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

Trade2Short
(132383133)

Created by: MarketMaster MarketMaster
Started: 11/2020
Stocks
Last trade: 362 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).
24.9%
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.

(8.5%)
Max Drawdown
931
Num Trades
53.5%
Win Trades
1.5 : 1
Profit Factor
30.4%
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%)+1.2%+1.3%(0.2%)(1.8%)  -    -  +42.0%
2022  -    -    -    -    -    -    -    -    -                    

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 452 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/7/21 9:30 FWONK LIBERTY MEDIA CORP SERIES C FORMULA ONE SHORT 189 52.87 10/7 15:30 53.30 0.32%
Trade id #137709233
Max drawdown($243)
Time10/7/21 11:53
Quant open189
Worst price54.16
Drawdown as % of equity-0.32%
($85)
Includes Typical Broker Commissions trade costs of $3.78
10/7/21 9:30 WH WYNDHAM HOTELS & RESORTS INC SHORT 128 82.98 10/7 15:30 83.46 0.09%
Trade id #137709080
Max drawdown($70)
Time10/7/21 15:29
Quant open128
Worst price83.53
Drawdown as % of equity-0.09%
($64)
Includes Typical Broker Commissions trade costs of $2.56
10/7/21 9:30 TWNK HOSTESS BRANDS INC CLASS A COMMON STOCK SHORT 572 18.19 10/7 15:30 18.47 0.28%
Trade id #137708954
Max drawdown($217)
Time10/7/21 11:00
Quant open572
Worst price18.57
Drawdown as % of equity-0.28%
($165)
Includes Typical Broker Commissions trade costs of $5.00
10/7/21 9:30 GLNG GOLAR LNG SHORT 752 13.30 10/7 9:35 13.64 0.41%
Trade id #137709038
Max drawdown($315)
Time10/7/21 9:35
Quant open752
Worst price13.72
Drawdown as % of equity-0.41%
($261)
Includes Typical Broker Commissions trade costs of $5.00
10/6/21 9:33 FWONK LIBERTY MEDIA CORP SERIES C FORMULA ONE SHORT 189 52.92 10/6 15:30 53.07 0.05%
Trade id #137689290
Max drawdown($40)
Time10/6/21 15:03
Quant open189
Worst price53.14
Drawdown as % of equity-0.05%
($31)
Includes Typical Broker Commissions trade costs of $3.78
10/6/21 9:30 WH WYNDHAM HOTELS & RESORTS INC SHORT 128 80.57 10/6 15:30 81.62 0.19%
Trade id #137689198
Max drawdown($146)
Time10/6/21 9:39
Quant open128
Worst price81.72
Drawdown as % of equity-0.19%
($137)
Includes Typical Broker Commissions trade costs of $2.56
10/6/21 9:30 TWNK HOSTESS BRANDS INC CLASS A COMMON STOCK SHORT 572 17.82 10/6 15:30 18.25 0.48%
Trade id #137688923
Max drawdown($366)
Time10/6/21 10:39
Quant open572
Worst price18.46
Drawdown as % of equity-0.48%
($251)
Includes Typical Broker Commissions trade costs of $5.00
10/5/21 10:05 FWONK LIBERTY MEDIA CORP SERIES C FORMULA ONE SHORT 189 52.81 10/5 15:30 53.00 0.05%
Trade id #137669608
Max drawdown($35)
Time10/5/21 10:41
Quant open189
Worst price53.00
Drawdown as % of equity-0.05%
($40)
Includes Typical Broker Commissions trade costs of $3.78
10/5/21 9:30 GLNG GOLAR LNG SHORT 752 13.35 10/5 15:30 13.19 n/a $115
Includes Typical Broker Commissions trade costs of $5.00
10/5/21 9:30 WH WYNDHAM HOTELS & RESORTS INC SHORT 128 81.27 10/5 15:30 81.77 0.19%
Trade id #137667127
Max drawdown($146)
Time10/5/21 10:52
Quant open128
Worst price82.42
Drawdown as % of equity-0.19%
($67)
Includes Typical Broker Commissions trade costs of $2.56
10/5/21 9:30 TWNK HOSTESS BRANDS INC CLASS A COMMON STOCK SHORT 572 17.62 10/5 11:07 18.06 0.33%
Trade id #137667518
Max drawdown($251)
Time10/5/21 11:07
Quant open572
Worst price18.06
Drawdown as % of equity-0.33%
($257)
Includes Typical Broker Commissions trade costs of $5.00
10/4/21 9:30 WH WYNDHAM HOTELS & RESORTS INC SHORT 128 80.68 10/4 15:30 80.56 0.15%
Trade id #137643242
Max drawdown($114)
Time10/4/21 9:56
Quant open128
Worst price81.58
Drawdown as % of equity-0.15%
$12
Includes Typical Broker Commissions trade costs of $2.56
10/4/21 9:30 GLNG GOLAR LNG SHORT 752 13.66 10/4 15:30 13.41 0.12%
Trade id #137643204
Max drawdown($90)
Time10/4/21 10:15
Quant open752
Worst price13.78
Drawdown as % of equity-0.12%
$183
Includes Typical Broker Commissions trade costs of $5.00
10/4/21 9:30 TWNK HOSTESS BRANDS INC CLASS A COMMON STOCK SHORT 572 17.56 10/4 15:30 17.63 0.27%
Trade id #137643180
Max drawdown($205)
Time10/4/21 9:40
Quant open572
Worst price17.92
Drawdown as % of equity-0.27%
($45)
Includes Typical Broker Commissions trade costs of $5.00
10/4/21 9:30 FWONK LIBERTY MEDIA CORP SERIES C FORMULA ONE SHORT 189 52.79 10/4 15:30 52.12 0.05%
Trade id #137642999
Max drawdown($39)
Time10/4/21 9:33
Quant open189
Worst price53.00
Drawdown as % of equity-0.05%
$123
Includes Typical Broker Commissions trade costs of $3.78
10/1/21 13:41 FWONK LIBERTY MEDIA CORP SERIES C FORMULA ONE SHORT 189 52.81 10/1 15:30 52.81 0.04%
Trade id #137623713
Max drawdown($32)
Time10/1/21 14:33
Quant open189
Worst price52.98
Drawdown as % of equity-0.04%
($4)
Includes Typical Broker Commissions trade costs of $3.78
10/1/21 9:55 GLNG GOLAR LNG SHORT 752 13.30 10/1 15:30 13.51 0.24%
Trade id #137617341
Max drawdown($188)
Time10/1/21 15:05
Quant open752
Worst price13.55
Drawdown as % of equity-0.24%
($163)
Includes Typical Broker Commissions trade costs of $5.00
10/1/21 9:33 TWNK HOSTESS BRANDS INC CLASS A COMMON STOCK SHORT 572 17.49 10/1 15:30 17.54 0.07%
Trade id #137616333
Max drawdown($57)
Time10/1/21 10:30
Quant open572
Worst price17.59
Drawdown as % of equity-0.07%
($34)
Includes Typical Broker Commissions trade costs of $5.00
10/1/21 9:30 WH WYNDHAM HOTELS & RESORTS INC SHORT 128 77.96 10/1 12:42 79.91 0.33%
Trade id #137616147
Max drawdown($256)
Time10/1/21 12:42
Quant open128
Worst price79.96
Drawdown as % of equity-0.33%
($253)
Includes Typical Broker Commissions trade costs of $2.56
9/30/21 9:30 WH WYNDHAM HOTELS & RESORTS INC SHORT 128 78.69 9/30 15:30 77.70 n/a $124
Includes Typical Broker Commissions trade costs of $2.56
9/30/21 9:30 TWNK HOSTESS BRANDS INC CLASS A COMMON STOCK SHORT 572 17.71 9/30 15:30 17.49 0.01%
Trade id #137596684
Max drawdown($5)
Time9/30/21 9:40
Quant open572
Worst price17.72
Drawdown as % of equity-0.01%
$121
Includes Typical Broker Commissions trade costs of $5.00
9/29/21 9:43 TWNK HOSTESS BRANDS INC CLASS A COMMON STOCK SHORT 572 17.49 9/29 15:30 17.67 0.13%
Trade id #137579689
Max drawdown($102)
Time9/29/21 15:13
Quant open572
Worst price17.67
Drawdown as % of equity-0.13%
($108)
Includes Typical Broker Commissions trade costs of $5.00
9/29/21 9:30 WH WYNDHAM HOTELS & RESORTS INC SHORT 128 79.49 9/29 15:30 78.75 n/a $92
Includes Typical Broker Commissions trade costs of $2.56
9/28/21 9:30 WH WYNDHAM HOTELS & RESORTS INC SHORT 128 78.57 9/28 15:30 79.03 0.15%
Trade id #137558089
Max drawdown($116)
Time9/28/21 9:43
Quant open128
Worst price79.48
Drawdown as % of equity-0.15%
($62)
Includes Typical Broker Commissions trade costs of $2.56
9/27/21 9:30 WH WYNDHAM HOTELS & RESORTS INC SHORT 128 78.33 9/27 15:30 78.85 0.2%
Trade id #137539913
Max drawdown($152)
Time9/27/21 11:52
Quant open128
Worst price79.52
Drawdown as % of equity-0.20%
($70)
Includes Typical Broker Commissions trade costs of $2.56
9/24/21 9:39 HGV HILTON GRAND VACATIONS INC SHORT 203 49.35 9/24 15:30 49.40 0.12%
Trade id #137516536
Max drawdown($89)
Time9/24/21 10:04
Quant open203
Worst price49.79
Drawdown as % of equity-0.12%
($14)
Includes Typical Broker Commissions trade costs of $4.06
9/24/21 9:31 SRPT SAREPTA THERAPEUTICS INC. COM SHORT 110 90.69 9/24 15:30 91.06 0.16%
Trade id #137515870
Max drawdown($122)
Time9/24/21 10:53
Quant open110
Worst price91.80
Drawdown as % of equity-0.16%
($43)
Includes Typical Broker Commissions trade costs of $2.20
9/22/21 10:15 AVTR AVANTOR INC SHORT 228 43.77 9/22 15:30 43.92 0.07%
Trade id #137476949
Max drawdown($52)
Time9/22/21 13:54
Quant open228
Worst price44.00
Drawdown as % of equity-0.07%
($39)
Includes Typical Broker Commissions trade costs of $4.56
9/22/21 9:33 TWNK HOSTESS BRANDS INC CLASS A COMMON STOCK SHORT 582 17.21 9/22 15:30 17.29 0.14%
Trade id #137475157
Max drawdown($110)
Time9/22/21 11:45
Quant open582
Worst price17.40
Drawdown as % of equity-0.14%
($52)
Includes Typical Broker Commissions trade costs of $5.00
9/16/21 9:34 HGV HILTON GRAND VACATIONS INC SHORT 214 46.69 9/16 15:30 46.51 0.07%
Trade id #137396485
Max drawdown($55)
Time9/16/21 13:30
Quant open214
Worst price46.95
Drawdown as % of equity-0.07%
$35
Includes Typical Broker Commissions trade costs of $4.28

Statistics

  • Strategy began
    11/21/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    678.24
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    931
  • # Profitable
    498
  • % Profitable
    53.50%
  • Avg trade duration
    4.9 hours
  • Max peak-to-valley drawdown
    8.53%
  • drawdown period
    Sept 22, 2021 - Oct 07, 2021
  • Annual Return (Compounded)
    24.9%
  • Avg win
    $193.11
  • Avg loss
    $148.14
  • Model Account Values (Raw)
  • Cash
    $82,025
  • Margin Used
    $0
  • Buying Power
    $82,025
  • Ratios
  • W:L ratio
    1.50:1
  • Sharpe Ratio
    1.26
  • Sortino Ratio
    3.21
  • Calmar Ratio
    9.447
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    50.70%
  • Correlation to SP500
    -0.02350
  • Return Percent SP500 (cumu) during strategy life
    6.10%
  • Return Statistics
  • Ann Return (w trading costs)
    24.9%
  • Slump
  • Current Slump as Pcnt Equity
    9.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.55%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.249%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 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
    43.88%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $148
  • Avg Win
    $193
  • Sum Trade PL (losers)
    $64,143.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $96,168.000
  • # Winners
    498
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    433
  • % Winners
    53.5%
  • Frequency
  • Avg Position Time (mins)
    296.90
  • Avg Position Time (hrs)
    4.95
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    358
  • Leverage
  • Daily leverage (average)
    0.77
  • Daily leverage (max)
    5.26
  • Regression
  • Alpha
    0.06
  • Beta
    -0.02
  • Treynor Index
    -3.12
  • 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)
    -0.87
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -11.132
  • 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
    0.616
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.440
  • Hold-and-Hope Ratio
    -0.089
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46327
  • SD
    0.25338
  • Sharpe ratio (Glass type estimate)
    1.82836
  • Sharpe ratio (Hedges UMVUE)
    1.71124
  • df
    12.00000
  • t
    1.90302
  • p
    0.25926
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22174
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81285
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29242
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71490
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.49290
  • Upside Potential Ratio
    18.50100
  • Upside part of mean
    0.51968
  • Downside part of mean
    -0.05641
  • Upside SD
    0.27633
  • Downside SD
    0.02809
  • N nonnegative terms
    6.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.11963
  • Mean of criterion
    0.46327
  • SD of predictor
    0.13530
  • SD of criterion
    0.25338
  • Covariance
    0.00430
  • r
    0.12552
  • b (slope, estimate of beta)
    0.23506
  • a (intercept, estimate of alpha)
    0.43515
  • Mean Square Error
    0.06894
  • DF error
    11.00000
  • t(b)
    0.41962
  • p(b)
    0.34142
  • t(a)
    1.66723
  • p(a)
    0.06183
  • Lowerbound of 95% confidence interval for beta
    -0.99787
  • Upperbound of 95% confidence interval for beta
    1.46798
  • Lowerbound of 95% confidence interval for alpha
    -0.13931
  • Upperbound of 95% confidence interval for alpha
    1.00962
  • Treynor index (mean / b)
    1.97088
  • Jensen alpha (a)
    0.43515
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42764
  • SD
    0.23353
  • Sharpe ratio (Glass type estimate)
    1.83123
  • Sharpe ratio (Hedges UMVUE)
    1.71393
  • df
    12.00000
  • t
    1.90601
  • p
    0.25897
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21929
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81606
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29010
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71796
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.13670
  • Upside Potential Ratio
    17.14270
  • Upside part of mean
    0.48432
  • Downside part of mean
    -0.05667
  • Upside SD
    0.25452
  • Downside SD
    0.02825
  • N nonnegative terms
    6.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.11029
  • Mean of criterion
    0.42764
  • SD of predictor
    0.13636
  • SD of criterion
    0.23353
  • Covariance
    0.00412
  • r
    0.12948
  • b (slope, estimate of beta)
    0.22173
  • a (intercept, estimate of alpha)
    0.40319
  • Mean Square Error
    0.05850
  • DF error
    11.00000
  • t(b)
    0.43308
  • p(b)
    0.33666
  • t(a)
    1.68604
  • p(a)
    0.05996
  • Lowerbound of 95% confidence interval for beta
    -0.90517
  • Upperbound of 95% confidence interval for beta
    1.34864
  • Lowerbound of 95% confidence interval for alpha
    -0.12314
  • Upperbound of 95% confidence interval for alpha
    0.92951
  • Treynor index (mean / b)
    1.92862
  • Jensen alpha (a)
    0.40319
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07249
  • Expected Shortfall on VaR
    0.09797
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01145
  • Expected Shortfall on VaR
    0.01990
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.98382
  • Quartile 1
    0.99767
  • Median
    1.00000
  • Quartile 3
    1.04506
  • Maximum
    1.19363
  • Mean of quarter 1
    0.98885
  • Mean of quarter 2
    0.99993
  • Mean of quarter 3
    1.03356
  • Mean of quarter 4
    1.15876
  • Inter Quartile Range
    0.04739
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.19064
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -132.68700
  • VaR(95%) (moments method)
    0.00654
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.01166
  • VaR(95%) (regression method)
    0.01582
  • Expected Shortfall (regression method)
    0.01610
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01265
  • Quartile 1
    0.01430
  • Median
    0.01595
  • Quartile 3
    0.01607
  • Maximum
    0.01618
  • Mean of quarter 1
    0.01265
  • Mean of quarter 2
    0.01595
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01618
  • Inter Quartile Range
    0.00177
  • 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)
    0.58898
  • Compounded annual return (geometric extrapolation)
    0.57704
  • Calmar ratio (compounded annual return / max draw down)
    35.66270
  • Compounded annual return / average of 25% largest draw downs
    35.66270
  • Compounded annual return / Expected Shortfall lognormal
    5.88995
  • 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
    0.41278
  • SD
    0.17684
  • Sharpe ratio (Glass type estimate)
    2.33424
  • Sharpe ratio (Hedges UMVUE)
    2.32846
  • df
    303.00000
  • t
    2.51438
  • p
    0.00622
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50335
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49950
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15742
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.19529
  • Upside Potential Ratio
    11.74870
  • Upside part of mean
    0.78279
  • Downside part of mean
    -0.37001
  • Upside SD
    0.16547
  • Downside SD
    0.06663
  • N nonnegative terms
    119.00000
  • N negative terms
    185.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    304.00000
  • Mean of predictor
    -0.00088
  • Mean of criterion
    0.41278
  • SD of predictor
    0.22276
  • SD of criterion
    0.17684
  • Covariance
    -0.00071
  • r
    -0.01791
  • b (slope, estimate of beta)
    -0.01422
  • a (intercept, estimate of alpha)
    0.41300
  • Mean Square Error
    0.03136
  • DF error
    302.00000
  • t(b)
    -0.31127
  • p(b)
    0.62209
  • t(a)
    2.51056
  • p(a)
    0.00629
  • Lowerbound of 95% confidence interval for beta
    -0.10409
  • Upperbound of 95% confidence interval for beta
    0.07566
  • Lowerbound of 95% confidence interval for alpha
    0.08923
  • Upperbound of 95% confidence interval for alpha
    0.73630
  • Treynor index (mean / b)
    -29.03540
  • Jensen alpha (a)
    0.41276
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39742
  • SD
    0.17190
  • Sharpe ratio (Glass type estimate)
    2.31199
  • Sharpe ratio (Hedges UMVUE)
    2.30626
  • df
    303.00000
  • t
    2.49042
  • p
    0.00665
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48133
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.13894
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47748
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13505
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.91083
  • Upside Potential Ratio
    11.44680
  • Upside part of mean
    0.76964
  • Downside part of mean
    -0.37222
  • Upside SD
    0.15979
  • Downside SD
    0.06724
  • N nonnegative terms
    119.00000
  • N negative terms
    185.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    304.00000
  • Mean of predictor
    -0.02589
  • Mean of criterion
    0.39742
  • SD of predictor
    0.22470
  • SD of criterion
    0.17190
  • Covariance
    -0.00067
  • r
    -0.01722
  • b (slope, estimate of beta)
    -0.01317
  • a (intercept, estimate of alpha)
    0.39708
  • Mean Square Error
    0.02964
  • DF error
    302.00000
  • t(b)
    -0.29928
  • p(b)
    0.61753
  • t(a)
    2.48448
  • p(a)
    0.00676
  • Lowerbound of 95% confidence interval for beta
    -0.09979
  • Upperbound of 95% confidence interval for beta
    0.07344
  • Lowerbound of 95% confidence interval for alpha
    0.08257
  • Upperbound of 95% confidence interval for alpha
    0.71159
  • Treynor index (mean / b)
    -30.16940
  • Jensen alpha (a)
    0.39708
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01582
  • Expected Shortfall on VaR
    0.02017
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00361
  • Expected Shortfall on VaR
    0.00778
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    304.00000
  • Minimum
    0.97545
  • Quartile 1
    0.99963
  • Median
    1.00000
  • Quartile 3
    1.00141
  • Maximum
    1.12051
  • Mean of quarter 1
    0.99465
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00040
  • Mean of quarter 4
    1.01172
  • Inter Quartile Range
    0.00179
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.13487
  • Mean of outliers low
    0.99120
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.15460
  • Mean of outliers high
    1.01734
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26047
  • VaR(95%) (moments method)
    0.00322
  • Expected Shortfall (moments method)
    0.00596
  • Extreme Value Index (regression method)
    -0.14616
  • VaR(95%) (regression method)
    0.00465
  • Expected Shortfall (regression method)
    0.00677
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00066
  • Quartile 1
    0.00248
  • Median
    0.00677
  • Quartile 3
    0.01848
  • Maximum
    0.05611
  • Mean of quarter 1
    0.00146
  • Mean of quarter 2
    0.00419
  • Mean of quarter 3
    0.01448
  • Mean of quarter 4
    0.03349
  • Inter Quartile Range
    0.01600
  • 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
    0.04167
  • Mean of outliers high
    0.05611
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.43991
  • VaR(95%) (moments method)
    0.03659
  • Expected Shortfall (moments method)
    0.04238
  • Extreme Value Index (regression method)
    0.07701
  • VaR(95%) (regression method)
    0.04255
  • Expected Shortfall (regression method)
    0.05904
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54991
  • Compounded annual return (geometric extrapolation)
    0.53009
  • Calmar ratio (compounded annual return / max draw down)
    9.44735
  • Compounded annual return / average of 25% largest draw downs
    15.82960
  • Compounded annual return / Expected Shortfall lognormal
    26.27530
  • 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
    -0.01412
  • SD
    0.02332
  • Sharpe ratio (Glass type estimate)
    -0.60568
  • Sharpe ratio (Hedges UMVUE)
    -0.60218
  • df
    130.00000
  • t
    -0.42828
  • p
    0.51877
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.37738
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16819
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.37495
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17059
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.80397
  • Upside Potential Ratio
    4.39716
  • Upside part of mean
    0.07724
  • Downside part of mean
    -0.09136
  • Upside SD
    0.01522
  • Downside SD
    0.01757
  • N nonnegative terms
    24.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.40036
  • Mean of criterion
    -0.01412
  • SD of predictor
    0.30411
  • SD of criterion
    0.02332
  • Covariance
    -0.00022
  • r
    -0.03108
  • b (slope, estimate of beta)
    -0.00238
  • a (intercept, estimate of alpha)
    -0.01508
  • Mean Square Error
    0.00055
  • DF error
    129.00000
  • t(b)
    -0.35319
  • p(b)
    0.51978
  • t(a)
    -0.45416
  • p(a)
    0.52543
  • Lowerbound of 95% confidence interval for beta
    -0.01573
  • Upperbound of 95% confidence interval for beta
    0.01097
  • Lowerbound of 95% confidence interval for alpha
    -0.08076
  • Upperbound of 95% confidence interval for alpha
    0.05060
  • Treynor index (mean / b)
    5.92611
  • Jensen alpha (a)
    -0.01508
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01439
  • SD
    0.02334
  • Sharpe ratio (Glass type estimate)
    -0.61671
  • Sharpe ratio (Hedges UMVUE)
    -0.61315
  • df
    130.00000
  • t
    -0.43608
  • p
    0.51911
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.38844
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15720
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.38595
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15966
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.81684
  • Upside Potential Ratio
    4.37707
  • Upside part of mean
    0.07712
  • Downside part of mean
    -0.09151
  • Upside SD
    0.01519
  • Downside SD
    0.01762
  • N nonnegative terms
    24.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.44717
  • Mean of criterion
    -0.01439
  • SD of predictor
    0.30719
  • SD of criterion
    0.02334
  • Covariance
    -0.00022
  • r
    -0.03049
  • b (slope, estimate of beta)
    -0.00232
  • a (intercept, estimate of alpha)
    -0.01543
  • Mean Square Error
    0.00055
  • DF error
    129.00000
  • t(b)
    -0.34645
  • p(b)
    0.51941
  • t(a)
    -0.46399
  • p(a)
    0.52598
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.01554
  • Upperbound of 95% confidence interval for beta
    0.01091
  • Lowerbound of 95% confidence interval for alpha
    -0.08121
  • Upperbound of 95% confidence interval for alpha
    0.05036
  • Treynor index (mean / b)
    6.21362
  • Jensen alpha (a)
    -0.01543
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00242
  • Expected Shortfall on VaR
    0.00302
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00107
  • Expected Shortfall on VaR
    0.00227
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99152
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00578
  • Mean of quarter 1
    0.99895
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00125
  • Inter Quartile Range
    0.00000
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.99818
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.20611
  • Mean of outliers high
    1.00153
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.65338
  • VaR(95%) (moments method)
    0.00122
  • Expected Shortfall (moments method)
    0.00202
  • Extreme Value Index (regression method)
    0.83914
  • VaR(95%) (regression method)
    0.00094
  • Expected Shortfall (regression method)
    0.00418
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00061
  • Quartile 1
    0.00152
  • Median
    0.00245
  • Quartile 3
    0.00274
  • Maximum
    0.02005
  • Mean of quarter 1
    0.00093
  • Mean of quarter 2
    0.00235
  • Mean of quarter 3
    0.00255
  • Mean of quarter 4
    0.01143
  • Inter Quartile Range
    0.00121
  • 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
    0.16667
  • Mean of outliers high
    0.02005
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -313594000
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01356
  • Compounded annual return (geometric extrapolation)
    0.01361
  • Calmar ratio (compounded annual return / max draw down)
    0.67851
  • Compounded annual return / average of 25% largest draw downs
    1.19074
  • Compounded annual return / Expected Shortfall lognormal
    4.49988

Strategy Description

Summary Statistics

Strategy began
2020-11-21
Suggested Minimum Capital
$15,000
# Trades
931
# Profitable
498
% Profitable
53.5%
Correlation S&P500
-0.024
Sharpe Ratio
1.26
Sortino Ratio
3.21
Beta
-0.02
Alpha
0.06
Leverage
0.77 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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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.