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Data Miner AI 2b
(132385285)

Created by: JamesScheibel JamesScheibel
Started: 11/2020
Stocks
Last trade: 9 days ago
Trading style: Equity Non-hedged Equity

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
27.9%
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.

(12.5%)
Max Drawdown
735
Num Trades
77.3%
Win Trades
1.6 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +1.3%+8.4%+9.8%
2021+6.0%(0.8%)+2.7%+3.3%+6.7%+3.8%(5.7%)                              +16.5%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 71 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 37 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/13/21 9:30 MDCA MDC PARTNERS LONG 666 5.19 7/16 9:48 5.46 0.18%
Trade id #136465646
Max drawdown($139)
Time7/14/21 0:00
Quant open666
Worst price4.98
Drawdown as % of equity-0.18%
$175
Includes Typical Broker Commissions trade costs of $5.00
7/15/21 9:30 CGA CHINA GREEN AGRICULTURE LONG 199 9.68 7/16 9:30 10.25 n/a $109
Includes Typical Broker Commissions trade costs of $3.98
6/30/21 9:30 STKL SUNOPTA LONG 121 12.19 7/15 9:30 11.11 0.2%
Trade id #136265001
Max drawdown($158)
Time7/14/21 0:00
Quant open121
Worst price10.88
Drawdown as % of equity-0.20%
($133)
Includes Typical Broker Commissions trade costs of $2.42
6/25/21 9:30 SAVE SPIRIT AIRLINES LONG 75 32.81 7/14 9:30 28.91 0.48%
Trade id #136207917
Max drawdown($379)
Time7/8/21 0:00
Quant open75
Worst price27.75
Drawdown as % of equity-0.48%
($295)
Includes Typical Broker Commissions trade costs of $1.50
6/25/21 9:30 NFE NEW FORTRESS ENERGY LLC LONG 62 39.36 7/14 9:30 33.69 0.46%
Trade id #136207982
Max drawdown($368)
Time7/13/21 0:00
Quant open62
Worst price33.41
Drawdown as % of equity-0.46%
($353)
Includes Typical Broker Commissions trade costs of $1.24
7/13/21 9:30 BNED BARNES & NOBLE EDUCATION INC LONG 400 8.58 7/14 9:30 9.03 0.1%
Trade id #136465792
Max drawdown($76)
Time7/13/21 9:50
Quant open400
Worst price8.39
Drawdown as % of equity-0.10%
$172
Includes Typical Broker Commissions trade costs of $8.00
7/6/21 9:30 JILL J.JILL INC LONG 71 20.85 7/13 9:47 23.05 0.24%
Trade id #136340098
Max drawdown($189)
Time7/8/21 0:00
Quant open71
Worst price18.18
Drawdown as % of equity-0.24%
$155
Includes Typical Broker Commissions trade costs of $1.42
7/8/21 9:32 CGA CHINA GREEN AGRICULTURE LONG 297 10.07 7/12 12:48 10.66 0.39%
Trade id #136377461
Max drawdown($302)
Time7/8/21 15:59
Quant open297
Worst price9.05
Drawdown as % of equity-0.39%
$169
Includes Typical Broker Commissions trade costs of $5.94
7/7/21 10:54 TTI TETRA TECHNOLOGIES LONG 387 3.76 7/9 9:31 3.96 0.05%
Trade id #136361842
Max drawdown($38)
Time7/8/21 0:00
Quant open387
Worst price3.66
Drawdown as % of equity-0.05%
$69
Includes Typical Broker Commissions trade costs of $7.74
7/7/21 10:54 BGFV BIG 5 SPORTING GOODS LONG 61 23.63 7/8 12:05 24.84 0.08%
Trade id #136361851
Max drawdown($67)
Time7/8/21 0:00
Quant open61
Worst price22.53
Drawdown as % of equity-0.08%
$73
Includes Typical Broker Commissions trade costs of $1.22
7/7/21 10:57 HNRG HALLADOR ENERGY LONG 568 2.62 7/8 11:41 2.76 0.02%
Trade id #136362031
Max drawdown($18)
Time7/7/21 11:11
Quant open568
Worst price2.59
Drawdown as % of equity-0.02%
$73
Includes Typical Broker Commissions trade costs of $5.00
7/7/21 10:54 CSSE CHICKEN SOUP FOR THE SOUL ENTERTAINMENT INC. CLAS LONG 37 38.92 7/8 9:36 40.90 0.05%
Trade id #136361837
Max drawdown($37)
Time7/8/21 0:00
Quant open37
Worst price37.92
Drawdown as % of equity-0.05%
$72
Includes Typical Broker Commissions trade costs of $0.74
7/2/21 9:31 ADNT ADIENT PLC LONG 32 45.11 7/8 9:30 39.83 0.22%
Trade id #136304122
Max drawdown($176)
Time7/8/21 9:30
Quant open32
Worst price39.60
Drawdown as % of equity-0.22%
($170)
Includes Typical Broker Commissions trade costs of $0.64
5/18/21 9:30 FLNT FLUENT INC. COMMON STOCK LONG 506 2.96 7/8 9:30 2.53 0.27%
Trade id #135662794
Max drawdown($217)
Time7/8/21 9:30
Quant open506
Worst price2.53
Drawdown as % of equity-0.27%
($223)
Includes Typical Broker Commissions trade costs of $5.00
6/23/21 9:30 GME GAMESTOP LONG 6 220.91 7/8 9:30 179.83 0.32%
Trade id #136173462
Max drawdown($260)
Time7/7/21 0:00
Quant open6
Worst price177.56
Drawdown as % of equity-0.32%
($246)
Includes Typical Broker Commissions trade costs of $0.12
5/28/21 9:30 MGM MGM RESORTS INTERNATIONAL LONG 33 43.65 7/8 9:30 39.19 0.19%
Trade id #135818618
Max drawdown($149)
Time7/8/21 9:30
Quant open33
Worst price39.11
Drawdown as % of equity-0.19%
($148)
Includes Typical Broker Commissions trade costs of $0.66
7/2/21 9:30 DPW AULT GLOBAL HOLDINGS INC LONG 543 2.70 7/7 10:54 2.39 0.23%
Trade id #136303998
Max drawdown($190)
Time7/7/21 10:45
Quant open543
Worst price2.35
Drawdown as % of equity-0.23%
($173)
Includes Typical Broker Commissions trade costs of $5.00
6/8/21 9:50 PLUG PLUG POWER LONG 45 33.17 7/7 10:54 30.80 0.27%
Trade id #135961289
Max drawdown($214)
Time6/16/21 0:00
Quant open45
Worst price28.40
Drawdown as % of equity-0.27%
($108)
Includes Typical Broker Commissions trade costs of $0.90
5/28/21 9:30 TPIC TPI COMPOSITES INC LONG 29 50.06 7/7 10:54 46.14 0.27%
Trade id #135818605
Max drawdown($216)
Time6/7/21 0:00
Quant open29
Worst price42.60
Drawdown as % of equity-0.27%
($115)
Includes Typical Broker Commissions trade costs of $0.58
5/28/21 9:30 CZR CAESERS ENTERTAINMENT INC LONG 13 108.17 7/7 10:54 95.05 0.22%
Trade id #135818607
Max drawdown($178)
Time7/7/21 10:42
Quant open13
Worst price94.41
Drawdown as % of equity-0.22%
($171)
Includes Typical Broker Commissions trade costs of $0.26
5/4/21 9:30 KNDI KANDI TECHNOLGIES GROUP INC C LONG 261 5.56 7/6 10:30 5.96 0.41%
Trade id #135438154
Max drawdown($302)
Time5/11/21 0:00
Quant open261
Worst price4.40
Drawdown as % of equity-0.41%
$99
Includes Typical Broker Commissions trade costs of $5.22
6/11/21 9:30 CAAS CHINA AUTOMOTIVE SYSTEMS LONG 301 4.96 7/6 9:31 5.06 0.17%
Trade id #136020574
Max drawdown($138)
Time6/16/21 0:00
Quant open301
Worst price4.50
Drawdown as % of equity-0.17%
$24
Includes Typical Broker Commissions trade costs of $6.02
6/29/21 9:30 APRN BLUE APRON HOLDINGS INC LONG 319 4.68 7/6 9:31 4.10 0.24%
Trade id #136248395
Max drawdown($199)
Time7/2/21 0:00
Quant open319
Worst price4.05
Drawdown as % of equity-0.24%
($191)
Includes Typical Broker Commissions trade costs of $6.38
6/9/21 9:30 CYRX CRYOPORT INC. COMMON STOCK LONG 23 62.99 7/6 9:31 61.67 0.17%
Trade id #135978662
Max drawdown($138)
Time6/9/21 14:10
Quant open23
Worst price56.95
Drawdown as % of equity-0.17%
($30)
Includes Typical Broker Commissions trade costs of $0.46
5/28/21 9:32 RARE ULTRAGENYX PHARMACEUTICAL INC. LONG 14 104.38 7/6 9:31 94.08 0.22%
Trade id #135818952
Max drawdown($174)
Time6/7/21 0:00
Quant open14
Worst price91.93
Drawdown as % of equity-0.22%
($144)
Includes Typical Broker Commissions trade costs of $0.28
5/28/21 9:33 LL LUMBER LIQUIDATORS LONG 64 23.15 7/6 9:31 21.00 0.26%
Trade id #135819113
Max drawdown($206)
Time6/18/21 0:00
Quant open64
Worst price19.93
Drawdown as % of equity-0.26%
($139)
Includes Typical Broker Commissions trade costs of $1.28
6/29/21 9:30 HZN HORIZON GLOBAL CORP LONG 180 8.32 7/6 9:31 8.65 0.02%
Trade id #136248382
Max drawdown($14)
Time6/29/21 10:22
Quant open180
Worst price8.24
Drawdown as % of equity-0.02%
$55
Includes Typical Broker Commissions trade costs of $3.60
6/8/21 9:30 LVS LAS VEGAS SANDS LONG 26 56.86 7/6 9:31 53.01 0.19%
Trade id #135959241
Max drawdown($152)
Time6/28/21 0:00
Quant open26
Worst price51.01
Drawdown as % of equity-0.19%
($101)
Includes Typical Broker Commissions trade costs of $0.52
5/26/21 15:22 CP CANADIAN PACIFIC RAILWAY LONG 17 81.32 7/6 9:31 77.44 0.12%
Trade id #135790926
Max drawdown($92)
Time6/18/21 0:00
Quant open17
Worst price75.90
Drawdown as % of equity-0.12%
($66)
Includes Typical Broker Commissions trade costs of $0.34
6/11/21 9:30 MOD MODINE MANUFACTURING LONG 86 17.29 7/6 9:30 16.36 0.21%
Trade id #136020550
Max drawdown($165)
Time6/18/21 0:00
Quant open86
Worst price15.36
Drawdown as % of equity-0.21%
($82)
Includes Typical Broker Commissions trade costs of $1.72

Statistics

  • Strategy began
    11/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    245.48
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    735
  • # Profitable
    568
  • % Profitable
    77.30%
  • Avg trade duration
    9.0 days
  • Max peak-to-valley drawdown
    12.47%
  • drawdown period
    June 29, 2021 - July 19, 2021
  • Cumul. Return
    27.9%
  • Avg win
    $90.18
  • Avg loss
    $187.32
  • Model Account Values (Raw)
  • Cash
    $45,053
  • Margin Used
    $0
  • Buying Power
    $42,093
  • Ratios
  • W:L ratio
    1.65:1
  • Sharpe Ratio
    1.82
  • Sortino Ratio
    2.94
  • Calmar Ratio
    5.298
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3.93%
  • Correlation to SP500
    0.38170
  • Return Percent SP500 (cumu) during strategy life
    24.01%
  • Return Statistics
  • Ann Return (w trading costs)
    43.6%
  • Slump
  • Current Slump as Pcnt Equity
    6.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.279%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    53.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.50%
  • 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
    99.94%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    458
  • Popularity (Last 6 weeks)
    942
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    798
  • Popularity (7 days, Percentile 1000 scale)
    520
  • 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
    $187
  • Avg Win
    $90
  • Sum Trade PL (losers)
    $31,282.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $51,220.000
  • # Winners
    568
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    132
  • Win / Loss
  • # Losers
    167
  • % Winners
    77.3%
  • Frequency
  • Avg Position Time (mins)
    12906.10
  • Avg Position Time (hrs)
    215.10
  • Avg Trade Length
    9.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.60
  • Daily leverage (max)
    0.99
  • Regression
  • Alpha
    0.06
  • Beta
    0.50
  • Treynor Index
    0.20
  • 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)
    0.41
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    5.625
  • 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
    0.731
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.344
  • Hold-and-Hope Ratio
    0.198
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57839
  • SD
    0.13056
  • Sharpe ratio (Glass type estimate)
    4.43000
  • Sharpe ratio (Hedges UMVUE)
    3.84802
  • df
    6.00000
  • t
    3.38347
  • p
    0.00740
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.79539
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.88628
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48269
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.21335
  • Statistics related to Sortino ratio
  • Sortino ratio
    97.52150
  • Upside Potential Ratio
    98.83080
  • Upside part of mean
    0.58616
  • Downside part of mean
    -0.00777
  • Upside SD
    0.20605
  • Downside SD
    0.00593
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.28998
  • Mean of criterion
    0.57839
  • SD of predictor
    0.07387
  • SD of criterion
    0.13056
  • Covariance
    0.00284
  • r
    0.29402
  • b (slope, estimate of beta)
    0.51968
  • a (intercept, estimate of alpha)
    0.42769
  • Mean Square Error
    0.01869
  • DF error
    5.00000
  • t(b)
    0.68784
  • p(b)
    0.26108
  • t(a)
    1.51179
  • p(a)
    0.09549
  • Lowerbound of 95% confidence interval for beta
    -1.42254
  • Upperbound of 95% confidence interval for beta
    2.46191
  • Lowerbound of 95% confidence interval for alpha
    -0.29957
  • Upperbound of 95% confidence interval for alpha
    1.15496
  • Treynor index (mean / b)
    1.11297
  • Jensen alpha (a)
    0.42769
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55695
  • SD
    0.12478
  • Sharpe ratio (Glass type estimate)
    4.46360
  • Sharpe ratio (Hedges UMVUE)
    3.87721
  • df
    6.00000
  • t
    3.40913
  • p
    0.00717
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.81626
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.93279
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50117
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.25325
  • Statistics related to Sortino ratio
  • Sortino ratio
    93.91180
  • Upside Potential Ratio
    95.22110
  • Upside part of mean
    0.56472
  • Downside part of mean
    -0.00776
  • Upside SD
    0.19789
  • Downside SD
    0.00593
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.28365
  • Mean of criterion
    0.55695
  • SD of predictor
    0.07222
  • SD of criterion
    0.12478
  • Covariance
    0.00271
  • r
    0.30121
  • b (slope, estimate of beta)
    0.52041
  • a (intercept, estimate of alpha)
    0.40934
  • Mean Square Error
    0.01699
  • DF error
    5.00000
  • t(b)
    0.70634
  • p(b)
    0.25576
  • t(a)
    1.51715
  • p(a)
    0.09484
  • Lowerbound of 95% confidence interval for beta
    -1.37360
  • Upperbound of 95% confidence interval for beta
    2.41443
  • Lowerbound of 95% confidence interval for alpha
    -0.28425
  • Upperbound of 95% confidence interval for alpha
    1.10293
  • Treynor index (mean / b)
    1.07021
  • Jensen alpha (a)
    0.40934
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01275
  • Expected Shortfall on VaR
    0.02741
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00050
  • Expected Shortfall on VaR
    0.00150
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.99780
  • Quartile 1
    1.02837
  • Median
    1.05220
  • Quartile 3
    1.07119
  • Maximum
    1.10457
  • Mean of quarter 1
    1.00211
  • Mean of quarter 2
    1.05126
  • Mean of quarter 3
    1.06804
  • Mean of quarter 4
    1.08946
  • Inter Quartile Range
    0.04282
  • 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
    0.00220
  • Quartile 1
    0.00220
  • Median
    0.00220
  • Quartile 3
    0.00220
  • Maximum
    0.00220
  • 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)
    0.69701
  • Compounded annual return (geometric extrapolation)
    0.79474
  • Calmar ratio (compounded annual return / max draw down)
    360.99000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    28.99010
  • 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
    0.41739
  • SD
    0.16632
  • Sharpe ratio (Glass type estimate)
    2.50957
  • Sharpe ratio (Hedges UMVUE)
    2.49854
  • df
    171.00000
  • t
    2.03335
  • p
    0.40257
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07239
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.93953
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06510
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93199
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.06132
  • Upside Potential Ratio
    11.66320
  • Upside part of mean
    1.19864
  • Downside part of mean
    -0.78125
  • Upside SD
    0.13268
  • Downside SD
    0.10277
  • N nonnegative terms
    101.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.29990
  • Mean of criterion
    0.41739
  • SD of predictor
    0.12961
  • SD of criterion
    0.16632
  • Covariance
    0.00811
  • r
    0.37603
  • b (slope, estimate of beta)
    0.48254
  • a (intercept, estimate of alpha)
    0.27300
  • Mean Square Error
    0.02389
  • DF error
    170.00000
  • t(b)
    5.29121
  • p(b)
    0.31198
  • t(a)
    1.41490
  • p(a)
    0.44606
  • Lowerbound of 95% confidence interval for beta
    0.30252
  • Upperbound of 95% confidence interval for beta
    0.66256
  • Lowerbound of 95% confidence interval for alpha
    -0.10775
  • Upperbound of 95% confidence interval for alpha
    0.65310
  • Treynor index (mean / b)
    0.86498
  • Jensen alpha (a)
    0.27267
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40332
  • SD
    0.16591
  • Sharpe ratio (Glass type estimate)
    2.43094
  • Sharpe ratio (Hedges UMVUE)
    2.42026
  • df
    171.00000
  • t
    1.96965
  • p
    0.40553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00515
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.86010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01229
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.85282
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.88668
  • Upside Potential Ratio
    11.46610
  • Upside part of mean
    1.18984
  • Downside part of mean
    -0.78652
  • Upside SD
    0.13122
  • Downside SD
    0.10377
  • N nonnegative terms
    101.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.29135
  • Mean of criterion
    0.40332
  • SD of predictor
    0.12964
  • SD of criterion
    0.16591
  • Covariance
    0.00810
  • r
    0.37659
  • b (slope, estimate of beta)
    0.48197
  • a (intercept, estimate of alpha)
    0.26290
  • Mean Square Error
    0.02376
  • DF error
    170.00000
  • t(b)
    5.30035
  • p(b)
    0.31171
  • t(a)
    1.36865
  • p(a)
    0.44780
  • Lowerbound of 95% confidence interval for beta
    0.30247
  • Upperbound of 95% confidence interval for beta
    0.66147
  • Lowerbound of 95% confidence interval for alpha
    -0.11628
  • Upperbound of 95% confidence interval for alpha
    0.64208
  • Treynor index (mean / b)
    0.83682
  • Jensen alpha (a)
    0.26290
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01520
  • Expected Shortfall on VaR
    0.01941
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00604
  • Expected Shortfall on VaR
    0.01239
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.96393
  • Quartile 1
    0.99582
  • Median
    1.00206
  • Quartile 3
    1.00683
  • Maximum
    1.04053
  • Mean of quarter 1
    0.98928
  • Mean of quarter 2
    0.99931
  • Mean of quarter 3
    1.00441
  • Mean of quarter 4
    1.01380
  • Inter Quartile Range
    0.01101
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01163
  • Mean of outliers low
    0.96758
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.03488
  • Mean of outliers high
    1.03063
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15405
  • VaR(95%) (moments method)
    0.01039
  • Expected Shortfall (moments method)
    0.01548
  • Extreme Value Index (regression method)
    0.16113
  • VaR(95%) (regression method)
    0.01032
  • Expected Shortfall (regression method)
    0.01537
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00249
  • Median
    0.00579
  • Quartile 3
    0.01388
  • Maximum
    0.10177
  • Mean of quarter 1
    0.00102
  • Mean of quarter 2
    0.00437
  • Mean of quarter 3
    0.00779
  • Mean of quarter 4
    0.04663
  • Inter Quartile Range
    0.01139
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.05964
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.07072
  • VaR(95%) (moments method)
    0.04174
  • Expected Shortfall (moments method)
    0.04512
  • Extreme Value Index (regression method)
    0.08724
  • VaR(95%) (regression method)
    0.06312
  • Expected Shortfall (regression method)
    0.09725
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49846
  • Compounded annual return (geometric extrapolation)
    0.53915
  • Calmar ratio (compounded annual return / max draw down)
    5.29751
  • Compounded annual return / average of 25% largest draw downs
    11.56130
  • Compounded annual return / Expected Shortfall lognormal
    27.78320
  • 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
    0.20840
  • SD
    0.17612
  • Sharpe ratio (Glass type estimate)
    1.18328
  • Sharpe ratio (Hedges UMVUE)
    1.17644
  • df
    130.00000
  • t
    0.83671
  • p
    0.46341
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59443
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95664
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59905
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95193
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81074
  • Upside Potential Ratio
    10.06460
  • Upside part of mean
    1.15833
  • Downside part of mean
    -0.94993
  • Upside SD
    0.13304
  • Downside SD
    0.11509
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25225
  • Mean of criterion
    0.20840
  • SD of predictor
    0.13609
  • SD of criterion
    0.17612
  • Covariance
    0.00964
  • r
    0.40227
  • b (slope, estimate of beta)
    0.52061
  • a (intercept, estimate of alpha)
    0.07707
  • Mean Square Error
    0.02620
  • DF error
    129.00000
  • t(b)
    4.99055
  • p(b)
    0.25099
  • t(a)
    0.33449
  • p(a)
    0.48126
  • Lowerbound of 95% confidence interval for beta
    0.31421
  • Upperbound of 95% confidence interval for beta
    0.72701
  • Lowerbound of 95% confidence interval for alpha
    -0.37882
  • Upperbound of 95% confidence interval for alpha
    0.53296
  • Treynor index (mean / b)
    0.40029
  • Jensen alpha (a)
    0.07707
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19295
  • SD
    0.17581
  • Sharpe ratio (Glass type estimate)
    1.09747
  • Sharpe ratio (Hedges UMVUE)
    1.09113
  • df
    130.00000
  • t
    0.77603
  • p
    0.46605
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67960
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87044
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.68385
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86611
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66009
  • Upside Potential Ratio
    9.89001
  • Upside part of mean
    1.14949
  • Downside part of mean
    -0.95654
  • Upside SD
    0.13156
  • Downside SD
    0.11623
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24291
  • Mean of criterion
    0.19295
  • SD of predictor
    0.13618
  • SD of criterion
    0.17581
  • Covariance
    0.00963
  • r
    0.40237
  • b (slope, estimate of beta)
    0.51948
  • a (intercept, estimate of alpha)
    0.06676
  • Mean Square Error
    0.02611
  • DF error
    129.00000
  • t(b)
    4.99204
  • p(b)
    0.25093
  • t(a)
    0.29040
  • p(a)
    0.48373
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.31359
  • Upperbound of 95% confidence interval for beta
    0.72536
  • Lowerbound of 95% confidence interval for alpha
    -0.38809
  • Upperbound of 95% confidence interval for alpha
    0.52161
  • Treynor index (mean / b)
    0.37143
  • Jensen alpha (a)
    0.06676
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01698
  • Expected Shortfall on VaR
    0.02143
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00802
  • Expected Shortfall on VaR
    0.01550
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96393
  • Quartile 1
    0.99463
  • Median
    1.00053
  • Quartile 3
    1.00684
  • Maximum
    1.04053
  • Mean of quarter 1
    0.98774
  • Mean of quarter 2
    0.99813
  • Mean of quarter 3
    1.00390
  • Mean of quarter 4
    1.01392
  • Inter Quartile Range
    0.01221
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96758
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03427
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22681
  • VaR(95%) (moments method)
    0.01198
  • Expected Shortfall (moments method)
    0.01474
  • Extreme Value Index (regression method)
    0.09834
  • VaR(95%) (regression method)
    0.01195
  • Expected Shortfall (regression method)
    0.01674
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00176
  • Median
    0.00636
  • Quartile 3
    0.02842
  • Maximum
    0.10177
  • Mean of quarter 1
    0.00078
  • Mean of quarter 2
    0.00412
  • Mean of quarter 3
    0.01293
  • Mean of quarter 4
    0.05964
  • Inter Quartile Range
    0.02666
  • 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
    0.06250
  • Mean of outliers high
    0.10177
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13062
  • VaR(95%) (moments method)
    0.06439
  • Expected Shortfall (moments method)
    0.09165
  • Extreme Value Index (regression method)
    1.60704
  • VaR(95%) (regression method)
    0.07714
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -313624000
  • Max Equity Drawdown (num days)
    20
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23351
  • Compounded annual return (geometric extrapolation)
    0.24714
  • Calmar ratio (compounded annual return / max draw down)
    2.42834
  • Compounded annual return / average of 25% largest draw downs
    4.14371
  • Compounded annual return / Expected Shortfall lognormal
    11.53420

Strategy Description

The strategy utilizes a forecast that is 120 day out. The selection is done through automation once the daily processing is done. The engine uses (but is not limited to) such things as current daily data including stock price, various global commodity prices, moving and current sector and industry averages, the latest quarterly filings with the SEC and various bond rates. It will not short stocks and will not reinvest funds from sales for 3 days.

The minimum price for any stock to be considered for purchasing is $5 per share. the 13 week moving volume average needs to be at least 80,000 shares per day. The portfolio size should be a maximum of 30 securities holding no security longer than 80 days.

The intent of this is to have buy low and sell high strategy that does not require margin. There is no short selling. Since positions will get closed the moment they meet gain requirements and stocks may take a while to hit them the current positions are often neutral or negative but the overall results are positive due to previous sales.

Normally, all orders put in once a day before market open with either limit orders or market orders in the event a position is being closed regardless of the price.

This is all done through automation which means, it is possible that unforeseen events can happen that prevent the daily run to either finish in time or to be run for that day at all (though it unlikely). Fortunately all the positions selected are based on positive forecasts 120 days out. So, ideally in this unlikely event the positions can remain open with no ill effect on average.

This fund focuses or certain sectors it performs better at predicting.

Summary Statistics

Strategy began
2020-11-21
Suggested Minimum Capital
$15,000
Rank at C2 
#151
# Trades
735
# Profitable
568
% Profitable
77.3%
Net Dividends
Correlation S&P500
0.382
Sharpe Ratio
1.82
Sortino Ratio
2.94
Beta
0.50
Alpha
0.06
Leverage
0.60 Average
0.99 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.