:25 239.04 1.19%
Trade id #125090345
Max drawdown($635)
Time9/3/19 0:00
Quant open41
Worst price234.00
Drawdown as % of equity-1.19%
($429)
Includes Typical Broker Commissions trade costs of $0.82
8/5/19 14:44 TTWO TAKE-TWO INTERACTIVE SFTW LONG 87 114.55 8/26 14:29 129.50 0.08%
Trade id #124774314
Max drawdown($42)
Time8/5/19 14:58
Quant open87
Worst price114.06
Drawdown as % of equity-0.08%
$1,299
Includes Typical Broker Commissions trade costs of $1.74
8/5/19 14:46 ALGN ALIGN TECHNOLOGY LONG 53 187.64 8/6 15:54 188.59 0.14%
Trade id #124774392
Max drawdown($71)
Time8/5/19 14:46
Quant open53
Worst price186.29
Drawdown as % of equity-0.14%
$49
Includes Typical Broker Commissions trade costs of $1.06

Statistics

  • Strategy began
    8/3/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    247.57
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    28
  • # Profitable
    11
  • % Profitable
    39.30%
  • Avg trade duration
    38.8 days
  • Max peak-to-valley drawdown
    20.91%
  • drawdown period
    Feb 20, 2020 - March 12, 2020
  • Cumul. Return
    2.0%
  • Avg win
    $1,274
  • Avg loss
    $731.76
  • Model Account Values (Raw)
  • Cash
    $51,945
  • Margin Used
    $0
  • Buying Power
    $51,945
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    0.13
  • Sortino Ratio
    0.17
  • Calmar Ratio
    0.295
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    11.11%
  • Correlation to SP500
    0.35490
  • Return Percent SP500 (cumu) during strategy life
    -9.15%
  • Return Statistics
  • Ann Return (w trading costs)
    2.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.26%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.020%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • 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)
    881
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    621
  • 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
    $732
  • Avg Win
    $1,274
  • Sum Trade PL (losers)
    $12,440.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $14,019.000
  • # Winners
    11
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    367
  • Win / Loss
  • # Losers
    17
  • % Winners
    39.3%
  • Frequency
  • Avg Position Time (mins)
    55929.90
  • Avg Position Time (hrs)
    932.16
  • Avg Trade Length
    38.8 days
  • Last Trade Ago
    26
  • Leverage
  • Daily leverage (average)
    0.95
  • Daily leverage (max)
    1.06
  • Regression
  • Alpha
    0.02
  • Beta
    0.19
  • Treynor Index
    0.04
  • 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)
    -0.77
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    11.966
  • 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
    0.109
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.396
  • Hold-and-Hope Ratio
    0.084
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08911
  • SD
    0.29025
  • Sharpe ratio (Glass type estimate)
    0.30703
  • Sharpe ratio (Hedges UMVUE)
    0.26669
  • df
    6.00000
  • t
    0.23450
  • p
    0.41120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.27715
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86650
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30393
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83732
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.44726
  • Upside Potential Ratio
    2.15377
  • Upside part of mean
    0.42913
  • Downside part of mean
    -0.34002
  • Upside SD
    0.18213
  • Downside SD
    0.19925
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.05209
  • Mean of criterion
    0.08911
  • SD of predictor
    0.27475
  • SD of criterion
    0.29025
  • Covariance
    0.07014
  • r
    0.87953
  • b (slope, estimate of beta)
    0.92915
  • a (intercept, estimate of alpha)
    0.13752
  • Mean Square Error
    0.02289
  • DF error
    5.00000
  • t(b)
    4.13302
  • p(b)
    0.00453
  • t(a)
    0.69299
  • p(a)
    0.25959
  • Lowerbound of 95% confidence interval for beta
    0.35123
  • Upperbound of 95% confidence interval for beta
    1.50708
  • Lowerbound of 95% confidence interval for alpha
    -0.37261
  • Upperbound of 95% confidence interval for alpha
    0.64764
  • Treynor index (mean / b)
    0.09591
  • Jensen alpha (a)
    0.13752
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05140
  • SD
    0.29821
  • Sharpe ratio (Glass type estimate)
    0.17238
  • Sharpe ratio (Hedges UMVUE)
    0.14973
  • df
    6.00000
  • t
    0.13166
  • p
    0.44978
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.40256
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73341
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.41786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71732
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23989
  • Upside Potential Ratio
    1.92489
  • Upside part of mean
    0.41246
  • Downside part of mean
    -0.36106
  • Upside SD
    0.17472
  • Downside SD
    0.21428
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.08812
  • Mean of criterion
    0.05140
  • SD of predictor
    0.29753
  • SD of criterion
    0.29821
  • Covariance
    0.07916
  • r
    0.89222
  • b (slope, estimate of beta)
    0.89423
  • a (intercept, estimate of alpha)
    0.13020
  • Mean Square Error
    0.02176
  • DF error
    5.00000
  • t(b)
    4.41765
  • p(b)
    0.00345
  • t(a)
    0.67121
  • p(a)
    0.26592
  • Lowerbound of 95% confidence interval for beta
    0.37387
  • Upperbound of 95% confidence interval for beta
    1.41460
  • Lowerbound of 95% confidence interval for alpha
    -0.36846
  • Upperbound of 95% confidence interval for alpha
    0.62886
  • Treynor index (mean / b)
    0.05748
  • Jensen alpha (a)
    0.13020
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12830
  • Expected Shortfall on VaR
    0.15868
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05919
  • Expected Shortfall on VaR
    0.11799
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.85468
  • Quartile 1
    0.97698
  • Median
    1.01451
  • Quartile 3
    1.07533
  • Maximum
    1.09447
  • Mean of quarter 1
    0.91284
  • Mean of quarter 2
    0.99874
  • Mean of quarter 3
    1.07015
  • Mean of quarter 4
    1.08749
  • Inter Quartile Range
    0.09834
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02900
  • Quartile 1
    0.06172
  • Median
    0.09444
  • Quartile 3
    0.12716
  • Maximum
    0.15988
  • Mean of quarter 1
    0.02900
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15988
  • Inter Quartile Range
    0.06544
  • 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)
    0.08117
  • Compounded annual return (geometric extrapolation)
    0.08254
  • Calmar ratio (compounded annual return / max draw down)
    0.51626
  • Compounded annual return / average of 25% largest draw downs
    0.51626
  • Compounded annual return / Expected Shortfall lognormal
    0.52018
  • 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
    0.04635
  • SD
    0.19075
  • Sharpe ratio (Glass type estimate)
    0.24299
  • Sharpe ratio (Hedges UMVUE)
    0.24192
  • df
    170.00000
  • t
    0.19631
  • p
    0.49247
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18348
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66891
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18427
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66811
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31266
  • Upside Potential Ratio
    7.29143
  • Upside part of mean
    1.08093
  • Downside part of mean
    -1.03458
  • Upside SD
    0.11918
  • Downside SD
    0.14825
  • N nonnegative terms
    85.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    171.00000
  • Mean of predictor
    -0.05912
  • Mean of criterion
    0.04635
  • SD of predictor
    0.37214
  • SD of criterion
    0.19075
  • Covariance
    0.02507
  • r
    0.35318
  • b (slope, estimate of beta)
    0.18103
  • a (intercept, estimate of alpha)
    0.05700
  • Mean Square Error
    0.03204
  • DF error
    169.00000
  • t(b)
    4.90753
  • p(b)
    0.27993
  • t(a)
    0.25751
  • p(a)
    0.48739
  • Lowerbound of 95% confidence interval for beta
    0.10821
  • Upperbound of 95% confidence interval for beta
    0.25385
  • Lowerbound of 95% confidence interval for alpha
    -0.38033
  • Upperbound of 95% confidence interval for alpha
    0.49443
  • Treynor index (mean / b)
    0.25604
  • Jensen alpha (a)
    0.05705
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02809
  • SD
    0.19206
  • Sharpe ratio (Glass type estimate)
    0.14628
  • Sharpe ratio (Hedges UMVUE)
    0.14564
  • df
    170.00000
  • t
    0.11818
  • p
    0.49547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.28000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57221
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.28046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57174
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18646
  • Upside Potential Ratio
    7.12655
  • Upside part of mean
    1.07380
  • Downside part of mean
    -1.04570
  • Upside SD
    0.11819
  • Downside SD
    0.15068
  • N nonnegative terms
    85.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    171.00000
  • Mean of predictor
    -0.12867
  • Mean of criterion
    0.02809
  • SD of predictor
    0.37516
  • SD of criterion
    0.19206
  • Covariance
    0.02558
  • r
    0.35502
  • b (slope, estimate of beta)
    0.18175
  • a (intercept, estimate of alpha)
    0.05148
  • Mean Square Error
    0.03243
  • DF error
    169.00000
  • t(b)
    4.93690
  • p(b)
    0.27883
  • t(a)
    0.23091
  • p(a)
    0.48869
  • Lowerbound of 95% confidence interval for beta
    0.10907
  • Upperbound of 95% confidence interval for beta
    0.25443
  • Lowerbound of 95% confidence interval for alpha
    -0.38864
  • Upperbound of 95% confidence interval for alpha
    0.49160
  • Treynor index (mean / b)
    0.15458
  • Jensen alpha (a)
    0.05148
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01922
  • Expected Shortfall on VaR
    0.02406
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00903
  • Expected Shortfall on VaR
    0.01865
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    171.00000
  • Minimum
    0.95115
  • Quartile 1
    0.99561
  • Median
    1.00005
  • Quartile 3
    1.00636
  • Maximum
    1.02760
  • Mean of quarter 1
    0.98588
  • Mean of quarter 2
    0.99863
  • Mean of quarter 3
    1.00335
  • Mean of quarter 4
    1.01334
  • Inter Quartile Range
    0.01074
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.05263
  • Mean of outliers low
    0.96769
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01170
  • Mean of outliers high
    1.02512
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45458
  • VaR(95%) (moments method)
    0.01410
  • Expected Shortfall (moments method)
    0.02973
  • Extreme Value Index (regression method)
    0.12197
  • VaR(95%) (regression method)
    0.01211
  • Expected Shortfall (regression method)
    0.01809
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00036
  • Quartile 1
    0.00659
  • Median
    0.01671
  • Quartile 3
    0.02728
  • Maximum
    0.19513
  • Mean of quarter 1
    0.00279
  • Mean of quarter 2
    0.01214
  • Mean of quarter 3
    0.02049
  • Mean of quarter 4
    0.09458
  • Inter Quartile Range
    0.02070
  • 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
    0.21429
  • Mean of outliers high
    0.11674
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.49018
  • VaR(95%) (moments method)
    0.07860
  • Expected Shortfall (moments method)
    0.07959
  • Extreme Value Index (regression method)
    0.07981
  • VaR(95%) (regression method)
    0.15999
  • Expected Shortfall (regression method)
    0.25147
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05704
  • Compounded annual return (geometric extrapolation)
    0.05760
  • Calmar ratio (compounded annual return / max draw down)
    0.29519
  • Compounded annual return / average of 25% largest draw downs
    0.60903
  • Compounded annual return / Expected Shortfall lognormal
    2.39366
  • 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
    -0.03840
  • SD
    0.20163
  • Sharpe ratio (Glass type estimate)
    -0.19046
  • Sharpe ratio (Hedges UMVUE)
    -0.18936
  • df
    130.00000
  • t
    -0.13468
  • p
    0.50591
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.96201
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58180
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.96126
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58254
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.23812
  • Upside Potential Ratio
    6.59948
  • Upside part of mean
    1.06432
  • Downside part of mean
    -1.10273
  • Upside SD
    0.11975
  • Downside SD
    0.16127
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.16329
  • Mean of criterion
    -0.03840
  • SD of predictor
    0.41612
  • SD of criterion
    0.20163
  • Covariance
    0.02873
  • r
    0.34241
  • b (slope, estimate of beta)
    0.16592
  • a (intercept, estimate of alpha)
    -0.01131
  • Mean Square Error
    0.03617
  • DF error
    129.00000
  • t(b)
    4.13930
  • p(b)
    0.28635
  • t(a)
    -0.04204
  • p(a)
    0.50236
  • Lowerbound of 95% confidence interval for beta
    0.08661
  • Upperbound of 95% confidence interval for beta
    0.24522
  • Lowerbound of 95% confidence interval for alpha
    -0.54358
  • Upperbound of 95% confidence interval for alpha
    0.52096
  • Treynor index (mean / b)
    -0.23146
  • Jensen alpha (a)
    -0.01131
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05879
  • SD
    0.20327
  • Sharpe ratio (Glass type estimate)
    -0.28923
  • Sharpe ratio (Hedges UMVUE)
    -0.28756
  • df
    130.00000
  • t
    -0.20452
  • p
    0.50897
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.06078
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48328
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.05959
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48446
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.35833
  • Upside Potential Ratio
    6.44314
  • Upside part of mean
    1.05712
  • Downside part of mean
    -1.11591
  • Upside SD
    0.11873
  • Downside SD
    0.16407
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.25015
  • Mean of criterion
    -0.05879
  • SD of predictor
    0.41950
  • SD of criterion
    0.20327
  • Covariance
    0.02938
  • r
    0.34458
  • b (slope, estimate of beta)
    0.16696
  • a (intercept, estimate of alpha)
    -0.01703
  • Mean Square Error
    0.03669
  • DF error
    129.00000
  • t(b)
    4.16893
  • p(b)
    0.28506
  • t(a)
    -0.06281
  • p(a)
    0.50352
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    0.08772
  • Upperbound of 95% confidence interval for beta
    0.24620
  • Lowerbound of 95% confidence interval for alpha
    -0.55338
  • Upperbound of 95% confidence interval for alpha
    0.51932
  • Treynor index (mean / b)
    -0.35213
  • Jensen alpha (a)
    -0.01703
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02066
  • Expected Shortfall on VaR
    0.02578
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00990
  • Expected Shortfall on VaR
    0.02048
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95115
  • Quartile 1
    0.99587
  • Median
    1.00000
  • Quartile 3
    1.00622
  • Maximum
    1.02760
  • Mean of quarter 1
    0.98470
  • Mean of quarter 2
    0.99881
  • Mean of quarter 3
    1.00316
  • Mean of quarter 4
    1.01326
  • Inter Quartile Range
    0.01036
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.96789
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02512
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53312
  • VaR(95%) (moments method)
    0.01507
  • Expected Shortfall (moments method)
    0.03682
  • Extreme Value Index (regression method)
    0.12264
  • VaR(95%) (regression method)
    0.01196
  • Expected Shortfall (regression method)
    0.01801
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00099
  • Quartile 1
    0.00659
  • Median
    0.01523
  • Quartile 3
    0.02745
  • Maximum
    0.19513
  • Mean of quarter 1
    0.00359
  • Mean of quarter 2
    0.00998
  • Mean of quarter 3
    0.02260
  • Mean of quarter 4
    0.10333
  • Inter Quartile Range
    0.02087
  • 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
    0.20000
  • Mean of outliers high
    0.14095
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.12428
  • VaR(95%) (moments method)
    0.07951
  • Expected Shortfall (moments method)
    0.07955
  • Extreme Value Index (regression method)
    -0.11510
  • VaR(95%) (regression method)
    0.21759
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.30830
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -244375000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03065
  • Compounded annual return (geometric extrapolation)
    -0.03041
  • Calmar ratio (compounded annual return / max draw down)
    -0.15586
  • Compounded annual return / average of 25% largest draw downs
    -0.29433
  • Compounded annual return / Expected Shortfall lognormal
    -1.17975

Strategy Description

Welcome to Shining Delta Capital, a long term profitable strategy.
I have been trading for years in my own account this way (I will let the numbers show proof of the quality).
There will be only long positions (no shorting) and only stocks without any gearing (In the summary statistic column (on the right side next to the chart) there is a small button next to the leverage text, press that one to see how much leverage which have been used with the strategy on the chart).

This is an investing strategy, meaning I focus on buying solid companies (with good timing).

Make sure that when you subscribe; you have all the stocks in the portfolio, normally 1-3 stocks will go 50-100%+ each year (in other words, don't wait for a trade signal when you start copying signals or you might miss out on the big fish...). I also highly recommend not to exit before a signal is given (chances are you will miss out on percerntages, I know it's tempting to take a profit early but try not to do so :) ).

When, or if there is a liquidity problem in the future (even though we trade in "good liquidity" companies) I will not allow any new subscribers. Anyhow, if that happens I will start up a new strategy here in C2 which won't overlap with this one.

I recommend gearing x2 if you invest between 10-20k, this is because you need to overcome the costs of the fees connected with trading (C2 costs, percentage interest rates from the broker when gearing especially). Do not invest if you have less than 10k.... If you have more money to invest (20k+) the % costs decreases substantially and gearing is not really necessary unless you can tolerate more volatility. It's important for me that investors stay in for the long haul, and for that to happen we all need to make money.

You can put on trades manually with this system and save some money, if you do this make sure you put on the trades the same day (towards closing time is a good time to buy and sell). When you subscribe and if I change the price you will get a coupon/discount (so you pay the same price as you have when first subscribing).

Let's make money together!

Yours Sincerely, Larsen.

Summary Statistics

Strategy began
2019-08-03
Suggested Minimum Capital
$15,000
# Trades
28
# Profitable
11
% Profitable
39.3%
Net Dividends
Correlation S&P500
0.355
Sharpe Ratio
0.13
Sortino Ratio
0.17
Beta
0.19
Alpha
0.02
Leverage
0.95 Average
1.06 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.