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This is an archived track record. This track record was archived on 12/8/22 15:25 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Alpha Hedge Equity
(133894526)

Created by: ZuriqueCapital ZuriqueCapital
Started: 02/2021
Stocks
Last trade: 479 days ago
Trading style: Equity Trend-following

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $80.00 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.
-6.2%
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.

(29.7%)
Max Drawdown
85
Num Trades
40.0%
Win Trades
0.8 : 1
Profit Factor
26.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021       (2.7%)+0.9%+3.8%+1.2%(3.5%)(1.3%)(0.8%)(6.9%)+10.6%+5.0%(1.1%)+4.3%
2022(3%)(0.2%)+0.2%(2.2%)+1.9%(8.4%)(10%)+4.7%+16.7%(6.7%)(6.5%)+0.3%(14.8%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

System developer has asked us to delay this information by 120 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/30/22 9:35 SDS PROSHARES ULTRASHORT S&P500 LONG 493 50.75 12/5 9:55 48.91 15.85%
Trade id #140916081
Max drawdown($6,214)
Time8/16/22 0:00
Quant open493
Worst price38.15
Drawdown as % of equity-15.85%
($918)
Includes Typical Broker Commissions trade costs of $9.86
5/2/22 9:44 EUM PROSHARES SHORT MSCI EMERGING LONG 2,586 15.43 11/11 9:30 15.91 0.61%
Trade id #140332246
Max drawdown($307)
Time6/6/22 0:00
Quant open731
Worst price13.91
Drawdown as % of equity-0.61%
$1,239
Includes Typical Broker Commissions trade costs of $12.50
10/11/22 10:57 RVPH REVIVA PHARMACEUTICALS HOLDINGS INC LONG 518 3.20 10/13 9:49 3.41 0.34%
Trade id #142122337
Max drawdown($165)
Time10/12/22 0:00
Quant open518
Worst price2.88
Drawdown as % of equity-0.34%
$104
Includes Typical Broker Commissions trade costs of $5.00
9/14/22 10:43 STEM STEM INC LONG 156 17.08 10/13 9:31 11.83 1.68%
Trade id #141784932
Max drawdown($820)
Time10/13/22 9:31
Quant open156
Worst price11.82
Drawdown as % of equity-1.68%
($822)
Includes Typical Broker Commissions trade costs of $3.12
8/16/22 13:32 KDNY CHINOOK THERAPEUTICS INC LONG 85 22.11 10/10 13:02 18.43 0.65%
Trade id #141437309
Max drawdown($315)
Time10/10/22 13:02
Quant open85
Worst price18.40
Drawdown as % of equity-0.65%
($315)
Includes Typical Broker Commissions trade costs of $1.70
8/16/22 13:36 STNG SCORPIO TANKERS LONG 35 39.27 9/23 13:41 39.27 0.11%
Trade id #141437347
Max drawdown($41)
Time8/19/22 0:00
Quant open35
Worst price38.08
Drawdown as % of equity-0.11%
($1)
Includes Typical Broker Commissions trade costs of $0.70
3/7/22 15:15 BTAL AGF US MARKET NEUT ANTI-BETA LONG 79 19.30 8/3 9:46 19.39 0.21%
Trade id #139683843
Max drawdown($108)
Time3/30/22 0:00
Quant open79
Worst price17.93
Drawdown as % of equity-0.21%
$5
Includes Typical Broker Commissions trade costs of $1.58
4/4/22 9:44 RLY SPDR SSGA MULTI-ASSET REAL RET LONG 693 31.17 6/23 13:03 27.77 5.09%
Trade id #140015915
Max drawdown($2,356)
Time6/23/22 13:03
Quant open693
Worst price27.77
Drawdown as % of equity-5.09%
($2,361)
Includes Typical Broker Commissions trade costs of $5.00
1/5/22 9:32 FXZ FIRST TRUST MATERIALS ALPHADEX LONG 292 70.37 6/13 10:17 63.38 4.18%
Trade id #138825215
Max drawdown($2,045)
Time6/13/22 10:17
Quant open292
Worst price63.36
Drawdown as % of equity-4.18%
($2,046)
Includes Typical Broker Commissions trade costs of $5.84
12/22/21 9:39 FTXR FIRST TRUST NASDAQ TRANSPORTATION ETF LONG 79 33.51 2/23/22 15:49 30.56 0.46%
Trade id #138664337
Max drawdown($233)
Time2/23/22 15:49
Quant open79
Worst price30.56
Drawdown as % of equity-0.46%
($235)
Includes Typical Broker Commissions trade costs of $1.58
11/29/21 9:40 ITB I SHARES US HOME CONSTRUCTION LONG 50 77.07 1/24/22 9:33 68.02 0.92%
Trade id #138374823
Max drawdown($464)
Time1/24/22 9:30
Quant open50
Worst price67.79
Drawdown as % of equity-0.92%
($454)
Includes Typical Broker Commissions trade costs of $1.00
12/23/21 11:56 DWAS INVESCO DWA SMALLCAP MOMENTUM ETF LONG 24 89.09 1/18/22 9:51 84.11 0.27%
Trade id #138684938
Max drawdown($140)
Time1/10/22 0:00
Quant open24
Worst price83.24
Drawdown as % of equity-0.27%
($120)
Includes Typical Broker Commissions trade costs of $0.48
12/21/21 12:15 CGW INVESCO S&P GLOBAL WATER IN LONG 52 58.38 1/18/22 9:41 55.33 0.31%
Trade id #138654939
Max drawdown($158)
Time1/18/22 9:41
Quant open52
Worst price55.33
Drawdown as % of equity-0.31%
($159)
Includes Typical Broker Commissions trade costs of $1.04
11/1/21 9:40 APRN BLUE APRON HOLDINGS INC. CLASS A LONG 282 9.44 12/10 11:38 9.48 1.11%
Trade id #138026497
Max drawdown($597)
Time11/9/21 0:00
Quant open282
Worst price7.32
Drawdown as % of equity-1.11%
$5
Includes Typical Broker Commissions trade costs of $5.64
10/7/21 9:54 PANW PALO ALTO NETWORKS LONG 21 495.93 12/3 11:42 519.51 0.72%
Trade id #137710376
Max drawdown($352)
Time10/26/21 0:00
Quant open21
Worst price479.16
Drawdown as % of equity-0.72%
$495
Includes Typical Broker Commissions trade costs of $0.42
10/19/21 9:30 CWST CASELLA WASTE SYSTEMS LONG 108 81.29 11/26 10:02 87.01 0.11%
Trade id #137870048
Max drawdown($52)
Time10/19/21 9:46
Quant open108
Worst price80.80
Drawdown as % of equity-0.11%
$616
Includes Typical Broker Commissions trade costs of $2.16
9/22/21 10:19 SMTC SEMTECH LONG 85 79.50 11/26 9:30 88.50 1.03%
Trade id #137477165
Max drawdown($476)
Time10/13/21 0:00
Quant open85
Worst price73.89
Drawdown as % of equity-1.03%
$763
Includes Typical Broker Commissions trade costs of $1.70
2/22/21 10:56 OUT OUTFRONT MEDIA INC LONG 19 22.25 11/26 9:30 26.42 0.09%
Trade id #134194563
Max drawdown($44)
Time2/26/21 0:00
Quant open19
Worst price19.93
Drawdown as % of equity-0.09%
$79
Includes Typical Broker Commissions trade costs of $0.38
10/25/21 10:03 QCRH QCR HOLDINGS LONG 258 53.40 11/26 9:30 56.99 0.81%
Trade id #137941119
Max drawdown($394)
Time10/27/21 0:00
Quant open258
Worst price51.87
Drawdown as % of equity-0.81%
$921
Includes Typical Broker Commissions trade costs of $5.16
10/8/21 9:56 SIG SIGNET JEWELERS LONG 52 88.51 11/26 9:30 100.00 1.17%
Trade id #137727244
Max drawdown($534)
Time10/12/21 0:00
Quant open52
Worst price78.23
Drawdown as % of equity-1.17%
$596
Includes Typical Broker Commissions trade costs of $1.04
9/27/21 11:14 XLY SPDR CONSUMER DISCRET SELECT LONG 138 185.61 11/26 9:30 206.00 2.2%
Trade id #137544876
Max drawdown($1,017)
Time10/6/21 0:00
Quant open138
Worst price178.24
Drawdown as % of equity-2.20%
$2,811
Includes Typical Broker Commissions trade costs of $2.76
11/1/21 11:04 MGIC MAGIC SOFTWARE LONG 309 22.10 11/24 9:35 21.10 0.79%
Trade id #138029001
Max drawdown($423)
Time11/24/21 9:35
Quant open309
Worst price20.73
Drawdown as % of equity-0.79%
($315)
Includes Typical Broker Commissions trade costs of $6.18
9/27/21 15:18 ARLP ALLIANCE RESOURCE PARTNER LONG 629 10.14 11/9 9:45 11.10 0.39%
Trade id #137548856
Max drawdown($176)
Time9/29/21 0:00
Quant open629
Worst price9.86
Drawdown as % of equity-0.39%
$599
Includes Typical Broker Commissions trade costs of $5.00
10/15/21 9:46 PEBO PEOPLES BANCORP LONG 233 32.93 10/27 15:37 31.32 0.8%
Trade id #137823489
Max drawdown($389)
Time10/27/21 15:37
Quant open233
Worst price31.26
Drawdown as % of equity-0.80%
($380)
Includes Typical Broker Commissions trade costs of $4.66
9/22/21 11:37 MSGS MADISON SQUARE GARDEN SPORTS CORP LONG 48 185.63 10/22 10:04 181.12 0.45%
Trade id #137479564
Max drawdown($216)
Time10/22/21 10:04
Quant open48
Worst price181.12
Drawdown as % of equity-0.45%
($217)
Includes Typical Broker Commissions trade costs of $0.96
8/10/21 11:54 AON AON LONG 4 267.36 10/4 14:54 284.12 0%
Trade id #136903750
Max drawdown($1)
Time8/10/21 13:25
Quant open4
Worst price266.94
Drawdown as % of equity-0.00%
$67
Includes Typical Broker Commissions trade costs of $0.08
8/5/21 16:00 FPEI FIRST TRUST ETF III LONG 85 20.82 9/28 11:43 20.65 0.03%
Trade id #136848312
Max drawdown($14)
Time8/26/21 0:00
Quant open85
Worst price20.65
Drawdown as % of equity-0.03%
($16)
Includes Typical Broker Commissions trade costs of $1.70
8/20/21 9:43 POWI POWER INTEGRATIONS LONG 31 99.99 9/28 9:51 103.12 0.07%
Trade id #137055063
Max drawdown($35)
Time8/20/21 11:04
Quant open31
Worst price98.85
Drawdown as % of equity-0.07%
$96
Includes Typical Broker Commissions trade costs of $0.62
2/24/21 10:01 WELL WELLTOWER INC LONG 7 72.25 9/24 13:03 83.39 0.07%
Trade id #134252654
Max drawdown($33)
Time3/2/21 0:00
Quant open7
Worst price67.41
Drawdown as % of equity-0.07%
$78
Includes Typical Broker Commissions trade costs of $0.14
2/8/21 9:30 HYD VANECK VECTORS HIGH-YIELD MUNI LONG 39 62.78 9/23 11:22 62.95 0.13%
Trade id #133908531
Max drawdown($65)
Time2/26/21 0:00
Quant open39
Worst price61.09
Drawdown as % of equity-0.13%
$6
Includes Typical Broker Commissions trade costs of $0.78

Statistics

  • Strategy began
    2/7/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1139.69
  • Age
    38 months ago
  • What it trades
    Stocks
  • # Trades
    85
  • # Profitable
    34
  • % Profitable
    40.00%
  • Avg trade duration
    73.3 days
  • Max peak-to-valley drawdown
    29.74%
  • drawdown period
    Nov 22, 2021 - Aug 16, 2022
  • Annual Return (Compounded)
    -6.2%
  • Avg win
    $369.85
  • Avg loss
    $326.29
  • Model Account Values (Raw)
  • Cash
    $47,221
  • Margin Used
    $0
  • Buying Power
    $47,221
  • Ratios
  • W:L ratio
    0.83:1
  • Sharpe Ratio
    -0.39
  • Sortino Ratio
    -0.52
  • Calmar Ratio
    -0.11
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -13.00%
  • Correlation to SP500
    -0.03100
  • Return Percent SP500 (cumu) during strategy life
    35.03%
  • Return Statistics
  • Ann Return (w trading costs)
    -6.2%
  • Slump
  • Current Slump as Pcnt Equity
    24.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.74%
  • 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)
    -0.062%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    86.00%
  • Chance of 20% account loss
    45.50%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    489
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $326
  • Avg Win
    $370
  • Sum Trade PL (losers)
    $16,641.000
  • Age
  • Num Months filled monthly returns table
    38
  • Win / Loss
  • Sum Trade PL (winners)
    $12,575.000
  • # Winners
    34
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    1285
  • Win / Loss
  • # Losers
    51
  • % Winners
    40.0%
  • Frequency
  • Avg Position Time (mins)
    105489.00
  • Avg Position Time (hrs)
    1758.15
  • Avg Trade Length
    73.3 days
  • Last Trade Ago
    474
  • Leverage
  • Daily leverage (average)
    0.95
  • Daily leverage (max)
    2.04
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.02
  • Treynor Index
    0.71
  • 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)
    0.43
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -5.670
  • 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
    0.16
  • Avg(MAE) / Avg(PL) - Winning trades
    0.469
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.309
  • Hold-and-Hope Ratio
    -0.175
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02680
  • SD
    0.21047
  • Sharpe ratio (Glass type estimate)
    -0.12732
  • Sharpe ratio (Hedges UMVUE)
    -0.12248
  • df
    20.00000
  • t
    -0.16843
  • p
    0.51882
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60787
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35633
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60456
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35960
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20502
  • Upside Potential Ratio
    1.80527
  • Upside part of mean
    0.23596
  • Downside part of mean
    -0.26275
  • Upside SD
    0.15863
  • Downside SD
    0.13070
  • N nonnegative terms
    8.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    -0.00147
  • Mean of criterion
    -0.02680
  • SD of predictor
    0.20592
  • SD of criterion
    0.21047
  • Covariance
    -0.01631
  • r
    -0.37642
  • b (slope, estimate of beta)
    -0.38472
  • a (intercept, estimate of alpha)
    -0.02736
  • Mean Square Error
    0.04002
  • DF error
    19.00000
  • t(b)
    -1.77105
  • p(b)
    0.73385
  • t(a)
    -0.18094
  • p(a)
    0.52640
  • Lowerbound of 95% confidence interval for beta
    -0.83938
  • Upperbound of 95% confidence interval for beta
    0.06994
  • Lowerbound of 95% confidence interval for alpha
    -0.34388
  • Upperbound of 95% confidence interval for alpha
    0.28915
  • Treynor index (mean / b)
    0.06965
  • Jensen alpha (a)
    -0.02736
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04734
  • SD
    0.20671
  • Sharpe ratio (Glass type estimate)
    -0.22901
  • Sharpe ratio (Hedges UMVUE)
    -0.22030
  • df
    20.00000
  • t
    -0.30295
  • p
    0.53379
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25706
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70346
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26287
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.34625
  • Upside Potential Ratio
    1.63740
  • Upside part of mean
    0.22386
  • Downside part of mean
    -0.27120
  • Upside SD
    0.14896
  • Downside SD
    0.13672
  • N nonnegative terms
    8.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    -0.02199
  • Mean of criterion
    -0.04734
  • SD of predictor
    0.20872
  • SD of criterion
    0.20671
  • Covariance
    -0.01645
  • r
    -0.38125
  • b (slope, estimate of beta)
    -0.37757
  • a (intercept, estimate of alpha)
    -0.05564
  • Mean Square Error
    0.03844
  • DF error
    19.00000
  • t(b)
    -1.79759
  • p(b)
    0.73669
  • t(a)
    -0.37523
  • p(a)
    0.55453
  • Lowerbound of 95% confidence interval for beta
    -0.81719
  • Upperbound of 95% confidence interval for beta
    0.06205
  • Lowerbound of 95% confidence interval for alpha
    -0.36600
  • Upperbound of 95% confidence interval for alpha
    0.25472
  • Treynor index (mean / b)
    0.12538
  • Jensen alpha (a)
    -0.05564
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09706
  • Expected Shortfall on VaR
    0.11908
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05752
  • Expected Shortfall on VaR
    0.09819
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.87678
  • Quartile 1
    0.96838
  • Median
    0.99597
  • Quartile 3
    1.01036
  • Maximum
    1.15447
  • Mean of quarter 1
    0.94161
  • Mean of quarter 2
    0.98429
  • Mean of quarter 3
    1.00486
  • Mean of quarter 4
    1.08132
  • Inter Quartile Range
    0.04198
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04762
  • Mean of outliers low
    0.87678
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    1.13985
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15127
  • VaR(95%) (moments method)
    0.06495
  • Expected Shortfall (moments method)
    0.09320
  • Extreme Value Index (regression method)
    0.29224
  • VaR(95%) (regression method)
    0.06720
  • Expected Shortfall (regression method)
    0.10479
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01706
  • Quartile 1
    0.05680
  • Median
    0.09654
  • Quartile 3
    0.15551
  • Maximum
    0.21447
  • Mean of quarter 1
    0.01706
  • Mean of quarter 2
    0.09654
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21447
  • Inter Quartile Range
    0.09870
  • 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)
    -0.01911
  • Compounded annual return (geometric extrapolation)
    -0.01924
  • Calmar ratio (compounded annual return / max draw down)
    -0.08973
  • Compounded annual return / average of 25% largest draw downs
    -0.08973
  • Compounded annual return / Expected Shortfall lognormal
    -0.16161
  • 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
    -0.04944
  • SD
    0.14031
  • Sharpe ratio (Glass type estimate)
    -0.35236
  • Sharpe ratio (Hedges UMVUE)
    -0.35181
  • df
    477.00000
  • t
    -0.47594
  • p
    0.68283
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80346
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09900
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09942
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.48400
  • Upside Potential Ratio
    7.43934
  • Upside part of mean
    0.75990
  • Downside part of mean
    -0.80934
  • Upside SD
    0.09602
  • Downside SD
    0.10215
  • N nonnegative terms
    238.00000
  • N negative terms
    240.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    478.00000
  • Mean of predictor
    -0.00242
  • Mean of criterion
    -0.04944
  • SD of predictor
    0.19692
  • SD of criterion
    0.14031
  • Covariance
    -0.00080
  • r
    -0.02884
  • b (slope, estimate of beta)
    -0.02055
  • a (intercept, estimate of alpha)
    -0.04600
  • Mean Square Error
    0.01971
  • DF error
    476.00000
  • t(b)
    -0.62948
  • p(b)
    0.73533
  • t(a)
    -0.47612
  • p(a)
    0.68290
  • Lowerbound of 95% confidence interval for beta
    -0.08470
  • Upperbound of 95% confidence interval for beta
    0.04360
  • Lowerbound of 95% confidence interval for alpha
    -0.25373
  • Upperbound of 95% confidence interval for alpha
    0.15475
  • Treynor index (mean / b)
    2.40585
  • Jensen alpha (a)
    -0.04949
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05927
  • SD
    0.14040
  • Sharpe ratio (Glass type estimate)
    -0.42216
  • Sharpe ratio (Hedges UMVUE)
    -0.42150
  • df
    477.00000
  • t
    -0.57022
  • p
    0.71560
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.87327
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.02934
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87280
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02981
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57517
  • Upside Potential Ratio
    7.32931
  • Upside part of mean
    0.75526
  • Downside part of mean
    -0.81453
  • Upside SD
    0.09521
  • Downside SD
    0.10305
  • N nonnegative terms
    238.00000
  • N negative terms
    240.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    478.00000
  • Mean of predictor
    -0.02179
  • Mean of criterion
    -0.05927
  • SD of predictor
    0.19707
  • SD of criterion
    0.14040
  • Covariance
    -0.00076
  • r
    -0.02730
  • b (slope, estimate of beta)
    -0.01945
  • a (intercept, estimate of alpha)
    -0.05969
  • Mean Square Error
    0.01974
  • DF error
    476.00000
  • t(b)
    -0.59581
  • p(b)
    0.72421
  • t(a)
    -0.57390
  • p(a)
    0.71684
  • Lowerbound of 95% confidence interval for beta
    -0.08359
  • Upperbound of 95% confidence interval for beta
    0.04469
  • Lowerbound of 95% confidence interval for alpha
    -0.26408
  • Upperbound of 95% confidence interval for alpha
    0.14469
  • Treynor index (mean / b)
    3.04765
  • Jensen alpha (a)
    -0.05969
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01439
  • Expected Shortfall on VaR
    0.01795
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00714
  • Expected Shortfall on VaR
    0.01394
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    478.00000
  • Minimum
    0.97066
  • Quartile 1
    0.99644
  • Median
    1.00008
  • Quartile 3
    1.00383
  • Maximum
    1.02741
  • Mean of quarter 1
    0.98934
  • Mean of quarter 2
    0.99856
  • Mean of quarter 3
    1.00164
  • Mean of quarter 4
    1.01014
  • Inter Quartile Range
    0.00740
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.06904
  • Mean of outliers low
    0.98050
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.04603
  • Mean of outliers high
    1.02101
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02826
  • VaR(95%) (moments method)
    0.00901
  • Expected Shortfall (moments method)
    0.01223
  • Extreme Value Index (regression method)
    -0.25127
  • VaR(95%) (regression method)
    0.01029
  • Expected Shortfall (regression method)
    0.01299
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00069
  • Quartile 1
    0.01680
  • Median
    0.03914
  • Quartile 3
    0.08639
  • Maximum
    0.26069
  • Mean of quarter 1
    0.00371
  • Mean of quarter 2
    0.03300
  • Mean of quarter 3
    0.05147
  • Mean of quarter 4
    0.19101
  • Inter Quartile Range
    0.06959
  • 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
    0.14286
  • Mean of outliers high
    0.26069
  • 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)
    -0.03048
  • Compounded annual return (geometric extrapolation)
    -0.03088
  • Calmar ratio (compounded annual return / max draw down)
    -0.11844
  • Compounded annual return / average of 25% largest draw downs
    -0.16165
  • Compounded annual return / Expected Shortfall lognormal
    -1.72019
  • 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
    -0.23250
  • SD
    0.18285
  • Sharpe ratio (Glass type estimate)
    -1.27155
  • Sharpe ratio (Hedges UMVUE)
    -1.26420
  • df
    130.00000
  • t
    -0.89912
  • p
    0.53931
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.04525
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.04027
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51186
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.74346
  • Upside Potential Ratio
    7.38161
  • Upside part of mean
    0.98440
  • Downside part of mean
    -1.21690
  • Upside SD
    0.12490
  • Downside SD
    0.13336
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07412
  • Mean of criterion
    -0.23250
  • SD of predictor
    0.25081
  • SD of criterion
    0.18285
  • Covariance
    -0.02365
  • r
    -0.51570
  • b (slope, estimate of beta)
    -0.37597
  • a (intercept, estimate of alpha)
    -0.26037
  • Mean Square Error
    0.02473
  • DF error
    129.00000
  • t(b)
    -6.83651
  • p(b)
    0.81311
  • t(a)
    -1.17050
  • p(a)
    0.56515
  • Lowerbound of 95% confidence interval for beta
    -0.48478
  • Upperbound of 95% confidence interval for beta
    -0.26716
  • Lowerbound of 95% confidence interval for alpha
    -0.70048
  • Upperbound of 95% confidence interval for alpha
    0.17974
  • Treynor index (mean / b)
    0.61841
  • Jensen alpha (a)
    -0.26037
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.24918
  • SD
    0.18283
  • Sharpe ratio (Glass type estimate)
    -1.36290
  • Sharpe ratio (Hedges UMVUE)
    -1.35502
  • df
    130.00000
  • t
    -0.96372
  • p
    0.54211
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.13712
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41639
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.13172
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42167
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.85140
  • Upside Potential Ratio
    7.25614
  • Upside part of mean
    0.97659
  • Downside part of mean
    -1.22577
  • Upside SD
    0.12367
  • Downside SD
    0.13459
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10529
  • Mean of criterion
    -0.24918
  • SD of predictor
    0.25055
  • SD of criterion
    0.18283
  • Covariance
    -0.02355
  • r
    -0.51416
  • b (slope, estimate of beta)
    -0.37519
  • a (intercept, estimate of alpha)
    -0.28868
  • Mean Square Error
    0.02478
  • DF error
    129.00000
  • t(b)
    -6.80869
  • p(b)
    0.81227
  • t(a)
    -1.29630
  • p(a)
    0.57204
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.48422
  • Upperbound of 95% confidence interval for beta
    -0.26617
  • Lowerbound of 95% confidence interval for alpha
    -0.72929
  • Upperbound of 95% confidence interval for alpha
    0.15193
  • Treynor index (mean / b)
    0.66413
  • Jensen alpha (a)
    -0.28868
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01934
  • Expected Shortfall on VaR
    0.02395
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01152
  • Expected Shortfall on VaR
    0.02036
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97185
  • Quartile 1
    0.99289
  • Median
    0.99908
  • Quartile 3
    1.00478
  • Maximum
    1.02697
  • Mean of quarter 1
    0.98530
  • Mean of quarter 2
    0.99654
  • Mean of quarter 3
    1.00143
  • Mean of quarter 4
    1.01367
  • Inter Quartile Range
    0.01190
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97209
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02530
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.13475
  • VaR(95%) (moments method)
    0.01483
  • Expected Shortfall (moments method)
    0.01859
  • Extreme Value Index (regression method)
    -0.31527
  • VaR(95%) (regression method)
    0.01342
  • Expected Shortfall (regression method)
    0.01565
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.10887
  • Quartile 1
    0.13500
  • Median
    0.16113
  • Quartile 3
    0.18726
  • Maximum
    0.21339
  • Mean of quarter 1
    0.10887
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21339
  • Inter Quartile Range
    0.05226
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -319753000
  • Max Equity Drawdown (num days)
    267
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.20947
  • Compounded annual return (geometric extrapolation)
    -0.19850
  • Calmar ratio (compounded annual return / max draw down)
    -0.93021
  • Compounded annual return / average of 25% largest draw downs
    -0.93021
  • Compounded annual return / Expected Shortfall lognormal
    -8.28826

Strategy Description

What to expect:

Every Week, we run scans over 10,000 stocks to find those who are with the strongets uptrend power.

The system only does long positions and cuts losses quickly.

We trade Stocks, REITS and ETFs of Stocks, Bonds, Commodities, ADRs and Global,

FAQ:

Does this system need to be auto-traded?

No. All signals will be sent on sundays, so you should have time to enter the trades manually in the morning before the market opens.

Do you short stocks?

No. We only use long positions.

Do you use leverage?

No.

Do you use stops?

Yes, just after the long position is filled, we put the stop order.

How has the system performed during backtesting?

The system follow rules based on a mechanical, bur manually applied strategy that I have developed through 8 years of intensive study.

What will happen during bear markets?

Where can I get more information?

Follow me on Instagram @agenteinveste

Summary Statistics

Strategy began
2021-02-07
Suggested Minimum Capital
$15,000
# Trades
85
# Profitable
34
% Profitable
40.0%
Net Dividends
Correlation S&P500
-0.031
Sharpe Ratio
-0.39
Sortino Ratio
-0.52
Beta
-0.02
Alpha
-0.01
Leverage
0.95 Average
2.04 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.