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

Brands With Momentum
(96866107)

Created by: Kashunut Kashunut
Started: 08/2015
Stocks
Last trade: 519 days ago
Trading style: Equity Momentum Event-driven
Subscriptions not currently available.

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 $99.00 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).
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
32.1%
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.

(45.2%)
Max Drawdown
132
Num Trades
54.5%
Win Trades
13.1 : 1
Profit Factor
65.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                 +4.7%(5.9%)+3.7%(1.1%)(4.2%)(3.1%)
2016(16.4%)(7.9%)+12.6%  -  +7.7%+0.9%+12.4%(0.4%)+2.3%(2.4%)(9.6%)+0.3%(4.5%)
2017+9.1%+8.0%+6.3%+6.1%+7.6%(3%)+1.8%(1.2%)+2.6%+12.1%+7.0%(0.9%)+70.0%
2018+18.6%+2.8%(5.1%)+4.7%+10.0%+3.5%+1.4%+9.6%+4.5%(16%)(3.9%)(15.3%)+9.7%
2019+10.8%+7.8%+7.8%+8.7%(2.6%)+0.7%+2.0%(3.9%)(0.6%)+7.7%+5.5%+4.2%+58.6%
2020+11.4%(6.6%)(5.5%)+19.8%+8.8%+10.7%+13.7%+22.3%(11.6%)+7.5%+0.8%+6.8%+101.8%
2021+3.4%(5.3%)+7.8%+4.1%(5.9%)+16.2%(0.2%)+4.5%(5.3%)+7.9%+5.6%+3.2%+39.5%
2022(19.9%)+5.6%+10.7%(19.4%)(8.4%)(12.8%)+19.5%+4.6%(18.4%)(4.5%)+9.5%(13.4%)(44.3%)
2023+22.7%+0.7%+11.2%+2.6%+14.6%+8.4%+2.1%(2%)(3.6%)(2.9%)+18.7%+7.0%+108.6%
2024+8.6%+11.8%+1.1%                                                      +22.7%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/27/21 12:51 TWTR TWITTER INC LONG 40 68.21 10/27/22 9:30 53.70 0.96%
Trade id #136699566
Max drawdown($1,476)
Time2/24/22 0:00
Quant open40
Worst price31.30
Drawdown as % of equity-0.96%
($581)
Includes Typical Broker Commissions trade costs of $0.80
3/25/21 9:30 MO ALTRIA LONG 30 48.68 7/27 12:54 47.81 0.05%
Trade id #134856763
Max drawdown($78)
Time4/20/21 0:00
Quant open20
Worst price45.16
Drawdown as % of equity-0.05%
($27)
Includes Typical Broker Commissions trade costs of $0.60
3/19/21 9:30 TCEHY TENCENT HOLDINGS ADR LONG 60 68.17 7/27 12:50 56.70 0.45%
Trade id #134729325
Max drawdown($725)
Time7/27/21 12:42
Quant open60
Worst price56.08
Drawdown as % of equity-0.45%
($689)
Includes Typical Broker Commissions trade costs of $1.20
3/25/21 9:30 JNJ JOHNSON & JOHNSON LONG 10 162.44 7/27 12:46 172.35 0.04%
Trade id #134856719
Max drawdown($59)
Time4/13/21 0:00
Quant open10
Worst price156.53
Drawdown as % of equity-0.04%
$99
Includes Typical Broker Commissions trade costs of $0.20
3/19/21 9:30 LOGI LOGITECH INTERNATIONAL LONG 20 101.23 7/27 12:41 108.30 0.04%
Trade id #134729269
Max drawdown($53)
Time5/13/21 0:00
Quant open20
Worst price98.55
Drawdown as % of equity-0.04%
$141
Includes Typical Broker Commissions trade costs of $0.40
3/25/21 9:30 PM PHILIP MORRIS LONG 20 88.51 7/27 12:32 100.12 0.02%
Trade id #134856771
Max drawdown($23)
Time4/1/21 0:00
Quant open20
Worst price87.33
Drawdown as % of equity-0.02%
$232
Includes Typical Broker Commissions trade costs of $0.40
3/25/21 9:30 AMC AMC ENTERTAINMENT HOLDINGS INC LONG 100 8.96 7/27 12:31 38.16 0.04%
Trade id #134856732
Max drawdown($64)
Time4/13/21 0:00
Quant open100
Worst price8.31
Drawdown as % of equity-0.04%
$2,918
Includes Typical Broker Commissions trade costs of $2.00
3/25/21 9:30 ZEN ZENDESK INC LONG 10 126.74 7/27 12:30 147.47 0.01%
Trade id #134856702
Max drawdown($15)
Time3/29/21 0:00
Quant open10
Worst price125.18
Drawdown as % of equity-0.01%
$207
Includes Typical Broker Commissions trade costs of $0.20
3/19/21 9:30 VIAC VIACOMCBS INC CLASS B LONG 20 81.22 7/27 12:28 41.04 0.6%
Trade id #134729309
Max drawdown($878)
Time4/20/21 0:00
Quant open20
Worst price37.33
Drawdown as % of equity-0.60%
($804)
Includes Typical Broker Commissions trade costs of $0.40
3/25/21 9:30 JACK JACK IN THE BOX LONG 10 107.80 7/27 12:26 109.77 0.04%
Trade id #134856747
Max drawdown($65)
Time7/19/21 0:00
Quant open10
Worst price101.26
Drawdown as % of equity-0.04%
$20
Includes Typical Broker Commissions trade costs of $0.20
3/19/21 9:30 CMG CHIPOTLE MEXICAN GRILL LONG 2 1437.96 7/27 12:26 1815.02 0.21%
Trade id #134729270
Max drawdown($285)
Time5/19/21 0:00
Quant open2
Worst price1295.10
Drawdown as % of equity-0.21%
$754
Includes Typical Broker Commissions trade costs of $0.04
3/19/21 9:30 OKTA OKTA INC. CL A COMMON STOCK LONG 5 210.15 7/27 12:24 247.00 0.01%
Trade id #134729297
Max drawdown($18)
Time3/26/21 0:00
Quant open5
Worst price206.53
Drawdown as % of equity-0.01%
$184
Includes Typical Broker Commissions trade costs of $0.10
3/19/21 9:32 KSS KOHL'S LONG 20 60.00 7/27 12:24 49.60 0.16%
Trade id #134729662
Max drawdown($268)
Time7/19/21 0:00
Quant open20
Worst price46.56
Drawdown as % of equity-0.16%
($208)
Includes Typical Broker Commissions trade costs of $0.40
3/25/21 9:30 GRWG GROWGENERATION CORP. COMMON STOCK LONG 20 44.53 7/27 12:24 38.15 0.15%
Trade id #134856723
Max drawdown($212)
Time5/13/21 0:00
Quant open20
Worst price33.91
Drawdown as % of equity-0.15%
($128)
Includes Typical Broker Commissions trade costs of $0.40
3/25/21 9:30 DE DEERE LONG 5 357.27 7/27 12:23 351.07 0.12%
Trade id #134856726
Max drawdown($176)
Time6/17/21 0:00
Quant open5
Worst price321.90
Drawdown as % of equity-0.12%
($31)
Includes Typical Broker Commissions trade costs of $0.10
3/25/21 9:30 CAT CATERPILLAR LONG 5 219.23 7/27 12:23 208.48 0.06%
Trade id #134856737
Max drawdown($100)
Time7/19/21 0:00
Quant open5
Worst price199.23
Drawdown as % of equity-0.06%
($54)
Includes Typical Broker Commissions trade costs of $0.10
3/19/21 9:30 ULTA ULTA BEAUTY INC LONG 3 305.81 7/27 12:20 332.65 0.02%
Trade id #134729342
Max drawdown($22)
Time3/25/21 0:00
Quant open1
Worst price297.29
Drawdown as % of equity-0.02%
$81
Includes Typical Broker Commissions trade costs of $0.06
3/25/21 9:30 FIVE FIVE BELOW INC LONG 5 188.68 7/27 12:18 189.22 0.05%
Trade id #134856705
Max drawdown($68)
Time6/3/21 0:00
Quant open5
Worst price174.95
Drawdown as % of equity-0.05%
$3
Includes Typical Broker Commissions trade costs of $0.10
3/19/21 9:30 YELP YELP LONG 30 41.44 7/27 12:17 37.74 0.1%
Trade id #134729330
Max drawdown($184)
Time7/20/21 0:00
Quant open30
Worst price35.30
Drawdown as % of equity-0.10%
($112)
Includes Typical Broker Commissions trade costs of $0.60
3/19/21 9:30 LUV SOUTHWEST AIRLINES LONG 20 60.65 7/27 12:15 50.82 0.16%
Trade id #134729304
Max drawdown($265)
Time7/19/21 0:00
Quant open20
Worst price47.37
Drawdown as % of equity-0.16%
($197)
Includes Typical Broker Commissions trade costs of $0.40
3/19/21 9:30 IBM INTERNATIONAL BUSINESS MACHINES LONG 20 130.02 7/27 12:15 142.20 0.03%
Trade id #134729286
Max drawdown($42)
Time3/22/21 0:00
Quant open20
Worst price127.89
Drawdown as % of equity-0.03%
$244
Includes Typical Broker Commissions trade costs of $0.40
3/19/21 9:30 PTON PELOTON INTERACTIVE INC. CLASS A LONG 15 101.99 7/27 12:15 118.30 0.22%
Trade id #134729294
Max drawdown($322)
Time5/6/21 0:00
Quant open15
Worst price80.48
Drawdown as % of equity-0.22%
$245
Includes Typical Broker Commissions trade costs of $0.30
5/3/17 9:30 SHW SHERWIN-WILLIAMS LONG 30 112.01 7/27/21 12:13 263.46 0.13%
Trade id #111381236
Max drawdown($38)
Time5/3/17 10:53
Quant open30
Worst price110.72
Drawdown as % of equity-0.13%
$4,542
Includes Typical Broker Commissions trade costs of $0.60
3/19/21 9:30 SE SEA LTD ADS LONG 5 211.74 7/27 12:12 264.00 0.09%
Trade id #134729252
Max drawdown($110)
Time3/25/21 0:00
Quant open5
Worst price189.61
Drawdown as % of equity-0.09%
$261
Includes Typical Broker Commissions trade costs of $0.10
3/19/21 9:30 NXPI NXP SEMICONDUCTOR LONG 10 189.50 7/27 12:12 191.70 0.06%
Trade id #134729273
Max drawdown($77)
Time5/12/21 0:00
Quant open10
Worst price181.72
Drawdown as % of equity-0.06%
$22
Includes Typical Broker Commissions trade costs of $0.20
3/19/21 9:30 WSM WILLIAMS-SONOMA LONG 10 162.45 7/27 12:11 152.09 0.08%
Trade id #134729288
Max drawdown($124)
Time6/18/21 0:00
Quant open10
Worst price150.02
Drawdown as % of equity-0.08%
($104)
Includes Typical Broker Commissions trade costs of $0.20
3/19/21 9:30 BBBY BED BATH & BEYOND LONG 100 30.52 7/27 12:11 28.56 0.56%
Trade id #134729271
Max drawdown($767)
Time5/13/21 0:00
Quant open100
Worst price22.85
Drawdown as % of equity-0.56%
($198)
Includes Typical Broker Commissions trade costs of $2.00
5/2/17 9:30 NFLX NETFLIX LONG 10 155.76 3/25/21 9:30 510.98 0.35%
Trade id #111360399
Max drawdown($115)
Time7/6/17 0:00
Quant open10
Worst price144.25
Drawdown as % of equity-0.35%
$3,552
Includes Typical Broker Commissions trade costs of $0.20
5/3/17 9:30 BIDU BAIDU LONG 5 179.01 3/19/21 9:30 263.00 0.67%
Trade id #111381264
Max drawdown($485)
Time3/18/20 0:00
Quant open5
Worst price82.00
Drawdown as % of equity-0.67%
$420
Includes Typical Broker Commissions trade costs of $0.10
5/17/16 9:30 TSLA TESLA INC. LONG 50 41.81 3/19/21 9:30 357.47 1.3%
Trade id #102387369
Max drawdown($308)
Time11/14/16 0:00
Quant open50
Worst price35.64
Drawdown as % of equity-1.30%
$15,782
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    8/26/2015
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3136.07
  • Age
    105 months ago
  • What it trades
    Stocks
  • # Trades
    132
  • # Profitable
    72
  • % Profitable
    54.50%
  • Avg trade duration
    376.6 days
  • Max peak-to-valley drawdown
    45.16%
  • drawdown period
    July 19, 2021 - Dec 29, 2022
  • Annual Return (Compounded)
    32.1%
  • Avg win
    $3,697
  • Avg loss
    $358.42
  • Model Account Values (Raw)
  • Cash
    $7,986
  • Margin Used
    $0
  • Buying Power
    $228,430
  • Ratios
  • W:L ratio
    13.13:1
  • Sharpe Ratio
    0.85
  • Sortino Ratio
    1.28
  • Calmar Ratio
    3.274
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    827.71%
  • Correlation to SP500
    0.68650
  • Return Percent SP500 (cumu) during strategy life
    170.77%
  • Return Statistics
  • Ann Return (w trading costs)
    32.1%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    0.321%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    32.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.00%
  • Chance of 20% account loss
    18.00%
  • Chance of 30% account loss
    6.00%
  • Chance of 40% account loss
    1.50%
  • 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
    n/a
  • 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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $363
  • Avg Win
    $3,698
  • Sum Trade PL (losers)
    $21,759.000
  • Age
  • Num Months filled monthly returns table
    104
  • Win / Loss
  • Sum Trade PL (winners)
    $266,235.000
  • # Winners
    72
  • Num Months Winners
    69
  • Dividends
  • Dividends Received in Model Acct
    8051
  • Win / Loss
  • # Losers
    60
  • % Winners
    54.5%
  • Frequency
  • Avg Position Time (mins)
    958251.00
  • Avg Position Time (hrs)
    15970.80
  • Avg Trade Length
    665.5 days
  • Last Trade Ago
    517
  • Leverage
  • Daily leverage (average)
    1.05
  • Daily leverage (max)
    2.18
  • Regression
  • Alpha
    0.05
  • Beta
    1.25
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.82
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    35.56
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.28
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.268
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.090
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.531
  • Hold-and-Hope Ratio
    4.242
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.12933
  • SD
    0.76123
  • Sharpe ratio (Glass type estimate)
    1.48355
  • Sharpe ratio (Hedges UMVUE)
    1.44731
  • df
    31.00000
  • t
    2.42262
  • p
    0.01072
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21734
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72796
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19418
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70044
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.00306
  • Upside Potential Ratio
    5.33013
  • Upside part of mean
    1.50371
  • Downside part of mean
    -0.37439
  • Upside SD
    0.76685
  • Downside SD
    0.28212
  • N nonnegative terms
    23.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.36956
  • Mean of criterion
    1.12933
  • SD of predictor
    0.23614
  • SD of criterion
    0.76123
  • Covariance
    0.13253
  • r
    0.73730
  • b (slope, estimate of beta)
    2.37684
  • a (intercept, estimate of alpha)
    0.25093
  • Mean Square Error
    0.27328
  • DF error
    30.00000
  • t(b)
    5.97778
  • p(b)
    0.00000
  • t(a)
    0.71238
  • p(a)
    0.24087
  • Lowerbound of 95% confidence interval for beta
    1.56480
  • Upperbound of 95% confidence interval for beta
    3.18887
  • Lowerbound of 95% confidence interval for alpha
    -0.46844
  • Upperbound of 95% confidence interval for alpha
    0.97030
  • Treynor index (mean / b)
    0.47514
  • Jensen alpha (a)
    0.25093
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.86218
  • SD
    0.65766
  • Sharpe ratio (Glass type estimate)
    1.31098
  • Sharpe ratio (Hedges UMVUE)
    1.27896
  • df
    31.00000
  • t
    2.14082
  • p
    0.02013
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05770
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54464
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03723
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52069
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61199
  • Upside Potential Ratio
    3.89176
  • Upside part of mean
    1.28461
  • Downside part of mean
    -0.42243
  • Upside SD
    0.60991
  • Downside SD
    0.33009
  • N nonnegative terms
    23.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.33807
  • Mean of criterion
    0.86218
  • SD of predictor
    0.22734
  • SD of criterion
    0.65766
  • Covariance
    0.11847
  • r
    0.79239
  • b (slope, estimate of beta)
    2.29228
  • a (intercept, estimate of alpha)
    0.08723
  • Mean Square Error
    0.16631
  • DF error
    30.00000
  • t(b)
    7.11482
  • p(b)
    0.00000
  • t(a)
    0.32018
  • p(a)
    0.37553
  • Lowerbound of 95% confidence interval for beta
    1.63429
  • Upperbound of 95% confidence interval for beta
    2.95027
  • Lowerbound of 95% confidence interval for alpha
    -0.46919
  • Upperbound of 95% confidence interval for alpha
    0.64366
  • Treynor index (mean / b)
    0.37612
  • Jensen alpha (a)
    0.08723
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21371
  • Expected Shortfall on VaR
    0.27193
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04612
  • Expected Shortfall on VaR
    0.10990
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.65573
  • Quartile 1
    0.99231
  • Median
    1.06853
  • Quartile 3
    1.13265
  • Maximum
    1.78868
  • Mean of quarter 1
    0.87842
  • Mean of quarter 2
    1.03115
  • Mean of quarter 3
    1.11584
  • Mean of quarter 4
    1.36035
  • Inter Quartile Range
    0.14034
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03125
  • Mean of outliers low
    0.65573
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.55152
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17903
  • VaR(95%) (moments method)
    0.06598
  • Expected Shortfall (moments method)
    0.11245
  • Extreme Value Index (regression method)
    0.28151
  • VaR(95%) (regression method)
    0.17141
  • Expected Shortfall (regression method)
    0.34057
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00475
  • Quartile 1
    0.02567
  • Median
    0.09142
  • Quartile 3
    0.27873
  • Maximum
    0.37298
  • Mean of quarter 1
    0.01063
  • Mean of quarter 2
    0.05317
  • Mean of quarter 3
    0.12967
  • Mean of quarter 4
    0.35070
  • Inter Quartile Range
    0.25306
  • 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)
    3.65086
  • Compounded annual return (geometric extrapolation)
    1.43534
  • Calmar ratio (compounded annual return / max draw down)
    3.84830
  • Compounded annual return / average of 25% largest draw downs
    4.09283
  • Compounded annual return / Expected Shortfall lognormal
    5.27841
  • 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
    1.02376
  • SD
    0.55666
  • Sharpe ratio (Glass type estimate)
    1.83911
  • Sharpe ratio (Hedges UMVUE)
    1.83713
  • df
    699.00000
  • t
    3.00611
  • p
    0.00137
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63552
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04142
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63419
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04008
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86320
  • Upside Potential Ratio
    9.30083
  • Upside part of mean
    3.32558
  • Downside part of mean
    -2.30183
  • Upside SD
    0.43079
  • Downside SD
    0.35756
  • N nonnegative terms
    404.00000
  • N negative terms
    296.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    700.00000
  • Mean of predictor
    0.39606
  • Mean of criterion
    1.02376
  • SD of predictor
    0.31482
  • SD of criterion
    0.55666
  • Covariance
    0.12278
  • r
    0.70061
  • b (slope, estimate of beta)
    1.23881
  • a (intercept, estimate of alpha)
    0.53300
  • Mean Square Error
    0.15800
  • DF error
    698.00000
  • t(b)
    25.94050
  • p(b)
    0.00000
  • t(a)
    2.18567
  • p(a)
    0.01459
  • Lowerbound of 95% confidence interval for beta
    1.14505
  • Upperbound of 95% confidence interval for beta
    1.33257
  • Lowerbound of 95% confidence interval for alpha
    0.05422
  • Upperbound of 95% confidence interval for alpha
    1.01201
  • Treynor index (mean / b)
    0.82640
  • Jensen alpha (a)
    0.53312
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.86720
  • SD
    0.55765
  • Sharpe ratio (Glass type estimate)
    1.55509
  • Sharpe ratio (Hedges UMVUE)
    1.55342
  • df
    699.00000
  • t
    2.54188
  • p
    0.00562
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35270
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75640
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35158
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75527
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29206
  • Upside Potential Ratio
    8.55733
  • Upside part of mean
    3.23765
  • Downside part of mean
    -2.37045
  • Upside SD
    0.41262
  • Downside SD
    0.37835
  • N nonnegative terms
    404.00000
  • N negative terms
    296.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    700.00000
  • Mean of predictor
    0.34261
  • Mean of criterion
    0.86720
  • SD of predictor
    0.33293
  • SD of criterion
    0.55765
  • Covariance
    0.13093
  • r
    0.70520
  • b (slope, estimate of beta)
    1.18117
  • a (intercept, estimate of alpha)
    0.46251
  • Mean Square Error
    0.15655
  • DF error
    698.00000
  • t(b)
    26.27740
  • p(b)
    0.00000
  • t(a)
    1.90686
  • p(a)
    0.02847
  • Lowerbound of 95% confidence interval for beta
    1.09291
  • Upperbound of 95% confidence interval for beta
    1.26942
  • Lowerbound of 95% confidence interval for alpha
    -0.01371
  • Upperbound of 95% confidence interval for alpha
    0.93873
  • Treynor index (mean / b)
    0.73419
  • Jensen alpha (a)
    0.46251
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05196
  • Expected Shortfall on VaR
    0.06543
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01773
  • Expected Shortfall on VaR
    0.03864
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    700.00000
  • Minimum
    0.75923
  • Quartile 1
    0.99206
  • Median
    1.00323
  • Quartile 3
    1.01526
  • Maximum
    1.17342
  • Mean of quarter 1
    0.96744
  • Mean of quarter 2
    0.99814
  • Mean of quarter 3
    1.00796
  • Mean of quarter 4
    1.04251
  • Inter Quartile Range
    0.02320
  • Number outliers low
    39.00000
  • Percentage of outliers low
    0.05571
  • Mean of outliers low
    0.92626
  • Number of outliers high
    46.00000
  • Percentage of outliers high
    0.06571
  • Mean of outliers high
    1.08430
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28091
  • VaR(95%) (moments method)
    0.02643
  • Expected Shortfall (moments method)
    0.04633
  • Extreme Value Index (regression method)
    0.21785
  • VaR(95%) (regression method)
    0.02828
  • Expected Shortfall (regression method)
    0.04742
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    42.00000
  • Minimum
    0.00028
  • Quartile 1
    0.00769
  • Median
    0.03655
  • Quartile 3
    0.08009
  • Maximum
    0.44211
  • Mean of quarter 1
    0.00343
  • Mean of quarter 2
    0.02081
  • Mean of quarter 3
    0.05709
  • Mean of quarter 4
    0.19706
  • Inter Quartile Range
    0.07240
  • 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
    0.09524
  • Mean of outliers high
    0.33321
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14141
  • VaR(95%) (moments method)
    0.19628
  • Expected Shortfall (moments method)
    0.29062
  • Extreme Value Index (regression method)
    0.39525
  • VaR(95%) (regression method)
    0.21909
  • Expected Shortfall (regression method)
    0.40637
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.71661
  • Compounded annual return (geometric extrapolation)
    1.44759
  • Calmar ratio (compounded annual return / max draw down)
    3.27432
  • Compounded annual return / average of 25% largest draw downs
    7.34588
  • Compounded annual return / Expected Shortfall lognormal
    22.12300
  • 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
    1.24329
  • SD
    0.82655
  • Sharpe ratio (Glass type estimate)
    1.50418
  • Sharpe ratio (Hedges UMVUE)
    1.49549
  • df
    130.00000
  • t
    1.06362
  • p
    0.45356
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27643
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27923
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28227
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27325
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25139
  • Upside Potential Ratio
    9.66107
  • Upside part of mean
    5.33514
  • Downside part of mean
    -4.09185
  • Upside SD
    0.61556
  • Downside SD
    0.55223
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.39669
  • Mean of criterion
    1.24329
  • SD of predictor
    0.38817
  • SD of criterion
    0.82655
  • Covariance
    0.23665
  • r
    0.73760
  • b (slope, estimate of beta)
    1.57060
  • a (intercept, estimate of alpha)
    0.62025
  • Mean Square Error
    0.31392
  • DF error
    129.00000
  • t(b)
    12.40660
  • p(b)
    0.07742
  • t(a)
    0.78122
  • p(a)
    0.45635
  • Lowerbound of 95% confidence interval for beta
    1.32014
  • Upperbound of 95% confidence interval for beta
    1.82107
  • Lowerbound of 95% confidence interval for alpha
    -0.95060
  • Upperbound of 95% confidence interval for alpha
    2.19110
  • Treynor index (mean / b)
    0.79160
  • Jensen alpha (a)
    0.62025
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90156
  • SD
    0.82839
  • Sharpe ratio (Glass type estimate)
    1.08833
  • Sharpe ratio (Hedges UMVUE)
    1.08204
  • df
    130.00000
  • t
    0.76957
  • p
    0.46633
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.68869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.86124
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69289
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85696
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55238
  • Upside Potential Ratio
    8.87803
  • Upside part of mean
    5.15601
  • Downside part of mean
    -4.25445
  • Upside SD
    0.58890
  • Downside SD
    0.58076
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32167
  • Mean of criterion
    0.90156
  • SD of predictor
    0.38823
  • SD of criterion
    0.82839
  • Covariance
    0.23836
  • r
    0.74115
  • b (slope, estimate of beta)
    1.58141
  • a (intercept, estimate of alpha)
    0.39287
  • Mean Square Error
    0.31167
  • DF error
    129.00000
  • t(b)
    12.53890
  • p(b)
    0.07590
  • t(a)
    0.49695
  • p(a)
    0.47218
  • VAR (95 Confidence Intrvl)
    0.05200
  • Lowerbound of 95% confidence interval for beta
    1.33188
  • Upperbound of 95% confidence interval for beta
    1.83095
  • Lowerbound of 95% confidence interval for alpha
    -1.17129
  • Upperbound of 95% confidence interval for alpha
    1.95703
  • Treynor index (mean / b)
    0.57010
  • Jensen alpha (a)
    0.39287
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07757
  • Expected Shortfall on VaR
    0.09692
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03378
  • Expected Shortfall on VaR
    0.06903
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86862
  • Quartile 1
    0.98477
  • Median
    1.00190
  • Quartile 3
    1.02959
  • Maximum
    1.13512
  • Mean of quarter 1
    0.94193
  • Mean of quarter 2
    0.99643
  • Mean of quarter 3
    1.01417
  • Mean of quarter 4
    1.06715
  • Inter Quartile Range
    0.04482
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.88375
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.12071
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.27856
  • VaR(95%) (moments method)
    0.04556
  • Expected Shortfall (moments method)
    0.05728
  • Extreme Value Index (regression method)
    -0.49868
  • VaR(95%) (regression method)
    0.05424
  • Expected Shortfall (regression method)
    0.06466
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00142
  • Quartile 1
    0.01431
  • Median
    0.04553
  • Quartile 3
    0.09966
  • Maximum
    0.44211
  • Mean of quarter 1
    0.00443
  • Mean of quarter 2
    0.03493
  • Mean of quarter 3
    0.05613
  • Mean of quarter 4
    0.27814
  • Inter Quartile Range
    0.08535
  • 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
    0.44211
  • 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?
    -525582000
  • Max Equity Drawdown (num days)
    528
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.18318
  • Compounded annual return (geometric extrapolation)
    1.53315
  • Calmar ratio (compounded annual return / max draw down)
    3.46785
  • Compounded annual return / average of 25% largest draw downs
    5.51221
  • Compounded annual return / Expected Shortfall lognormal
    15.81860

Strategy Description

Buy the best brands in the world, and buy and hold as long as they have momentum, then switch into other top growth brands. A combination of momentum trading sector optimization fundamentally good stock picking. Goal is to generate 20% to 40% annualized return over the long term.

Summary Statistics

Strategy began
2015-08-26
Suggested Minimum Capital
$15,000
# Trades
132
# Profitable
72
% Profitable
54.5%
Net Dividends
Correlation S&P500
0.686
Sharpe Ratio
0.85
Sortino Ratio
1.28
Beta
1.25
Alpha
0.05
Leverage
1.05 Average
2.18 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.