Collective2 Collective2
Featured Strategy IC Algotrading +86.4% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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FH Top 20 Secular Stocks
(124979014)

Created by: FredH FredH
Started: 08/2019
Stocks
Last trade: 179 days ago
Trading style: Equity Momentum Short-term Reversal

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 $69.00 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).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
-16.4%
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.

(81.9%)
Max Drawdown
529
Num Trades
59.5%
Win Trades
0.6 : 1
Profit Factor
49.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 (0.3%)+0.6%+1.8%+4.1%+5.4%+11.9%
2020(1.7%)(5.5%)(13.5%)+8.5%+1.9%(0.2%)+4.1%+2.2%(1.8%)+1.6%+9.5%+4.3%+7.5%
2021+3.9%+4.0%(9.4%)+2.4%(2.9%)+16.8%(3%)+1.1%(5.6%)+9.0%(13%)(9.4%)(9.7%)
2022(31.3%)(5.4%)(4.5%)(7.8%)(32.5%)(18.8%)+9.6%+5.7%(13.6%)+6.8%(3.6%)(17%)(73.2%)
2023+26.8%(1.3%)+5.5%(13.4%)+16.7%+7.6%+20.2%(15.9%)(8.5%)(26.7%)+46.6%+17.2%+67.3%
2024(2.4%)+0.6%(1.1%)(2.6%)                                                (5.4%)

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
6/25/21 11:10 ATVI ACTIVISION BLIZZARD LONG 88 81.79 10/23/23 9:30 93.07 1.99%
Trade id #136211388
Max drawdown($2,234)
Time12/3/21 0:00
Quant open88
Worst price56.40
Drawdown as % of equity-1.99%
 $990
Includes Typical Broker Commissions trade costs of $1.76
7/13/21 11:18 MA MASTERCARD LONG 12 383.09 1/31/22 9:39 383.50 0.77%
Trade id #136469714
Max drawdown($925)
Time12/1/21 0:00
Quant open12
Worst price306.00
Drawdown as % of equity-0.77%
 $5
Includes Typical Broker Commissions trade costs of $0.24
11/4/21 14:20 PATH UIPATH INC LONG 109 54.59 1/24/22 11:19 33.02 3.35%
Trade id #138081262
Max drawdown($2,444)
Time1/24/22 10:19
Quant open109
Worst price32.17
Drawdown as % of equity-3.35%
 ($2,354)
Includes Typical Broker Commissions trade costs of $2.18
1/7/21 14:12 FLGT FULGENT GENETICS INC. COMMON STOCK LONG 183 84.79 1/24/22 11:19 83.87 2.38%
Trade id #133250066
Max drawdown($2,480)
Time5/11/21 0:00
Quant open109
Worst price62.50
Drawdown as % of equity-2.38%
 ($173)
Includes Typical Broker Commissions trade costs of $3.66
12/16/21 9:30 INTU INTUIT LONG 8 648.00 1/24/22 11:19 509.63 1.55%
Trade id #138601826
Max drawdown($1,130)
Time1/24/22 9:51
Quant open8
Worst price506.69
Drawdown as % of equity-1.55%
 ($1,107)
Includes Typical Broker Commissions trade costs of $0.16
11/11/21 14:01 ZS ZSCALER INC. COMMON STOCK LONG 14 346.67 1/21/22 14:15 249.42 1.81%
Trade id #138164748
Max drawdown($1,438)
Time1/21/22 10:22
Quant open14
Worst price243.90
Drawdown as % of equity-1.81%
 ($1,362)
Includes Typical Broker Commissions trade costs of $0.28
1/7/21 14:13 MELI MERCADOLIBRE LONG 6 1509.33 1/21/22 14:15 1183.86 2.88%
Trade id #133250086
Max drawdown($2,541)
Time1/10/22 0:00
Quant open5
Worst price1001.01
Drawdown as % of equity-2.88%
 ($1,953)
Includes Typical Broker Commissions trade costs of $0.12
12/16/21 9:30 LULU LULULEMON ATHLETICA LONG 12 402.49 1/21/22 14:15 318.26 1.35%
Trade id #138601780
Max drawdown($1,073)
Time1/21/22 10:22
Quant open12
Worst price313.06
Drawdown as % of equity-1.35%
 ($1,011)
Includes Typical Broker Commissions trade costs of $0.24
1/7/21 14:14 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A LONG 72 302.63 1/14/22 11:45 215.74 7.96%
Trade id #133250124
Max drawdown($7,393)
Time1/14/22 11:08
Quant open51
Worst price157.66
Drawdown as % of equity-7.96%
 ($6,257)
Includes Typical Broker Commissions trade costs of $1.44
11/26/21 10:50 ZBRA ZEBRA TECHNOLOGIES LONG 8 592.57 12/28 9:30 609.00 0.22%
Trade id #138353995
Max drawdown($237)
Time12/20/21 0:00
Quant open8
Worst price562.94
Drawdown as % of equity-0.22%
 $131
Includes Typical Broker Commissions trade costs of $0.16
11/26/21 10:50 DIS WALT DISNEY LONG 32 148.17 12/16 9:30 151.33 0.16%
Trade id #138353973
Max drawdown($196)
Time12/1/21 0:00
Quant open32
Worst price142.04
Drawdown as % of equity-0.16%
 $100
Includes Typical Broker Commissions trade costs of $0.64
11/26/21 10:49 ODFL OLD DOMINION FREIGHT LNS LONG 14 357.00 12/16 9:30 355.69 0.14%
Trade id #138353932
Max drawdown($153)
Time12/2/21 0:00
Quant open14
Worst price346.00
Drawdown as % of equity-0.14%
 ($18)
Includes Typical Broker Commissions trade costs of $0.28
10/28/21 13:44 ACN ACCENTURE LONG 13 356.47 11/29 9:30 359.14 0.04%
Trade id #137994708
Max drawdown($56)
Time11/1/21 0:00
Quant open13
Worst price352.10
Drawdown as % of equity-0.04%
 $35
Includes Typical Broker Commissions trade costs of $0.26
10/28/21 13:45 DXCM DEXCOM LONG 8 563.56 11/26 10:48 599.41 0.07%
Trade id #137994739
Max drawdown($89)
Time10/29/21 0:00
Quant open8
Worst price552.39
Drawdown as % of equity-0.07%
 $287
Includes Typical Broker Commissions trade costs of $0.16
10/28/21 13:44 TSCO TRACTOR SUPPLY LONG 23 210.40 11/26 10:48 226.33 0.02%
Trade id #137994724
Max drawdown($28)
Time10/28/21 14:45
Quant open23
Worst price209.18
Drawdown as % of equity-0.02%
 $366
Includes Typical Broker Commissions trade costs of $0.46
9/24/21 13:35 LULU LULULEMON ATHLETICA LONG 11 430.49 11/26 10:47 455.02 0.42%
Trade id #137522192
Max drawdown($519)
Time10/12/21 0:00
Quant open11
Worst price383.24
Drawdown as % of equity-0.42%
 $270
Includes Typical Broker Commissions trade costs of $0.22
11/11/21 14:01 TTD THE TRADE DESK INC. CLASS A LONG 52 92.00 11/19 10:59 109.26 0.04%
Trade id #138164766
Max drawdown($53)
Time11/11/21 15:14
Quant open52
Worst price90.96
Drawdown as % of equity-0.04%
 $897
Includes Typical Broker Commissions trade costs of $1.04
10/15/21 9:30 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 17 276.00 11/11 14:00 282.52 0.16%
Trade id #137822481
Max drawdown($217)
Time11/1/21 0:00
Quant open17
Worst price263.23
Drawdown as % of equity-0.16%
 $111
Includes Typical Broker Commissions trade costs of $0.34
9/10/21 11:20 TSLA TESLA INC. LONG 6 754.89 11/11 14:00 1059.71 0.21%
Trade id #137322964
Max drawdown($276)
Time9/13/21 0:00
Quant open6
Worst price708.85
Drawdown as % of equity-0.21%
 $1,829
Includes Typical Broker Commissions trade costs of $0.12
9/24/21 13:39 ADBE ADOBE INC LONG 8 621.99 10/28 13:42 634.39 0.44%
Trade id #137522247
Max drawdown($558)
Time10/4/21 0:00
Quant open8
Worst price552.14
Drawdown as % of equity-0.44%
 $99
Includes Typical Broker Commissions trade costs of $0.16
9/17/21 11:21 ASAN ASANA INC LONG 41 117.54 10/28 13:42 131.89 0.63%
Trade id #137417421
Max drawdown($798)
Time10/1/21 0:00
Quant open41
Worst price98.06
Drawdown as % of equity-0.63%
 $587
Includes Typical Broker Commissions trade costs of $0.82
9/10/21 11:21 ZS ZSCALER INC. COMMON STOCK LONG 17 276.20 10/15 9:30 294.50 0.38%
Trade id #137322979
Max drawdown($473)
Time10/4/21 0:00
Quant open17
Worst price248.33
Drawdown as % of equity-0.38%
 $311
Includes Typical Broker Commissions trade costs of $0.34
7/13/21 11:17 TTD THE TRADE DESK INC. CLASS A LONG 61 78.67 10/14 10:10 79.00 0.65%
Trade id #136469700
Max drawdown($814)
Time10/4/21 0:00
Quant open61
Worst price65.32
Drawdown as % of equity-0.65%
 $19
Includes Typical Broker Commissions trade costs of $1.22
9/2/21 13:20 SNOW SNOWFLAKE INC LONG 16 308.45 10/7 13:19 320.91 0.24%
Trade id #137228170
Max drawdown($295)
Time10/5/21 0:00
Quant open16
Worst price290.01
Drawdown as % of equity-0.24%
 $199
Includes Typical Broker Commissions trade costs of $0.32
8/26/21 13:26 LRCX LAM RESEARCH LONG 8 587.36 9/24 13:20 612.19 0.06%
Trade id #137137663
Max drawdown($87)
Time9/8/21 0:00
Quant open8
Worst price576.38
Drawdown as % of equity-0.06%
 $199
Includes Typical Broker Commissions trade costs of $0.16
8/26/21 13:26 GMED GLOBUS MEDICAL LONG 60 79.53 9/24 13:16 81.17 0.05%
Trade id #137137655
Max drawdown($61)
Time9/21/21 0:00
Quant open60
Worst price78.51
Drawdown as % of equity-0.05%
 $97
Includes Typical Broker Commissions trade costs of $1.20
8/19/21 15:06 INTU INTUIT LONG 9 547.16 9/24 13:12 575.22 0.03%
Trade id #137044340
Max drawdown($37)
Time8/20/21 0:00
Quant open9
Worst price542.97
Drawdown as % of equity-0.03%
 $253
Includes Typical Broker Commissions trade costs of $0.18
4/26/21 11:58 MTN VAIL RESORTS LONG 15 327.05 9/23 9:44 327.85 0.55%
Trade id #135321537
Max drawdown($701)
Time8/19/21 0:00
Quant open15
Worst price280.27
Drawdown as % of equity-0.55%
 $12
Includes Typical Broker Commissions trade costs of $0.30
4/26/21 11:54 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 37 162.10 9/17 11:27 165.74 1.11%
Trade id #135321492
Max drawdown($1,186)
Time5/19/21 0:00
Quant open28
Worst price129.71
Drawdown as % of equity-1.11%
 $134
Includes Typical Broker Commissions trade costs of $0.74
8/13/21 11:14 HUBS HUBSPOT INC LONG 7 665.90 9/10 11:19 679.14 0.16%
Trade id #136956920
Max drawdown($207)
Time8/17/21 0:00
Quant open7
Worst price636.21
Drawdown as % of equity-0.16%
 $93
Includes Typical Broker Commissions trade costs of $0.14
Next

Statistics

  • Strategy began
    8/18/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1703.91
  • Age
    57 months ago
  • What it trades
    Stocks
  • # Trades
    529
  • # Profitable
    315
  • % Profitable
    59.50%
  • Avg trade duration
    94.0 days
  • Max peak-to-valley drawdown
    81.89%
  • drawdown period
    Feb 16, 2021 - Oct 29, 2023
  • Annual Return (Compounded)
    -16.4%
  • Avg win
    $190.54
  • Avg loss
    $533.62
  • Model Account Values (Raw)
  • Cash
    $62,020
  • Margin Used
    $0
  • Buying Power
    ($14,122)
  • Ratios
  • W:L ratio
    0.55:1
  • Sharpe Ratio
    -0.25
  • Sortino Ratio
    -0.36
  • Calmar Ratio
    -0.224
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -131.63%
  • Correlation to SP500
    0.38970
  • Return Percent SP500 (cumu) during strategy life
    73.47%
  • Return Statistics
  • Ann Return (w trading costs)
    -16.4%
  • Slump
  • Current Slump as Pcnt Equity
    219.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.68%
  • 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)
    -0.164%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -13.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    92.50%
  • Chance of 20% account loss
    60.50%
  • Chance of 30% account loss
    39.00%
  • Chance of 40% account loss
    9.50%
  • 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
    1.50%
  • 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
    $534
  • Avg Win
    $191
  • Sum Trade PL (losers)
    $114,194.000
  • Age
  • Num Months filled monthly returns table
    57
  • Win / Loss
  • Sum Trade PL (winners)
    $60,020.000
  • # Winners
    315
  • Num Months Winners
    28
  • Dividends
  • Dividends Received in Model Acct
    3116
  • Win / Loss
  • # Losers
    214
  • % Winners
    59.5%
  • Frequency
  • Avg Position Time (mins)
    227149.00
  • Avg Position Time (hrs)
    3785.81
  • Avg Trade Length
    157.7 days
  • Last Trade Ago
    177
  • Leverage
  • Daily leverage (average)
    1.09
  • Daily leverage (max)
    2.30
  • Regression
  • Alpha
    -0.06
  • Beta
    0.70
  • Treynor Index
    -0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.46
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -3.359
  • 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
    0.13
  • Avg(MAE) / Avg(PL) - Winning trades
    1.038
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.290
  • Hold-and-Hope Ratio
    -0.331
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11777
  • SD
    0.45854
  • Sharpe ratio (Glass type estimate)
    -0.25684
  • Sharpe ratio (Hedges UMVUE)
    -0.25186
  • df
    39.00000
  • t
    -0.46892
  • p
    0.67913
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33026
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.81980
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32683
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82311
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.32708
  • Upside Potential Ratio
    1.53674
  • Upside part of mean
    0.55334
  • Downside part of mean
    -0.67111
  • Upside SD
    0.27660
  • Downside SD
    0.36007
  • N nonnegative terms
    20.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.16338
  • Mean of criterion
    -0.11777
  • SD of predictor
    0.33170
  • SD of criterion
    0.45854
  • Covariance
    0.10294
  • r
    0.67677
  • b (slope, estimate of beta)
    0.93557
  • a (intercept, estimate of alpha)
    -0.27062
  • Mean Square Error
    0.11696
  • DF error
    38.00000
  • t(b)
    5.66687
  • p(b)
    0.00000
  • t(a)
    -1.43001
  • p(a)
    0.91956
  • Lowerbound of 95% confidence interval for beta
    0.60135
  • Upperbound of 95% confidence interval for beta
    1.26978
  • Lowerbound of 95% confidence interval for alpha
    -0.65373
  • Upperbound of 95% confidence interval for alpha
    0.11249
  • Treynor index (mean / b)
    -0.12588
  • Jensen alpha (a)
    -0.27062
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.23206
  • SD
    0.49655
  • Sharpe ratio (Glass type estimate)
    -0.46734
  • Sharpe ratio (Hedges UMVUE)
    -0.45828
  • df
    39.00000
  • t
    -0.85324
  • p
    0.80063
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54288
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.61406
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53661
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62004
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.54810
  • Upside Potential Ratio
    1.22247
  • Upside part of mean
    0.51758
  • Downside part of mean
    -0.74963
  • Upside SD
    0.25618
  • Downside SD
    0.42338
  • N nonnegative terms
    20.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.10834
  • Mean of criterion
    -0.23206
  • SD of predictor
    0.33647
  • SD of criterion
    0.49655
  • Covariance
    0.11003
  • r
    0.65856
  • b (slope, estimate of beta)
    0.97188
  • a (intercept, estimate of alpha)
    -0.33735
  • Mean Square Error
    0.14330
  • DF error
    38.00000
  • t(b)
    5.39470
  • p(b)
    0.00000
  • t(a)
    -1.61990
  • p(a)
    0.94324
  • Lowerbound of 95% confidence interval for beta
    0.60718
  • Upperbound of 95% confidence interval for beta
    1.33658
  • Lowerbound of 95% confidence interval for alpha
    -0.75895
  • Upperbound of 95% confidence interval for alpha
    0.08424
  • Treynor index (mean / b)
    -0.23877
  • Jensen alpha (a)
    -0.33735
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22517
  • Expected Shortfall on VaR
    0.26921
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12994
  • Expected Shortfall on VaR
    0.24058
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    40.00000
  • Minimum
    0.58983
  • Quartile 1
    0.91570
  • Median
    1.00522
  • Quartile 3
    1.07497
  • Maximum
    1.20794
  • Mean of quarter 1
    0.82330
  • Mean of quarter 2
    0.95765
  • Mean of quarter 3
    1.03739
  • Mean of quarter 4
    1.15171
  • Inter Quartile Range
    0.15927
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02500
  • Mean of outliers low
    0.58983
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09024
  • VaR(95%) (moments method)
    0.18119
  • Expected Shortfall (moments method)
    0.25185
  • Extreme Value Index (regression method)
    0.59818
  • VaR(95%) (regression method)
    0.19333
  • Expected Shortfall (regression method)
    0.44261
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00090
  • Quartile 1
    0.03393
  • Median
    0.13218
  • Quartile 3
    0.23240
  • Maximum
    0.74711
  • Mean of quarter 1
    0.00659
  • Mean of quarter 2
    0.09888
  • Mean of quarter 3
    0.16548
  • Mean of quarter 4
    0.50091
  • Inter Quartile Range
    0.19847
  • 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
    0.74711
  • 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)
    -0.14809
  • Compounded annual return (geometric extrapolation)
    -0.18466
  • Calmar ratio (compounded annual return / max draw down)
    -0.24716
  • Compounded annual return / average of 25% largest draw downs
    -0.36865
  • Compounded annual return / Expected Shortfall lognormal
    -0.68593
  • 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
    -0.13414
  • SD
    0.41624
  • Sharpe ratio (Glass type estimate)
    -0.32226
  • Sharpe ratio (Hedges UMVUE)
    -0.32199
  • df
    894.00000
  • t
    -0.59562
  • p
    0.72421
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38274
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73836
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.38254
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73856
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45901
  • Upside Potential Ratio
    7.17643
  • Upside part of mean
    2.09720
  • Downside part of mean
    -2.23134
  • Upside SD
    0.29620
  • Downside SD
    0.29224
  • N nonnegative terms
    450.00000
  • N negative terms
    445.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    895.00000
  • Mean of predictor
    0.17137
  • Mean of criterion
    -0.13414
  • SD of predictor
    0.24681
  • SD of criterion
    0.41624
  • Covariance
    0.04049
  • r
    0.39415
  • b (slope, estimate of beta)
    0.66473
  • a (intercept, estimate of alpha)
    -0.24800
  • Mean Square Error
    0.14651
  • DF error
    893.00000
  • t(b)
    12.81610
  • p(b)
    -0.00000
  • t(a)
    -1.19669
  • p(a)
    0.88413
  • Lowerbound of 95% confidence interval for beta
    0.56294
  • Upperbound of 95% confidence interval for beta
    0.76653
  • Lowerbound of 95% confidence interval for alpha
    -0.65488
  • Upperbound of 95% confidence interval for alpha
    0.15877
  • Treynor index (mean / b)
    -0.20179
  • Jensen alpha (a)
    -0.24806
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22012
  • SD
    0.41441
  • Sharpe ratio (Glass type estimate)
    -0.53117
  • Sharpe ratio (Hedges UMVUE)
    -0.53072
  • df
    894.00000
  • t
    -0.98173
  • p
    0.83675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59175
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.52970
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59145
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53001
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.72798
  • Upside Potential Ratio
    6.79831
  • Upside part of mean
    2.05565
  • Downside part of mean
    -2.27578
  • Upside SD
    0.28337
  • Downside SD
    0.30238
  • N nonnegative terms
    450.00000
  • N negative terms
    445.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    895.00000
  • Mean of predictor
    0.14079
  • Mean of criterion
    -0.22012
  • SD of predictor
    0.24747
  • SD of criterion
    0.41441
  • Covariance
    0.04102
  • r
    0.39994
  • b (slope, estimate of beta)
    0.66975
  • a (intercept, estimate of alpha)
    -0.31442
  • Mean Square Error
    0.14443
  • DF error
    893.00000
  • t(b)
    13.03990
  • p(b)
    -0.00000
  • t(a)
    -1.52817
  • p(a)
    0.93659
  • Lowerbound of 95% confidence interval for beta
    0.56895
  • Upperbound of 95% confidence interval for beta
    0.77056
  • Lowerbound of 95% confidence interval for alpha
    -0.71823
  • Upperbound of 95% confidence interval for alpha
    0.08939
  • Treynor index (mean / b)
    -0.32866
  • Jensen alpha (a)
    -0.31442
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04204
  • Expected Shortfall on VaR
    0.05219
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01949
  • Expected Shortfall on VaR
    0.03882
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    895.00000
  • Minimum
    0.85366
  • Quartile 1
    0.98911
  • Median
    1.00016
  • Quartile 3
    1.01022
  • Maximum
    1.25203
  • Mean of quarter 1
    0.97072
  • Mean of quarter 2
    0.99547
  • Mean of quarter 3
    1.00472
  • Mean of quarter 4
    1.02750
  • Inter Quartile Range
    0.02111
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.03911
  • Mean of outliers low
    0.93513
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.03352
  • Mean of outliers high
    1.07139
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13116
  • VaR(95%) (moments method)
    0.02709
  • Expected Shortfall (moments method)
    0.03995
  • Extreme Value Index (regression method)
    0.09190
  • VaR(95%) (regression method)
    0.02659
  • Expected Shortfall (regression method)
    0.03813
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00164
  • Quartile 1
    0.00545
  • Median
    0.01249
  • Quartile 3
    0.01609
  • Maximum
    0.78165
  • Mean of quarter 1
    0.00344
  • Mean of quarter 2
    0.00816
  • Mean of quarter 3
    0.01466
  • Mean of quarter 4
    0.27765
  • Inter Quartile Range
    0.01064
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.18750
  • Mean of outliers high
    0.36418
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.42026
  • VaR(95%) (moments method)
    0.09796
  • Expected Shortfall (moments method)
    0.23386
  • Extreme Value Index (regression method)
    1.33762
  • VaR(95%) (regression method)
    0.52899
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.14092
  • Compounded annual return (geometric extrapolation)
    -0.17487
  • Calmar ratio (compounded annual return / max draw down)
    -0.22372
  • Compounded annual return / average of 25% largest draw downs
    -0.62983
  • Compounded annual return / Expected Shortfall lognormal
    -3.35038
  • 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
    0.24922
  • SD
    0.51955
  • Sharpe ratio (Glass type estimate)
    0.47969
  • Sharpe ratio (Hedges UMVUE)
    0.47692
  • df
    130.00000
  • t
    0.33920
  • p
    0.48513
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.29357
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25127
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.29549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24933
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.88910
  • Upside Potential Ratio
    8.84400
  • Upside part of mean
    2.47907
  • Downside part of mean
    -2.22985
  • Upside SD
    0.43535
  • Downside SD
    0.28031
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32987
  • Mean of criterion
    0.24922
  • SD of predictor
    0.13010
  • SD of criterion
    0.51955
  • Covariance
    0.02783
  • r
    0.41179
  • b (slope, estimate of beta)
    1.64443
  • a (intercept, estimate of alpha)
    -0.29323
  • Mean Square Error
    0.22589
  • DF error
    129.00000
  • t(b)
    5.13240
  • p(b)
    0.24546
  • t(a)
    -0.43096
  • p(a)
    0.52413
  • Lowerbound of 95% confidence interval for beta
    1.01050
  • Upperbound of 95% confidence interval for beta
    2.27835
  • Lowerbound of 95% confidence interval for alpha
    -1.63944
  • Upperbound of 95% confidence interval for alpha
    1.05298
  • Treynor index (mean / b)
    0.15156
  • Jensen alpha (a)
    -0.29323
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12347
  • SD
    0.49602
  • Sharpe ratio (Glass type estimate)
    0.24893
  • Sharpe ratio (Hedges UMVUE)
    0.24749
  • df
    130.00000
  • t
    0.17602
  • p
    0.49228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52341
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02054
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52448
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01946
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42740
  • Upside Potential Ratio
    8.28663
  • Upside part of mean
    2.39397
  • Downside part of mean
    -2.27050
  • Upside SD
    0.40094
  • Downside SD
    0.28890
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32126
  • Mean of criterion
    0.12347
  • SD of predictor
    0.12992
  • SD of criterion
    0.49602
  • Covariance
    0.02720
  • r
    0.42208
  • b (slope, estimate of beta)
    1.61152
  • a (intercept, estimate of alpha)
    -0.39424
  • Mean Square Error
    0.20377
  • DF error
    129.00000
  • t(b)
    5.28809
  • p(b)
    0.23950
  • t(a)
    -0.61042
  • p(a)
    0.53415
  • VAR (95 Confidence Intrvl)
    0.04200
  • Lowerbound of 95% confidence interval for beta
    1.00857
  • Upperbound of 95% confidence interval for beta
    2.21447
  • Lowerbound of 95% confidence interval for alpha
    -1.67207
  • Upperbound of 95% confidence interval for alpha
    0.88360
  • Treynor index (mean / b)
    0.07662
  • Jensen alpha (a)
    -0.39424
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04871
  • Expected Shortfall on VaR
    0.06075
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01990
  • Expected Shortfall on VaR
    0.03870
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89827
  • Quartile 1
    0.98797
  • Median
    1.00000
  • Quartile 3
    1.01216
  • Maximum
    1.25203
  • Mean of quarter 1
    0.97205
  • Mean of quarter 2
    0.99438
  • Mean of quarter 3
    1.00473
  • Mean of quarter 4
    1.03318
  • Inter Quartile Range
    0.02420
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.92174
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.10138
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16850
  • VaR(95%) (moments method)
    0.02778
  • Expected Shortfall (moments method)
    0.04130
  • Extreme Value Index (regression method)
    0.20549
  • VaR(95%) (regression method)
    0.02792
  • Expected Shortfall (regression method)
    0.04242
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.04441
  • Quartile 1
    0.06221
  • Median
    0.08002
  • Quartile 3
    0.24626
  • Maximum
    0.41249
  • Mean of quarter 1
    0.04441
  • Mean of quarter 2
    0.08002
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.41249
  • Inter Quartile Range
    0.18404
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -528715000
  • Max Equity Drawdown (num days)
    985
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15726
  • Compounded annual return (geometric extrapolation)
    0.16344
  • Calmar ratio (compounded annual return / max draw down)
    0.39622
  • Compounded annual return / average of 25% largest draw downs
    0.39622
  • Compounded annual return / Expected Shortfall lognormal
    2.69031

Strategy Description

This strategy is designed to focus on 20 companies that are powered by a secular growth story and a strong strategic advantage.
10 companies will stay in the portfolio over the year.
10 companies could be arbitrated on a a week to week basis.
At the margin, I can increase / decrease exposure to a particular stock given market opportunities.
The strategy will stay invested for at least 80% most of the time and leverage could top 140% at some point.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-08-18
Suggested Minimum Capital
$15,000
# Trades
529
# Profitable
315
% Profitable
59.5%
Net Dividends
$3,116
Correlation S&P500
0.390
Sharpe Ratio
-0.25
Sortino Ratio
-0.36
Beta
0.70
Alpha
-0.06
Leverage
1.09 Average
2.30 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.