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Stock dow
(121637339)

Created by: Colin Colin
Started: 12/2018
Stocks, Futures
Last trade: 63 days ago
Trading style: Equity Trend-following

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 $150.00 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
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.
76.9%
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.

(21.3%)
Max Drawdown
691
Num Trades
64.3%
Win Trades
1.8 : 1
Profit Factor
72.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             +1.3%+1.3%
2019+3.5%+19.1%+34.2%+27.0%(5.9%)+24.4%+5.6%+6.4%+2.2%(2.9%)(0.9%)+0.6%+173.6%
2020+1.5%+1.6%+1.0%+1.5%+0.6%(8%)+6.8%+1.0%+0.6%+19.7%(0.3%)(0.3%)+26.3%
2021+10.2%+16.6%(20.3%)  -                                                  

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 one hour.

Trading Record

This strategy has placed 850 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 83 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/3/21 11:34 YINN DIREXION DAILY FTSE CHINA BULL LONG 5,000 24.67 3/4 10:05 22.41 14.42%
Trade id #134391696
Max drawdown($11,352)
Time3/4/21 10:05
Quant open5,000
Worst price22.40
Drawdown as % of equity-14.42%
($11,305)
Includes Typical Broker Commissions trade costs of $5.00
1/12/21 10:08 PFE PFIZER LONG 600 37.09 3/4 10:05 35.98 0.85%
Trade id #133326771
Max drawdown($690)
Time1/21/21 0:00
Quant open500
Worst price36.15
Drawdown as % of equity-0.85%
($678)
Includes Typical Broker Commissions trade costs of $12.00
3/3/21 9:43 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 9,000 14.22 3/3 11:33 14.15 1.79%
Trade id #134386617
Max drawdown($1,555)
Time3/3/21 9:52
Quant open9,000
Worst price14.05
Drawdown as % of equity-1.79%
($668)
Includes Typical Broker Commissions trade costs of $12.50
2/19/21 9:50 BABA ALIBABA GROUP HOLDING LIMITED LONG 1,200 249.89 3/3 11:32 241.15 8.76%
Trade id #134158977
Max drawdown($7,824)
Time3/2/21 0:00
Quant open501
Worst price234.27
Drawdown as % of equity-8.76%
($10,510)
Includes Typical Broker Commissions trade costs of $19.51
2/25/21 13:06 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 10,000 14.19 3/1 9:45 13.78 4.49%
Trade id #134286389
Max drawdown($4,200)
Time3/1/21 9:35
Quant open10,000
Worst price13.77
Drawdown as % of equity-4.49%
($4,118)
Includes Typical Broker Commissions trade costs of $17.50
2/25/21 12:00 @RTYH1 Russell 2000 CME SHORT 10 2236.00 2/25 13:05 2202.70 2.45%
Trade id #134283779
Max drawdown($2,000)
Time2/25/21 12:16
Quant open10
Worst price2240.00
Drawdown as % of equity-2.45%
$16,570
Includes Typical Broker Commissions trade costs of $80.00
2/24/21 13:23 UPRO PROSHARES ULTRAPRO S&P500 LONG 500 86.99 2/25 9:35 87.23 0.31%
Trade id #134260245
Max drawdown($255)
Time2/25/21 0:00
Quant open500
Worst price86.48
Drawdown as % of equity-0.31%
$110
Includes Typical Broker Commissions trade costs of $10.00
2/19/21 9:53 IQ IQIYI INC. AMERICAN DEPOSITARY SHARES LONG 1,000 24.55 2/24 11:29 24.31 1.58%
Trade id #134159203
Max drawdown($1,290)
Time2/23/21 0:00
Quant open500
Worst price22.29
Drawdown as % of equity-1.58%
($253)
Includes Typical Broker Commissions trade costs of $12.50
2/19/21 9:51 SINA SINA LONG 500 43.40 2/23 10:15 43.40 0.09%
Trade id #134159159
Max drawdown($75)
Time2/19/21 10:22
Quant open500
Worst price43.25
Drawdown as % of equity-0.09%
($10)
Includes Typical Broker Commissions trade costs of $10.00
2/19/21 9:52 GE GENERAL ELECTRIC LONG 1,000 11.90 2/23 10:15 12.52 0.07%
Trade id #134159181
Max drawdown($60)
Time2/19/21 10:04
Quant open1,000
Worst price11.84
Drawdown as % of equity-0.07%
$615
Includes Typical Broker Commissions trade costs of $5.00
2/11/21 15:31 YINN DIREXION DAILY FTSE CHINA BULL LONG 100 30.36 2/16 11:26 30.57 0.08%
Trade id #134018516
Max drawdown($63)
Time2/12/21 0:00
Quant open100
Worst price29.72
Drawdown as % of equity-0.08%
$19
Includes Typical Broker Commissions trade costs of $2.00
2/11/21 15:31 BABA ALIBABA GROUP HOLDING LIMITED LONG 100 270.24 2/16 11:26 272.60 0.54%
Trade id #134018523
Max drawdown($455)
Time2/12/21 0:00
Quant open100
Worst price265.68
Drawdown as % of equity-0.54%
$235
Includes Typical Broker Commissions trade costs of $2.00
2/10/21 12:56 BABA ALIBABA GROUP HOLDING LIMITED LONG 200 267.81 2/11 14:27 271.24 0.17%
Trade id #133974038
Max drawdown($136)
Time2/10/21 13:15
Quant open200
Worst price267.12
Drawdown as % of equity-0.17%
$682
Includes Typical Broker Commissions trade costs of $4.00
2/10/21 12:55 YINN DIREXION DAILY FTSE CHINA BULL LONG 500 28.78 2/11 14:27 30.19 0.02%
Trade id #133974014
Max drawdown($14)
Time2/10/21 13:11
Quant open500
Worst price28.75
Drawdown as % of equity-0.02%
$696
Includes Typical Broker Commissions trade costs of $10.00
1/26/21 9:31 YINN DIREXION DAILY FTSE CHINA BULL LONG 1,500 27.39 2/10 10:34 27.75 1.84%
Trade id #133595438
Max drawdown($1,520)
Time1/27/21 0:00
Quant open500
Worst price25.40
Drawdown as % of equity-1.84%
$514
Includes Typical Broker Commissions trade costs of $22.49
2/2/21 9:30 BABA ALIBABA GROUP HOLDING LIMITED LONG 100 264.54 2/10 10:34 266.38 1.32%
Trade id #133790984
Max drawdown($1,050)
Time2/2/21 15:59
Quant open100
Worst price254.04
Drawdown as % of equity-1.32%
$182
Includes Typical Broker Commissions trade costs of $2.00
2/2/21 9:30 WDC WESTERN DIGITAL LONG 200 60.12 2/10 9:30 62.14 0.18%
Trade id #133790980
Max drawdown($141)
Time2/3/21 0:00
Quant open100
Worst price57.22
Drawdown as % of equity-0.18%
$399
Includes Typical Broker Commissions trade costs of $4.00
2/2/21 9:30 AMRN AMARIN LONG 500 8.17 2/8 11:37 8.19 0.14%
Trade id #133790990
Max drawdown($109)
Time2/2/21 9:34
Quant open500
Worst price7.95
Drawdown as % of equity-0.14%
$2
Includes Typical Broker Commissions trade costs of $10.00
1/11/21 14:17 YINN DIREXION DAILY FTSE CHINA BULL LONG 1,000 22.00 1/25 11:05 28.99 0.36%
Trade id #133310587
Max drawdown($270)
Time1/11/21 15:59
Quant open1,000
Worst price21.73
Drawdown as % of equity-0.36%
$6,985
Includes Typical Broker Commissions trade costs of $5.00
1/5/21 14:17 UPRO PROSHARES ULTRAPRO S&P500 LONG 500 75.69 1/11 14:16 79.89 1.23%
Trade id #133189119
Max drawdown($910)
Time1/6/21 0:00
Quant open500
Worst price73.87
Drawdown as % of equity-1.23%
$2,090
Includes Typical Broker Commissions trade costs of $10.00
1/4/21 11:05 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 10,000 6.16 1/4 12:04 6.24 0.45%
Trade id #133158879
Max drawdown($330)
Time1/4/21 11:19
Quant open10,000
Worst price6.12
Drawdown as % of equity-0.45%
$813
Includes Typical Broker Commissions trade costs of $7.50
1/4/21 9:33 UPRO PROSHARES ULTRAPRO S&P500 LONG 200 77.05 1/4 10:33 75.68 0.39%
Trade id #133153507
Max drawdown($285)
Time1/4/21 10:33
Quant open200
Worst price75.62
Drawdown as % of equity-0.39%
($277)
Includes Typical Broker Commissions trade costs of $4.00
6/10/20 9:31 GE GENERAL ELECTRIC LONG 65,000 6.70 10/9 9:32 6.73 9.25%
Trade id #129467272
Max drawdown($5,674)
Time8/26/20 0:00
Quant open10,001
Worst price6.44
Drawdown as % of equity-9.25%
$1,735
Includes Typical Broker Commissions trade costs of $139.00
6/16/20 9:43 COTY COTY INC LONG 33,000 3.47 10/8 11:19 3.51 15.63%
Trade id #129578020
Max drawdown($9,645)
Time10/1/20 0:00
Quant open10,001
Worst price2.70
Drawdown as % of equity-15.63%
$1,227
Includes Typical Broker Commissions trade costs of $40.01
10/8/20 5:14 @RTYZ0 Russell 2000 CME LONG 1 1617.20 10/8 6:56 1618.60 0.27%
Trade id #131584507
Max drawdown($170)
Time10/8/20 5:43
Quant open1
Worst price1613.80
Drawdown as % of equity-0.27%
$62
Includes Typical Broker Commissions trade costs of $8.00
10/7/20 8:43 @RTYZ0 Russell 2000 CME LONG 4 1596.00 10/8 4:30 1615.45 1.58%
Trade id #131560722
Max drawdown($920)
Time10/7/20 9:16
Quant open4
Worst price1591.40
Drawdown as % of equity-1.58%
$3,858
Includes Typical Broker Commissions trade costs of $32.00
9/23/20 16:07 @RTYZ0 Russell 2000 CME SHORT 2 1445.80 9/24 9:25 1443.60 1.73%
Trade id #131325366
Max drawdown($1,060)
Time9/24/20 6:54
Quant open2
Worst price1456.40
Drawdown as % of equity-1.73%
$204
Includes Typical Broker Commissions trade costs of $16.00
9/4/20 11:33 QCLZ0 CRUDE OIL SHORT 1 40.82 9/6 18:32 39.65 0.59%
Trade id #131005545
Max drawdown($360)
Time9/4/20 11:41
Quant open1
Worst price41.18
Drawdown as % of equity-0.59%
$1,162
Includes Typical Broker Commissions trade costs of $8.00
3/25/20 10:13 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 92,700 8.30 9/4 11:30 8.30 32.53%
Trade id #128241353
Max drawdown($19,615)
Time9/3/20 0:00
Quant open5,001
Worst price4.98
Drawdown as % of equity-32.53%
($486)
Includes Typical Broker Commissions trade costs of $415.49
9/3/20 9:47 @ESU0 E-MINI S&P 500 LONG 4 3561.00 9/3 10:09 3545.25 5.42%
Trade id #130973335
Max drawdown($3,200)
Time9/3/20 10:09
Quant open4
Worst price3545.00
Drawdown as % of equity-5.42%
($3,182)
Includes Typical Broker Commissions trade costs of $32.00

Statistics

  • Strategy began
    12/23/2018
  • Suggested Minimum Cap
    $20,793
  • Strategy Age (days)
    859.23
  • Age
    29 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    691
  • # Profitable
    444
  • % Profitable
    64.30%
  • Avg trade duration
    2.0 days
  • Max peak-to-valley drawdown
    21.33%
  • drawdown period
    Feb 25, 2021 - March 04, 2021
  • Annual Return (Compounded)
    76.9%
  • Avg win
    $340.31
  • Avg loss
    $343.39
  • Model Account Values (Raw)
  • Cash
    $87,095
  • Margin Used
    $0
  • Buying Power
    $87,095
  • Ratios
  • W:L ratio
    1.78:1
  • Sharpe Ratio
    2.05
  • Sortino Ratio
    3.77
  • Calmar Ratio
    5.291
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    194.56%
  • Correlation to SP500
    -0.00840
  • Return Percent SP500 (cumu) during strategy life
    72.46%
  • Return Statistics
  • Ann Return (w trading costs)
    76.9%
  • Slump
  • Current Slump as Pcnt Equity
    27.10%
  • Instruments
  • Percent Trades Futures
    0.51%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.07%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.769%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.49%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    83.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    47.05%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    931
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    651
  • Management
  • No Subs Allowed Flag (1: no subs)
    1
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $343
  • Avg Win
    $340
  • Sum Trade PL (losers)
    $84,817.000
  • Age
  • Num Months filled monthly returns table
    29
  • Win / Loss
  • Sum Trade PL (winners)
    $151,098.000
  • # Winners
    444
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    30
  • Win / Loss
  • # Losers
    247
  • % Winners
    64.2%
  • Frequency
  • Avg Position Time (mins)
    2839.58
  • Avg Position Time (hrs)
    47.33
  • Avg Trade Length
    2.0 days
  • Last Trade Ago
    58
  • Leverage
  • Daily leverage (average)
    2.77
  • Daily leverage (max)
    27.88
  • Regression
  • Alpha
    0.15
  • Beta
    -0.01
  • Treynor Index
    -20.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    17.99
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    12.50
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.45
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.826
  • 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
    0.751
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.375
  • Hold-and-Hope Ratio
    0.113
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69948
  • SD
    0.37558
  • Sharpe ratio (Glass type estimate)
    1.86241
  • Sharpe ratio (Hedges UMVUE)
    1.80588
  • df
    25.00000
  • t
    2.74139
  • p
    0.00557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41910
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38337
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22838
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.62480
  • Upside Potential Ratio
    12.84680
  • Upside part of mean
    0.77301
  • Downside part of mean
    -0.07353
  • Upside SD
    0.41568
  • Downside SD
    0.06017
  • N nonnegative terms
    20.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.23197
  • Mean of criterion
    0.69948
  • SD of predictor
    0.20046
  • SD of criterion
    0.37558
  • Covariance
    0.00425
  • r
    0.05644
  • b (slope, estimate of beta)
    0.10574
  • a (intercept, estimate of alpha)
    0.67495
  • Mean Square Error
    0.14647
  • DF error
    24.00000
  • t(b)
    0.27694
  • p(b)
    0.39210
  • t(a)
    2.45727
  • p(a)
    0.01080
  • Lowerbound of 95% confidence interval for beta
    -0.68233
  • Upperbound of 95% confidence interval for beta
    0.89381
  • Lowerbound of 95% confidence interval for alpha
    0.10805
  • Upperbound of 95% confidence interval for alpha
    1.24186
  • Treynor index (mean / b)
    6.61489
  • Jensen alpha (a)
    0.67495
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62492
  • SD
    0.32371
  • Sharpe ratio (Glass type estimate)
    1.93049
  • Sharpe ratio (Hedges UMVUE)
    1.87189
  • df
    25.00000
  • t
    2.84160
  • p
    0.00440
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47990
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.34788
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44284
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30094
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.08150
  • Upside Potential Ratio
    11.29520
  • Upside part of mean
    0.70016
  • Downside part of mean
    -0.07524
  • Upside SD
    0.35981
  • Downside SD
    0.06199
  • N nonnegative terms
    20.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.21031
  • Mean of criterion
    0.62492
  • SD of predictor
    0.19957
  • SD of criterion
    0.32371
  • Covariance
    0.00428
  • r
    0.06626
  • b (slope, estimate of beta)
    0.10748
  • a (intercept, estimate of alpha)
    0.60232
  • Mean Square Error
    0.10868
  • DF error
    24.00000
  • t(b)
    0.32532
  • p(b)
    0.37388
  • t(a)
    2.56863
  • p(a)
    0.00843
  • Lowerbound of 95% confidence interval for beta
    -0.57437
  • Upperbound of 95% confidence interval for beta
    0.78932
  • Lowerbound of 95% confidence interval for alpha
    0.11836
  • Upperbound of 95% confidence interval for alpha
    1.08628
  • Treynor index (mean / b)
    5.81450
  • Jensen alpha (a)
    0.60232
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09664
  • Expected Shortfall on VaR
    0.13072
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00756
  • Expected Shortfall on VaR
    0.01937
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.92739
  • Quartile 1
    1.00787
  • Median
    1.02724
  • Quartile 3
    1.07351
  • Maximum
    1.45588
  • Mean of quarter 1
    0.98034
  • Mean of quarter 2
    1.01787
  • Mean of quarter 3
    1.04169
  • Mean of quarter 4
    1.19377
  • Inter Quartile Range
    0.06564
  • 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
    0.15385
  • Mean of outliers high
    1.27009
  • 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)
    0.43990
  • VaR(95%) (regression method)
    0.03611
  • Expected Shortfall (regression method)
    0.09505
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01388
  • Quartile 1
    0.02157
  • Median
    0.02853
  • Quartile 3
    0.04285
  • Maximum
    0.07261
  • Mean of quarter 1
    0.01388
  • Mean of quarter 2
    0.02414
  • Mean of quarter 3
    0.03292
  • Mean of quarter 4
    0.07261
  • Inter Quartile Range
    0.02127
  • 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)
    1.43736
  • Compounded annual return (geometric extrapolation)
    0.92097
  • Calmar ratio (compounded annual return / max draw down)
    12.68290
  • Compounded annual return / average of 25% largest draw downs
    12.68290
  • Compounded annual return / Expected Shortfall lognormal
    7.04554
  • 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
    0.64423
  • SD
    0.21344
  • Sharpe ratio (Glass type estimate)
    3.01833
  • Sharpe ratio (Hedges UMVUE)
    3.01436
  • df
    570.00000
  • t
    4.45589
  • p
    0.00001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.67789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35620
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67524
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.35348
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.10625
  • Upside Potential Ratio
    10.72060
  • Upside part of mean
    1.13106
  • Downside part of mean
    -0.48683
  • Upside SD
    0.18955
  • Downside SD
    0.10550
  • N nonnegative terms
    246.00000
  • N negative terms
    325.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    571.00000
  • Mean of predictor
    0.24447
  • Mean of criterion
    0.64423
  • SD of predictor
    0.25538
  • SD of criterion
    0.21344
  • Covariance
    -0.00115
  • r
    -0.02105
  • b (slope, estimate of beta)
    -0.01759
  • a (intercept, estimate of alpha)
    0.64500
  • Mean Square Error
    0.04562
  • DF error
    569.00000
  • t(b)
    -0.50216
  • p(b)
    0.69212
  • t(a)
    4.47485
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    -0.08639
  • Upperbound of 95% confidence interval for beta
    0.05121
  • Lowerbound of 95% confidence interval for alpha
    0.36387
  • Upperbound of 95% confidence interval for alpha
    0.93319
  • Treynor index (mean / b)
    -36.62460
  • Jensen alpha (a)
    0.64853
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62111
  • SD
    0.21040
  • Sharpe ratio (Glass type estimate)
    2.95207
  • Sharpe ratio (Hedges UMVUE)
    2.94818
  • df
    570.00000
  • t
    4.35807
  • p
    0.00001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.61219
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.28949
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60956
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28681
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.76052
  • Upside Potential Ratio
    10.32830
  • Upside part of mean
    1.11362
  • Downside part of mean
    -0.49251
  • Upside SD
    0.18449
  • Downside SD
    0.10782
  • N nonnegative terms
    246.00000
  • N negative terms
    325.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    571.00000
  • Mean of predictor
    0.21155
  • Mean of criterion
    0.62111
  • SD of predictor
    0.25695
  • SD of criterion
    0.21040
  • Covariance
    -0.00106
  • r
    -0.01969
  • b (slope, estimate of beta)
    -0.01613
  • a (intercept, estimate of alpha)
    0.62452
  • Mean Square Error
    0.04433
  • DF error
    569.00000
  • t(b)
    -0.46984
  • p(b)
    0.68068
  • t(a)
    4.37334
  • p(a)
    0.00001
  • Lowerbound of 95% confidence interval for beta
    -0.08354
  • Upperbound of 95% confidence interval for beta
    0.05129
  • Lowerbound of 95% confidence interval for alpha
    0.34404
  • Upperbound of 95% confidence interval for alpha
    0.90500
  • Treynor index (mean / b)
    -38.51760
  • Jensen alpha (a)
    0.62452
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01883
  • Expected Shortfall on VaR
    0.02413
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00450
  • Expected Shortfall on VaR
    0.01013
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    571.00000
  • Minimum
    0.93178
  • Quartile 1
    0.99978
  • Median
    1.00000
  • Quartile 3
    1.00316
  • Maximum
    1.10698
  • Mean of quarter 1
    0.99283
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00106
  • Mean of quarter 4
    1.01637
  • Inter Quartile Range
    0.00338
  • Number outliers low
    56.00000
  • Percentage of outliers low
    0.09807
  • Mean of outliers low
    0.98468
  • Number of outliers high
    91.00000
  • Percentage of outliers high
    0.15937
  • Mean of outliers high
    1.02273
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.72755
  • VaR(95%) (moments method)
    0.00491
  • Expected Shortfall (moments method)
    0.02142
  • Extreme Value Index (regression method)
    0.30980
  • VaR(95%) (regression method)
    0.00606
  • Expected Shortfall (regression method)
    0.01256
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    46.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00089
  • Median
    0.00335
  • Quartile 3
    0.01758
  • Maximum
    0.17147
  • Mean of quarter 1
    0.00039
  • Mean of quarter 2
    0.00216
  • Mean of quarter 3
    0.00883
  • Mean of quarter 4
    0.05450
  • Inter Quartile Range
    0.01668
  • 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
    0.08696
  • Mean of outliers high
    0.10824
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.48744
  • VaR(95%) (moments method)
    0.05684
  • Expected Shortfall (moments method)
    0.12558
  • Extreme Value Index (regression method)
    0.60467
  • VaR(95%) (regression method)
    0.05905
  • Expected Shortfall (regression method)
    0.15856
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.42896
  • Compounded annual return (geometric extrapolation)
    0.91366
  • Calmar ratio (compounded annual return / max draw down)
    5.32831
  • Compounded annual return / average of 25% largest draw downs
    16.76340
  • Compounded annual return / Expected Shortfall lognormal
    37.85810
  • 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
    0.36168
  • SD
    0.26214
  • Sharpe ratio (Glass type estimate)
    1.37975
  • Sharpe ratio (Hedges UMVUE)
    1.37177
  • df
    130.00000
  • t
    0.97563
  • p
    0.45737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39967
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40504
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.14859
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61714
  • Upside Potential Ratio
    7.04097
  • Upside part of mean
    0.97305
  • Downside part of mean
    -0.61137
  • Upside SD
    0.22269
  • Downside SD
    0.13820
  • N nonnegative terms
    28.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32818
  • Mean of criterion
    0.36168
  • SD of predictor
    0.16664
  • SD of criterion
    0.26214
  • Covariance
    0.00227
  • r
    0.05193
  • b (slope, estimate of beta)
    0.08170
  • a (intercept, estimate of alpha)
    0.33487
  • Mean Square Error
    0.06906
  • DF error
    129.00000
  • t(b)
    0.59066
  • p(b)
    0.46695
  • t(a)
    0.89440
  • p(a)
    0.45007
  • Lowerbound of 95% confidence interval for beta
    -0.19196
  • Upperbound of 95% confidence interval for beta
    0.35535
  • Lowerbound of 95% confidence interval for alpha
    -0.40591
  • Upperbound of 95% confidence interval for alpha
    1.07566
  • Treynor index (mean / b)
    4.42719
  • Jensen alpha (a)
    0.33487
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32811
  • SD
    0.25773
  • Sharpe ratio (Glass type estimate)
    1.27304
  • Sharpe ratio (Hedges UMVUE)
    1.26568
  • df
    130.00000
  • t
    0.90018
  • p
    0.46065
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50550
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04675
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51039
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04176
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31547
  • Upside Potential Ratio
    6.69913
  • Upside part of mean
    0.94928
  • Downside part of mean
    -0.62117
  • Upside SD
    0.21506
  • Downside SD
    0.14170
  • N nonnegative terms
    28.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31415
  • Mean of criterion
    0.32811
  • SD of predictor
    0.16687
  • SD of criterion
    0.25773
  • Covariance
    0.00231
  • r
    0.05382
  • b (slope, estimate of beta)
    0.08313
  • a (intercept, estimate of alpha)
    0.30199
  • Mean Square Error
    0.06675
  • DF error
    129.00000
  • t(b)
    0.61217
  • p(b)
    0.46575
  • t(a)
    0.82096
  • p(a)
    0.45414
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -0.18554
  • Upperbound of 95% confidence interval for beta
    0.35180
  • Lowerbound of 95% confidence interval for alpha
    -0.42581
  • Upperbound of 95% confidence interval for alpha
    1.02980
  • Treynor index (mean / b)
    3.94701
  • Jensen alpha (a)
    0.30199
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02463
  • Expected Shortfall on VaR
    0.03108
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00699
  • Expected Shortfall on VaR
    0.01527
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93178
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.09414
  • Mean of quarter 1
    0.99107
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01483
  • Inter Quartile Range
    0.00000
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.23664
  • Mean of outliers low
    0.99049
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.24427
  • Mean of outliers high
    1.01530
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65789
  • VaR(95%) (moments method)
    0.00448
  • Expected Shortfall (moments method)
    0.01695
  • Extreme Value Index (regression method)
    0.60483
  • VaR(95%) (regression method)
    0.00939
  • Expected Shortfall (regression method)
    0.03382
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00077
  • Quartile 1
    0.00271
  • Median
    0.00356
  • Quartile 3
    0.02525
  • Maximum
    0.17147
  • Mean of quarter 1
    0.00162
  • Mean of quarter 2
    0.00318
  • Mean of quarter 3
    0.01346
  • Mean of quarter 4
    0.07866
  • Inter Quartile Range
    0.02255
  • 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
    0.09091
  • Mean of outliers high
    0.17147
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.65640
  • VaR(95%) (moments method)
    0.08718
  • Expected Shortfall (moments method)
    0.28401
  • Extreme Value Index (regression method)
    3.09380
  • VaR(95%) (regression method)
    0.23917
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -303640000
  • Max Equity Drawdown (num days)
    7
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.38967
  • Compounded annual return (geometric extrapolation)
    0.42763
  • Calmar ratio (compounded annual return / max draw down)
    2.49385
  • Compounded annual return / average of 25% largest draw downs
    5.43629
  • Compounded annual return / Expected Shortfall lognormal
    13.75830

Strategy Description

mainly trade Stock and ETF

Summary Statistics

Strategy began
2018-12-23
Suggested Minimum Capital
$80,000
# Trades
691
# Profitable
444
% Profitable
64.3%
Net Dividends
Correlation S&P500
-0.008
Sharpe Ratio
2.05
Sortino Ratio
3.77
Beta
-0.01
Alpha
0.15
Leverage
2.77 Average
27.88 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.