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stock star
(125587405)

Created by: JamesLang JamesLang
Started: 10/2019
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following Pairs Trading / Relative Value

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 $138.00 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.
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
90.3%
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.

(9.0%)
Max Drawdown
206
Num Trades
55.8%
Win Trades
3.4 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                               +46.2%+8.2%+4.6%+65.3%
2020+5.0%+5.5%+8.8%+3.1%+5.6%+2.4%(1.8%)+1.0%(4.6%)(0.7%)+1.9%+1.0%+29.9%

Model Account Details

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

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

Trading Record

This strategy has placed 368 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/27/20 11:15 MCK MCKESSON LONG 18 181.24 12/4 9:46 179.24 0.22%
Trade id #132500968
Max drawdown($47)
Time12/2/20 0:00
Quant open18
Worst price178.58
Drawdown as % of equity-0.22%
($36)
Includes Typical Broker Commissions trade costs of $0.36
11/25/20 10:12 CNC CENTENE LONG 50 62.54 12/4 9:45 62.88 0.13%
Trade id #132454404
Max drawdown($27)
Time11/30/20 0:00
Quant open25
Worst price61.42
Drawdown as % of equity-0.13%
$16
Includes Typical Broker Commissions trade costs of $1.00
12/2/20 10:39 TWTR TWITTER INC LONG 60 47.20 12/4 9:45 47.91 0.07%
Trade id #132596180
Max drawdown($14)
Time12/2/20 14:02
Quant open60
Worst price46.97
Drawdown as % of equity-0.07%
$41
Includes Typical Broker Commissions trade costs of $1.20
11/23/20 12:25 DLTR DOLLAR TREE STORES LONG 30 97.52 12/2 10:38 111.76 0.06%
Trade id #132406093
Max drawdown($11)
Time11/23/20 14:50
Quant open30
Worst price97.13
Drawdown as % of equity-0.06%
$426
Includes Typical Broker Commissions trade costs of $0.60
11/25/20 13:22 HUM HUMANA SHORT 4 400.80 11/27 11:15 405.73 0.14%
Trade id #132461492
Max drawdown($29)
Time11/27/20 10:11
Quant open4
Worst price408.24
Drawdown as % of equity-0.14%
($20)
Includes Typical Broker Commissions trade costs of $0.08
11/25/20 13:19 DUK DUKE ENERGY LONG 25 95.37 11/27 9:44 95.48 0.01%
Trade id #132461418
Max drawdown($2)
Time11/27/20 9:42
Quant open25
Worst price95.25
Drawdown as % of equity-0.01%
$3
Includes Typical Broker Commissions trade costs of $0.50
11/24/20 12:11 ALXN ALEXION PHARMACEUTICALS LONG 22 123.48 11/25 9:58 123.18 0.12%
Trade id #132431325
Max drawdown($25)
Time11/25/20 0:00
Quant open22
Worst price122.33
Drawdown as % of equity-0.12%
($7)
Includes Typical Broker Commissions trade costs of $0.44
11/24/20 11:03 ACN ACCENTURE LONG 10 247.68 11/24 11:53 248.42 0.01%
Trade id #132428331
Max drawdown($1)
Time11/24/20 11:10
Quant open10
Worst price247.52
Drawdown as % of equity-0.01%
$7
Includes Typical Broker Commissions trade costs of $0.20
11/24/20 9:53 TSN TYSON FOODS LONG 40 64.25 11/24 11:02 64.25 0.06%
Trade id #132425327
Max drawdown($13)
Time11/24/20 10:09
Quant open40
Worst price63.92
Drawdown as % of equity-0.06%
($1)
Includes Typical Broker Commissions trade costs of $0.80
11/23/20 10:21 BSX BOSTON SCIENTIFIC SHORT 115 33.21 11/23 12:22 33.25 0.23%
Trade id #132401792
Max drawdown($47)
Time11/23/20 10:54
Quant open115
Worst price33.63
Drawdown as % of equity-0.23%
($6)
Includes Typical Broker Commissions trade costs of $2.30
11/23/20 9:56 AMT AMERICAN TOWER SHORT 15 231.42 11/23 10:21 230.84 0.03%
Trade id #132400802
Max drawdown($5)
Time11/23/20 10:00
Quant open15
Worst price231.78
Drawdown as % of equity-0.03%
$9
Includes Typical Broker Commissions trade costs of $0.30
11/20/20 10:16 ADSK AUTODESK LONG 10 258.42 11/23 10:12 253.46 0.23%
Trade id #132370710
Max drawdown($49)
Time11/23/20 10:10
Quant open10
Worst price253.51
Drawdown as % of equity-0.23%
($50)
Includes Typical Broker Commissions trade costs of $0.20
11/23/20 9:33 MRK MERCK LONG 30 80.81 11/23 9:55 80.45 0.06%
Trade id #132399368
Max drawdown($12)
Time11/23/20 9:55
Quant open30
Worst price80.41
Drawdown as % of equity-0.06%
($12)
Includes Typical Broker Commissions trade costs of $0.60
11/18/20 11:12 LYB LYONDELLBASELL INDUSTRIES LONG 30 83.19 11/19 11:26 81.33 0.43%
Trade id #132324440
Max drawdown($91)
Time11/19/20 9:33
Quant open30
Worst price80.12
Drawdown as % of equity-0.43%
($57)
Includes Typical Broker Commissions trade costs of $0.60
11/12/20 11:42 OPK OPKO HEALTH LONG 700 3.75 11/19 11:22 3.84 0.31%
Trade id #132225556
Max drawdown($63)
Time11/12/20 13:17
Quant open700
Worst price3.66
Drawdown as % of equity-0.31%
$58
Includes Typical Broker Commissions trade costs of $5.00
11/17/20 9:59 TGNA TEGNA INC LONG 100 14.58 11/19 11:21 14.18 0.2%
Trade id #132299202
Max drawdown($41)
Time11/19/20 11:18
Quant open100
Worst price14.16
Drawdown as % of equity-0.20%
($43)
Includes Typical Broker Commissions trade costs of $2.00
11/17/20 10:00 FOSL FOSSIL GROUP INC. COMMON STOC LONG 200 8.92 11/18 10:55 10.55 0.09%
Trade id #132299251
Max drawdown($18)
Time11/17/20 10:12
Quant open200
Worst price8.83
Drawdown as % of equity-0.09%
$322
Includes Typical Broker Commissions trade costs of $4.00
10/12/20 11:03 CSIQ CANADIAN SOLAR LONG 40 37.52 11/17 11:17 39.05 0.86%
Trade id #131646690
Max drawdown($179)
Time11/4/20 0:00
Quant open40
Worst price33.03
Drawdown as % of equity-0.86%
$60
Includes Typical Broker Commissions trade costs of $0.80
10/27/20 11:50 X UNITED STATES STEEL LONG 200 9.67 11/3 10:33 9.88 0.45%
Trade id #131922613
Max drawdown($94)
Time10/29/20 0:00
Quant open200
Worst price9.20
Drawdown as % of equity-0.45%
$38
Includes Typical Broker Commissions trade costs of $4.00
9/14/20 12:54 NFLX NETFLIX SHORT 8 474.63 10/27 10:17 491.47 0.84%
Trade id #131163953
Max drawdown($182)
Time9/15/20 0:00
Quant open8
Worst price497.47
Drawdown as % of equity-0.84%
($135)
Includes Typical Broker Commissions trade costs of $0.16
10/16/20 10:24 UAA UNDER ARMOUR LONG 150 12.80 10/27 10:16 13.90 0.06%
Trade id #131737117
Max drawdown($13)
Time10/16/20 10:43
Quant open150
Worst price12.71
Drawdown as % of equity-0.06%
$162
Includes Typical Broker Commissions trade costs of $3.00
10/12/20 9:50 SPWR SUNPOWER LONG 100 16.05 10/16 10:24 16.96 0.26%
Trade id #131643178
Max drawdown($55)
Time10/12/20 10:48
Quant open100
Worst price15.50
Drawdown as % of equity-0.26%
$89
Includes Typical Broker Commissions trade costs of $2.00
10/9/20 11:52 WDR WADDELL & REED FNANCIAL SHORT 200 16.88 10/12 9:48 16.97 0.34%
Trade id #131617503
Max drawdown($70)
Time10/12/20 9:34
Quant open200
Worst price17.23
Drawdown as % of equity-0.34%
($22)
Includes Typical Broker Commissions trade costs of $4.00
10/7/20 13:00 IGT INTERNATIONAL GAME TECH LONG 300 11.72 10/9 11:51 11.70 0.35%
Trade id #131568896
Max drawdown($72)
Time10/9/20 10:29
Quant open300
Worst price11.47
Drawdown as % of equity-0.35%
($10)
Includes Typical Broker Commissions trade costs of $6.00
10/6/20 10:08 SCHW CHARLES SCHWAB SHORT 100 36.45 10/7 11:29 37.86 0.81%
Trade id #131539805
Max drawdown($170)
Time10/7/20 9:44
Quant open100
Worst price38.16
Drawdown as % of equity-0.81%
($143)
Includes Typical Broker Commissions trade costs of $2.00
9/29/20 13:41 NTAP NETAPP LONG 60 44.08 10/1 9:32 44.10 0.19%
Trade id #131419893
Max drawdown($39)
Time9/30/20 0:00
Quant open60
Worst price43.43
Drawdown as % of equity-0.19%
$0
Includes Typical Broker Commissions trade costs of $1.20
9/28/20 11:14 MMM 3M SHORT 20 163.13 9/29 12:38 159.59 0.05%
Trade id #131395510
Max drawdown($9)
Time9/28/20 12:51
Quant open20
Worst price163.62
Drawdown as % of equity-0.05%
$71
Includes Typical Broker Commissions trade costs of $0.40
9/25/20 15:21 ORCL ORACLE CORP LONG 100 59.96 9/28 9:31 60.06 0.08%
Trade id #131371947
Max drawdown($17)
Time9/25/20 15:59
Quant open100
Worst price59.78
Drawdown as % of equity-0.08%
$8
Includes Typical Broker Commissions trade costs of $2.00
9/25/20 15:29 PSA PUBLIC STORAGE LONG 10 218.50 9/28 9:30 220.65 0.06%
Trade id #131372170
Max drawdown($11)
Time9/25/20 15:48
Quant open10
Worst price217.33
Drawdown as % of equity-0.06%
$21
Includes Typical Broker Commissions trade costs of $0.20
9/25/20 11:57 MMM 3M SHORT 30 159.69 9/25 15:10 160.86 0.18%
Trade id #131366739
Max drawdown($38)
Time9/25/20 15:10
Quant open30
Worst price160.98
Drawdown as % of equity-0.18%
($36)
Includes Typical Broker Commissions trade costs of $0.60

Statistics

  • Strategy began
    10/2/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    430.62
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    206
  • # Profitable
    115
  • % Profitable
    55.80%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    8.98%
  • drawdown period
    Feb 05, 2020 - Feb 28, 2020
  • Annual Return (Compounded)
    90.3%
  • Avg win
    $182.76
  • Avg loss
    $67.96
  • Model Account Values (Raw)
  • Cash
    $24,449
  • Margin Used
    $0
  • Buying Power
    $24,393
  • Ratios
  • W:L ratio
    3.41:1
  • Sharpe Ratio
    2.97
  • Sortino Ratio
    6.13
  • Calmar Ratio
    18.379
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    86.74%
  • Correlation to SP500
    0.11980
  • Return Percent SP500 (cumu) during strategy life
    28.10%
  • Return Statistics
  • Ann Return (w trading costs)
    90.3%
  • Slump
  • Current Slump as Pcnt Equity
    5.00%
  • Instruments
  • Percent Trades Futures
    0.13%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.39%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.903%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.87%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    116.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • 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
    1247.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    949
  • Popularity (Last 6 weeks)
    953
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    917
  • Popularity (7 days, Percentile 1000 scale)
    881
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $68
  • Avg Win
    $183
  • Sum Trade PL (losers)
    $6,184.000
  • AUM
  • AUM (AutoTrader num accounts)
    7
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $21,017.000
  • # Winners
    115
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    27
  • AUM
  • AUM (AutoTrader live capital)
    354793
  • Win / Loss
  • # Losers
    91
  • % Winners
    55.8%
  • Frequency
  • Avg Position Time (mins)
    4392.38
  • Avg Position Time (hrs)
    73.21
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.16
  • Daily leverage (max)
    12.98
  • Regression
  • Alpha
    0.18
  • Beta
    0.07
  • Treynor Index
    2.62
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.91
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.088
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.570
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.664
  • Hold-and-Hope Ratio
    0.479
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.88292
  • SD
    0.45394
  • Sharpe ratio (Glass type estimate)
    1.94501
  • Sharpe ratio (Hedges UMVUE)
    1.82042
  • df
    12.00000
  • t
    2.02444
  • p
    0.24772
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12355
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94502
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19859
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83943
  • Statistics related to Sortino ratio
  • Sortino ratio
    27.68080
  • Upside Potential Ratio
    29.13140
  • Upside part of mean
    0.92919
  • Downside part of mean
    -0.04627
  • Upside SD
    0.50414
  • Downside SD
    0.03190
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.17727
  • Mean of criterion
    0.88292
  • SD of predictor
    0.22420
  • SD of criterion
    0.45394
  • Covariance
    0.02670
  • r
    0.26234
  • b (slope, estimate of beta)
    0.53117
  • a (intercept, estimate of alpha)
    0.78876
  • Mean Square Error
    0.20932
  • DF error
    11.00000
  • t(b)
    0.90167
  • p(b)
    0.19328
  • t(a)
    1.74580
  • p(a)
    0.05434
  • Lowerbound of 95% confidence interval for beta
    -0.76543
  • Upperbound of 95% confidence interval for beta
    1.82779
  • Lowerbound of 95% confidence interval for alpha
    -0.20565
  • Upperbound of 95% confidence interval for alpha
    1.78318
  • Treynor index (mean / b)
    1.66220
  • Jensen alpha (a)
    0.78876
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.78016
  • SD
    0.37396
  • Sharpe ratio (Glass type estimate)
    2.08621
  • Sharpe ratio (Hedges UMVUE)
    1.95257
  • df
    12.00000
  • t
    2.17140
  • p
    0.23444
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08610
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99125
  • Statistics related to Sortino ratio
  • Sortino ratio
    24.21790
  • Upside Potential Ratio
    25.66680
  • Upside part of mean
    0.82684
  • Downside part of mean
    -0.04668
  • Upside SD
    0.42281
  • Downside SD
    0.03221
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.15238
  • Mean of criterion
    0.78016
  • SD of predictor
    0.22604
  • SD of criterion
    0.37396
  • Covariance
    0.02235
  • r
    0.26436
  • b (slope, estimate of beta)
    0.43735
  • a (intercept, estimate of alpha)
    0.71352
  • Mean Square Error
    0.14190
  • DF error
    11.00000
  • t(b)
    0.90913
  • p(b)
    0.19138
  • t(a)
    1.93226
  • p(a)
    0.03974
  • Lowerbound of 95% confidence interval for beta
    -0.62147
  • Upperbound of 95% confidence interval for beta
    1.49617
  • Lowerbound of 95% confidence interval for alpha
    -0.09923
  • Upperbound of 95% confidence interval for alpha
    1.52627
  • Treynor index (mean / b)
    1.78384
  • Jensen alpha (a)
    0.71352
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10645
  • Expected Shortfall on VaR
    0.14519
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00490
  • Expected Shortfall on VaR
    0.01194
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.97483
  • Quartile 1
    1.01019
  • Median
    1.05771
  • Quartile 3
    1.09069
  • Maximum
    1.48317
  • Mean of quarter 1
    0.99176
  • Mean of quarter 2
    1.02908
  • Mean of quarter 3
    1.07648
  • Mean of quarter 4
    1.23435
  • Inter Quartile Range
    0.08050
  • 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
    0.07692
  • Mean of outliers high
    1.48317
  • 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)
    -1.27614
  • VaR(95%) (regression method)
    0.03034
  • Expected Shortfall (regression method)
    0.03310
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01569
  • Quartile 1
    0.01862
  • Median
    0.02154
  • Quartile 3
    0.02447
  • Maximum
    0.02739
  • Mean of quarter 1
    0.01569
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02739
  • Inter Quartile Range
    0.00585
  • 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)
    1.29218
  • Compounded annual return (geometric extrapolation)
    1.24357
  • Calmar ratio (compounded annual return / max draw down)
    45.39990
  • Compounded annual return / average of 25% largest draw downs
    45.39990
  • Compounded annual return / Expected Shortfall lognormal
    8.56525
  • 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
    0.76277
  • SD
    0.18191
  • Sharpe ratio (Glass type estimate)
    4.19300
  • Sharpe ratio (Hedges UMVUE)
    4.18265
  • df
    304.00000
  • t
    4.52402
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.34281
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.03656
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33592
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.02938
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.90870
  • Upside Potential Ratio
    15.65750
  • Upside part of mean
    1.20531
  • Downside part of mean
    -0.44254
  • Upside SD
    0.17111
  • Downside SD
    0.07698
  • N nonnegative terms
    167.00000
  • N negative terms
    138.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    305.00000
  • Mean of predictor
    0.23688
  • Mean of criterion
    0.76277
  • SD of predictor
    0.32131
  • SD of criterion
    0.18191
  • Covariance
    0.00459
  • r
    0.07851
  • b (slope, estimate of beta)
    0.04445
  • a (intercept, estimate of alpha)
    0.75200
  • Mean Square Error
    0.03300
  • DF error
    303.00000
  • t(b)
    1.37079
  • p(b)
    0.08573
  • t(a)
    4.46338
  • p(a)
    0.00001
  • Lowerbound of 95% confidence interval for beta
    -0.01936
  • Upperbound of 95% confidence interval for beta
    0.10825
  • Lowerbound of 95% confidence interval for alpha
    0.42059
  • Upperbound of 95% confidence interval for alpha
    1.08389
  • Treynor index (mean / b)
    17.16110
  • Jensen alpha (a)
    0.75224
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74543
  • SD
    0.17935
  • Sharpe ratio (Glass type estimate)
    4.15620
  • Sharpe ratio (Hedges UMVUE)
    4.14594
  • df
    304.00000
  • t
    4.48431
  • p
    0.00001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.30658
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.99923
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29973
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.99214
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.54437
  • Upside Potential Ratio
    15.24860
  • Upside part of mean
    1.19094
  • Downside part of mean
    -0.44551
  • Upside SD
    0.16758
  • Downside SD
    0.07810
  • N nonnegative terms
    167.00000
  • N negative terms
    138.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    305.00000
  • Mean of predictor
    0.18484
  • Mean of criterion
    0.74543
  • SD of predictor
    0.32371
  • SD of criterion
    0.17935
  • Covariance
    0.00460
  • r
    0.07919
  • b (slope, estimate of beta)
    0.04387
  • a (intercept, estimate of alpha)
    0.73732
  • Mean Square Error
    0.03207
  • DF error
    303.00000
  • t(b)
    1.38271
  • p(b)
    0.08389
  • t(a)
    4.43940
  • p(a)
    0.00001
  • Lowerbound of 95% confidence interval for beta
    -0.01857
  • Upperbound of 95% confidence interval for beta
    0.10631
  • Lowerbound of 95% confidence interval for alpha
    0.41049
  • Upperbound of 95% confidence interval for alpha
    1.06415
  • Treynor index (mean / b)
    16.99040
  • Jensen alpha (a)
    0.73732
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01526
  • Expected Shortfall on VaR
    0.01980
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00354
  • Expected Shortfall on VaR
    0.00787
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    305.00000
  • Minimum
    0.95157
  • Quartile 1
    0.99841
  • Median
    1.00069
  • Quartile 3
    1.00477
  • Maximum
    1.07991
  • Mean of quarter 1
    0.99390
  • Mean of quarter 2
    0.99967
  • Mean of quarter 3
    1.00245
  • Mean of quarter 4
    1.01617
  • Inter Quartile Range
    0.00636
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.02623
  • Mean of outliers low
    0.97749
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.10492
  • Mean of outliers high
    1.02702
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48674
  • VaR(95%) (moments method)
    0.00558
  • Expected Shortfall (moments method)
    0.01255
  • Extreme Value Index (regression method)
    0.55986
  • VaR(95%) (regression method)
    0.00522
  • Expected Shortfall (regression method)
    0.01297
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00296
  • Median
    0.00729
  • Quartile 3
    0.02897
  • Maximum
    0.06350
  • Mean of quarter 1
    0.00155
  • Mean of quarter 2
    0.00549
  • Mean of quarter 3
    0.01483
  • Mean of quarter 4
    0.04087
  • Inter Quartile Range
    0.02601
  • 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)
    -0.08160
  • VaR(95%) (moments method)
    0.04477
  • Expected Shortfall (moments method)
    0.05287
  • Extreme Value Index (regression method)
    0.17131
  • VaR(95%) (regression method)
    0.04401
  • Expected Shortfall (regression method)
    0.05510
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.25437
  • Compounded annual return (geometric extrapolation)
    1.16699
  • Calmar ratio (compounded annual return / max draw down)
    18.37900
  • Compounded annual return / average of 25% largest draw downs
    28.55060
  • Compounded annual return / Expected Shortfall lognormal
    58.92800
  • 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
    0.00217
  • SD
    0.05571
  • Sharpe ratio (Glass type estimate)
    0.03894
  • Sharpe ratio (Hedges UMVUE)
    0.03871
  • df
    130.00000
  • t
    0.02753
  • p
    0.49879
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.73287
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81075
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.73310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81052
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06322
  • Upside Potential Ratio
    9.36148
  • Upside part of mean
    0.32123
  • Downside part of mean
    -0.31907
  • Upside SD
    0.04362
  • Downside SD
    0.03431
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33825
  • Mean of criterion
    0.00217
  • SD of predictor
    0.20223
  • SD of criterion
    0.05571
  • Covariance
    0.00293
  • r
    0.26027
  • b (slope, estimate of beta)
    0.07170
  • a (intercept, estimate of alpha)
    -0.02208
  • Mean Square Error
    0.00292
  • DF error
    129.00000
  • t(b)
    3.06160
  • p(b)
    0.33620
  • t(a)
    -0.28763
  • p(a)
    0.51611
  • Lowerbound of 95% confidence interval for beta
    0.02536
  • Upperbound of 95% confidence interval for beta
    0.11803
  • Lowerbound of 95% confidence interval for alpha
    -0.17399
  • Upperbound of 95% confidence interval for alpha
    0.12982
  • Treynor index (mean / b)
    0.03026
  • Jensen alpha (a)
    -0.02208
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00063
  • SD
    0.05561
  • Sharpe ratio (Glass type estimate)
    0.01139
  • Sharpe ratio (Hedges UMVUE)
    0.01132
  • df
    130.00000
  • t
    0.00805
  • p
    0.49965
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.76042
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78319
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.76049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78313
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01841
  • Upside Potential Ratio
    9.31182
  • Upside part of mean
    0.32026
  • Downside part of mean
    -0.31962
  • Upside SD
    0.04342
  • Downside SD
    0.03439
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31753
  • Mean of criterion
    0.00063
  • SD of predictor
    0.20374
  • SD of criterion
    0.05561
  • Covariance
    0.00296
  • r
    0.26152
  • b (slope, estimate of beta)
    0.07137
  • a (intercept, estimate of alpha)
    -0.02203
  • Mean Square Error
    0.00290
  • DF error
    129.00000
  • t(b)
    3.07736
  • p(b)
    0.33543
  • t(a)
    -0.28779
  • p(a)
    0.51612
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.02549
  • Upperbound of 95% confidence interval for beta
    0.11726
  • Lowerbound of 95% confidence interval for alpha
    -0.17349
  • Upperbound of 95% confidence interval for alpha
    0.12943
  • Treynor index (mean / b)
    0.00887
  • Jensen alpha (a)
    -0.02203
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00563
  • Expected Shortfall on VaR
    0.00706
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00304
  • Expected Shortfall on VaR
    0.00530
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99237
  • Quartile 1
    0.99821
  • Median
    0.99978
  • Quartile 3
    1.00149
  • Maximum
    1.01450
  • Mean of quarter 1
    0.99632
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00061
  • Mean of quarter 4
    1.00445
  • Inter Quartile Range
    0.00328
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.99278
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01071
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15207
  • VaR(95%) (moments method)
    0.00376
  • Expected Shortfall (moments method)
    0.00465
  • Extreme Value Index (regression method)
    -0.07175
  • VaR(95%) (regression method)
    0.00331
  • Expected Shortfall (regression method)
    0.00407
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00246
  • Quartile 1
    0.01887
  • Median
    0.03527
  • Quartile 3
    0.03776
  • Maximum
    0.04026
  • Mean of quarter 1
    0.00246
  • Mean of quarter 2
    0.03527
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04026
  • Inter Quartile Range
    0.01890
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -286303000
  • Max Equity Drawdown (num days)
    23
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02874
  • Compounded annual return (geometric extrapolation)
    0.02895
  • Calmar ratio (compounded annual return / max draw down)
    0.71916
  • Compounded annual return / average of 25% largest draw downs
    0.71916
  • Compounded annual return / Expected Shortfall lognormal
    4.10202

Strategy Description

Summary Statistics

Strategy began
2019-10-02
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 8.3%
Rank # 
#55
# Trades
206
# Profitable
115
% Profitable
55.8%
Net Dividends
Correlation S&P500
0.120
Sharpe Ratio
2.97
Sortino Ratio
6.13
Beta
0.07
Alpha
0.18
Leverage
1.16 Average
12.98 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.