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

The Lab
(133502610)

Created by: Launcher Launcher
Started: 01/2021
Stocks
Last trade: 277 days ago
Trading style: Equity Trend-following Momentum

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
35.9%
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.

(53.4%)
Max Drawdown
786
Num Trades
43.0%
Win Trades
1.1 : 1
Profit Factor
52.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021+63.0%+68.8%+5.3%+1.5%+0.7%+3.9%+0.4%+0.5%+1.5%+2.6%+2.3%(49.1%)+68.4%
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 551 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 295 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/30/21 9:30 ISIG INSIGNIA SYSTEMS LONG 4,000 31.46 12/31 15:59 23.10 40.73%
Trade id #138753342
Max drawdown($40,440)
Time12/31/21 12:28
Quant open4,000
Worst price21.35
Drawdown as % of equity-40.73%
($33,445)
Includes Typical Broker Commissions trade costs of $5.00
12/13/21 13:30 LCID LUCID GROUP INC LONG 2,000 38.91 12/13 15:59 39.21 0.57%
Trade id #138562531
Max drawdown($695)
Time12/13/21 14:01
Quant open2,000
Worst price38.56
Drawdown as % of equity-0.57%
$600
Includes Typical Broker Commissions trade costs of $5.00
12/13/21 13:31 BNTX BIONTECH SE LONG 200 284.27 12/13 14:22 280.60 0.78%
Trade id #138562560
Max drawdown($952)
Time12/13/21 14:22
Quant open200
Worst price279.51
Drawdown as % of equity-0.78%
($738)
Includes Typical Broker Commissions trade costs of $4.00
12/13/21 13:18 MRNA MODERNA INC. COMMON STOCK LONG 500 274.18 12/13 13:21 272.88 0.57%
Trade id #138562335
Max drawdown($690)
Time12/13/21 13:21
Quant open500
Worst price272.80
Drawdown as % of equity-0.57%
($660)
Includes Typical Broker Commissions trade costs of $10.00
12/13/21 11:27 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 5,000 15.93 12/13 11:35 15.75 0.82%
Trade id #138559738
Max drawdown($1,000)
Time12/13/21 11:35
Quant open5,000
Worst price15.73
Drawdown as % of equity-0.82%
($905)
Includes Typical Broker Commissions trade costs of $5.00
12/13/21 9:56 MRNA MODERNA INC. COMMON STOCK LONG 200 269.05 12/13 11:23 265.54 0.63%
Trade id #138557373
Max drawdown($768)
Time12/13/21 11:23
Quant open200
Worst price265.21
Drawdown as % of equity-0.63%
($706)
Includes Typical Broker Commissions trade costs of $4.00
12/13/21 10:32 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 2,000 15.88 12/13 10:48 15.58 0.48%
Trade id #138558426
Max drawdown($590)
Time12/13/21 10:48
Quant open2,000
Worst price15.58
Drawdown as % of equity-0.48%
($595)
Includes Typical Broker Commissions trade costs of $5.00
12/13/21 10:00 NVAX NOVAVAX LONG 250 175.60 12/13 10:28 172.89 0.56%
Trade id #138557531
Max drawdown($682)
Time12/13/21 10:28
Quant open250
Worst price172.87
Drawdown as % of equity-0.56%
($683)
Includes Typical Broker Commissions trade costs of $5.00
12/13/21 9:50 LCID LUCID GROUP INC LONG 800 40.20 12/13 9:52 39.54 0.43%
Trade id #138557138
Max drawdown($526)
Time12/13/21 9:52
Quant open800
Worst price39.54
Drawdown as % of equity-0.43%
($531)
Includes Typical Broker Commissions trade costs of $5.00
12/10/21 14:16 SGMA SIGMATRON INTERNATIONAL LONG 10,000 13.08 12/10 15:59 14.87 9.96%
Trade id #138541584
Max drawdown($12,160)
Time12/10/21 15:07
Quant open10,000
Worst price11.86
Drawdown as % of equity-9.96%
$17,935
Includes Typical Broker Commissions trade costs of $5.00
12/10/21 13:16 PIK KIDPIK CORP. COMMON STOCK LONG 15,000 7.65 12/10 14:11 7.60 2.09%
Trade id #138541048
Max drawdown($2,553)
Time12/10/21 13:19
Quant open15,000
Worst price7.48
Drawdown as % of equity-2.09%
($755)
Includes Typical Broker Commissions trade costs of $5.00
12/10/21 12:58 PTPI PETROS PHARMACEUTICALS INC. LONG 30,000 3.30 12/10 13:04 3.12 4.99%
Trade id #138540838
Max drawdown($6,096)
Time12/10/21 13:02
Quant open30,000
Worst price3.10
Drawdown as % of equity-4.99%
($5,454)
Includes Typical Broker Commissions trade costs of $5.00
12/10/21 10:04 AVCT AMERICAN VIRTUAL CLOUD TECHNOLOGIES INC LONG 35,000 2.77 12/10 12:56 2.54 7.62%
Trade id #138537203
Max drawdown($9,309)
Time12/10/21 12:56
Quant open35,000
Worst price2.50
Drawdown as % of equity-7.62%
($7,928)
Includes Typical Broker Commissions trade costs of $17.50
12/10/21 9:53 CXM SPRINKLR INC LONG 7,000 15.97 12/10 12:19 15.80 1.5%
Trade id #138536930
Max drawdown($1,789)
Time12/10/21 12:01
Quant open3,000
Worst price15.37
Drawdown as % of equity-1.50%
($1,184)
Includes Typical Broker Commissions trade costs of $27.50
12/9/21 14:50 AERC AEROCLEAN TECHNOLOGIES INC. LONG 7,000 13.89 12/10 9:57 13.36 6.93%
Trade id #138528615
Max drawdown($8,776)
Time12/10/21 0:00
Quant open7,000
Worst price12.64
Drawdown as % of equity-6.93%
($3,762)
Includes Typical Broker Commissions trade costs of $17.50
12/10/21 9:51 AVCT AMERICAN VIRTUAL CLOUD TECHNOLOGIES INC LONG 20,000 2.55 12/10 9:55 2.46 2.05%
Trade id #138536881
Max drawdown($2,600)
Time12/10/21 9:55
Quant open20,000
Worst price2.42
Drawdown as % of equity-2.05%
($1,805)
Includes Typical Broker Commissions trade costs of $5.00
12/10/21 9:32 CXM SPRINKLR INC LONG 5,000 15.60 12/10 9:43 15.23 1.58%
Trade id #138536251
Max drawdown($2,007)
Time12/10/21 9:43
Quant open5,000
Worst price15.20
Drawdown as % of equity-1.58%
($1,858)
Includes Typical Broker Commissions trade costs of $12.50
12/9/21 15:44 MITC MEATECH 3D LTD. ADS LONG 8,000 8.94 12/9 15:44 8.72 1.33%
Trade id #138529552
Max drawdown($1,737)
Time12/9/21 15:44
Quant open8,000
Worst price8.72
Drawdown as % of equity-1.33%
($1,742)
Includes Typical Broker Commissions trade costs of $5.00
12/9/21 15:16 MITC MEATECH 3D LTD. ADS LONG 20,000 8.69 12/9 15:41 8.86 1.16%
Trade id #138529040
Max drawdown($1,560)
Time12/9/21 15:19
Quant open20,000
Worst price8.61
Drawdown as % of equity-1.16%
$3,380
Includes Typical Broker Commissions trade costs of $12.50
12/9/21 10:58 IINN INSPIRA TECHNOLOGIES OXY B.H.N. LTD LONG 700 5.53 12/9 15:22 4.80 0.5%
Trade id #138525235
Max drawdown($669)
Time12/9/21 15:22
Quant open700
Worst price4.57
Drawdown as % of equity-0.50%
($514)
Includes Typical Broker Commissions trade costs of $5.00
12/9/21 14:07 ISIG INSIGNIA SYSTEMS LONG 10,000 26.25 12/9 15:02 25.35 10.67%
Trade id #138528282
Max drawdown($14,400)
Time12/9/21 14:54
Quant open10,000
Worst price24.81
Drawdown as % of equity-10.67%
($9,005)
Includes Typical Broker Commissions trade costs of $5.00
12/9/21 12:20 CIEN CIENA CORPORTION LONG 250 71.40 12/9 14:42 71.28 0.11%
Trade id #138527013
Max drawdown($175)
Time12/9/21 12:25
Quant open250
Worst price70.70
Drawdown as % of equity-0.11%
($35)
Includes Typical Broker Commissions trade costs of $5.00
12/9/21 13:21 AERC AEROCLEAN TECHNOLOGIES INC. LONG 10,000 14.16 12/9 14:06 13.10 7%
Trade id #138527704
Max drawdown($10,100)
Time12/9/21 14:06
Quant open10,000
Worst price13.15
Drawdown as % of equity-7.00%
($10,573)
Includes Typical Broker Commissions trade costs of $5.00
12/9/21 11:37 ISIG INSIGNIA SYSTEMS LONG 1,100 31.63 12/9 13:38 24.39 5.65%
Trade id #138525927
Max drawdown($8,145)
Time12/9/21 13:27
Quant open1,100
Worst price24.23
Drawdown as % of equity-5.65%
($7,977)
Includes Typical Broker Commissions trade costs of $7.00
12/9/21 12:31 HRTX HERON THERAPEUTICS INC. COMMO LONG 1,500 9.72 12/9 13:23 9.47 0.3%
Trade id #138527095
Max drawdown($433)
Time12/9/21 13:23
Quant open1,500
Worst price9.43
Drawdown as % of equity-0.30%
($374)
Includes Typical Broker Commissions trade costs of $5.00
12/9/21 12:37 ENSC ENSYSCE BIOSCIENCES INC. COMMON STOCK LONG 10,500 6.23 12/9 13:22 5.53 5.71%
Trade id #138527163
Max drawdown($8,418)
Time12/9/21 13:22
Quant open10,500
Worst price5.43
Drawdown as % of equity-5.71%
($7,344)
Includes Typical Broker Commissions trade costs of $10.00
12/9/21 12:25 NVEI NUVEI CORPORATION LONG 400 66.50 12/9 12:40 65.70 0.28%
Trade id #138527044
Max drawdown($452)
Time12/9/21 12:40
Quant open400
Worst price65.37
Drawdown as % of equity-0.28%
($328)
Includes Typical Broker Commissions trade costs of $8.00
12/9/21 12:16 ENSC ENSYSCE BIOSCIENCES INC. COMMON STOCK LONG 1,500 5.43 12/9 12:25 5.19 0.22%
Trade id #138526971
Max drawdown($359)
Time12/9/21 12:25
Quant open1,500
Worst price5.19
Drawdown as % of equity-0.22%
($365)
Includes Typical Broker Commissions trade costs of $5.00
12/9/21 12:00 PPSI PIONEER POWER SOLUTIONS INC. LONG 600 11.51 12/9 12:19 11.06 0.28%
Trade id #138526806
Max drawdown($456)
Time12/9/21 12:19
Quant open600
Worst price10.75
Drawdown as % of equity-0.28%
($275)
Includes Typical Broker Commissions trade costs of $5.00
12/9/21 11:30 HRTX HERON THERAPEUTICS INC. COMMO LONG 1,200 9.34 12/9 11:45 9.15 0.16%
Trade id #138525775
Max drawdown($252)
Time12/9/21 11:45
Quant open1,200
Worst price9.13
Drawdown as % of equity-0.16%
($230)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/21/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    616.47
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    786
  • # Profitable
    338
  • % Profitable
    43.00%
  • Avg trade duration
    9.4 hours
  • Max peak-to-valley drawdown
    53.44%
  • drawdown period
    Nov 23, 2021 - Dec 31, 2021
  • Annual Return (Compounded)
    35.9%
  • Avg win
    $1,536
  • Avg loss
    $1,070
  • Model Account Values (Raw)
  • Cash
    $89,783
  • Margin Used
    $0
  • Buying Power
    $89,783
  • Ratios
  • W:L ratio
    1.08:1
  • Sharpe Ratio
    0.66
  • Sortino Ratio
    1.04
  • Calmar Ratio
    1.358
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    74.48%
  • Correlation to SP500
    -0.05800
  • Return Percent SP500 (cumu) during strategy life
    -2.04%
  • Return Statistics
  • Ann Return (w trading costs)
    35.9%
  • Slump
  • Current Slump as Pcnt Equity
    98.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.50%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.359%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    41.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    82.50%
  • Chance of 20% account loss
    74.50%
  • Chance of 30% account loss
    50.00%
  • Chance of 40% account loss
    38.50%
  • Chance of 60% account loss (Monte Carlo)
    12.00%
  • Chance of 70% account loss (Monte Carlo)
    2.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    5.30%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    24.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    309
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,070
  • Avg Win
    $1,536
  • Sum Trade PL (losers)
    $479,455.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $519,234.000
  • # Winners
    338
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    448
  • % Winners
    43.0%
  • Frequency
  • Avg Position Time (mins)
    566.97
  • Avg Position Time (hrs)
    9.45
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    272
  • Leverage
  • Daily leverage (average)
    0.47
  • Daily leverage (max)
    2.60
  • Regression
  • Alpha
    0.12
  • Beta
    -0.17
  • Treynor Index
    -0.71
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.54
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -40.117
  • 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
    0.338
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.236
  • Hold-and-Hope Ratio
    -0.025
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.10944
  • SD
    1.44774
  • Sharpe ratio (Glass type estimate)
    0.76633
  • Sharpe ratio (Hedges UMVUE)
    0.71724
  • df
    12.00000
  • t
    0.79762
  • p
    0.38781
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15637
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65831
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18757
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62205
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93855
  • Upside Potential Ratio
    4.30452
  • Upside part of mean
    1.62516
  • Downside part of mean
    -0.51572
  • Upside SD
    1.37650
  • Downside SD
    0.37755
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.07337
  • Mean of criterion
    1.10944
  • SD of predictor
    0.13339
  • SD of criterion
    1.44774
  • Covariance
    0.02937
  • r
    0.15207
  • b (slope, estimate of beta)
    1.65058
  • a (intercept, estimate of alpha)
    0.98834
  • Mean Square Error
    2.23362
  • DF error
    11.00000
  • t(b)
    0.51030
  • p(b)
    0.30996
  • t(a)
    0.67909
  • p(a)
    0.25556
  • Lowerbound of 95% confidence interval for beta
    -5.46852
  • Upperbound of 95% confidence interval for beta
    8.76967
  • Lowerbound of 95% confidence interval for alpha
    -2.21493
  • Upperbound of 95% confidence interval for alpha
    4.19160
  • Treynor index (mean / b)
    0.67215
  • Jensen alpha (a)
    0.98834
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51275
  • SD
    0.99619
  • Sharpe ratio (Glass type estimate)
    0.51471
  • Sharpe ratio (Hedges UMVUE)
    0.48174
  • df
    12.00000
  • t
    0.53572
  • p
    0.42358
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38980
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39834
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41117
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37464
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16231
  • Upside Potential Ratio
    2.52715
  • Upside part of mean
    1.11484
  • Downside part of mean
    -0.60210
  • Upside SD
    0.86218
  • Downside SD
    0.44115
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.06467
  • Mean of criterion
    0.51275
  • SD of predictor
    0.13525
  • SD of criterion
    0.99619
  • Covariance
    0.03582
  • r
    0.26586
  • b (slope, estimate of beta)
    1.95824
  • a (intercept, estimate of alpha)
    0.38612
  • Mean Square Error
    1.00610
  • DF error
    11.00000
  • t(b)
    0.91466
  • p(b)
    0.18999
  • t(a)
    0.39659
  • p(a)
    0.34963
  • Lowerbound of 95% confidence interval for beta
    -2.75394
  • Upperbound of 95% confidence interval for beta
    6.67042
  • Lowerbound of 95% confidence interval for alpha
    -1.75674
  • Upperbound of 95% confidence interval for alpha
    2.52897
  • Treynor index (mean / b)
    0.26184
  • Jensen alpha (a)
    0.38612
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.34968
  • Expected Shortfall on VaR
    0.42018
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06852
  • Expected Shortfall on VaR
    0.15871
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.72037
  • Quartile 1
    1.00162
  • Median
    1.01565
  • Quartile 3
    1.04101
  • Maximum
    2.42566
  • Mean of quarter 1
    0.86265
  • Mean of quarter 2
    1.01253
  • Mean of quarter 3
    1.03273
  • Mean of quarter 4
    1.54858
  • Inter Quartile Range
    0.03938
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.15385
  • Mean of outliers low
    0.72450
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    1.54858
  • 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)
    -6.03866
  • VaR(95%) (regression method)
    1.03980
  • Expected Shortfall (regression method)
    1.03994
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.47512
  • Quartile 1
    0.47512
  • Median
    0.47512
  • Quartile 3
    0.47512
  • Maximum
    0.47512
  • 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)
    0.73501
  • Compounded annual return (geometric extrapolation)
    0.71713
  • Calmar ratio (compounded annual return / max draw down)
    1.50936
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.70673
  • 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
    0.68457
  • SD
    0.65238
  • Sharpe ratio (Glass type estimate)
    1.04935
  • Sharpe ratio (Hedges UMVUE)
    1.04674
  • df
    302.00000
  • t
    1.12847
  • p
    0.13001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77595
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87298
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77771
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87119
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74445
  • Upside Potential Ratio
    5.16391
  • Upside part of mean
    2.02647
  • Downside part of mean
    -1.34190
  • Upside SD
    0.52152
  • Downside SD
    0.39243
  • N nonnegative terms
    106.00000
  • N negative terms
    197.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    303.00000
  • Mean of predictor
    -0.05429
  • Mean of criterion
    0.68457
  • SD of predictor
    0.23507
  • SD of criterion
    0.65238
  • Covariance
    -0.00946
  • r
    -0.06171
  • b (slope, estimate of beta)
    -0.17126
  • a (intercept, estimate of alpha)
    0.67500
  • Mean Square Error
    0.42539
  • DF error
    301.00000
  • t(b)
    -1.07267
  • p(b)
    0.85786
  • t(a)
    1.11331
  • p(a)
    0.13323
  • Lowerbound of 95% confidence interval for beta
    -0.48545
  • Upperbound of 95% confidence interval for beta
    0.14293
  • Lowerbound of 95% confidence interval for alpha
    -0.51834
  • Upperbound of 95% confidence interval for alpha
    1.86889
  • Treynor index (mean / b)
    -3.99725
  • Jensen alpha (a)
    0.67528
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47855
  • SD
    0.63871
  • Sharpe ratio (Glass type estimate)
    0.74924
  • Sharpe ratio (Hedges UMVUE)
    0.74738
  • df
    302.00000
  • t
    0.80573
  • p
    0.21052
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57219
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07614
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57089
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12243
  • Upside Potential Ratio
    4.47111
  • Upside part of mean
    1.90625
  • Downside part of mean
    -1.42770
  • Upside SD
    0.47509
  • Downside SD
    0.42635
  • N nonnegative terms
    106.00000
  • N negative terms
    197.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    303.00000
  • Mean of predictor
    -0.08225
  • Mean of criterion
    0.47855
  • SD of predictor
    0.23782
  • SD of criterion
    0.63871
  • Covariance
    -0.00859
  • r
    -0.05656
  • b (slope, estimate of beta)
    -0.15191
  • a (intercept, estimate of alpha)
    0.46605
  • Mean Square Error
    0.40800
  • DF error
    301.00000
  • t(b)
    -0.98291
  • p(b)
    0.83678
  • t(a)
    0.78447
  • p(a)
    0.21669
  • Lowerbound of 95% confidence interval for beta
    -0.45606
  • Upperbound of 95% confidence interval for beta
    0.15223
  • Lowerbound of 95% confidence interval for alpha
    -0.70306
  • Upperbound of 95% confidence interval for alpha
    1.63516
  • Treynor index (mean / b)
    -3.15013
  • Jensen alpha (a)
    0.46605
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06113
  • Expected Shortfall on VaR
    0.07639
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01348
  • Expected Shortfall on VaR
    0.03087
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    303.00000
  • Minimum
    0.77018
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00116
  • Maximum
    1.31255
  • Mean of quarter 1
    0.97986
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00023
  • Mean of quarter 4
    1.03076
  • Inter Quartile Range
    0.00116
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.10561
  • Mean of outliers low
    0.95263
  • Number of outliers high
    50.00000
  • Percentage of outliers high
    0.16502
  • Mean of outliers high
    1.04577
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.96213
  • VaR(95%) (moments method)
    0.00529
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.01726
  • VaR(95%) (regression method)
    0.00907
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00308
  • Median
    0.01389
  • Quartile 3
    0.12436
  • Maximum
    0.48544
  • Mean of quarter 1
    0.00148
  • Mean of quarter 2
    0.00744
  • Mean of quarter 3
    0.05286
  • Mean of quarter 4
    0.26102
  • Inter Quartile Range
    0.12129
  • 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
    0.07143
  • Mean of outliers high
    0.48544
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.01408
  • VaR(95%) (moments method)
    0.27475
  • Expected Shortfall (moments method)
    0.37345
  • Extreme Value Index (regression method)
    0.92402
  • VaR(95%) (regression method)
    0.42307
  • Expected Shortfall (regression method)
    4.88066
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68852
  • Compounded annual return (geometric extrapolation)
    0.65940
  • Calmar ratio (compounded annual return / max draw down)
    1.35835
  • Compounded annual return / average of 25% largest draw downs
    2.52626
  • Compounded annual return / Expected Shortfall lognormal
    8.63247
  • 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
    -1.06210
  • SD
    0.47413
  • Sharpe ratio (Glass type estimate)
    -2.24008
  • Sharpe ratio (Hedges UMVUE)
    -2.22713
  • df
    130.00000
  • t
    -1.58398
  • p
    0.56880
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.02099
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.54919
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.01213
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55786
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.27029
  • Upside Potential Ratio
    0.85696
  • Upside part of mean
    0.40091
  • Downside part of mean
    -1.46300
  • Upside SD
    0.09238
  • Downside SD
    0.46782
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.36308
  • Mean of criterion
    -1.06210
  • SD of predictor
    0.32626
  • SD of criterion
    0.47413
  • Covariance
    -0.00371
  • r
    -0.02397
  • b (slope, estimate of beta)
    -0.03484
  • a (intercept, estimate of alpha)
    -1.07475
  • Mean Square Error
    0.22642
  • DF error
    129.00000
  • t(b)
    -0.27237
  • p(b)
    0.51526
  • t(a)
    -1.59333
  • p(a)
    0.58816
  • Lowerbound of 95% confidence interval for beta
    -0.28792
  • Upperbound of 95% confidence interval for beta
    0.21824
  • Lowerbound of 95% confidence interval for alpha
    -2.40931
  • Upperbound of 95% confidence interval for alpha
    0.25982
  • Treynor index (mean / b)
    30.48520
  • Jensen alpha (a)
    -1.07475
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.19147
  • SD
    0.52279
  • Sharpe ratio (Glass type estimate)
    -2.27908
  • Sharpe ratio (Hedges UMVUE)
    -2.26591
  • df
    130.00000
  • t
    -1.61156
  • p
    0.56998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.06046
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.51078
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.05137
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51955
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.29992
  • Upside Potential Ratio
    0.76573
  • Upside part of mean
    0.39669
  • Downside part of mean
    -1.58816
  • Upside SD
    0.09090
  • Downside SD
    0.51805
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.41709
  • Mean of criterion
    -1.19147
  • SD of predictor
    0.33063
  • SD of criterion
    0.52279
  • Covariance
    -0.00447
  • r
    -0.02586
  • b (slope, estimate of beta)
    -0.04089
  • a (intercept, estimate of alpha)
    -1.20853
  • Mean Square Error
    0.27524
  • DF error
    129.00000
  • t(b)
    -0.29383
  • p(b)
    0.51646
  • t(a)
    -1.62391
  • p(a)
    0.58980
  • VAR (95 Confidence Intrvl)
    0.06100
  • Lowerbound of 95% confidence interval for beta
    -0.31624
  • Upperbound of 95% confidence interval for beta
    0.23445
  • Lowerbound of 95% confidence interval for alpha
    -2.68096
  • Upperbound of 95% confidence interval for alpha
    0.26391
  • Treynor index (mean / b)
    29.13770
  • Jensen alpha (a)
    -1.20853
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05604
  • Expected Shortfall on VaR
    0.06863
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01644
  • Expected Shortfall on VaR
    0.03723
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.77018
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04599
  • Mean of quarter 1
    0.97816
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00617
  • Inter Quartile Range
    0.00000
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.21374
  • Mean of outliers low
    0.97426
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.23664
  • Mean of outliers high
    1.00657
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.90764
  • VaR(95%) (moments method)
    0.00599
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.43695
  • VaR(95%) (regression method)
    0.00720
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00246
  • Median
    0.00654
  • Quartile 3
    0.03683
  • Maximum
    0.48544
  • Mean of quarter 1
    0.00092
  • Mean of quarter 2
    0.00474
  • Mean of quarter 3
    0.00833
  • Mean of quarter 4
    0.26588
  • Inter Quartile Range
    0.03437
  • 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
    0.48544
  • 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?
    -358720000
  • Max Equity Drawdown (num days)
    38
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.88220
  • Compounded annual return (geometric extrapolation)
    -0.68763
  • Calmar ratio (compounded annual return / max draw down)
    -1.41651
  • Compounded annual return / average of 25% largest draw downs
    -2.58621
  • Compounded annual return / Expected Shortfall lognormal
    -10.01960

Strategy Description

Summary Statistics

Strategy began
2021-01-21
Suggested Minimum Capital
$15,000
# Trades
786
# Profitable
338
% Profitable
43.0%
Correlation S&P500
-0.058
Sharpe Ratio
0.66
Sortino Ratio
1.04
Beta
-0.17
Alpha
0.12
Leverage
0.47 Average
2.60 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.