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

Anessa
(129689693)

Created by: MarkAnderson4 MarkAnderson4
Started: 06/2020
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following 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 $59.00 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.
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).
15.7%
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.

(21.1%)
Max Drawdown
561
Num Trades
42.1%
Win Trades
1.3 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                     -  +7.5%(8.3%)+11.5%(9.6%)+15.8%+0.5%+15.7%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/3/20 9:31 J JACOBS ENGINEERING GROUP INC LONG 5 100.49 11/30 9:33 106.16 0.05%
Trade id #132043687
Max drawdown($28)
Time11/4/20 0:00
Quant open5
Worst price94.81
Drawdown as % of equity-0.05%
$28
Includes Typical Broker Commissions trade costs of $0.10
11/3/20 9:54 ZBRA ZEBRA TECHNOLOGIES LONG 3 317.72 11/30 9:31 378.48 0.03%
Trade id #132045985
Max drawdown($13)
Time11/3/20 10:13
Quant open3
Worst price313.06
Drawdown as % of equity-0.03%
$182
Includes Typical Broker Commissions trade costs of $0.06
11/3/20 9:52 XLP SPDR CONSUMER STAPLES SELECT LONG 8 64.28 11/30 9:31 66.75 0%
Trade id #132045863
Max drawdown($2)
Time11/3/20 14:29
Quant open8
Worst price63.98
Drawdown as % of equity-0.00%
$20
Includes Typical Broker Commissions trade costs of $0.16
11/3/20 9:42 PG PROCTER & GAMBLE LONG 3 140.47 11/30 9:31 138.00 0.02%
Trade id #132045033
Max drawdown($9)
Time11/10/20 0:00
Quant open3
Worst price137.15
Drawdown as % of equity-0.02%
($7)
Includes Typical Broker Commissions trade costs of $0.06
11/3/20 9:51 XHB SPDR S&P HOMEBUILDERS LONG 9 54.52 11/30 9:31 57.80 0.02%
Trade id #132045767
Max drawdown($9)
Time11/10/20 0:00
Quant open9
Worst price53.43
Drawdown as % of equity-0.02%
$30
Includes Typical Broker Commissions trade costs of $0.18
11/3/20 9:50 UNH UNITEDHEALTH GROUP LONG 1 319.61 11/30 9:31 335.11 n/a $16
Includes Typical Broker Commissions trade costs of $0.02
11/3/20 9:49 TMUS T-MOBILE US INC. COMMON STOCK LONG 4 111.45 11/30 9:31 131.90 0.01%
Trade id #132045622
Max drawdown($2)
Time11/3/20 14:00
Quant open4
Worst price110.71
Drawdown as % of equity-0.01%
$82
Includes Typical Broker Commissions trade costs of $0.08
11/3/20 9:53 XLV HEALTH CARE SELECT SECTOR SPDR LONG 5 105.39 11/30 9:31 109.48 0.01%
Trade id #132045940
Max drawdown($3)
Time11/3/20 15:23
Quant open5
Worst price104.70
Drawdown as % of equity-0.01%
$20
Includes Typical Broker Commissions trade costs of $0.10
11/3/20 9:44 RTX RAYTHEON TECHNOLOGIES CORP LONG 10 57.00 11/30 9:31 73.09 0.02%
Trade id #132045261
Max drawdown($8)
Time11/4/20 0:00
Quant open10
Worst price56.14
Drawdown as % of equity-0.02%
$161
Includes Typical Broker Commissions trade costs of $0.20
11/3/20 9:30 CB CHUBB LONG 8 135.70 11/30 9:31 149.61 0.07%
Trade id #132043627
Max drawdown($36)
Time11/4/20 0:00
Quant open8
Worst price131.10
Drawdown as % of equity-0.07%
$111
Includes Typical Broker Commissions trade costs of $0.16
11/3/20 9:45 SHW SHERWIN-WILLIAMS LONG 2 707.14 11/30 9:31 733.89 0.06%
Trade id #132045291
Max drawdown($32)
Time11/9/20 0:00
Quant open2
Worst price690.67
Drawdown as % of equity-0.06%
$54
Includes Typical Broker Commissions trade costs of $0.04
11/3/20 9:44 ROP ROPER TECHNOLOGIES INC LONG 1 386.16 11/30 9:31 418.00 0.01%
Trade id #132045236
Max drawdown($5)
Time11/3/20 14:30
Quant open1
Worst price380.55
Drawdown as % of equity-0.01%
$32
Includes Typical Broker Commissions trade costs of $0.02
11/3/20 9:48 TMO THERMO FISHER SCIENTIFIC LONG 2 493.63 11/30 9:31 457.07 0.2%
Trade id #132045597
Max drawdown($115)
Time11/24/20 0:00
Quant open2
Worst price435.77
Drawdown as % of equity-0.20%
($73)
Includes Typical Broker Commissions trade costs of $0.04
11/3/20 9:43 PH PARKER HANNIFIN LONG 2 221.93 11/30 9:31 270.74 0.02%
Trade id #132045196
Max drawdown($10)
Time11/4/20 0:00
Quant open2
Worst price216.92
Drawdown as % of equity-0.02%
$98
Includes Typical Broker Commissions trade costs of $0.04
11/3/20 9:49 TRMB TRIMBLE INC LONG 10 52.49 11/30 9:31 60.20 0.04%
Trade id #132045652
Max drawdown($19)
Time11/4/20 0:00
Quant open10
Worst price50.51
Drawdown as % of equity-0.04%
$77
Includes Typical Broker Commissions trade costs of $0.20
11/3/20 9:31 NEE NEXTERA ENERGY LONG 7 76.05 11/30 9:31 75.30 0.04%
Trade id #132043697
Max drawdown($21)
Time11/4/20 0:00
Quant open7
Worst price73.00
Drawdown as % of equity-0.04%
($5)
Includes Typical Broker Commissions trade costs of $0.14
11/3/20 9:53 XPO XPO LOGISTICS LONG 5 92.59 11/30 9:31 106.94 0%
Trade id #132045948
Max drawdown($1)
Time11/3/20 10:01
Quant open5
Worst price92.36
Drawdown as % of equity-0.00%
$72
Includes Typical Broker Commissions trade costs of $0.10
11/3/20 9:50 VOO VANGUARD S&P 500 ETF LONG 2 307.63 11/30 9:31 333.40 0%
Trade id #132045715
Max drawdown($0)
Time11/3/20 13:58
Quant open2
Worst price307.62
Drawdown as % of equity-0.00%
$52
Includes Typical Broker Commissions trade costs of $0.04
11/3/20 9:47 SPGI S & P GLOBAL INC LONG 1 332.28 11/30 9:31 343.33 n/a $11
Includes Typical Broker Commissions trade costs of $0.02
11/3/20 9:30 ENTG ENTEGRIS LONG 13 77.55 11/30 9:31 90.13 n/a $164
Includes Typical Broker Commissions trade costs of $0.26
10/30/20 9:30 TDOC TELADOC HEALTH INC LONG 3 0.00 11/30 9:31 198.00 n/a $594
Includes Typical Broker Commissions trade costs of $0.06
11/3/20 9:30 DE DEERE LONG 4 235.61 11/30 9:31 262.94 0.02%
Trade id #132043624
Max drawdown($9)
Time11/4/20 0:00
Quant open4
Worst price233.20
Drawdown as % of equity-0.02%
$109
Includes Typical Broker Commissions trade costs of $0.08
11/3/20 9:48 TGT TARGET LONG 6 156.60 11/30 9:31 178.25 0.02%
Trade id #132045553
Max drawdown($11)
Time11/9/20 0:00
Quant open6
Worst price154.75
Drawdown as % of equity-0.02%
$130
Includes Typical Broker Commissions trade costs of $0.12
11/3/20 9:31 GOOGL ALPHABET INC CLASS A LONG 1 1630.76 11/30 9:31 1775.65 0.04%
Trade id #132043716
Max drawdown($18)
Time11/3/20 9:37
Quant open1
Worst price1612.11
Drawdown as % of equity-0.04%
$145
Includes Typical Broker Commissions trade costs of $0.02
11/3/20 9:31 BLK BLACKROCK LONG 2 620.90 11/30 9:31 710.31 0.01%
Trade id #132043708
Max drawdown($3)
Time11/3/20 9:36
Quant open2
Worst price619.00
Drawdown as % of equity-0.01%
$179
Includes Typical Broker Commissions trade costs of $0.04
11/3/20 9:30 ITW ILLINOIS TOOL WORKS LONG 3 204.70 11/30 9:31 211.00 0.01%
Trade id #132043637
Max drawdown($7)
Time11/19/20 0:00
Quant open3
Worst price202.09
Drawdown as % of equity-0.01%
$19
Includes Typical Broker Commissions trade costs of $0.06
11/3/20 9:42 PGR PROGRESSIVE LONG 5 94.36 11/30 9:31 88.50 0.06%
Trade id #132045074
Max drawdown($35)
Time11/27/20 0:00
Quant open5
Worst price87.21
Drawdown as % of equity-0.06%
($29)
Includes Typical Broker Commissions trade costs of $0.10
11/3/20 9:31 CLGX CORELOGIC LONG 20 76.80 11/30 9:31 78.15 0.04%
Trade id #132043655
Max drawdown($20)
Time11/3/20 15:26
Quant open20
Worst price75.78
Drawdown as % of equity-0.04%
$27
Includes Typical Broker Commissions trade costs of $0.40
11/3/20 9:31 DHR DANAHER LONG 4 235.12 11/30 9:31 219.51 0.16%
Trade id #132043653
Max drawdown($90)
Time11/25/20 0:00
Quant open4
Worst price212.42
Drawdown as % of equity-0.16%
($62)
Includes Typical Broker Commissions trade costs of $0.08
11/3/20 9:41 PAYC PAYCOM SOFTWARE INC LONG 1 367.48 11/30 9:31 415.43 0%
Trade id #132045006
Max drawdown($2)
Time11/6/20 0:00
Quant open1
Worst price365.06
Drawdown as % of equity-0.00%
$48
Includes Typical Broker Commissions trade costs of $0.02

Statistics

  • Strategy began
    6/22/2020
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    166.27
  • Age
    166 days ago
  • What it trades
    Stocks
  • # Trades
    561
  • # Profitable
    236
  • % Profitable
    42.10%
  • Avg trade duration
    18.1 days
  • Max peak-to-valley drawdown
    21.14%
  • drawdown period
    Oct 16, 2020 - Nov 01, 2020
  • Cumul. Return
    15.7%
  • Avg win
    $167.46
  • Avg loss
    $92.73
  • Model Account Values (Raw)
  • Cash
    $9,106
  • Margin Used
    $3,660
  • Buying Power
    $4,476
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    0.88
  • Sortino Ratio
    1.45
  • Calmar Ratio
    2.223
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.94%
  • Correlation to SP500
    -0.00880
  • Return Percent SP500 (cumu) during strategy life
    18.64%
  • Return Statistics
  • Ann Return (w trading costs)
    36.9%
  • Slump
  • Current Slump as Pcnt Equity
    9.50%
  • Instruments
  • Percent Trades Futures
    0.16%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.30%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.157%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.84%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    42.8%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    654
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    744
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $95
  • Avg Win
    $167
  • Sum Trade PL (losers)
    $30,829.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $39,520.000
  • # Winners
    236
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    179
  • Win / Loss
  • # Losers
    325
  • % Winners
    42.1%
  • Frequency
  • Avg Position Time (mins)
    26050.70
  • Avg Position Time (hrs)
    434.18
  • Avg Trade Length
    18.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.29
  • Daily leverage (max)
    7.25
  • Regression
  • Alpha
    0.09
  • Beta
    -0.01
  • Treynor Index
    -6.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.51
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    12.257
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.533
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.218
  • Hold-and-Hope Ratio
    0.120
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42238
  • SD
    0.20030
  • Sharpe ratio (Glass type estimate)
    2.10878
  • Sharpe ratio (Hedges UMVUE)
    1.68256
  • df
    4.00000
  • t
    1.36121
  • p
    0.12254
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34098
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35487
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56996
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93508
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.57642
  • Upside Potential Ratio
    7.12561
  • Upside part of mean
    0.53973
  • Downside part of mean
    -0.11734
  • Upside SD
    0.20304
  • Downside SD
    0.07574
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.29698
  • Mean of criterion
    0.42238
  • SD of predictor
    0.10132
  • SD of criterion
    0.20030
  • Covariance
    -0.00278
  • r
    -0.13709
  • b (slope, estimate of beta)
    -0.27100
  • a (intercept, estimate of alpha)
    0.50287
  • Mean Square Error
    0.05249
  • DF error
    3.00000
  • t(b)
    -0.23971
  • p(b)
    0.58700
  • t(a)
    1.02927
  • p(a)
    0.18954
  • Lowerbound of 95% confidence interval for beta
    -3.86894
  • Upperbound of 95% confidence interval for beta
    3.32694
  • Lowerbound of 95% confidence interval for alpha
    -1.05197
  • Upperbound of 95% confidence interval for alpha
    2.05771
  • Treynor index (mean / b)
    -1.55859
  • Jensen alpha (a)
    0.50287
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39899
  • SD
    0.19573
  • Sharpe ratio (Glass type estimate)
    2.03844
  • Sharpe ratio (Hedges UMVUE)
    1.62644
  • df
    4.00000
  • t
    1.31581
  • p
    0.12929
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38969
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.26706
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61234
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.86523
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.14997
  • Upside Potential Ratio
    6.69916
  • Upside part of mean
    0.51901
  • Downside part of mean
    -0.12002
  • Upside SD
    0.19471
  • Downside SD
    0.07747
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.28871
  • Mean of criterion
    0.39899
  • SD of predictor
    0.10037
  • SD of criterion
    0.19573
  • Covariance
    -0.00287
  • r
    -0.14586
  • b (slope, estimate of beta)
    -0.28443
  • a (intercept, estimate of alpha)
    0.48111
  • Mean Square Error
    0.04999
  • DF error
    3.00000
  • t(b)
    -0.25537
  • p(b)
    0.59253
  • t(a)
    1.01791
  • p(a)
    0.19183
  • Lowerbound of 95% confidence interval for beta
    -3.82905
  • Upperbound of 95% confidence interval for beta
    3.26019
  • Lowerbound of 95% confidence interval for alpha
    -1.02305
  • Upperbound of 95% confidence interval for alpha
    1.98526
  • Treynor index (mean / b)
    -1.40277
  • Jensen alpha (a)
    0.48111
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05794
  • Expected Shortfall on VaR
    0.07972
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01111
  • Expected Shortfall on VaR
    0.02756
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.95344
  • Quartile 1
    1.00683
  • Median
    1.05935
  • Quartile 3
    1.06724
  • Maximum
    1.10077
  • Mean of quarter 1
    0.98013
  • Mean of quarter 2
    1.05935
  • Mean of quarter 3
    1.06724
  • Mean of quarter 4
    1.10077
  • Inter Quartile Range
    0.06041
  • 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
    1.00000
  • Minimum
    0.04656
  • Quartile 1
    0.04656
  • Median
    0.04656
  • Quartile 3
    0.04656
  • Maximum
    0.04656
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46722
  • Compounded annual return (geometric extrapolation)
    0.53249
  • Calmar ratio (compounded annual return / max draw down)
    11.43560
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    6.67916
  • 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
    0.34896
  • SD
    0.29269
  • Sharpe ratio (Glass type estimate)
    1.19226
  • Sharpe ratio (Hedges UMVUE)
    1.18466
  • df
    118.00000
  • t
    0.80351
  • p
    0.46312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72232
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10198
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72747
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09679
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01361
  • Upside Potential Ratio
    9.73926
  • Upside part of mean
    1.68784
  • Downside part of mean
    -1.33888
  • Upside SD
    0.23533
  • Downside SD
    0.17330
  • N nonnegative terms
    62.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    119.00000
  • Mean of predictor
    0.36555
  • Mean of criterion
    0.34896
  • SD of predictor
    0.18370
  • SD of criterion
    0.29269
  • Covariance
    -0.00146
  • r
    -0.02717
  • b (slope, estimate of beta)
    -0.04329
  • a (intercept, estimate of alpha)
    0.36500
  • Mean Square Error
    0.08634
  • DF error
    117.00000
  • t(b)
    -0.29399
  • p(b)
    0.51729
  • t(a)
    0.83039
  • p(a)
    0.45132
  • Lowerbound of 95% confidence interval for beta
    -0.33490
  • Upperbound of 95% confidence interval for beta
    0.24832
  • Lowerbound of 95% confidence interval for alpha
    -0.50522
  • Upperbound of 95% confidence interval for alpha
    1.23480
  • Treynor index (mean / b)
    -8.06125
  • Jensen alpha (a)
    0.36479
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30697
  • SD
    0.28909
  • Sharpe ratio (Glass type estimate)
    1.06184
  • Sharpe ratio (Hedges UMVUE)
    1.05508
  • df
    118.00000
  • t
    0.71562
  • p
    0.46713
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.85164
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85624
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96640
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74199
  • Upside Potential Ratio
    9.42620
  • Upside part of mean
    1.66105
  • Downside part of mean
    -1.35409
  • Upside SD
    0.22842
  • Downside SD
    0.17622
  • N nonnegative terms
    62.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    119.00000
  • Mean of predictor
    0.34847
  • Mean of criterion
    0.30697
  • SD of predictor
    0.18436
  • SD of criterion
    0.28909
  • Covariance
    -0.00125
  • r
    -0.02350
  • b (slope, estimate of beta)
    -0.03684
  • a (intercept, estimate of alpha)
    0.31981
  • Mean Square Error
    0.08424
  • DF error
    117.00000
  • t(b)
    -0.25422
  • p(b)
    0.51496
  • t(a)
    0.73754
  • p(a)
    0.45673
  • Lowerbound of 95% confidence interval for beta
    -0.32387
  • Upperbound of 95% confidence interval for beta
    0.25018
  • Lowerbound of 95% confidence interval for alpha
    -0.53894
  • Upperbound of 95% confidence interval for alpha
    1.17855
  • Treynor index (mean / b)
    -8.33172
  • Jensen alpha (a)
    0.31981
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02781
  • Expected Shortfall on VaR
    0.03502
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01143
  • Expected Shortfall on VaR
    0.02277
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    119.00000
  • Minimum
    0.94801
  • Quartile 1
    0.99346
  • Median
    1.00084
  • Quartile 3
    1.00835
  • Maximum
    1.09887
  • Mean of quarter 1
    0.98276
  • Mean of quarter 2
    0.99721
  • Mean of quarter 3
    1.00424
  • Mean of quarter 4
    1.02163
  • Inter Quartile Range
    0.01489
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.05042
  • Mean of outliers low
    0.96164
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03361
  • Mean of outliers high
    1.06270
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41015
  • VaR(95%) (moments method)
    0.01831
  • Expected Shortfall (moments method)
    0.03522
  • Extreme Value Index (regression method)
    0.58603
  • VaR(95%) (regression method)
    0.01470
  • Expected Shortfall (regression method)
    0.03326
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00302
  • Quartile 1
    0.00908
  • Median
    0.04954
  • Quartile 3
    0.13935
  • Maximum
    0.17891
  • Mean of quarter 1
    0.00605
  • Mean of quarter 2
    0.04954
  • Mean of quarter 3
    0.13935
  • Mean of quarter 4
    0.17891
  • Inter Quartile Range
    0.13027
  • 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)
    0.36168
  • Compounded annual return (geometric extrapolation)
    0.39776
  • Calmar ratio (compounded annual return / max draw down)
    2.22326
  • Compounded annual return / average of 25% largest draw downs
    2.22326
  • Compounded annual return / Expected Shortfall lognormal
    11.35870
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02800
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -285009000
  • Max Equity Drawdown (num days)
    16

Strategy Description

Summary Statistics

Strategy began
2020-06-22
Suggested Minimum Capital
$60,000
Rank at C2 
#169
# Trades
561
# Profitable
236
% Profitable
42.1%
Net Dividends
Correlation S&P500
-0.009
Sharpe Ratio
0.88
Sortino Ratio
1.45
Beta
-0.01
Alpha
0.09
Leverage
2.29 Average
7.25 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.