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

UPSP
(128493842)

Created by: UltraPerformance UltraPerformance
Started: 04/2020
Stocks
Last trade: 1,011 days ago
Trading style: Equity Momentum

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 $149.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
14.2%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(22.6%)
Max Drawdown
351
Num Trades
67.0%
Win Trades
1.9 : 1
Profit Factor
20.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                     +7.1%+5.0%+3.7%+2.5%(11.2%)+13.1%(14.7%)+15.6%+10.7%+30.9%
2021+14.2%(8.6%)(0.2%)(2.9%)+9.7%+16.5%  -    -    -    -    -    -  +29.3%
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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 17 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1305 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/17/21 9:30 APA APA CORP LONG 140 20.64 6/22 13:15 21.90 0.97%
Trade id #134669158
Max drawdown($611)
Time4/21/21 0:00
Quant open140
Worst price16.27
Drawdown as % of equity-0.97%
$174
Includes Typical Broker Commissions trade costs of $2.80
3/19/21 9:42 NBR NABORS INDUSTRIES LONG 75 103.92 6/22 13:15 116.82 2.92%
Trade id #134730483
Max drawdown($1,934)
Time5/4/21 0:00
Quant open75
Worst price78.13
Drawdown as % of equity-2.92%
$966
Includes Typical Broker Commissions trade costs of $1.50
3/16/21 9:30 FTI TECHNICFMC PLC LONG 908 8.49 6/22 13:15 10.20 2.53%
Trade id #134644386
Max drawdown($1,589)
Time4/21/21 0:00
Quant open908
Worst price6.74
Drawdown as % of equity-2.53%
$1,542
Includes Typical Broker Commissions trade costs of $11.58
3/16/21 9:30 LLY ELI LILLY LONG 8 191.54 6/22 13:15 221.62 0.16%
Trade id #134644325
Max drawdown($103)
Time4/28/21 0:00
Quant open8
Worst price178.58
Drawdown as % of equity-0.16%
$241
Includes Typical Broker Commissions trade costs of $0.16
3/16/21 9:30 MRO MARATHON OIL LONG 790 11.60 6/22 13:15 13.50 2.4%
Trade id #134644352
Max drawdown($1,504)
Time4/21/21 0:00
Quant open790
Worst price9.70
Drawdown as % of equity-2.40%
$1,482
Includes Typical Broker Commissions trade costs of $11.72
3/15/21 10:55 PTEN PATTERSON-UTI ENERGY LONG 973 8.64 6/22 13:15 10.54 3.81%
Trade id #134619517
Max drawdown($2,496)
Time4/20/21 0:00
Quant open973
Worst price6.07
Drawdown as % of equity-3.81%
$1,837
Includes Typical Broker Commissions trade costs of $13.94
3/15/21 10:18 ORCL ORACLE CORP LONG 44 66.83 6/22 13:14 81.50 0.06%
Trade id #134617582
Max drawdown($42)
Time3/22/21 0:00
Quant open44
Worst price65.86
Drawdown as % of equity-0.06%
$644
Includes Typical Broker Commissions trade costs of $0.88
3/15/21 10:17 ULTA ULTA BEAUTY INC LONG 10 318.36 6/22 13:14 335.64 0.34%
Trade id #134617555
Max drawdown($210)
Time3/25/21 0:00
Quant open10
Worst price297.29
Drawdown as % of equity-0.34%
$173
Includes Typical Broker Commissions trade costs of $0.20
3/11/21 9:30 LRCX LAM RESEARCH LONG 6 540.57 6/22 13:14 629.59 0.15%
Trade id #134559061
Max drawdown($93)
Time3/25/21 0:00
Quant open6
Worst price525.02
Drawdown as % of equity-0.15%
$534
Includes Typical Broker Commissions trade costs of $0.12
3/16/21 9:37 GME GAMESTOP LONG 60 197.15 6/9 13:12 299.04 7.74%
Trade id #134645379
Max drawdown($4,814)
Time3/25/21 0:00
Quant open60
Worst price116.90
Drawdown as % of equity-7.74%
$6,113
Includes Typical Broker Commissions trade costs of $1.20
3/22/21 9:34 JWN NORDSTROM LONG 187 41.51 6/8 11:43 34.48 2.36%
Trade id #134761832
Max drawdown($1,675)
Time5/26/21 0:00
Quant open187
Worst price32.55
Drawdown as % of equity-2.36%
($1,319)
Includes Typical Broker Commissions trade costs of $3.74
3/18/21 9:53 HFC HOLLYFRONTIER LONG 206 37.76 6/8 11:43 36.28 1.66%
Trade id #134697833
Max drawdown($1,246)
Time5/28/21 0:00
Quant open206
Worst price31.71
Drawdown as % of equity-1.66%
($309)
Includes Typical Broker Commissions trade costs of $4.12
3/15/21 10:18 JD JD.COM INC LONG 34 83.77 6/8 11:43 72.95 0.82%
Trade id #134617573
Max drawdown($585)
Time5/14/21 0:00
Quant open34
Worst price66.55
Drawdown as % of equity-0.82%
($369)
Includes Typical Broker Commissions trade costs of $0.68
3/12/21 9:30 BDX BECTON DICKINSON LONG 12 239.00 6/8 11:42 238.26 0.02%
Trade id #134584464
Max drawdown($19)
Time6/8/21 11:24
Quant open12
Worst price237.34
Drawdown as % of equity-0.02%
($9)
Includes Typical Broker Commissions trade costs of $0.24
3/16/21 9:30 EOG EOG RESOURCES LONG 106 72.61 3/22 9:30 68.61 0.64%
Trade id #134644373
Max drawdown($458)
Time3/19/21 0:00
Quant open106
Worst price68.28
Drawdown as % of equity-0.64%
($426)
Includes Typical Broker Commissions trade costs of $2.12
3/15/21 10:18 ATHM AUTOHOME INC LONG 30 95.28 3/22 9:30 101.26 0.04%
Trade id #134617591
Max drawdown($26)
Time3/15/21 11:39
Quant open15
Worst price92.77
Drawdown as % of equity-0.04%
$178
Includes Typical Broker Commissions trade costs of $0.60
3/12/21 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,000 14.48 3/22 9:30 12.62 2.58%
Trade id #134584040
Max drawdown($1,910)
Time3/17/21 0:00
Quant open1,000
Worst price12.57
Drawdown as % of equity-2.58%
($1,865)
Includes Typical Broker Commissions trade costs of $5.00
3/16/21 9:31 PBCT PEOPLE'S UNITED FINANCIAL LONG 432 17.98 3/19 9:30 17.78 0.18%
Trade id #134644590
Max drawdown($133)
Time3/16/21 11:04
Quant open432
Worst price17.67
Drawdown as % of equity-0.18%
($95)
Includes Typical Broker Commissions trade costs of $8.64
3/15/21 10:19 GILD GILEAD SCIENCES LONG 24 62.28 3/17 9:30 63.97 0.01%
Trade id #134617611
Max drawdown($7)
Time3/15/21 10:34
Quant open24
Worst price61.97
Drawdown as % of equity-0.01%
$41
Includes Typical Broker Commissions trade costs of $0.48
3/15/21 10:52 WDC WESTERN DIGITAL LONG 116 67.09 3/16 9:30 69.74 0.08%
Trade id #134619431
Max drawdown($60)
Time3/15/21 11:33
Quant open116
Worst price66.57
Drawdown as % of equity-0.08%
$306
Includes Typical Broker Commissions trade costs of $2.32
3/12/21 9:30 GE GENERAL ELECTRIC LONG 119 12.24 3/16 9:30 13.33 n/a $128
Includes Typical Broker Commissions trade costs of $2.38
3/4/21 9:31 RHI ROBERT HALF INC LONG 19 76.78 3/15 10:16 76.77 0.06%
Trade id #134412749
Max drawdown($39)
Time3/4/21 14:04
Quant open19
Worst price74.71
Drawdown as % of equity-0.06%
$0
Includes Typical Broker Commissions trade costs of $0.38
2/23/21 10:44 TQQQ PROSHARES ULTRAPRO QQQ LONG 700 82.81 3/12 9:39 87.17 4%
Trade id #134227365
Max drawdown($2,771)
Time3/5/21 0:00
Quant open200
Worst price75.03
Drawdown as % of equity-4.00%
$3,043
Includes Typical Broker Commissions trade costs of $14.00
3/10/21 9:30 ZBRA ZEBRA TECHNOLOGIES LONG 3 476.34 3/12 9:30 477.50 0.04%
Trade id #134534856
Max drawdown($26)
Time3/10/21 10:41
Quant open3
Worst price467.43
Drawdown as % of equity-0.04%
$3
Includes Typical Broker Commissions trade costs of $0.06
3/5/21 10:23 BIDU BAIDU LONG 31 247.24 3/12 9:30 264.11 0.88%
Trade id #134446710
Max drawdown($634)
Time3/8/21 0:00
Quant open31
Worst price226.78
Drawdown as % of equity-0.88%
$522
Includes Typical Broker Commissions trade costs of $0.62
3/4/21 10:05 TWTR TWITTER INC LONG 135 68.53 3/12 9:30 67.72 1.23%
Trade id #134415079
Max drawdown($848)
Time3/5/21 0:00
Quant open112
Worst price61.52
Drawdown as % of equity-1.23%
($112)
Includes Typical Broker Commissions trade costs of $2.70
2/9/21 9:30 QCOM QUALCOMM LONG 11 147.55 3/12 9:30 129.90 0.38%
Trade id #133937824
Max drawdown($270)
Time3/8/21 0:00
Quant open11
Worst price122.99
Drawdown as % of equity-0.38%
($194)
Includes Typical Broker Commissions trade costs of $0.22
3/2/21 9:30 ILMN ILLUMINA LONG 22 412.33 3/12 9:30 402.41 0.95%
Trade id #134361249
Max drawdown($658)
Time3/5/21 0:00
Quant open22
Worst price382.41
Drawdown as % of equity-0.95%
($218)
Includes Typical Broker Commissions trade costs of $0.44
3/3/21 9:30 MRNA MODERNA INC. COMMON STOCK LONG 10 145.52 3/12 9:30 134.04 0.35%
Trade id #134385341
Max drawdown($244)
Time3/5/21 0:00
Quant open10
Worst price121.12
Drawdown as % of equity-0.35%
($115)
Includes Typical Broker Commissions trade costs of $0.20
3/5/21 9:30 NTES NETEASE LONG 14 107.56 3/10 9:30 112.36 0.11%
Trade id #134442856
Max drawdown($81)
Time3/8/21 0:00
Quant open14
Worst price101.75
Drawdown as % of equity-0.11%
$67
Includes Typical Broker Commissions trade costs of $0.28

Statistics

  • Strategy began
    4/9/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1441.46
  • Age
    48 months ago
  • What it trades
    Stocks
  • # Trades
    351
  • # Profitable
    235
  • % Profitable
    67.00%
  • Avg trade duration
    10.0 days
  • Max peak-to-valley drawdown
    22.56%
  • drawdown period
    Aug 07, 2020 - Sept 08, 2020
  • Annual Return (Compounded)
    14.2%
  • Avg win
    $351.14
  • Avg loss
    $383.35
  • Model Account Values (Raw)
  • Cash
    $88,314
  • Margin Used
    $0
  • Buying Power
    $88,314
  • Ratios
  • W:L ratio
    1.86:1
  • Sharpe Ratio
    0.71
  • Sortino Ratio
    1.13
  • Calmar Ratio
    2.201
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -17.97%
  • Correlation to SP500
    0.17080
  • Return Percent SP500 (cumu) during strategy life
    88.34%
  • Return Statistics
  • Ann Return (w trading costs)
    14.2%
  • Slump
  • Current Slump as Pcnt Equity
    1.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.70%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.142%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.00%
  • Chance of 20% account loss
    12.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $383
  • Avg Win
    $351
  • Sum Trade PL (losers)
    $44,469.000
  • Age
  • Num Months filled monthly returns table
    48
  • Win / Loss
  • Sum Trade PL (winners)
    $82,519.000
  • # Winners
    235
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    269
  • Win / Loss
  • # Losers
    116
  • % Winners
    67.0%
  • Frequency
  • Avg Position Time (mins)
    14403.70
  • Avg Position Time (hrs)
    240.06
  • Avg Trade Length
    10.0 days
  • Last Trade Ago
    1002
  • Leverage
  • Daily leverage (average)
    0.84
  • Daily leverage (max)
    3.26
  • Regression
  • Alpha
    0.03
  • Beta
    0.14
  • Treynor Index
    0.24
  • 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)
    1.85
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.032
  • 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
    0.663
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.722
  • Hold-and-Hope Ratio
    0.248
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37717
  • SD
    0.30621
  • Sharpe ratio (Glass type estimate)
    1.23174
  • Sharpe ratio (Hedges UMVUE)
    1.17958
  • df
    18.00000
  • t
    1.54991
  • p
    0.32843
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39222
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82385
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42500
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78415
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24665
  • Upside Potential Ratio
    3.54236
  • Upside part of mean
    0.59470
  • Downside part of mean
    -0.21753
  • Upside SD
    0.26926
  • Downside SD
    0.16788
  • N nonnegative terms
    10.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.25562
  • Mean of criterion
    0.37717
  • SD of predictor
    0.13578
  • SD of criterion
    0.30621
  • Covariance
    0.00582
  • r
    0.14008
  • b (slope, estimate of beta)
    0.31592
  • a (intercept, estimate of alpha)
    0.29641
  • Mean Square Error
    0.09733
  • DF error
    17.00000
  • t(b)
    0.58334
  • p(b)
    0.41111
  • t(a)
    1.04384
  • p(a)
    0.34534
  • Lowerbound of 95% confidence interval for beta
    -0.82671
  • Upperbound of 95% confidence interval for beta
    1.45855
  • Lowerbound of 95% confidence interval for alpha
    -0.30270
  • Upperbound of 95% confidence interval for alpha
    0.89553
  • Treynor index (mean / b)
    1.19387
  • Jensen alpha (a)
    0.29641
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32768
  • SD
    0.30327
  • Sharpe ratio (Glass type estimate)
    1.08050
  • Sharpe ratio (Hedges UMVUE)
    1.03474
  • df
    18.00000
  • t
    1.35960
  • p
    0.34741
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53021
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66287
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55914
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62861
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80843
  • Upside Potential Ratio
    3.09211
  • Upside part of mean
    0.56027
  • Downside part of mean
    -0.23260
  • Upside SD
    0.25149
  • Downside SD
    0.18119
  • N nonnegative terms
    10.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.24363
  • Mean of criterion
    0.32768
  • SD of predictor
    0.13729
  • SD of criterion
    0.30327
  • Covariance
    0.00568
  • r
    0.13632
  • b (slope, estimate of beta)
    0.30111
  • a (intercept, estimate of alpha)
    0.25432
  • Mean Square Error
    0.09557
  • DF error
    17.00000
  • t(b)
    0.56735
  • p(b)
    0.41349
  • t(a)
    0.91602
  • p(a)
    0.36302
  • Lowerbound of 95% confidence interval for beta
    -0.81865
  • Upperbound of 95% confidence interval for beta
    1.42088
  • Lowerbound of 95% confidence interval for alpha
    -0.33144
  • Upperbound of 95% confidence interval for alpha
    0.84007
  • Treynor index (mean / b)
    1.08822
  • Jensen alpha (a)
    0.25432
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11014
  • Expected Shortfall on VaR
    0.14166
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03935
  • Expected Shortfall on VaR
    0.08582
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.84318
  • Quartile 1
    1.00000
  • Median
    1.03456
  • Quartile 3
    1.09441
  • Maximum
    1.18145
  • Mean of quarter 1
    0.93530
  • Mean of quarter 2
    1.00692
  • Mean of quarter 3
    1.05773
  • Mean of quarter 4
    1.13988
  • Inter Quartile Range
    0.09441
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05263
  • Mean of outliers low
    0.84318
  • 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)
    -0.12962
  • VaR(95%) (regression method)
    0.07242
  • Expected Shortfall (regression method)
    0.10824
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.15005
  • Quartile 1
    0.15175
  • Median
    0.15344
  • Quartile 3
    0.15513
  • Maximum
    0.15682
  • Mean of quarter 1
    0.15005
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15682
  • Inter Quartile Range
    0.00338
  • 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)
    0.47744
  • Compounded annual return (geometric extrapolation)
    0.42702
  • Calmar ratio (compounded annual return / max draw down)
    2.72294
  • Compounded annual return / average of 25% largest draw downs
    2.72294
  • Compounded annual return / Expected Shortfall lognormal
    3.01440
  • 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
    0.33742
  • SD
    0.21456
  • Sharpe ratio (Glass type estimate)
    1.57265
  • Sharpe ratio (Hedges UMVUE)
    1.56991
  • df
    430.00000
  • t
    2.01707
  • p
    0.02215
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04003
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10351
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03818
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10164
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.51627
  • Upside Potential Ratio
    8.15626
  • Upside part of mean
    1.09372
  • Downside part of mean
    -0.75630
  • Upside SD
    0.16846
  • Downside SD
    0.13410
  • N nonnegative terms
    177.00000
  • N negative terms
    254.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    431.00000
  • Mean of predictor
    0.39448
  • Mean of criterion
    0.33742
  • SD of predictor
    0.28347
  • SD of criterion
    0.21456
  • Covariance
    0.00810
  • r
    0.13322
  • b (slope, estimate of beta)
    0.10083
  • a (intercept, estimate of alpha)
    0.29800
  • Mean Square Error
    0.04532
  • DF error
    429.00000
  • t(b)
    2.78408
  • p(b)
    0.00280
  • t(a)
    1.78661
  • p(a)
    0.03735
  • Lowerbound of 95% confidence interval for beta
    0.02965
  • Upperbound of 95% confidence interval for beta
    0.17202
  • Lowerbound of 95% confidence interval for alpha
    -0.02981
  • Upperbound of 95% confidence interval for alpha
    0.62510
  • Treynor index (mean / b)
    3.34644
  • Jensen alpha (a)
    0.29765
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31434
  • SD
    0.21379
  • Sharpe ratio (Glass type estimate)
    1.47032
  • Sharpe ratio (Hedges UMVUE)
    1.46776
  • df
    430.00000
  • t
    1.88582
  • p
    0.03000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06352
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99903
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29777
  • Upside Potential Ratio
    7.89308
  • Upside part of mean
    1.07979
  • Downside part of mean
    -0.76545
  • Upside SD
    0.16511
  • Downside SD
    0.13680
  • N nonnegative terms
    177.00000
  • N negative terms
    254.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    431.00000
  • Mean of predictor
    0.35348
  • Mean of criterion
    0.31434
  • SD of predictor
    0.28680
  • SD of criterion
    0.21379
  • Covariance
    0.00816
  • r
    0.13306
  • b (slope, estimate of beta)
    0.09919
  • a (intercept, estimate of alpha)
    0.27928
  • Mean Square Error
    0.04500
  • DF error
    429.00000
  • t(b)
    2.78074
  • p(b)
    0.00283
  • t(a)
    1.68366
  • p(a)
    0.04649
  • Lowerbound of 95% confidence interval for beta
    0.02908
  • Upperbound of 95% confidence interval for beta
    0.16930
  • Lowerbound of 95% confidence interval for alpha
    -0.04675
  • Upperbound of 95% confidence interval for alpha
    0.60531
  • Treynor index (mean / b)
    3.16914
  • Jensen alpha (a)
    0.27928
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02032
  • Expected Shortfall on VaR
    0.02570
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00722
  • Expected Shortfall on VaR
    0.01558
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    431.00000
  • Minimum
    0.92781
  • Quartile 1
    0.99920
  • Median
    1.00000
  • Quartile 3
    1.00411
  • Maximum
    1.06614
  • Mean of quarter 1
    0.98876
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00128
  • Mean of quarter 4
    1.01557
  • Inter Quartile Range
    0.00491
  • Number outliers low
    47.00000
  • Percentage of outliers low
    0.10905
  • Mean of outliers low
    0.97974
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.11137
  • Mean of outliers high
    1.02602
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15332
  • VaR(95%) (moments method)
    0.00423
  • Expected Shortfall (moments method)
    0.00583
  • Extreme Value Index (regression method)
    0.18391
  • VaR(95%) (regression method)
    0.01151
  • Expected Shortfall (regression method)
    0.02097
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00370
  • Median
    0.00933
  • Quartile 3
    0.01455
  • Maximum
    0.18540
  • Mean of quarter 1
    0.00128
  • Mean of quarter 2
    0.00650
  • Mean of quarter 3
    0.01237
  • Mean of quarter 4
    0.07275
  • Inter Quartile Range
    0.01085
  • 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
    0.13043
  • Mean of outliers high
    0.12876
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.05148
  • VaR(95%) (moments method)
    0.07775
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.75005
  • VaR(95%) (regression method)
    0.05918
  • Expected Shortfall (regression method)
    0.24975
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45953
  • Compounded annual return (geometric extrapolation)
    0.40811
  • Calmar ratio (compounded annual return / max draw down)
    2.20127
  • Compounded annual return / average of 25% largest draw downs
    5.60976
  • Compounded annual return / Expected Shortfall lognormal
    15.88180
  • 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
    -0.02759
  • SD
    0.00017
  • Sharpe ratio (Glass type estimate)
    -160.38000
  • Sharpe ratio (Hedges UMVUE)
    -159.45300
  • df
    130.00000
  • t
    -113.40600
  • p
    0.99749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -179.03200
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -139.87400
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.10550
  • Upside Potential Ratio
    0.00786
  • Upside part of mean
    0.00001
  • Downside part of mean
    -0.02760
  • Upside SD
    0.00001
  • Downside SD
    0.00171
  • N nonnegative terms
    1.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.48467
  • Mean of criterion
    -0.02759
  • SD of predictor
    0.43427
  • SD of criterion
    0.00017
  • Covariance
    -0.00000
  • r
    -0.00021
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02759
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00234
  • p(b)
    0.50013
  • t(a)
    -112.69900
  • p(a)
    0.99979
  • Lowerbound of 95% confidence interval for beta
    -0.00007
  • Upperbound of 95% confidence interval for beta
    0.00007
  • Lowerbound of 95% confidence interval for alpha
    -0.02808
  • Upperbound of 95% confidence interval for alpha
    -0.02711
  • Treynor index (mean / b)
    338754.00000
  • Jensen alpha (a)
    -0.02759
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02759
  • SD
    0.00017
  • Sharpe ratio (Glass type estimate)
    -160.38000
  • Sharpe ratio (Hedges UMVUE)
    -159.45300
  • df
    130.00000
  • t
    -113.40600
  • p
    0.99749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -179.03200
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -139.87400
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.10550
  • Upside Potential Ratio
    0.00786
  • Upside part of mean
    0.00001
  • Downside part of mean
    -0.02760
  • Upside SD
    0.00001
  • Downside SD
    0.00171
  • N nonnegative terms
    1.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.38886
  • Mean of criterion
    -0.02759
  • SD of predictor
    0.44083
  • SD of criterion
    0.00017
  • Covariance
    0.00000
  • r
    0.00133
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02759
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.01509
  • p(b)
    0.49915
  • t(a)
    -112.80100
  • p(a)
    0.99979
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.00007
  • Upperbound of 95% confidence interval for beta
    0.00007
  • Lowerbound of 95% confidence interval for alpha
    -0.02807
  • Upperbound of 95% confidence interval for alpha
    -0.02711
  • Treynor index (mean / b)
    -53208.60000
  • Jensen alpha (a)
    -0.02759
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00012
  • Expected Shortfall on VaR
    0.00013
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00011
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.00008
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -326269000
  • Max Equity Drawdown (num days)
    32
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00032
  • Compounded annual return (geometric extrapolation)
    0.00032
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.49275

Strategy Description

UPSP - Ultra Performance Stock Picker

Multiple strategies inside.

Based on proprietary indicators and multiple models approach,
UPSP will trade with different levels of risk

- Long US stocks (S&P500, Nasdaq100 and tech sectors)
- Long US stocks and long VIX using VXX, short on indexes using PSQ (Nasdaq short etf)
or SH (S&P500 short etf)
- No stock positions long VIX using VXX, short on indexes using PSQ (Nasdaq short etf)
or SH (S&P500 short etf)
- Flat

Trading size is calculated on MTM equity value.

Model overall DD is 25% on more than 20 years.

Past performance offers no guarantee.

Summary Statistics

Strategy began
2020-04-09
Suggested Minimum Capital
$15,000
# Trades
351
# Profitable
235
% Profitable
67.0%
Net Dividends
Correlation S&P500
0.171
Sharpe Ratio
0.71
Sortino Ratio
1.13
Beta
0.14
Alpha
0.03
Leverage
0.84 Average
3.26 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.