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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 10/14/2020
Most recent certification approved 11/16/20 9:30 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 30%
# trading signals issued by system since certification 98
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 89
Percent signals followed since 10/14/2020 90.8%
This information was last updated 12/1/20 9:30 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 10/14/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Alpha Capital Compound
(127924250)

Created by: AlphaCapital AlphaCapital
Started: 03/2020
Stocks
Last trade: Today
Trading style: Equity Sector Rotation 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 $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
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
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).
130.2%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(14.3%)
Max Drawdown
264
Num Trades
75.0%
Win Trades
3.6 : 1
Profit Factor
90.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              (3.6%)+15.5%+9.8%+15.4%+15.0%+4.5%+9.9%+4.6%+17.0%+0.9%+130.2%

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 330 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
11/16/20 9:30 DXCM DEXCOM LONG 29 336.40 12/1 9:30 321.35 0.65%
Trade id #132273753
Max drawdown($736)
Time11/25/20 0:00
Quant open29
Worst price311.01
Drawdown as % of equity-0.65%
($437)
Includes Typical Broker Commissions trade costs of $0.58
11/24/20 9:46 ROL ROLLINS LONG 176 56.61 12/1 9:30 56.94 0.15%
Trade id #132424996
Max drawdown($168)
Time11/27/20 0:00
Quant open176
Worst price55.65
Drawdown as % of equity-0.15%
$54
Includes Typical Broker Commissions trade costs of $3.52
11/24/20 9:40 QCOM QUALCOMM LONG 70 142.13 12/1 9:30 148.79 0.06%
Trade id #132424554
Max drawdown($71)
Time11/24/20 10:16
Quant open70
Worst price141.11
Drawdown as % of equity-0.06%
$465
Includes Typical Broker Commissions trade costs of $1.40
11/24/20 9:32 WDAY WORKDAY LONG 48 207.10 11/30 9:30 223.44 0.08%
Trade id #132423675
Max drawdown($94)
Time11/24/20 9:44
Quant open48
Worst price205.14
Drawdown as % of equity-0.08%
$783
Includes Typical Broker Commissions trade costs of $0.96
11/24/20 9:30 AMGN AMGEN LONG 45 221.56 11/30 9:30 224.33 0.1%
Trade id #132423412
Max drawdown($118)
Time11/25/20 0:00
Quant open45
Worst price218.92
Drawdown as % of equity-0.10%
$124
Includes Typical Broker Commissions trade costs of $0.90
11/17/20 9:32 CPRT COPART LONG 173 115.61 11/27 9:30 114.28 0.58%
Trade id #132297725
Max drawdown($649)
Time11/23/20 0:00
Quant open173
Worst price111.86
Drawdown as % of equity-0.58%
($233)
Includes Typical Broker Commissions trade costs of $3.46
11/20/20 10:28 WOR WORTHINGTON INDUSTRIES LONG 195 51.06 11/24 9:30 52.63 0.08%
Trade id #132371009
Max drawdown($87)
Time11/20/20 11:20
Quant open195
Worst price50.61
Drawdown as % of equity-0.08%
$302
Includes Typical Broker Commissions trade costs of $3.90
11/19/20 9:33 ALGN ALIGN TECHNOLOGY LONG 44 440.95 11/24 9:30 483.01 0.02%
Trade id #132343262
Max drawdown($18)
Time11/19/20 14:00
Quant open22
Worst price439.71
Drawdown as % of equity-0.02%
$1,849
Includes Typical Broker Commissions trade costs of $0.88
11/17/20 9:51 CMI CUMMINS LONG 44 228.09 11/24 9:30 236.54 0.03%
Trade id #132298811
Max drawdown($32)
Time11/17/20 9:59
Quant open44
Worst price227.35
Drawdown as % of equity-0.03%
$371
Includes Typical Broker Commissions trade costs of $0.88
11/17/20 9:34 ATHM AUTOHOME INC LONG 102 98.28 11/23 9:30 99.28 0.09%
Trade id #132298035
Max drawdown($97)
Time11/19/20 0:00
Quant open102
Worst price97.32
Drawdown as % of equity-0.09%
$100
Includes Typical Broker Commissions trade costs of $2.04
11/18/20 9:30 VRSN VERISIGN LONG 102 194.51 11/20 9:30 196.40 0.25%
Trade id #132320641
Max drawdown($282)
Time11/19/20 0:00
Quant open102
Worst price191.74
Drawdown as % of equity-0.25%
$191
Includes Typical Broker Commissions trade costs of $2.04
11/18/20 15:48 POOL POOL LONG 30 324.03 11/20 9:30 336.52 0.07%
Trade id #132330867
Max drawdown($73)
Time11/18/20 15:57
Quant open30
Worst price321.57
Drawdown as % of equity-0.07%
$374
Includes Typical Broker Commissions trade costs of $0.60
11/17/20 9:30 PFE PFIZER LONG 272 36.44 11/19 9:30 36.55 0.15%
Trade id #132297398
Max drawdown($168)
Time11/17/20 15:36
Quant open272
Worst price35.82
Drawdown as % of equity-0.15%
$27
Includes Typical Broker Commissions trade costs of $5.44
11/10/20 9:30 SPLK SPLUNK INC LONG 51 194.15 11/18 9:30 198.65 0.47%
Trade id #132173544
Max drawdown($503)
Time11/10/20 10:42
Quant open51
Worst price184.28
Drawdown as % of equity-0.47%
$229
Includes Typical Broker Commissions trade costs of $1.02
11/12/20 13:12 UA UNDERARMOUR CLASS C LONG 792 12.62 11/17 9:30 13.67 0.14%
Trade id #132228435
Max drawdown($149)
Time11/12/20 14:53
Quant open792
Worst price12.44
Drawdown as % of equity-0.14%
$823
Includes Typical Broker Commissions trade costs of $5.00
11/9/20 9:30 INCY INCYTE LONG 122 83.15 11/17 9:30 83.85 0.29%
Trade id #132148339
Max drawdown($311)
Time11/9/20 9:34
Quant open122
Worst price80.60
Drawdown as % of equity-0.29%
$83
Includes Typical Broker Commissions trade costs of $2.44
11/10/20 9:30 ATVI ACTIVISION BLIZZARD LONG 133 74.72 11/16 9:30 76.36 0.19%
Trade id #132173558
Max drawdown($200)
Time11/10/20 10:01
Quant open133
Worst price73.21
Drawdown as % of equity-0.19%
$215
Includes Typical Broker Commissions trade costs of $2.66
11/12/20 14:41 MHK MOHAWK INDUSTRIES LONG 85 117.16 11/16 9:30 124.88 0.11%
Trade id #132230641
Max drawdown($116)
Time11/12/20 15:11
Quant open85
Worst price115.79
Drawdown as % of equity-0.11%
$654
Includes Typical Broker Commissions trade costs of $1.70
11/10/20 9:45 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 26 380.86 11/13 9:30 426.33 0.35%
Trade id #132174977
Max drawdown($379)
Time11/10/20 10:42
Quant open26
Worst price366.28
Drawdown as % of equity-0.35%
$1,181
Includes Typical Broker Commissions trade costs of $0.52
11/11/20 9:33 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 328 30.48 11/12 9:30 31.17 0.01%
Trade id #132198056
Max drawdown($14)
Time11/11/20 9:39
Quant open328
Worst price30.43
Drawdown as % of equity-0.01%
$220
Includes Typical Broker Commissions trade costs of $6.56
11/4/20 9:41 MOS MOSAIC LONG 617 16.22 11/11 9:30 17.70 0.1%
Trade id #132068985
Max drawdown($106)
Time11/4/20 9:45
Quant open617
Worst price16.05
Drawdown as % of equity-0.10%
$906
Includes Typical Broker Commissions trade costs of $5.00
11/6/20 12:15 VTR VENTAS LONG 245 40.75 11/10 9:30 47.23 0.34%
Trade id #132121299
Max drawdown($364)
Time11/6/20 15:25
Quant open245
Worst price39.26
Drawdown as % of equity-0.34%
$1,584
Includes Typical Broker Commissions trade costs of $4.90
11/4/20 13:30 WAT WATERS LONG 46 213.90 11/9 9:33 229.92 0.05%
Trade id #132077882
Max drawdown($48)
Time11/4/20 15:59
Quant open46
Worst price212.85
Drawdown as % of equity-0.05%
$736
Includes Typical Broker Commissions trade costs of $0.92
11/2/20 9:30 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 22 460.91 11/5 9:30 497.99 0.47%
Trade id #132015164
Max drawdown($460)
Time11/2/20 13:58
Quant open22
Worst price440.00
Drawdown as % of equity-0.47%
$816
Includes Typical Broker Commissions trade costs of $0.44
10/30/20 9:30 DXCM DEXCOM LONG 59 335.29 11/5 9:30 353.82 1.8%
Trade id #131986401
Max drawdown($1,749)
Time11/2/20 0:00
Quant open59
Worst price305.63
Drawdown as % of equity-1.80%
$1,092
Includes Typical Broker Commissions trade costs of $1.18
10/28/20 10:27 GME GAMESTOP LONG 817 12.24 11/4 9:30 11.73 1.53%
Trade id #131945618
Max drawdown($1,535)
Time10/30/20 0:00
Quant open817
Worst price10.36
Drawdown as % of equity-1.53%
($422)
Includes Typical Broker Commissions trade costs of $5.00
10/19/20 10:45 TSLA TESLA INC. LONG 23 434.03 11/4 9:30 430.68 1.26%
Trade id #131768959
Max drawdown($1,263)
Time10/30/20 0:00
Quant open23
Worst price379.11
Drawdown as % of equity-1.26%
($77)
Includes Typical Broker Commissions trade costs of $0.46
10/28/20 9:30 ANSS ANSYS LONG 31 319.71 11/4 9:30 330.22 0.57%
Trade id #131941522
Max drawdown($572)
Time10/30/20 0:00
Quant open31
Worst price301.25
Drawdown as % of equity-0.57%
$325
Includes Typical Broker Commissions trade costs of $0.62
10/28/20 9:30 CTAS CINTAS LONG 31 316.94 11/4 9:30 347.38 0.16%
Trade id #131941500
Max drawdown($162)
Time10/29/20 0:00
Quant open31
Worst price311.69
Drawdown as % of equity-0.16%
$943
Includes Typical Broker Commissions trade costs of $0.62
10/22/20 9:39 CDNS CADENCE DESIGN SYSTEMS LONG 89 111.23 11/4 9:30 117.67 0.47%
Trade id #131839856
Max drawdown($471)
Time10/28/20 0:00
Quant open89
Worst price105.93
Drawdown as % of equity-0.47%
$571
Includes Typical Broker Commissions trade costs of $1.78

Statistics

  • Strategy began
    3/9/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    267.24
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    264
  • # Profitable
    198
  • % Profitable
    75.00%
  • Avg trade duration
    6.9 days
  • Max peak-to-valley drawdown
    14.34%
  • drawdown period
    Sept 03, 2020 - Sept 08, 2020
  • Cumul. Return
    130.2%
  • Avg win
    $472.08
  • Avg loss
    $402.67
  • Model Account Values (Raw)
  • Cash
    $83,689
  • Margin Used
    $0
  • Buying Power
    $82,695
  • Ratios
  • W:L ratio
    3.56:1
  • Sharpe Ratio
    3.21
  • Sortino Ratio
    5.36
  • Calmar Ratio
    23.179
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    96.86%
  • Correlation to SP500
    0.23990
  • Return Percent SP500 (cumu) during strategy life
    33.52%
  • Return Statistics
  • Ann Return (w trading costs)
    207.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    14.120%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.302%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    219.7%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    995
  • Popularity (Last 6 weeks)
    998
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    994
  • Popularity (7 days, Percentile 1000 scale)
    993
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    30%
  • Win / Loss
  • Avg Loss
    $403
  • Avg Win
    $472
  • Sum Trade PL (losers)
    $26,576.000
  • AUM
  • AUM (AutoTrader num accounts)
    53
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $93,472.000
  • # Winners
    198
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    559
  • AUM
  • AUM (AutoTrader live capital)
    4353860
  • Win / Loss
  • # Losers
    66
  • % Winners
    75.0%
  • Frequency
  • Avg Position Time (mins)
    9958.37
  • Avg Position Time (hrs)
    165.97
  • Avg Trade Length
    6.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.30
  • Daily leverage (max)
    2.94
  • Regression
  • Alpha
    0.30
  • Beta
    0.20
  • Treynor Index
    1.61
  • 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)
    3.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.019
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.695
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.157
  • Hold-and-Hope Ratio
    0.501
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.30516
  • SD
    0.36464
  • Sharpe ratio (Glass type estimate)
    3.57931
  • Sharpe ratio (Hedges UMVUE)
    3.17915
  • df
    7.00000
  • t
    2.92249
  • p
    0.01113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47921
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.52554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25760
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.10070
  • Statistics related to Sortino ratio
  • Sortino ratio
    25.68580
  • Upside Potential Ratio
    27.41080
  • Upside part of mean
    1.39281
  • Downside part of mean
    -0.08765
  • Upside SD
    0.50568
  • Downside SD
    0.05081
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.39657
  • Mean of criterion
    1.30516
  • SD of predictor
    0.13245
  • SD of criterion
    0.36464
  • Covariance
    0.02742
  • r
    0.56767
  • b (slope, estimate of beta)
    1.56283
  • a (intercept, estimate of alpha)
    0.68538
  • Mean Square Error
    0.10513
  • DF error
    6.00000
  • t(b)
    1.68903
  • p(b)
    0.07109
  • t(a)
    1.26760
  • p(a)
    0.12596
  • Lowerbound of 95% confidence interval for beta
    -0.70129
  • Upperbound of 95% confidence interval for beta
    3.82695
  • Lowerbound of 95% confidence interval for alpha
    -0.63766
  • Upperbound of 95% confidence interval for alpha
    2.00842
  • Treynor index (mean / b)
    0.83512
  • Jensen alpha (a)
    0.68538
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.19134
  • SD
    0.33045
  • Sharpe ratio (Glass type estimate)
    3.60520
  • Sharpe ratio (Hedges UMVUE)
    3.20215
  • df
    7.00000
  • t
    2.94363
  • p
    0.01080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49686
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.55940
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27372
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.13058
  • Statistics related to Sortino ratio
  • Sortino ratio
    23.09600
  • Upside Potential Ratio
    24.82070
  • Upside part of mean
    1.28031
  • Downside part of mean
    -0.08897
  • Upside SD
    0.45952
  • Downside SD
    0.05158
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.38301
  • Mean of criterion
    1.19134
  • SD of predictor
    0.12770
  • SD of criterion
    0.33045
  • Covariance
    0.02450
  • r
    0.58047
  • b (slope, estimate of beta)
    1.50206
  • a (intercept, estimate of alpha)
    0.61604
  • Mean Square Error
    0.08447
  • DF error
    6.00000
  • t(b)
    1.74613
  • p(b)
    0.06570
  • t(a)
    1.27009
  • p(a)
    0.12554
  • Lowerbound of 95% confidence interval for beta
    -0.60285
  • Upperbound of 95% confidence interval for beta
    3.60697
  • Lowerbound of 95% confidence interval for alpha
    -0.57081
  • Upperbound of 95% confidence interval for alpha
    1.80289
  • Treynor index (mean / b)
    0.79314
  • Jensen alpha (a)
    0.61604
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05600
  • Expected Shortfall on VaR
    0.09233
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01036
  • Expected Shortfall on VaR
    0.02289
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.96814
  • Quartile 1
    1.06560
  • Median
    1.10437
  • Quartile 3
    1.15461
  • Maximum
    1.26258
  • Mean of quarter 1
    0.97078
  • Mean of quarter 2
    1.10013
  • Mean of quarter 3
    1.11679
  • Mean of quarter 4
    1.24735
  • Inter Quartile Range
    0.08900
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02657
  • Quartile 1
    0.02789
  • Median
    0.02922
  • Quartile 3
    0.03054
  • Maximum
    0.03186
  • Mean of quarter 1
    0.02657
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03186
  • Inter Quartile Range
    0.00265
  • 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)
    1.81910
  • Compounded annual return (geometric extrapolation)
    2.29149
  • Calmar ratio (compounded annual return / max draw down)
    71.91480
  • Compounded annual return / average of 25% largest draw downs
    71.91480
  • Compounded annual return / Expected Shortfall lognormal
    24.81910
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.22179
  • SD
    0.30423
  • Sharpe ratio (Glass type estimate)
    4.01604
  • Sharpe ratio (Hedges UMVUE)
    4.00008
  • df
    189.00000
  • t
    3.41999
  • p
    0.34782
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.67408
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.34778
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66347
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.33670
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.92156
  • Upside Potential Ratio
    13.03470
  • Upside part of mean
    2.30087
  • Downside part of mean
    -1.07908
  • Upside SD
    0.25808
  • Downside SD
    0.17652
  • N nonnegative terms
    127.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    190.00000
  • Mean of predictor
    0.46629
  • Mean of criterion
    1.22179
  • SD of predictor
    0.37125
  • SD of criterion
    0.30423
  • Covariance
    0.02699
  • r
    0.23898
  • b (slope, estimate of beta)
    0.19583
  • a (intercept, estimate of alpha)
    1.13000
  • Mean Square Error
    0.08773
  • DF error
    188.00000
  • t(b)
    3.37447
  • p(b)
    0.38051
  • t(a)
    3.24038
  • p(a)
    0.38500
  • Lowerbound of 95% confidence interval for beta
    0.08135
  • Upperbound of 95% confidence interval for beta
    0.31032
  • Lowerbound of 95% confidence interval for alpha
    0.44227
  • Upperbound of 95% confidence interval for alpha
    1.81868
  • Treynor index (mean / b)
    6.23891
  • Jensen alpha (a)
    1.13047
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.17320
  • SD
    0.30356
  • Sharpe ratio (Glass type estimate)
    3.86473
  • Sharpe ratio (Hedges UMVUE)
    3.84938
  • df
    189.00000
  • t
    3.29114
  • p
    0.35313
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.52554
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.19406
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51534
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.18342
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.48136
  • Upside Potential Ratio
    12.53180
  • Upside part of mean
    2.26839
  • Downside part of mean
    -1.09519
  • Upside SD
    0.25329
  • Downside SD
    0.18101
  • N nonnegative terms
    127.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    190.00000
  • Mean of predictor
    0.39684
  • Mean of criterion
    1.17320
  • SD of predictor
    0.37371
  • SD of criterion
    0.30356
  • Covariance
    0.02729
  • r
    0.24054
  • b (slope, estimate of beta)
    0.19539
  • a (intercept, estimate of alpha)
    1.09566
  • Mean Square Error
    0.08728
  • DF error
    188.00000
  • t(b)
    3.39791
  • p(b)
    0.37973
  • t(a)
    3.15140
  • p(a)
    0.38800
  • Lowerbound of 95% confidence interval for beta
    0.08196
  • Upperbound of 95% confidence interval for beta
    0.30882
  • Lowerbound of 95% confidence interval for alpha
    0.40982
  • Upperbound of 95% confidence interval for alpha
    1.78150
  • Treynor index (mean / b)
    6.00438
  • Jensen alpha (a)
    1.09566
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02603
  • Expected Shortfall on VaR
    0.03361
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00692
  • Expected Shortfall on VaR
    0.01598
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    190.00000
  • Minimum
    0.91792
  • Quartile 1
    0.99714
  • Median
    1.00210
  • Quartile 3
    1.01233
  • Maximum
    1.06007
  • Mean of quarter 1
    0.98409
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00628
  • Mean of quarter 4
    1.02830
  • Inter Quartile Range
    0.01520
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.03684
  • Mean of outliers low
    0.95619
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.06842
  • Mean of outliers high
    1.04596
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02844
  • VaR(95%) (moments method)
    0.00965
  • Expected Shortfall (moments method)
    0.01411
  • Extreme Value Index (regression method)
    0.18295
  • VaR(95%) (regression method)
    0.01716
  • Expected Shortfall (regression method)
    0.02966
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00433
  • Median
    0.01022
  • Quartile 3
    0.03222
  • Maximum
    0.09631
  • Mean of quarter 1
    0.00239
  • Mean of quarter 2
    0.00750
  • Mean of quarter 3
    0.02223
  • Mean of quarter 4
    0.06563
  • Inter Quartile Range
    0.02789
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.08917
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.18359
  • VaR(95%) (moments method)
    0.06524
  • Expected Shortfall (moments method)
    0.06550
  • Extreme Value Index (regression method)
    -0.92650
  • VaR(95%) (regression method)
    0.08089
  • Expected Shortfall (regression method)
    0.08792
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.84986
  • Compounded annual return (geometric extrapolation)
    2.23231
  • Calmar ratio (compounded annual return / max draw down)
    23.17880
  • Compounded annual return / average of 25% largest draw downs
    34.01320
  • Compounded annual return / Expected Shortfall lognormal
    66.42790
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.36403
  • SD
    0.29111
  • Sharpe ratio (Glass type estimate)
    4.68558
  • Sharpe ratio (Hedges UMVUE)
    4.65849
  • df
    130.00000
  • t
    3.31320
  • p
    0.36048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.84736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.50655
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82944
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.48755
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.01831
  • Upside Potential Ratio
    14.06610
  • Upside part of mean
    2.39284
  • Downside part of mean
    -1.02881
  • Upside SD
    0.24952
  • Downside SD
    0.17011
  • N nonnegative terms
    89.00000
  • N negative terms
    42.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.39030
  • Mean of criterion
    1.36403
  • SD of predictor
    0.20131
  • SD of criterion
    0.29111
  • Covariance
    0.02678
  • r
    0.45699
  • b (slope, estimate of beta)
    0.66084
  • a (intercept, estimate of alpha)
    1.10611
  • Mean Square Error
    0.06757
  • DF error
    129.00000
  • t(b)
    5.83542
  • p(b)
    0.21954
  • t(a)
    2.98741
  • p(a)
    0.33982
  • Lowerbound of 95% confidence interval for beta
    0.43678
  • Upperbound of 95% confidence interval for beta
    0.88490
  • Lowerbound of 95% confidence interval for alpha
    0.37355
  • Upperbound of 95% confidence interval for alpha
    1.83867
  • Treynor index (mean / b)
    2.06409
  • Jensen alpha (a)
    1.10611
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.31864
  • SD
    0.29087
  • Sharpe ratio (Glass type estimate)
    4.53344
  • Sharpe ratio (Hedges UMVUE)
    4.50723
  • df
    130.00000
  • t
    3.20562
  • p
    0.36467
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.69914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.35100
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68180
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.33266
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.55158
  • Upside Potential Ratio
    13.52910
  • Upside part of mean
    2.36244
  • Downside part of mean
    -1.04379
  • Upside SD
    0.24516
  • Downside SD
    0.17462
  • N nonnegative terms
    89.00000
  • N negative terms
    42.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36972
  • Mean of criterion
    1.31864
  • SD of predictor
    0.20284
  • SD of criterion
    0.29087
  • Covariance
    0.02700
  • r
    0.45770
  • b (slope, estimate of beta)
    0.65634
  • a (intercept, estimate of alpha)
    1.07599
  • Mean Square Error
    0.06740
  • DF error
    129.00000
  • t(b)
    5.84688
  • p(b)
    0.21914
  • t(a)
    2.91209
  • p(a)
    0.34353
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    0.43424
  • Upperbound of 95% confidence interval for beta
    0.87843
  • Lowerbound of 95% confidence interval for alpha
    0.34494
  • Upperbound of 95% confidence interval for alpha
    1.80703
  • Treynor index (mean / b)
    2.00909
  • Jensen alpha (a)
    1.07599
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02423
  • Expected Shortfall on VaR
    0.03150
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00642
  • Expected Shortfall on VaR
    0.01497
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91792
  • Quartile 1
    0.99692
  • Median
    1.00509
  • Quartile 3
    1.01311
  • Maximum
    1.06007
  • Mean of quarter 1
    0.98474
  • Mean of quarter 2
    1.00134
  • Mean of quarter 3
    1.00788
  • Mean of quarter 4
    1.02695
  • Inter Quartile Range
    0.01619
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.95628
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.04651
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16523
  • VaR(95%) (moments method)
    0.01103
  • Expected Shortfall (moments method)
    0.01763
  • Extreme Value Index (regression method)
    0.12610
  • VaR(95%) (regression method)
    0.01681
  • Expected Shortfall (regression method)
    0.02739
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00357
  • Median
    0.00761
  • Quartile 3
    0.02797
  • Maximum
    0.09631
  • Mean of quarter 1
    0.00203
  • Mean of quarter 2
    0.00581
  • Mean of quarter 3
    0.01396
  • Mean of quarter 4
    0.06079
  • Inter Quartile Range
    0.02440
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.08309
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.15317
  • VaR(95%) (moments method)
    0.05866
  • Expected Shortfall (moments method)
    0.07388
  • Extreme Value Index (regression method)
    0.23835
  • VaR(95%) (regression method)
    0.08020
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.12892
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -278730000
  • Max Equity Drawdown (num days)
    5
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.86696
  • Compounded annual return (geometric extrapolation)
    2.73835
  • Calmar ratio (compounded annual return / max draw down)
    28.43310
  • Compounded annual return / average of 25% largest draw downs
    45.04500
  • Compounded annual return / Expected Shortfall lognormal
    86.91820

Strategy Description

This system uses a very unique two stage filtration system. The first filter calculates, compares and then ranks the entire universe of stocks against one another to find the STRONGEST stocks in the Index using a distinct set of parameters. The second filter, is looking for a timing trigger to enter at just the right time to catch the explosive move up.

Average hold period is around 3 days.

This system holds a max of 15 positions. I allocate 10k per position.

Scale your account accordingly or contact me with questions.

Summary Statistics

Strategy began
2020-03-09
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 0.6%
Rank # 
#4
# Trades
264
# Profitable
198
% Profitable
75.0%
Net Dividends
Correlation S&P500
0.240
Sharpe Ratio
3.21
Sortino Ratio
5.36
Beta
0.20
Alpha
0.30
Leverage
1.30 Average
2.94 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.