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This is an archived track record. This track record was archived on 8/23/22 15:23 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Swing stoks
(137775817)

Created by: Seikh Seikh
Started: 10/2021
Stocks
Last trade: 584 days ago
Trading style: Equity Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $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
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).
-1.9%
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.

(26.6%)
Max Drawdown
828
Num Trades
46.1%
Win Trades
1.0 : 1
Profit Factor
16.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                               +5.1%+0.9%(0.2%)+5.7%
2022+2.8%(4.6%)+0.7%(3.4%)(1.3%)(4%)+0.1%(0.3%)  -    -    -    -  (9.8%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/25/22 9:30 SQ BLOCK INC LONG 20 114.90 8/23 14:32 71.41 2.47%
Trade id #139544641
Max drawdown($1,177)
Time6/17/22 0:00
Quant open20
Worst price56.01
Drawdown as % of equity-2.47%
($870)
Includes Typical Broker Commissions trade costs of $0.40
2/9/22 9:35 META META PLATFORMS INC. CLASS A LONG 40 219.93 8/23 14:31 161.77 5.52%
Trade id #139318761
Max drawdown($2,627)
Time6/23/22 0:00
Quant open40
Worst price154.25
Drawdown as % of equity-5.52%
($2,327)
Includes Typical Broker Commissions trade costs of $0.80
2/28/22 9:31 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 200 19.78 3/15 10:33 20.31 0.23%
Trade id #139571214
Max drawdown($120)
Time2/28/22 11:28
Quant open100
Worst price17.03
Drawdown as % of equity-0.23%
$102
Includes Typical Broker Commissions trade costs of $4.00
2/16/22 9:30 SPCE VIRGIN GALACTIC HOLDINGS INC LONG 100 10.30 3/8 10:03 7.10 0.64%
Trade id #139413903
Max drawdown($323)
Time3/8/22 10:00
Quant open100
Worst price7.07
Drawdown as % of equity-0.64%
($322)
Includes Typical Broker Commissions trade costs of $2.00
2/22/22 9:31 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 400 19.82 2/25 10:46 16.92 2.24%
Trade id #139486544
Max drawdown($1,161)
Time2/25/22 10:46
Quant open400
Worst price16.92
Drawdown as % of equity-2.24%
($1,169)
Includes Typical Broker Commissions trade costs of $8.00
2/10/22 16:34 @MESH2 MICRO E-MINI S&P 500 LONG 2 4388.12 2/24 2:08 4117.75 5.28%
Trade id #139345444
Max drawdown($2,778)
Time2/24/22 2:05
Quant open2
Worst price4110.25
Drawdown as % of equity-5.28%
($2,706)
Includes Typical Broker Commissions trade costs of $1.88
2/15/22 9:30 SQ BLOCK INC LONG 20 113.02 2/22 12:09 94.71 0.7%
Trade id #139395781
Max drawdown($381)
Time2/22/22 9:30
Quant open20
Worst price93.94
Drawdown as % of equity-0.70%
($366)
Includes Typical Broker Commissions trade costs of $0.40
2/10/22 8:53 @MESH2 MICRO E-MINI S&P 500 LONG 1 4533.50 2/10 10:12 4567.75 0.19%
Trade id #139333832
Max drawdown($105)
Time2/10/22 9:14
Quant open1
Worst price4512.50
Drawdown as % of equity-0.19%
$170
Includes Typical Broker Commissions trade costs of $0.94
2/3/22 15:49 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 1 14525.25 2/9 7:49 14917.75 0.58%
Trade id #139243568
Max drawdown($324)
Time2/4/22 0:00
Quant open1
Worst price14363.20
Drawdown as % of equity-0.58%
$784
Includes Typical Broker Commissions trade costs of $0.94
1/13/22 15:26 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 2 14824.75 2/2 7:53 15248.00 7.76%
Trade id #138945766
Max drawdown($3,976)
Time1/28/22 0:00
Quant open2
Worst price13830.80
Drawdown as % of equity-7.76%
$1,691
Includes Typical Broker Commissions trade costs of $1.88
1/3/22 10:14 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 500 16.54 1/27 15:46 19.28 0.17%
Trade id #138789700
Max drawdown($90)
Time1/12/22 0:00
Quant open100
Worst price11.16
Drawdown as % of equity-0.17%
$1,361
Includes Typical Broker Commissions trade costs of $10.00
12/17/21 10:01 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 150 16.46 12/27 13:58 13.66 0.79%
Trade id #138618268
Max drawdown($420)
Time12/27/21 13:58
Quant open150
Worst price13.66
Drawdown as % of equity-0.79%
($424)
Includes Typical Broker Commissions trade costs of $3.00
12/14/21 9:49 SGMA SIGMATRON INTERNATIONAL SHORT 325 13.42 12/14 15:59 13.70 0.35%
Trade id #138574048
Max drawdown($186)
Time12/14/21 14:50
Quant open200
Worst price14.35
Drawdown as % of equity-0.35%
($101)
Includes Typical Broker Commissions trade costs of $6.50
12/14/21 12:26 FHTX FOGHORN THERAPEUTICS INC. COMMON STOCK SHORT 200 16.93 12/14 15:59 17.65 0.39%
Trade id #138578385
Max drawdown($209)
Time12/14/21 15:26
Quant open150
Worst price18.33
Drawdown as % of equity-0.39%
($147)
Includes Typical Broker Commissions trade costs of $4.00
12/14/21 13:32 XPEV XPENG INC SHORT 150 44.32 12/14 13:47 44.19 0.02%
Trade id #138579232
Max drawdown($9)
Time12/14/21 13:38
Quant open150
Worst price44.38
Drawdown as % of equity-0.02%
$17
Includes Typical Broker Commissions trade costs of $3.00
12/14/21 9:51 XPEV XPENG INC SHORT 150 43.97 12/14 13:28 44.56 0.26%
Trade id #138574166
Max drawdown($138)
Time12/14/21 10:43
Quant open150
Worst price44.89
Drawdown as % of equity-0.26%
($92)
Includes Typical Broker Commissions trade costs of $3.00
12/14/21 9:50 FHTX FOGHORN THERAPEUTICS INC. COMMON STOCK LONG 100 17.48 12/14 12:26 17.11 0.11%
Trade id #138574124
Max drawdown($60)
Time12/14/21 10:04
Quant open100
Worst price16.88
Drawdown as % of equity-0.11%
($39)
Includes Typical Broker Commissions trade costs of $2.00
12/14/21 9:36 TSLA TESLA INC. SHORT 15 944.92 12/14 12:25 940.78 0.22%
Trade id #138573167
Max drawdown($117)
Time12/14/21 10:32
Quant open5
Worst price958.47
Drawdown as % of equity-0.22%
$62
Includes Typical Broker Commissions trade costs of $0.30
12/14/21 9:38 NVDA NVIDIA SHORT 60 280.43 12/14 12:18 274.81 0.72%
Trade id #138573324
Max drawdown($381)
Time12/14/21 10:30
Quant open60
Worst price286.78
Drawdown as % of equity-0.72%
$336
Includes Typical Broker Commissions trade costs of $1.20
12/14/21 9:43 AAPL APPLE SHORT 50 176.60 12/14 10:02 175.67 0.02%
Trade id #138573798
Max drawdown($11)
Time12/14/21 9:47
Quant open25
Worst price177.30
Drawdown as % of equity-0.02%
$46
Includes Typical Broker Commissions trade costs of $1.00
12/14/21 9:33 SGMA SIGMATRON INTERNATIONAL SHORT 50 13.50 12/14 9:38 13.22 0.02%
Trade id #138572909
Max drawdown($9)
Time12/14/21 9:36
Quant open50
Worst price13.68
Drawdown as % of equity-0.02%
$13
Includes Typical Broker Commissions trade costs of $1.00
12/14/21 9:34 NVDA NVIDIA SHORT 30 272.85 12/14 9:35 272.99 0.01%
Trade id #138572951
Max drawdown($4)
Time12/14/21 9:35
Quant open30
Worst price272.99
Drawdown as % of equity-0.01%
($5)
Includes Typical Broker Commissions trade costs of $0.60
12/13/21 13:19 COST COSTCO WHOLESALE SHORT 20 558.12 12/13 15:49 559.45 0.06%
Trade id #138562354
Max drawdown($32)
Time12/13/21 15:47
Quant open20
Worst price559.75
Drawdown as % of equity-0.06%
($27)
Includes Typical Broker Commissions trade costs of $0.40
12/13/21 13:49 BFRI BIOFRONTERA INC. COMMON STOCK SHORT 1,200 7.42 12/13 15:43 7.11 1.08%
Trade id #138562881
Max drawdown($576)
Time12/13/21 14:24
Quant open600
Worst price8.25
Drawdown as % of equity-1.08%
$362
Includes Typical Broker Commissions trade costs of $18.50
12/13/21 10:00 SGMA SIGMATRON INTERNATIONAL SHORT 150 14.05 12/13 14:47 14.72 0.61%
Trade id #138557504
Max drawdown($325)
Time12/13/21 10:57
Quant open100
Worst price17.30
Drawdown as % of equity-0.61%
($104)
Includes Typical Broker Commissions trade costs of $3.00
12/13/21 9:55 BFRI BIOFRONTERA INC. COMMON STOCK SHORT 700 6.75 12/13 13:48 7.17 0.57%
Trade id #138557335
Max drawdown($301)
Time12/13/21 13:48
Quant open400
Worst price7.50
Drawdown as % of equity-0.57%
($313)
Includes Typical Broker Commissions trade costs of $14.00
12/13/21 10:03 HOG HARLEY-DAVIDSON SHORT 250 42.06 12/13 10:43 41.45 0.06%
Trade id #138557647
Max drawdown($30)
Time12/13/21 10:27
Quant open100
Worst price42.45
Drawdown as % of equity-0.06%
$146
Includes Typical Broker Commissions trade costs of $5.00
12/13/21 10:01 COST COSTCO WHOLESALE SHORT 10 552.64 12/13 10:29 548.03 0.03%
Trade id #138557550
Max drawdown($17)
Time12/13/21 10:09
Quant open10
Worst price554.39
Drawdown as % of equity-0.03%
$46
Includes Typical Broker Commissions trade costs of $0.20
12/10/21 9:52 MRNA MODERNA INC. COMMON STOCK SHORT 110 253.50 12/10 15:59 255.82 0.84%
Trade id #138536909
Max drawdown($450)
Time12/10/21 14:06
Quant open45
Worst price261.97
Drawdown as % of equity-0.84%
($257)
Includes Typical Broker Commissions trade costs of $2.20
12/10/21 9:56 ORCL ORACLE CORP SHORT 50 103.32 12/10 10:03 102.68 0.07%
Trade id #138537008
Max drawdown($35)
Time12/10/21 10:01
Quant open50
Worst price104.02
Drawdown as % of equity-0.07%
$31
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    10/12/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    898.28
  • Age
    30 months ago
  • What it trades
    Stocks
  • # Trades
    828
  • # Profitable
    382
  • % Profitable
    46.10%
  • Avg trade duration
    1.5 days
  • Max peak-to-valley drawdown
    26.62%
  • drawdown period
    Feb 11, 2022 - June 09, 2022
  • Annual Return (Compounded)
    -1.9%
  • Avg win
    $123.86
  • Avg loss
    $101.38
  • Model Account Values (Raw)
  • Cash
    $51,760
  • Margin Used
    $0
  • Buying Power
    $51,760
  • Ratios
  • W:L ratio
    1.05:1
  • Sharpe Ratio
    -0.18
  • Sortino Ratio
    -0.25
  • Calmar Ratio
    0.083
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -25.36%
  • Correlation to SP500
    0.15040
  • Return Percent SP500 (cumu) during strategy life
    20.77%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -1.9%
  • Slump
  • Current Slump as Pcnt Equity
    19.00%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.86%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.019%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    46.50%
  • Chance of 20% account loss
    10.50%
  • Chance of 30% account loss
    0.50%
  • 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
    98.07%
  • 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
    $101
  • Avg Win
    $124
  • Sum Trade PL (losers)
    $45,216.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $47,314.000
  • # Winners
    382
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    446
  • % Winners
    46.1%
  • Frequency
  • Avg Position Time (mins)
    2228.65
  • Avg Position Time (hrs)
    37.14
  • Avg Trade Length
    1.5 days
  • Last Trade Ago
    583
  • Leverage
  • Daily leverage (average)
    0.39
  • Daily leverage (max)
    4.28
  • Regression
  • Alpha
    -0.01
  • Beta
    0.11
  • Treynor Index
    -0.07
  • 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)
    -0.35
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -12.422
  • 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
    0.561
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.190
  • Hold-and-Hope Ratio
    -0.080
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00090
  • SD
    0.11832
  • Sharpe ratio (Glass type estimate)
    -0.00764
  • Sharpe ratio (Hedges UMVUE)
    -0.00740
  • df
    24.00000
  • t
    -0.01103
  • p
    0.50435
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35033
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36530
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35051
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01091
  • Upside Potential Ratio
    1.35335
  • Upside part of mean
    0.11216
  • Downside part of mean
    -0.11306
  • Upside SD
    0.08106
  • Downside SD
    0.08288
  • N nonnegative terms
    5.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.04619
  • Mean of criterion
    -0.00090
  • SD of predictor
    0.20616
  • SD of criterion
    0.11832
  • Covariance
    0.01054
  • r
    0.43205
  • b (slope, estimate of beta)
    0.24795
  • a (intercept, estimate of alpha)
    -0.01236
  • Mean Square Error
    0.01188
  • DF error
    23.00000
  • t(b)
    2.29752
  • p(b)
    0.01551
  • t(a)
    -0.16327
  • p(a)
    0.56414
  • Lowerbound of 95% confidence interval for beta
    0.02470
  • Upperbound of 95% confidence interval for beta
    0.47121
  • Lowerbound of 95% confidence interval for alpha
    -0.16892
  • Upperbound of 95% confidence interval for alpha
    0.14420
  • Treynor index (mean / b)
    -0.00365
  • Jensen alpha (a)
    -0.01236
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00768
  • SD
    0.11931
  • Sharpe ratio (Glass type estimate)
    -0.06439
  • Sharpe ratio (Hedges UMVUE)
    -0.06235
  • df
    24.00000
  • t
    -0.09294
  • p
    0.53664
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29428
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29567
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.08846
  • Upside Potential Ratio
    1.25247
  • Upside part of mean
    0.10877
  • Downside part of mean
    -0.11645
  • Upside SD
    0.07829
  • Downside SD
    0.08684
  • N nonnegative terms
    5.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.02569
  • Mean of criterion
    -0.00768
  • SD of predictor
    0.20609
  • SD of criterion
    0.11931
  • Covariance
    0.01086
  • r
    0.44166
  • b (slope, estimate of beta)
    0.25568
  • a (intercept, estimate of alpha)
    -0.01425
  • Mean Square Error
    0.01196
  • DF error
    23.00000
  • t(b)
    2.36083
  • p(b)
    0.01354
  • t(a)
    -0.18798
  • p(a)
    0.57373
  • Lowerbound of 95% confidence interval for beta
    0.03164
  • Upperbound of 95% confidence interval for beta
    0.47972
  • Lowerbound of 95% confidence interval for alpha
    -0.17107
  • Upperbound of 95% confidence interval for alpha
    0.14257
  • Treynor index (mean / b)
    -0.03005
  • Jensen alpha (a)
    -0.01425
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05568
  • Expected Shortfall on VaR
    0.06910
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02870
  • Expected Shortfall on VaR
    0.05792
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.89423
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.08082
  • Mean of quarter 1
    0.97300
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04088
  • Inter Quartile Range
    0.00000
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.24000
  • Mean of outliers low
    0.96850
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.04906
  • 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)
    0.75180
  • VaR(95%) (regression method)
    0.03325
  • Expected Shortfall (regression method)
    0.17356
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00192
  • Quartile 1
    0.03550
  • Median
    0.06908
  • Quartile 3
    0.10266
  • Maximum
    0.13624
  • Mean of quarter 1
    0.00192
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13624
  • Inter Quartile Range
    0.06716
  • 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)
    0.02066
  • Compounded annual return (geometric extrapolation)
    0.02043
  • Calmar ratio (compounded annual return / max draw down)
    0.14996
  • Compounded annual return / average of 25% largest draw downs
    0.14996
  • Compounded annual return / Expected Shortfall lognormal
    0.29567
  • 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
    0.00194
  • SD
    0.14435
  • Sharpe ratio (Glass type estimate)
    0.01344
  • Sharpe ratio (Hedges UMVUE)
    0.01342
  • df
    561.00000
  • t
    0.01968
  • p
    0.49215
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32479
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35167
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32481
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35165
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02097
  • Upside Potential Ratio
    3.65833
  • Upside part of mean
    0.33841
  • Downside part of mean
    -0.33647
  • Upside SD
    0.11065
  • Downside SD
    0.09250
  • N nonnegative terms
    112.00000
  • N negative terms
    450.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    562.00000
  • Mean of predictor
    0.07910
  • Mean of criterion
    0.00194
  • SD of predictor
    0.19508
  • SD of criterion
    0.14435
  • Covariance
    0.00214
  • r
    0.07614
  • b (slope, estimate of beta)
    0.05634
  • a (intercept, estimate of alpha)
    -0.00300
  • Mean Square Error
    0.02075
  • DF error
    560.00000
  • t(b)
    1.80703
  • p(b)
    0.03565
  • t(a)
    -0.02558
  • p(a)
    0.51020
  • Lowerbound of 95% confidence interval for beta
    -0.00490
  • Upperbound of 95% confidence interval for beta
    0.11758
  • Lowerbound of 95% confidence interval for alpha
    -0.19578
  • Upperbound of 95% confidence interval for alpha
    0.19074
  • Treynor index (mean / b)
    0.03443
  • Jensen alpha (a)
    -0.00252
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00826
  • SD
    0.14242
  • Sharpe ratio (Glass type estimate)
    -0.05802
  • Sharpe ratio (Hedges UMVUE)
    -0.05795
  • df
    561.00000
  • t
    -0.08498
  • p
    0.53385
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39626
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28021
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39618
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28029
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.08621
  • Upside Potential Ratio
    3.47036
  • Upside part of mean
    0.33265
  • Downside part of mean
    -0.34092
  • Upside SD
    0.10516
  • Downside SD
    0.09586
  • N nonnegative terms
    112.00000
  • N negative terms
    450.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    562.00000
  • Mean of predictor
    0.06008
  • Mean of criterion
    -0.00826
  • SD of predictor
    0.19517
  • SD of criterion
    0.14242
  • Covariance
    0.00235
  • r
    0.08459
  • b (slope, estimate of beta)
    0.06173
  • a (intercept, estimate of alpha)
    -0.01197
  • Mean Square Error
    0.02017
  • DF error
    560.00000
  • t(b)
    2.00903
  • p(b)
    0.02251
  • t(a)
    -0.12343
  • p(a)
    0.54909
  • Lowerbound of 95% confidence interval for beta
    0.00138
  • Upperbound of 95% confidence interval for beta
    0.12208
  • Lowerbound of 95% confidence interval for alpha
    -0.20250
  • Upperbound of 95% confidence interval for alpha
    0.17855
  • Treynor index (mean / b)
    -0.13387
  • Jensen alpha (a)
    -0.01197
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01440
  • Expected Shortfall on VaR
    0.01801
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00388
  • Expected Shortfall on VaR
    0.00866
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    562.00000
  • Minimum
    0.90074
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.13953
  • Mean of quarter 1
    0.99522
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00523
  • Inter Quartile Range
    0.00000
  • Number outliers low
    115.00000
  • Percentage of outliers low
    0.20463
  • Mean of outliers low
    0.99414
  • Number of outliers high
    115.00000
  • Percentage of outliers high
    0.20463
  • Mean of outliers high
    1.00642
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50821
  • VaR(95%) (moments method)
    0.00343
  • Expected Shortfall (moments method)
    0.00888
  • 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
    8.00000
  • Minimum
    0.00231
  • Quartile 1
    0.00259
  • Median
    0.01643
  • Quartile 3
    0.04377
  • Maximum
    0.23832
  • Mean of quarter 1
    0.00237
  • Mean of quarter 2
    0.00301
  • Mean of quarter 3
    0.03346
  • Mean of quarter 4
    0.15054
  • Inter Quartile Range
    0.04118
  • 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
    0.12500
  • Mean of outliers high
    0.23832
  • 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)
    0.02006
  • Compounded annual return (geometric extrapolation)
    0.01984
  • Calmar ratio (compounded annual return / max draw down)
    0.08324
  • Compounded annual return / average of 25% largest draw downs
    0.13177
  • Compounded annual return / Expected Shortfall lognormal
    1.10137
  • 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
    -0.02769
  • SD
    0.02113
  • Sharpe ratio (Glass type estimate)
    -1.31033
  • Sharpe ratio (Hedges UMVUE)
    -1.30276
  • df
    130.00000
  • t
    -0.92654
  • p
    0.54050
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.08429
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.07908
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47357
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.82233
  • Upside Potential Ratio
    2.36484
  • Upside part of mean
    0.03593
  • Downside part of mean
    -0.06362
  • Upside SD
    0.01467
  • Downside SD
    0.01519
  • N nonnegative terms
    3.00000
  • N negative terms
    128.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31316
  • Mean of criterion
    -0.02769
  • SD of predictor
    0.13265
  • SD of criterion
    0.02113
  • Covariance
    -0.00016
  • r
    -0.05865
  • b (slope, estimate of beta)
    -0.00934
  • a (intercept, estimate of alpha)
    -0.02476
  • Mean Square Error
    0.00045
  • DF error
    129.00000
  • t(b)
    -0.66727
  • p(b)
    0.53732
  • t(a)
    -0.81815
  • p(a)
    0.54570
  • Lowerbound of 95% confidence interval for beta
    -0.03704
  • Upperbound of 95% confidence interval for beta
    0.01836
  • Lowerbound of 95% confidence interval for alpha
    -0.08464
  • Upperbound of 95% confidence interval for alpha
    0.03512
  • Treynor index (mean / b)
    2.96375
  • Jensen alpha (a)
    -0.02476
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.02113
  • Sharpe ratio (Glass type estimate)
    -1.32076
  • Sharpe ratio (Hedges UMVUE)
    -1.31312
  • df
    130.00000
  • t
    -0.93392
  • p
    0.54082
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.09467
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45811
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.08952
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46327
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.83141
  • Upside Potential Ratio
    2.35060
  • Upside part of mean
    0.03582
  • Downside part of mean
    -0.06373
  • Upside SD
    0.01462
  • Downside SD
    0.01524
  • N nonnegative terms
    3.00000
  • N negative terms
    128.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30423
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.13248
  • SD of criterion
    0.02113
  • Covariance
    -0.00017
  • r
    -0.05908
  • b (slope, estimate of beta)
    -0.00942
  • a (intercept, estimate of alpha)
    -0.02504
  • Mean Square Error
    0.00045
  • DF error
    129.00000
  • t(b)
    -0.67224
  • p(b)
    0.53759
  • t(a)
    -0.82786
  • p(a)
    0.54624
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.03716
  • Upperbound of 95% confidence interval for beta
    0.01831
  • Lowerbound of 95% confidence interval for alpha
    -0.08488
  • Upperbound of 95% confidence interval for alpha
    0.03480
  • Treynor index (mean / b)
    2.96154
  • Jensen alpha (a)
    -0.02504
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00225
  • Expected Shortfall on VaR
    0.00280
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00083
  • Expected Shortfall on VaR
    0.00180
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99394
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00609
  • Mean of quarter 1
    0.99945
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00055
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.99394
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.00609
  • 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
    3.00000
  • Minimum
    0.00606
  • Quartile 1
    0.00606
  • Median
    0.00606
  • Quartile 3
    0.00606
  • Maximum
    0.00606
  • Mean of quarter 1
    0.00606
  • Mean of quarter 2
    0.00606
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00606
  • 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
  • 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?
    -330472000
  • Max Equity Drawdown (num days)
    118
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Summary Statistics

Strategy began
2021-10-12
Suggested Minimum Capital
$15,000
# Trades
828
# Profitable
382
% Profitable
46.1%
Correlation S&P500
0.150
Sharpe Ratio
-0.18
Sortino Ratio
-0.25
Beta
0.11
Alpha
-0.01
Leverage
0.39 Average
4.28 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.