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

Market Neutral ETF
(128852278)

Created by: KevinJones2 KevinJones2
Started: 05/2020
Stocks
Last trade: 2 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 $125.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
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).
13.3%
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.

(56.3%)
Max Drawdown
403
Num Trades
33.5%
Win Trades
1.2 : 1
Profit Factor
44.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            (2.4%)(3.1%)+2.6%+99.4%+0.1%+10.8%+2.9%(3.4%)+113.2%
2021(4.1%)(3.6%)+2.6%(0.9%)+1.3%(5.6%)(8.5%)(1.9%)(2.4%)+3.2%+2.9%(11.2%)(25.7%)
2022+7.7%+1.4%(5.7%)(2.5%)(0.5%)(7.7%)(9%)(3%)+4.6%+0.4%(7%)(1.9%)(22%)
2023+9.6%(3.1%)+2.2%(3.3%)+1.5%+8.7%+3.5%(3.7%)(4.3%)(6%)+5.0%+19.3%+30.1%
2024(4.5%)+8.5%(2%)                                                      +1.6%

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 93 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1122 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/23 12:45 WW WW INTERNATIONAL INC LONG 700 7.33 2/7/24 12:01 4.29 3.29%
Trade id #146662126
Max drawdown($2,523)
Time2/1/24 0:00
Quant open700
Worst price3.73
Drawdown as % of equity-3.29%
($2,133)
Includes Typical Broker Commissions trade costs of $5.00
1/4/24 12:22 GILD2405A85 GILD Jan5'24 85 call LONG 6 0.24 1/6 9:35 0.00 0.18%
Trade id #146908766
Max drawdown($138)
Time1/5/24 0:00
Quant open6
Worst price0.01
Drawdown as % of equity-0.18%
($148)
Includes Typical Broker Commissions trade costs of $4.20
12/13/23 12:47 CCCC C4 THERAPEUTICS INC. COMMON STOCK LONG 400 4.34 12/26 15:31 5.24 0.17%
Trade id #146684049
Max drawdown($128)
Time12/18/23 0:00
Quant open400
Worst price4.02
Drawdown as % of equity-0.17%
$352
Includes Typical Broker Commissions trade costs of $8.00
9/14/23 14:48 GRPN GROUPON INC LONG 300 12.28 12/26 15:31 12.44 1.92%
Trade id #145829900
Max drawdown($1,260)
Time11/10/23 0:00
Quant open300
Worst price8.08
Drawdown as % of equity-1.92%
$42
Includes Typical Broker Commissions trade costs of $6.00
2/23/23 12:14 GHM GRAHAM LONG 500 14.29 12/26 15:31 19.05 2.72%
Trade id #143678317
Max drawdown($1,760)
Time5/18/23 0:00
Quant open500
Worst price10.77
Drawdown as % of equity-2.72%
$2,370
Includes Typical Broker Commissions trade costs of $10.00
6/8/23 13:14 GLBE GLOBAL-E ONLINE LTD. LONG 100 35.81 12/26 15:31 39.99 1.29%
Trade id #144874411
Max drawdown($850)
Time11/15/23 0:00
Quant open100
Worst price27.30
Drawdown as % of equity-1.29%
$416
Includes Typical Broker Commissions trade costs of $2.00
11/28/23 14:15 TREE LENDINGTREE INC. COMMON STOCK LONG 200 17.07 12/26 15:30 31.54 0.02%
Trade id #146557947
Max drawdown($11)
Time11/28/23 14:24
Quant open200
Worst price17.01
Drawdown as % of equity-0.02%
$2,890
Includes Typical Broker Commissions trade costs of $4.00
10/25/23 15:35 KSS KOHL'S LONG 100 22.09 12/26 15:30 28.86 0.21%
Trade id #146236037
Max drawdown($132)
Time11/13/23 0:00
Quant open100
Worst price20.77
Drawdown as % of equity-0.21%
$675
Includes Typical Broker Commissions trade costs of $2.00
10/25/23 15:34 BIG BIG LOTS LONG 800 4.49 12/26 15:30 7.74 1.24%
Trade id #146236025
Max drawdown($816)
Time11/10/23 0:00
Quant open800
Worst price3.47
Drawdown as % of equity-1.24%
$2,595
Includes Typical Broker Commissions trade costs of $5.00
9/11/23 11:51 CVNA CARVANA CO LONG 110 49.37 11/2 11:16 29.77 4.17%
Trade id #145788749
Max drawdown($2,670)
Time11/1/23 0:00
Quant open110
Worst price25.09
Drawdown as % of equity-4.17%
($2,157)
Includes Typical Broker Commissions trade costs of $2.20
12/6/22 10:56 STIM NEURONETICS INC. COMMON STOCK SHORT 400 5.88 9/14/23 14:49 1.46 0.67%
Trade id #142784247
Max drawdown($428)
Time1/10/23 0:00
Quant open400
Worst price6.95
Drawdown as % of equity-0.67%
$1,760
Includes Typical Broker Commissions trade costs of $8.00
2/22/23 10:42 AMKR AMKOR TECHNOLOGY LONG 300 25.18 9/11 11:50 22.10 2.22%
Trade id #143662871
Max drawdown($1,427)
Time5/4/23 0:00
Quant open300
Worst price20.42
Drawdown as % of equity-2.22%
($930)
Includes Typical Broker Commissions trade costs of $6.00
3/30/23 10:45 ALGM ALLEGRO MICROSYSTEMS INC. COMMON STOCK LONG 100 48.20 9/11 11:50 34.19 2.05%
Trade id #144115717
Max drawdown($1,424)
Time9/11/23 11:22
Quant open100
Worst price33.96
Drawdown as % of equity-2.05%
($1,403)
Includes Typical Broker Commissions trade costs of $2.00
12/1/22 13:06 HMA HEARTLAND MEDIA ACQUISITION CORP SHORT 300 10.06 2/23/23 12:13 10.38 0.36%
Trade id #142738176
Max drawdown($240)
Time2/9/23 0:00
Quant open300
Worst price10.86
Drawdown as % of equity-0.36%
($102)
Includes Typical Broker Commissions trade costs of $6.00
1/31/23 10:55 SCWX SECUREWORKS CORP. CLASS A COMMON STOCK LONG 300 7.96 2/23 12:13 7.82 0.19%
Trade id #143400143
Max drawdown($127)
Time2/17/23 0:00
Quant open300
Worst price7.54
Drawdown as % of equity-0.19%
($48)
Includes Typical Broker Commissions trade costs of $6.00
12/1/22 12:52 MCRB SERES THERAPEUTICS INC. COMMON STOCK SHORT 300 6.31 2/23/23 12:13 5.12 0.4%
Trade id #142737729
Max drawdown($258)
Time12/5/22 0:00
Quant open300
Worst price7.17
Drawdown as % of equity-0.40%
$351
Includes Typical Broker Commissions trade costs of $6.00
2/22/23 10:41 PLAB PHOTRONICS SHORT 200 16.89 2/23 12:12 17.31 0.27%
Trade id #143662844
Max drawdown($180)
Time2/23/23 10:01
Quant open200
Worst price17.79
Drawdown as % of equity-0.27%
($88)
Includes Typical Broker Commissions trade costs of $4.00
1/25/23 15:27 SNOA SONOMA PHARMACEUTICALS INC. LONG 1,000 1.75 2/23 12:12 1.40 0.53%
Trade id #143341214
Max drawdown($350)
Time2/23/23 10:58
Quant open1,000
Worst price1.40
Drawdown as % of equity-0.53%
($355)
Includes Typical Broker Commissions trade costs of $5.00
8/11/22 15:44 TWOU 2U INC. COMMON STOCK SHORT 300 8.52 2/23/23 12:12 8.74 2.05%
Trade id #141391892
Max drawdown($1,389)
Time2/3/23 0:00
Quant open300
Worst price13.15
Drawdown as % of equity-2.05%
($72)
Includes Typical Broker Commissions trade costs of $6.00
2/17/22 11:33 HOOD ROBINHOOD MARKETS INC SHORT 300 12.77 2/23/23 12:12 9.73 1.36%
Trade id #139435408
Max drawdown($1,116)
Time3/29/22 0:00
Quant open300
Worst price16.49
Drawdown as % of equity-1.36%
$906
Includes Typical Broker Commissions trade costs of $6.00
11/29/22 9:35 PLAB PHOTRONICS LONG 200 18.80 2/22/23 10:41 16.89 1.02%
Trade id #142705752
Max drawdown($672)
Time2/21/23 0:00
Quant open200
Worst price15.44
Drawdown as % of equity-1.02%
($386)
Includes Typical Broker Commissions trade costs of $4.00
1/31/23 10:47 MODN MODEL N INC LONG 300 41.05 2/22 10:41 34.76 3.29%
Trade id #143399980
Max drawdown($2,190)
Time2/10/23 0:00
Quant open300
Worst price33.75
Drawdown as % of equity-3.29%
($1,893)
Includes Typical Broker Commissions trade costs of $6.00
1/5/23 12:17 AMYT AMRYT PHARMA PLC LONG 300 7.31 1/31 10:47 14.65 0.15%
Trade id #143111114
Max drawdown($93)
Time1/6/23 0:00
Quant open300
Worst price7.00
Drawdown as % of equity-0.15%
$2,196
Includes Typical Broker Commissions trade costs of $6.00
12/6/22 10:56 CAAS CHINA AUTOMOTIVE SYSTEMS SHORT 200 5.40 1/31/23 10:47 8.75 1%
Trade id #142784252
Max drawdown($676)
Time1/31/23 10:44
Quant open200
Worst price8.78
Drawdown as % of equity-1.00%
($674)
Includes Typical Broker Commissions trade costs of $4.00
11/28/22 14:12 DGII DIGI INTERNATIONAL SHORT 300 41.19 1/31/23 10:46 38.81 0.24%
Trade id #142698552
Max drawdown($151)
Time12/1/22 0:00
Quant open100
Worst price42.70
Drawdown as % of equity-0.24%
$707
Includes Typical Broker Commissions trade costs of $6.00
2/23/22 10:52 OPCH OPTION CARE HEALTH INC. COMMON STOCK LONG 200 25.34 1/31/23 10:46 28.83 0.43%
Trade id #139507394
Max drawdown($391)
Time2/24/22 0:00
Quant open200
Worst price23.38
Drawdown as % of equity-0.43%
$694
Includes Typical Broker Commissions trade costs of $4.00
10/17/22 11:23 W WAYFAIR INC LONG 200 31.99 1/31/23 10:46 60.85 1.01%
Trade id #142193423
Max drawdown($658)
Time11/9/22 0:00
Quant open200
Worst price28.70
Drawdown as % of equity-1.01%
$5,768
Includes Typical Broker Commissions trade costs of $4.00
1/18/23 9:45 DASH2320A56 DASH Jan20'23 56 call LONG 1 1.56 1/21 9:35 0.00 0.22%
Trade id #143251595
Max drawdown($145)
Time1/19/23 0:00
Quant open1
Worst price0.11
Drawdown as % of equity-0.22%
($157)
Includes Typical Broker Commissions trade costs of $1.00
12/1/22 12:51 GIII G-III APPAREL GROUP SHORT 200 12.17 1/5/23 12:17 14.08 0.84%
Trade id #142737721
Max drawdown($526)
Time12/8/22 0:00
Quant open200
Worst price14.80
Drawdown as % of equity-0.84%
($386)
Includes Typical Broker Commissions trade costs of $4.00
12/29/22 12:18 LJAQ LIGHTJUMP ACQUISITION CORPORATION SHORT 200 10.70 12/30 9:41 14.42 1.17%
Trade id #143035694
Max drawdown($744)
Time12/30/22 9:36
Quant open200
Worst price14.42
Drawdown as % of equity-1.17%
($748)
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    5/4/2020
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    1424.02
  • Age
    47 months ago
  • What it trades
    Stocks
  • # Trades
    403
  • # Profitable
    135
  • % Profitable
    33.50%
  • Avg trade duration
    40.1 days
  • Max peak-to-valley drawdown
    56.3%
  • drawdown period
    April 05, 2021 - Sept 07, 2023
  • Annual Return (Compounded)
    13.3%
  • Avg win
    $1,773
  • Avg loss
    $743.10
  • Model Account Values (Raw)
  • Cash
    $48,034
  • Margin Used
    $12,118
  • Buying Power
    $49,023
  • Ratios
  • W:L ratio
    1.22:1
  • Sharpe Ratio
    0.37
  • Sortino Ratio
    0.85
  • Calmar Ratio
    0.397
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -21.52%
  • Correlation to SP500
    0.10260
  • Return Percent SP500 (cumu) during strategy life
    84.63%
  • Return Statistics
  • Ann Return (w trading costs)
    13.3%
  • Slump
  • Current Slump as Pcnt Equity
    48.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.76%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    14.29%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.133%
  • Instruments
  • Percent Trades Options
    0.17%
  • Percent Trades Stocks
    0.83%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    83.50%
  • Chance of 20% account loss
    69.00%
  • Chance of 30% account loss
    60.00%
  • Chance of 40% account loss
    38.00%
  • Chance of 60% account loss (Monte Carlo)
    7.00%
  • Chance of 70% account loss (Monte Carlo)
    3.00%
  • Chance of 80% account loss (Monte Carlo)
    1.50%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    26.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    335
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    321
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $743
  • Avg Win
    $1,770
  • Sum Trade PL (losers)
    $199,142.000
  • Age
  • Num Months filled monthly returns table
    47
  • Win / Loss
  • Sum Trade PL (winners)
    $238,972.000
  • # Winners
    135
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    1063
  • Win / Loss
  • # Losers
    268
  • % Winners
    33.5%
  • Frequency
  • Avg Position Time (mins)
    57721.60
  • Avg Position Time (hrs)
    962.03
  • Avg Trade Length
    40.1 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.88
  • Daily leverage (max)
    4.92
  • Regression
  • Alpha
    0.04
  • Beta
    0.23
  • Treynor Index
    0.21
  • 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)
    -1.11
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -7.398
  • 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
    0.330
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.117
  • Hold-and-Hope Ratio
    -0.151
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22816
  • SD
    0.52956
  • Sharpe ratio (Glass type estimate)
    0.43084
  • Sharpe ratio (Hedges UMVUE)
    0.42345
  • df
    44.00000
  • t
    0.83432
  • p
    0.20430
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58765
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44454
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43943
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60756
  • Upside Potential Ratio
    3.66541
  • Upside part of mean
    0.52022
  • Downside part of mean
    -0.29206
  • Upside SD
    0.50833
  • Downside SD
    0.14193
  • N nonnegative terms
    20.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.14975
  • Mean of criterion
    0.22816
  • SD of predictor
    0.16325
  • SD of criterion
    0.52956
  • Covariance
    0.02633
  • r
    0.30457
  • b (slope, estimate of beta)
    0.98799
  • a (intercept, estimate of alpha)
    0.08021
  • Mean Square Error
    0.26033
  • DF error
    43.00000
  • t(b)
    2.09681
  • p(b)
    0.02096
  • t(a)
    0.29405
  • p(a)
    0.38507
  • Lowerbound of 95% confidence interval for beta
    0.03775
  • Upperbound of 95% confidence interval for beta
    1.93824
  • Lowerbound of 95% confidence interval for alpha
    -0.46988
  • Upperbound of 95% confidence interval for alpha
    0.63029
  • Treynor index (mean / b)
    0.23093
  • Jensen alpha (a)
    0.08021
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13222
  • SD
    0.40314
  • Sharpe ratio (Glass type estimate)
    0.32796
  • Sharpe ratio (Hedges UMVUE)
    0.32233
  • df
    44.00000
  • t
    0.63509
  • p
    0.26433
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68829
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34055
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69203
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33669
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89364
  • Upside Potential Ratio
    2.93495
  • Upside part of mean
    0.43423
  • Downside part of mean
    -0.30201
  • Upside SD
    0.37213
  • Downside SD
    0.14795
  • N nonnegative terms
    20.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.13561
  • Mean of criterion
    0.13222
  • SD of predictor
    0.16300
  • SD of criterion
    0.40314
  • Covariance
    0.02041
  • r
    0.31054
  • b (slope, estimate of beta)
    0.76807
  • a (intercept, estimate of alpha)
    0.02806
  • Mean Square Error
    0.15027
  • DF error
    43.00000
  • t(b)
    2.14228
  • p(b)
    0.01894
  • t(a)
    0.13622
  • p(a)
    0.44614
  • Lowerbound of 95% confidence interval for beta
    0.04503
  • Upperbound of 95% confidence interval for beta
    1.49111
  • Lowerbound of 95% confidence interval for alpha
    -0.38737
  • Upperbound of 95% confidence interval for alpha
    0.44350
  • Treynor index (mean / b)
    0.17214
  • Jensen alpha (a)
    0.02806
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16507
  • Expected Shortfall on VaR
    0.20397
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06029
  • Expected Shortfall on VaR
    0.10236
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    45.00000
  • Minimum
    0.88240
  • Quartile 1
    0.96584
  • Median
    0.99678
  • Quartile 3
    1.03850
  • Maximum
    1.93524
  • Mean of quarter 1
    0.93065
  • Mean of quarter 2
    0.98115
  • Mean of quarter 3
    1.01867
  • Mean of quarter 4
    1.16313
  • Inter Quartile Range
    0.07266
  • 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
    0.06667
  • Mean of outliers high
    1.43154
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.89173
  • VaR(95%) (moments method)
    0.07237
  • Expected Shortfall (moments method)
    0.07815
  • Extreme Value Index (regression method)
    -0.39087
  • VaR(95%) (regression method)
    0.07704
  • Expected Shortfall (regression method)
    0.09032
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01876
  • Quartile 1
    0.05038
  • Median
    0.08200
  • Quartile 3
    0.25042
  • Maximum
    0.41884
  • Mean of quarter 1
    0.01876
  • Mean of quarter 2
    0.08200
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.41884
  • Inter Quartile Range
    0.20004
  • 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)
    0.21946
  • Compounded annual return (geometric extrapolation)
    0.17366
  • Calmar ratio (compounded annual return / max draw down)
    0.41461
  • Compounded annual return / average of 25% largest draw downs
    0.41461
  • Compounded annual return / Expected Shortfall lognormal
    0.85137
  • 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
    0.19861
  • SD
    0.38792
  • Sharpe ratio (Glass type estimate)
    0.51197
  • Sharpe ratio (Hedges UMVUE)
    0.51158
  • df
    982.00000
  • t
    0.99169
  • p
    0.16080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50027
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52396
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50053
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52370
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22638
  • Upside Potential Ratio
    8.57940
  • Upside part of mean
    1.38939
  • Downside part of mean
    -1.19078
  • Upside SD
    0.35250
  • Downside SD
    0.16195
  • N nonnegative terms
    475.00000
  • N negative terms
    508.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    983.00000
  • Mean of predictor
    0.15138
  • Mean of criterion
    0.19861
  • SD of predictor
    0.17783
  • SD of criterion
    0.38792
  • Covariance
    0.00757
  • r
    0.10979
  • b (slope, estimate of beta)
    0.23950
  • a (intercept, estimate of alpha)
    0.16200
  • Mean Square Error
    0.14882
  • DF error
    981.00000
  • t(b)
    3.45960
  • p(b)
    0.00028
  • t(a)
    0.81404
  • p(a)
    0.20791
  • Lowerbound of 95% confidence interval for beta
    0.10365
  • Upperbound of 95% confidence interval for beta
    0.37535
  • Lowerbound of 95% confidence interval for alpha
    -0.22902
  • Upperbound of 95% confidence interval for alpha
    0.55372
  • Treynor index (mean / b)
    0.82924
  • Jensen alpha (a)
    0.16235
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13214
  • SD
    0.35418
  • Sharpe ratio (Glass type estimate)
    0.37307
  • Sharpe ratio (Hedges UMVUE)
    0.37279
  • df
    982.00000
  • t
    0.72264
  • p
    0.23504
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63899
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38501
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63921
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38479
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79932
  • Upside Potential Ratio
    8.08348
  • Upside part of mean
    1.33627
  • Downside part of mean
    -1.20413
  • Upside SD
    0.31314
  • Downside SD
    0.16531
  • N nonnegative terms
    475.00000
  • N negative terms
    508.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    983.00000
  • Mean of predictor
    0.13552
  • Mean of criterion
    0.13214
  • SD of predictor
    0.17794
  • SD of criterion
    0.35418
  • Covariance
    0.00738
  • r
    0.11706
  • b (slope, estimate of beta)
    0.23301
  • a (intercept, estimate of alpha)
    0.10056
  • Mean Square Error
    0.12385
  • DF error
    981.00000
  • t(b)
    3.69183
  • p(b)
    0.00012
  • t(a)
    0.55285
  • p(a)
    0.29024
  • Lowerbound of 95% confidence interval for beta
    0.10915
  • Upperbound of 95% confidence interval for beta
    0.35686
  • Lowerbound of 95% confidence interval for alpha
    -0.25638
  • Upperbound of 95% confidence interval for alpha
    0.45749
  • Treynor index (mean / b)
    0.56708
  • Jensen alpha (a)
    0.10056
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03486
  • Expected Shortfall on VaR
    0.04362
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01063
  • Expected Shortfall on VaR
    0.02141
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    983.00000
  • Minimum
    0.91877
  • Quartile 1
    0.99445
  • Median
    0.99984
  • Quartile 3
    1.00453
  • Maximum
    1.39355
  • Mean of quarter 1
    0.98463
  • Mean of quarter 2
    0.99743
  • Mean of quarter 3
    1.00210
  • Mean of quarter 4
    1.01930
  • Inter Quartile Range
    0.01008
  • Number outliers low
    46.00000
  • Percentage of outliers low
    0.04680
  • Mean of outliers low
    0.96454
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.05188
  • Mean of outliers high
    1.05613
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29788
  • VaR(95%) (moments method)
    0.01499
  • Expected Shortfall (moments method)
    0.02550
  • Extreme Value Index (regression method)
    0.25271
  • VaR(95%) (regression method)
    0.01340
  • Expected Shortfall (regression method)
    0.02132
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00353
  • Quartile 1
    0.00914
  • Median
    0.08028
  • Quartile 3
    0.13452
  • Maximum
    0.43690
  • Mean of quarter 1
    0.00722
  • Mean of quarter 2
    0.04434
  • Mean of quarter 3
    0.11167
  • Mean of quarter 4
    0.25772
  • Inter Quartile Range
    0.12538
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    0.43690
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.32260
  • VaR(95%) (moments method)
    0.27841
  • Expected Shortfall (moments method)
    0.45436
  • Extreme Value Index (regression method)
    1.30962
  • VaR(95%) (regression method)
    0.32518
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21934
  • Compounded annual return (geometric extrapolation)
    0.17356
  • Calmar ratio (compounded annual return / max draw down)
    0.39725
  • Compounded annual return / average of 25% largest draw downs
    0.67343
  • Compounded annual return / Expected Shortfall lognormal
    3.97912
  • 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
    0.38754
  • SD
    0.21863
  • Sharpe ratio (Glass type estimate)
    1.77256
  • Sharpe ratio (Hedges UMVUE)
    1.76232
  • df
    130.00000
  • t
    1.25339
  • p
    0.44536
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01087
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.54934
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01775
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54239
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.27625
  • Upside Potential Ratio
    11.62960
  • Upside part of mean
    1.37563
  • Downside part of mean
    -0.98809
  • Upside SD
    0.18444
  • Downside SD
    0.11829
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36048
  • Mean of criterion
    0.38754
  • SD of predictor
    0.11714
  • SD of criterion
    0.21863
  • Covariance
    0.00655
  • r
    0.25580
  • b (slope, estimate of beta)
    0.47743
  • a (intercept, estimate of alpha)
    0.21543
  • Mean Square Error
    0.04502
  • DF error
    129.00000
  • t(b)
    3.00531
  • p(b)
    0.33895
  • t(a)
    0.70524
  • p(a)
    0.46057
  • Lowerbound of 95% confidence interval for beta
    0.16312
  • Upperbound of 95% confidence interval for beta
    0.79174
  • Lowerbound of 95% confidence interval for alpha
    -0.38896
  • Upperbound of 95% confidence interval for alpha
    0.81983
  • Treynor index (mean / b)
    0.81172
  • Jensen alpha (a)
    0.21543
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36380
  • SD
    0.21673
  • Sharpe ratio (Glass type estimate)
    1.67856
  • Sharpe ratio (Hedges UMVUE)
    1.66886
  • df
    130.00000
  • t
    1.18692
  • p
    0.44823
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10389
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45472
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11036
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.44808
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.04349
  • Upside Potential Ratio
    11.36830
  • Upside part of mean
    1.35888
  • Downside part of mean
    -0.99508
  • Upside SD
    0.18119
  • Downside SD
    0.11953
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35341
  • Mean of criterion
    0.36380
  • SD of predictor
    0.11700
  • SD of criterion
    0.21673
  • Covariance
    0.00652
  • r
    0.25715
  • b (slope, estimate of beta)
    0.47633
  • a (intercept, estimate of alpha)
    0.19546
  • Mean Square Error
    0.04421
  • DF error
    129.00000
  • t(b)
    3.02229
  • p(b)
    0.33812
  • t(a)
    0.64611
  • p(a)
    0.46386
  • VAR (95 Confidence Intrvl)
    0.03500
  • Lowerbound of 95% confidence interval for beta
    0.16450
  • Upperbound of 95% confidence interval for beta
    0.78816
  • Lowerbound of 95% confidence interval for alpha
    -0.40308
  • Upperbound of 95% confidence interval for alpha
    0.79399
  • Treynor index (mean / b)
    0.76374
  • Jensen alpha (a)
    0.19546
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02042
  • Expected Shortfall on VaR
    0.02588
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00877
  • Expected Shortfall on VaR
    0.01664
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96597
  • Quartile 1
    0.99506
  • Median
    0.99999
  • Quartile 3
    1.00585
  • Maximum
    1.06063
  • Mean of quarter 1
    0.98795
  • Mean of quarter 2
    0.99729
  • Mean of quarter 3
    1.00279
  • Mean of quarter 4
    1.01835
  • Inter Quartile Range
    0.01080
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97077
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.03579
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15531
  • VaR(95%) (moments method)
    0.01178
  • Expected Shortfall (moments method)
    0.01750
  • Extreme Value Index (regression method)
    0.09156
  • VaR(95%) (regression method)
    0.01015
  • Expected Shortfall (regression method)
    0.01394
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00200
  • Median
    0.03425
  • Quartile 3
    0.04448
  • Maximum
    0.06957
  • Mean of quarter 1
    0.00094
  • Mean of quarter 2
    0.02072
  • Mean of quarter 3
    0.04144
  • Mean of quarter 4
    0.05987
  • Inter Quartile Range
    0.04248
  • 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)
    -77.20260
  • VaR(95%) (moments method)
    0.06332
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.21509
  • VaR(95%) (regression method)
    0.09116
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.09136
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -334170000
  • Max Equity Drawdown (num days)
    885
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43269
  • Compounded annual return (geometric extrapolation)
    0.47950
  • Calmar ratio (compounded annual return / max draw down)
    6.89274
  • Compounded annual return / average of 25% largest draw downs
    8.00873
  • Compounded annual return / Expected Shortfall lognormal
    18.52950

Strategy Description

Summary Statistics

Strategy began
2020-05-04
Suggested Minimum Capital
$80,000
# Trades
403
# Profitable
135
% Profitable
33.5%
Net Dividends
Correlation S&P500
0.103
Sharpe Ratio
0.37
Sortino Ratio
0.85
Beta
0.23
Alpha
0.04
Leverage
0.88 Average
4.92 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.