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Trade2Short
(132383133)

Created by: MarketMaster MarketMaster
Started: 11/2020
Stocks
Last trade: 2 days ago
Trading style: Equity Short-term Reversal

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
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
51.8%
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.

(5.7%)
Max Drawdown
845
Num Trades
54.3%
Win Trades
1.5 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      (0.4%)+7.1%+6.7%
2021+8.9%+26.7%+5.2%(1.7%)+2.4%(3.2%)+0.6%                              +42.3%

Model Account Details

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

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

Trading Record

This strategy has placed 605 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 15 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/23/21 10:00 PFE PFIZER SHORT 240 41.71 7/23 15:30 41.71 0.04%
Trade id #136649844
Max drawdown($28)
Time7/23/21 10:09
Quant open240
Worst price41.83
Drawdown as % of equity-0.04%
($5)
Includes Typical Broker Commissions trade costs of $4.80
7/23/21 9:30 BLDR BUILDERS FIRSTSOURCE SHORT 224 44.95 7/23 15:30 45.44 0.22%
Trade id #136648130
Max drawdown($164)
Time7/23/21 11:32
Quant open224
Worst price45.69
Drawdown as % of equity-0.22%
($113)
Includes Typical Broker Commissions trade costs of $4.48
7/22/21 11:18 HOLX HOLOGIC SHORT 139 72.07 7/22 15:30 71.67 0.02%
Trade id #136634667
Max drawdown($16)
Time7/22/21 11:28
Quant open139
Worst price72.19
Drawdown as % of equity-0.02%
$53
Includes Typical Broker Commissions trade costs of $2.78
7/20/21 13:34 AVTR AVANTOR INC SHORT 268 37.28 7/20 15:30 37.11 0.02%
Trade id #136596220
Max drawdown($18)
Time7/20/21 14:58
Quant open268
Worst price37.35
Drawdown as % of equity-0.02%
$41
Includes Typical Broker Commissions trade costs of $5.36
7/20/21 9:48 PFE PFIZER SHORT 240 41.59 7/20 15:30 41.13 0.04%
Trade id #136587579
Max drawdown($28)
Time7/20/21 10:49
Quant open240
Worst price41.71
Drawdown as % of equity-0.04%
$105
Includes Typical Broker Commissions trade costs of $4.80
7/15/21 10:28 KNX KNIGHT-SWIFT TRANSPORTATION HOLDINGS INC SHORT 197 50.70 7/15 15:30 50.53 0.12%
Trade id #136505741
Max drawdown($92)
Time7/15/21 11:47
Quant open197
Worst price51.17
Drawdown as % of equity-0.12%
$29
Includes Typical Broker Commissions trade costs of $3.94
7/13/21 10:45 UPWK UPWORK INC. COMMON STOCK SHORT 159 62.80 7/13 15:30 61.01 0.29%
Trade id #136468976
Max drawdown($219)
Time7/13/21 10:48
Quant open159
Worst price64.18
Drawdown as % of equity-0.29%
$282
Includes Typical Broker Commissions trade costs of $3.18
7/12/21 9:30 HNDL STRATEGY SHARES NASDAQ 7HANDL INDEX ETF SHORT 386 25.92 7/12 15:30 25.84 n/a $23
Includes Typical Broker Commissions trade costs of $7.72
7/9/21 10:00 KNX KNIGHT-SWIFT TRANSPORTATION HOLDINGS INC SHORT 198 50.49 7/9 15:30 49.81 0.01%
Trade id #136400186
Max drawdown($7)
Time7/9/21 10:13
Quant open198
Worst price50.53
Drawdown as % of equity-0.01%
$131
Includes Typical Broker Commissions trade costs of $3.96
7/8/21 13:28 CCXI CHEMOCENTRYX SHORT 668 14.98 7/8 15:30 14.97 0.06%
Trade id #136385631
Max drawdown($46)
Time7/8/21 13:45
Quant open668
Worst price15.05
Drawdown as % of equity-0.06%
($1)
Includes Typical Broker Commissions trade costs of $5.00
7/7/21 9:38 CCXI CHEMOCENTRYX SHORT 676 14.80 7/7 15:30 14.30 0.07%
Trade id #136358884
Max drawdown($54)
Time7/7/21 9:42
Quant open676
Worst price14.88
Drawdown as % of equity-0.07%
$333
Includes Typical Broker Commissions trade costs of $5.00
7/6/21 14:17 DT DYNATRACE INC SHORT 164 61.09 7/6 15:30 61.45 0.09%
Trade id #136348285
Max drawdown($66)
Time7/6/21 15:30
Quant open164
Worst price61.50
Drawdown as % of equity-0.09%
($61)
Includes Typical Broker Commissions trade costs of $3.28
7/6/21 9:30 FWONK LIBERTY MEDIA CORP SERIES C FORMULA ONE SHORT 199 50.37 7/6 15:30 49.09 n/a $251
Includes Typical Broker Commissions trade costs of $3.98
7/2/21 9:30 TPX TEMPUR SEALY INTERNATIONAL SHORT 239 41.76 7/2 15:30 42.32 0.21%
Trade id #136303913
Max drawdown($157)
Time7/2/21 14:02
Quant open239
Worst price42.42
Drawdown as % of equity-0.21%
($137)
Includes Typical Broker Commissions trade costs of $4.78
7/2/21 9:30 APLS APELLIS PHARMACEUTICALS INC. COMMON STOCK SHORT 146 68.58 7/2 9:37 70.34 0.37%
Trade id #136303876
Max drawdown($277)
Time7/2/21 9:37
Quant open146
Worst price70.48
Drawdown as % of equity-0.37%
($260)
Includes Typical Broker Commissions trade costs of $2.92
7/1/21 15:28 APLS APELLIS PHARMACEUTICALS INC. COMMON STOCK SHORT 147 67.87 7/1 15:30 67.90 0.01%
Trade id #136294629
Max drawdown($4)
Time7/1/21 15:30
Quant open147
Worst price67.90
Drawdown as % of equity-0.01%
($7)
Includes Typical Broker Commissions trade costs of $2.94
6/30/21 15:28 EBAY EBAY SHORT 142 70.64 6/30 15:30 70.64 n/a ($2)
Includes Typical Broker Commissions trade costs of $2.84
6/29/21 10:01 DV DOUBLE VERIFY HOLDINGS INC. SHORT 218 45.68 6/29 11:08 46.95 0.37%
Trade id #136249677
Max drawdown($282)
Time6/29/21 11:08
Quant open218
Worst price46.98
Drawdown as % of equity-0.37%
($281)
Includes Typical Broker Commissions trade costs of $4.36
6/29/21 9:30 HOLX HOLOGIC SHORT 147 67.82 6/29 10:41 69.53 0.33%
Trade id #136248431
Max drawdown($251)
Time6/29/21 10:41
Quant open147
Worst price69.53
Drawdown as % of equity-0.33%
($254)
Includes Typical Broker Commissions trade costs of $2.94
6/29/21 9:45 UPWK UPWORK INC. COMMON STOCK SHORT 170 58.94 6/29 9:59 60.49 0.39%
Trade id #136249206
Max drawdown($299)
Time6/29/21 9:59
Quant open170
Worst price60.70
Drawdown as % of equity-0.39%
($267)
Includes Typical Broker Commissions trade costs of $3.40
6/28/21 9:32 INFY INFOSYS SHORT 465 21.49 6/28 15:30 21.25 n/a $106
Includes Typical Broker Commissions trade costs of $9.30
6/28/21 9:31 PINS PINTEREST INC SHORT 129 77.50 6/28 15:30 78.47 0.2%
Trade id #136229398
Max drawdown($153)
Time6/28/21 12:59
Quant open129
Worst price78.69
Drawdown as % of equity-0.20%
($128)
Includes Typical Broker Commissions trade costs of $2.58
6/28/21 9:30 CCXI CHEMOCENTRYX SHORT 703 14.58 6/28 15:30 14.21 0.08%
Trade id #136229152
Max drawdown($63)
Time6/28/21 9:34
Quant open703
Worst price14.67
Drawdown as % of equity-0.08%
$254
Includes Typical Broker Commissions trade costs of $5.00
6/28/21 9:30 AYX ALTERYX INC SHORT 111 90.25 6/28 15:30 89.12 0.02%
Trade id #136229132
Max drawdown($16)
Time6/28/21 9:34
Quant open111
Worst price90.40
Drawdown as % of equity-0.02%
$123
Includes Typical Broker Commissions trade costs of $2.22
6/28/21 9:49 DV DOUBLE VERIFY HOLDINGS INC. SHORT 226 44.24 6/28 10:15 45.45 0.36%
Trade id #136230165
Max drawdown($273)
Time6/28/21 10:15
Quant open226
Worst price45.45
Drawdown as % of equity-0.36%
($278)
Includes Typical Broker Commissions trade costs of $4.52
6/24/21 9:30 INFY INFOSYS SHORT 716 21.35 6/24 15:30 21.24 0.09%
Trade id #136190786
Max drawdown($68)
Time6/24/21 10:43
Quant open716
Worst price21.45
Drawdown as % of equity-0.09%
$75
Includes Typical Broker Commissions trade costs of $5.00
6/23/21 9:30 TALO TALOS ENERGY INC SHORT 822 18.27 6/23 13:59 18.74 0.54%
Trade id #136173458
Max drawdown($411)
Time6/23/21 13:59
Quant open822
Worst price18.77
Drawdown as % of equity-0.54%
($390)
Includes Typical Broker Commissions trade costs of $5.00
6/22/21 15:17 VRT VERTIV HOLDINGS LLC SHORT 559 26.83 6/22 15:30 26.90 0.06%
Trade id #136165266
Max drawdown($44)
Time6/22/21 15:26
Quant open559
Worst price26.91
Drawdown as % of equity-0.06%
($44)
Includes Typical Broker Commissions trade costs of $5.00
6/22/21 9:36 CLOU GLOBAL X CLOUD COMPUTING ETF SHORT 531 28.24 6/22 15:30 28.32 0.06%
Trade id #136158544
Max drawdown($47)
Time6/22/21 15:28
Quant open531
Worst price28.33
Drawdown as % of equity-0.06%
($50)
Includes Typical Broker Commissions trade costs of $5.00
6/18/21 9:48 NSA NATIONAL STORAGE AFFILIATES TRUST SHORT 199 50.16 6/18 15:30 49.49 0.02%
Trade id #136113518
Max drawdown($11)
Time6/18/21 10:00
Quant open199
Worst price50.22
Drawdown as % of equity-0.02%
$129
Includes Typical Broker Commissions trade costs of $3.98

Statistics

  • Strategy began
    11/21/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    245.93
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    845
  • # Profitable
    459
  • % Profitable
    54.30%
  • Avg trade duration
    4.9 hours
  • Max peak-to-valley drawdown
    5.73%
  • drawdown period
    Jan 26, 2021 - Feb 09, 2021
  • Cumul. Return
    51.8%
  • Avg win
    $197.56
  • Avg loss
    $153.51
  • Model Account Values (Raw)
  • Cash
    $81,424
  • Margin Used
    $0
  • Buying Power
    $81,424
  • Ratios
  • W:L ratio
    1.53:1
  • Sharpe Ratio
    2.24
  • Sortino Ratio
    5.75
  • Calmar Ratio
    19.597
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    27.83%
  • Correlation to SP500
    -0.06420
  • Return Percent SP500 (cumu) during strategy life
    24.01%
  • Return Statistics
  • Ann Return (w trading costs)
    84.6%
  • Slump
  • Current Slump as Pcnt Equity
    3.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.18%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.518%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    105.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • 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
    4.12%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    830
  • Popularity (Last 6 weeks)
    903
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    935
  • Popularity (7 days, Percentile 1000 scale)
    791
  • 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
    $154
  • Avg Win
    $198
  • Sum Trade PL (losers)
    $59,254.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $90,678.000
  • # Winners
    459
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    386
  • % Winners
    54.3%
  • Frequency
  • Avg Position Time (mins)
    296.80
  • Avg Position Time (hrs)
    4.95
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.88
  • Daily leverage (max)
    5.26
  • Regression
  • Alpha
    0.18
  • Beta
    -0.12
  • Treynor Index
    -1.45
  • 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)
    -0.77
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -12.713
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.627
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.444
  • Hold-and-Hope Ratio
    -0.078
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87454
  • SD
    0.30240
  • Sharpe ratio (Glass type estimate)
    2.89202
  • Sharpe ratio (Hedges UMVUE)
    2.51208
  • df
    6.00000
  • t
    2.20882
  • p
    0.03463
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21430
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.83262
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42143
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.44560
  • Statistics related to Sortino ratio
  • Sortino ratio
    28.21610
  • Upside Potential Ratio
    30.05600
  • Upside part of mean
    0.93157
  • Downside part of mean
    -0.05703
  • Upside SD
    0.37571
  • Downside SD
    0.03099
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.28998
  • Mean of criterion
    0.87454
  • SD of predictor
    0.07387
  • SD of criterion
    0.30240
  • Covariance
    -0.00575
  • r
    -0.25746
  • b (slope, estimate of beta)
    -1.05399
  • a (intercept, estimate of alpha)
    1.18018
  • Mean Square Error
    0.10246
  • DF error
    5.00000
  • t(b)
    -0.59578
  • p(b)
    0.71137
  • t(a)
    1.78158
  • p(a)
    0.06746
  • Lowerbound of 95% confidence interval for beta
    -5.60175
  • Upperbound of 95% confidence interval for beta
    3.49377
  • Lowerbound of 95% confidence interval for alpha
    -0.52273
  • Upperbound of 95% confidence interval for alpha
    2.88308
  • Treynor index (mean / b)
    -0.82974
  • Jensen alpha (a)
    1.18018
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.80891
  • SD
    0.27772
  • Sharpe ratio (Glass type estimate)
    2.91263
  • Sharpe ratio (Hedges UMVUE)
    2.52999
  • df
    6.00000
  • t
    2.22456
  • p
    0.03389
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19996
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.85902
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.46842
  • Statistics related to Sortino ratio
  • Sortino ratio
    25.93620
  • Upside Potential Ratio
    27.77600
  • Upside part of mean
    0.86629
  • Downside part of mean
    -0.05738
  • Upside SD
    0.34593
  • Downside SD
    0.03119
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.28365
  • Mean of criterion
    0.80891
  • SD of predictor
    0.07222
  • SD of criterion
    0.27772
  • Covariance
    -0.00529
  • r
    -0.26395
  • b (slope, estimate of beta)
    -1.01501
  • a (intercept, estimate of alpha)
    1.09681
  • Mean Square Error
    0.08611
  • DF error
    5.00000
  • t(b)
    -0.61190
  • p(b)
    0.71632
  • t(a)
    1.80561
  • p(a)
    0.06540
  • Lowerbound of 95% confidence interval for beta
    -5.27924
  • Upperbound of 95% confidence interval for beta
    3.24921
  • Lowerbound of 95% confidence interval for alpha
    -0.46475
  • Upperbound of 95% confidence interval for alpha
    2.65838
  • Treynor index (mean / b)
    -0.79695
  • Jensen alpha (a)
    1.09681
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06243
  • Expected Shortfall on VaR
    0.09292
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00760
  • Expected Shortfall on VaR
    0.01567
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.98382
  • Quartile 1
    1.01064
  • Median
    1.04506
  • Quartile 3
    1.14133
  • Maximum
    1.19363
  • Mean of quarter 1
    0.98569
  • Mean of quarter 2
    1.03938
  • Mean of quarter 3
    1.09501
  • Mean of quarter 4
    1.19064
  • Inter Quartile Range
    0.13069
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01243
  • Quartile 1
    0.01337
  • Median
    0.01431
  • Quartile 3
    0.01524
  • Maximum
    0.01618
  • Mean of quarter 1
    0.01243
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01618
  • Inter Quartile Range
    0.00188
  • 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)
    1.07878
  • Compounded annual return (geometric extrapolation)
    1.30900
  • Calmar ratio (compounded annual return / max draw down)
    80.90020
  • Compounded annual return / average of 25% largest draw downs
    80.90020
  • Compounded annual return / Expected Shortfall lognormal
    14.08730
  • 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
    0.74076
  • SD
    0.23248
  • Sharpe ratio (Glass type estimate)
    3.18638
  • Sharpe ratio (Hedges UMVUE)
    3.17239
  • df
    171.00000
  • t
    2.58173
  • p
    0.37747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.62429
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73014
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.61463
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.49098
  • Upside Potential Ratio
    15.18450
  • Upside part of mean
    1.32470
  • Downside part of mean
    -0.58395
  • Upside SD
    0.21958
  • Downside SD
    0.08724
  • N nonnegative terms
    95.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.29990
  • Mean of criterion
    0.74076
  • SD of predictor
    0.12961
  • SD of criterion
    0.23248
  • Covariance
    -0.00195
  • r
    -0.06483
  • b (slope, estimate of beta)
    -0.11628
  • a (intercept, estimate of alpha)
    0.77600
  • Mean Square Error
    0.05413
  • DF error
    170.00000
  • t(b)
    -0.84704
  • p(b)
    0.53241
  • t(a)
    2.67370
  • p(a)
    0.39956
  • Lowerbound of 95% confidence interval for beta
    -0.38727
  • Upperbound of 95% confidence interval for beta
    0.15471
  • Lowerbound of 95% confidence interval for alpha
    0.20298
  • Upperbound of 95% confidence interval for alpha
    1.34829
  • Treynor index (mean / b)
    -6.37038
  • Jensen alpha (a)
    0.77563
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.71383
  • SD
    0.22596
  • Sharpe ratio (Glass type estimate)
    3.15907
  • Sharpe ratio (Hedges UMVUE)
    3.14519
  • df
    171.00000
  • t
    2.55960
  • p
    0.37847
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.71256
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.59658
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70334
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.58704
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.10665
  • Upside Potential Ratio
    14.78130
  • Upside part of mean
    1.30156
  • Downside part of mean
    -0.58774
  • Upside SD
    0.21202
  • Downside SD
    0.08805
  • N nonnegative terms
    95.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.29135
  • Mean of criterion
    0.71383
  • SD of predictor
    0.12964
  • SD of criterion
    0.22596
  • Covariance
    -0.00190
  • r
    -0.06481
  • b (slope, estimate of beta)
    -0.11296
  • a (intercept, estimate of alpha)
    0.74674
  • Mean Square Error
    0.05114
  • DF error
    170.00000
  • t(b)
    -0.84676
  • p(b)
    0.53240
  • t(a)
    2.64983
  • p(a)
    0.40042
  • Lowerbound of 95% confidence interval for beta
    -0.37630
  • Upperbound of 95% confidence interval for beta
    0.15038
  • Lowerbound of 95% confidence interval for alpha
    0.19045
  • Upperbound of 95% confidence interval for alpha
    1.30303
  • Treynor index (mean / b)
    -6.31928
  • Jensen alpha (a)
    0.74674
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02003
  • Expected Shortfall on VaR
    0.02572
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00470
  • Expected Shortfall on VaR
    0.01002
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.97545
  • Quartile 1
    0.99794
  • Median
    1.00055
  • Quartile 3
    1.00493
  • Maximum
    1.12051
  • Mean of quarter 1
    0.99174
  • Mean of quarter 2
    0.99959
  • Mean of quarter 3
    1.00191
  • Mean of quarter 4
    1.01849
  • Inter Quartile Range
    0.00700
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.04651
  • Mean of outliers low
    0.97857
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.08721
  • Mean of outliers high
    1.03650
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38988
  • VaR(95%) (moments method)
    0.00745
  • Expected Shortfall (moments method)
    0.01467
  • Extreme Value Index (regression method)
    -0.25418
  • VaR(95%) (regression method)
    0.00704
  • Expected Shortfall (regression method)
    0.00897
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00066
  • Quartile 1
    0.00299
  • Median
    0.01044
  • Quartile 3
    0.01889
  • Maximum
    0.05611
  • Mean of quarter 1
    0.00153
  • Mean of quarter 2
    0.00546
  • Mean of quarter 3
    0.01592
  • Mean of quarter 4
    0.03617
  • Inter Quartile Range
    0.01590
  • 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
    0.05000
  • Mean of outliers high
    0.05611
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.84815
  • VaR(95%) (moments method)
    0.03950
  • Expected Shortfall (moments method)
    0.04047
  • Extreme Value Index (regression method)
    -0.30219
  • VaR(95%) (regression method)
    0.04801
  • Expected Shortfall (regression method)
    0.05814
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.95558
  • Compounded annual return (geometric extrapolation)
    1.09957
  • Calmar ratio (compounded annual return / max draw down)
    19.59660
  • Compounded annual return / average of 25% largest draw downs
    30.39680
  • Compounded annual return / Expected Shortfall lognormal
    42.75030
  • 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
    0.63531
  • SD
    0.22848
  • Sharpe ratio (Glass type estimate)
    2.78063
  • Sharpe ratio (Hedges UMVUE)
    2.76456
  • df
    130.00000
  • t
    1.96621
  • p
    0.41503
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01693
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.56775
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02754
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.55666
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.02392
  • Upside Potential Ratio
    14.48760
  • Upside part of mean
    1.14709
  • Downside part of mean
    -0.51177
  • Upside SD
    0.21697
  • Downside SD
    0.07918
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25225
  • Mean of criterion
    0.63531
  • SD of predictor
    0.13609
  • SD of criterion
    0.22848
  • Covariance
    -0.00279
  • r
    -0.08973
  • b (slope, estimate of beta)
    -0.15065
  • a (intercept, estimate of alpha)
    0.67332
  • Mean Square Error
    0.05218
  • DF error
    129.00000
  • t(b)
    -1.02326
  • p(b)
    0.55705
  • t(a)
    2.07056
  • p(a)
    0.38644
  • Lowerbound of 95% confidence interval for beta
    -0.44194
  • Upperbound of 95% confidence interval for beta
    0.14064
  • Lowerbound of 95% confidence interval for alpha
    0.02993
  • Upperbound of 95% confidence interval for alpha
    1.31671
  • Treynor index (mean / b)
    -4.21713
  • Jensen alpha (a)
    0.67332
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60980
  • SD
    0.22065
  • Sharpe ratio (Glass type estimate)
    2.76363
  • Sharpe ratio (Hedges UMVUE)
    2.74765
  • df
    130.00000
  • t
    1.95418
  • p
    0.41553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03357
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.55049
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04420
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.53951
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.63054
  • Upside Potential Ratio
    14.07350
  • Upside part of mean
    1.12470
  • Downside part of mean
    -0.51489
  • Upside SD
    0.20820
  • Downside SD
    0.07992
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24291
  • Mean of criterion
    0.60980
  • SD of predictor
    0.13618
  • SD of criterion
    0.22065
  • Covariance
    -0.00270
  • r
    -0.08980
  • b (slope, estimate of beta)
    -0.14550
  • a (intercept, estimate of alpha)
    0.64515
  • Mean Square Error
    0.04867
  • DF error
    129.00000
  • t(b)
    -1.02404
  • p(b)
    0.55709
  • t(a)
    2.05529
  • p(a)
    0.38724
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.42662
  • Upperbound of 95% confidence interval for beta
    0.13562
  • Lowerbound of 95% confidence interval for alpha
    0.02410
  • Upperbound of 95% confidence interval for alpha
    1.26619
  • Treynor index (mean / b)
    -4.19108
  • Jensen alpha (a)
    0.64515
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01989
  • Expected Shortfall on VaR
    0.02545
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00402
  • Expected Shortfall on VaR
    0.00872
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97545
  • Quartile 1
    0.99828
  • Median
    1.00055
  • Quartile 3
    1.00290
  • Maximum
    1.12051
  • Mean of quarter 1
    0.99285
  • Mean of quarter 2
    0.99967
  • Mean of quarter 3
    1.00165
  • Mean of quarter 4
    1.01593
  • Inter Quartile Range
    0.00461
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97819
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.02666
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40181
  • VaR(95%) (moments method)
    0.00644
  • Expected Shortfall (moments method)
    0.01286
  • Extreme Value Index (regression method)
    -0.10626
  • VaR(95%) (regression method)
    0.00559
  • Expected Shortfall (regression method)
    0.00748
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00066
  • Quartile 1
    0.00252
  • Median
    0.00630
  • Quartile 3
    0.01795
  • Maximum
    0.03963
  • Mean of quarter 1
    0.00153
  • Mean of quarter 2
    0.00502
  • Mean of quarter 3
    0.01401
  • Mean of quarter 4
    0.03119
  • Inter Quartile Range
    0.01543
  • 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)
    -1.84560
  • VaR(95%) (moments method)
    0.03175
  • Expected Shortfall (moments method)
    0.03230
  • Extreme Value Index (regression method)
    -0.87192
  • VaR(95%) (regression method)
    0.03863
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.04141
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -314729000
  • Max Equity Drawdown (num days)
    14
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.75110
  • Compounded annual return (geometric extrapolation)
    0.89214
  • Calmar ratio (compounded annual return / max draw down)
    22.51090
  • Compounded annual return / average of 25% largest draw downs
    28.60350
  • Compounded annual return / Expected Shortfall lognormal
    35.05580

Strategy Description

Summary Statistics

Strategy began
2020-11-21
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.5%
Rank # 
#49
# Trades
845
# Profitable
459
% Profitable
54.3%
Correlation S&P500
-0.064
Sharpe Ratio
2.24
Sortino Ratio
5.75
Beta
-0.12
Alpha
0.18
Leverage
0.88 Average
5.26 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

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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.