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

Stock dow
(121637339)

Created by: EvanFoster EvanFoster
Started: 12/2018
Stocks, Futures
Last trade: 5 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 $108.00 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.
189.1%
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.

(15.0%)
Max Drawdown
533
Num Trades
63.6%
Win Trades
3.2 : 1
Profit Factor
90.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             +1.7%+1.7%
2019+3.8%+19.3%+34.2%+27.0%(5.7%)+24.4%+5.7%+6.4%+2.0%                  +184.3%

Model Account Details

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

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

Trading Record

This strategy has placed 201 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/10/19 9:45 SPXL DIREXION DAILY S&P500 BULL 3X LONG 500 51.59 9/10 15:09 51.77 0.16%
Trade id #125289552
Max drawdown($93)
Time9/10/19 11:27
Quant open500
Worst price51.40
Drawdown as % of equity-0.16%
$82
Includes Typical Broker Commissions trade costs of $10.00
9/9/19 10:36 SPXL DIREXION DAILY S&P500 BULL 3X LONG 200 52.78 9/9 12:17 52.47 0.12%
Trade id #125274560
Max drawdown($69)
Time9/9/19 12:17
Quant open200
Worst price52.43
Drawdown as % of equity-0.12%
($65)
Includes Typical Broker Commissions trade costs of $4.00
9/5/19 13:25 SPXL DIREXION DAILY S&P500 BULL 3X LONG 300 52.39 9/6 10:09 52.35 0.08%
Trade id #125235762
Max drawdown($45)
Time9/6/19 0:00
Quant open200
Worst price52.12
Drawdown as % of equity-0.08%
($17)
Includes Typical Broker Commissions trade costs of $6.00
9/4/19 11:35 SPXL DIREXION DAILY S&P500 BULL 3X LONG 500 50.07 9/5 10:29 52.51 0.14%
Trade id #125217585
Max drawdown($81)
Time9/4/19 14:13
Quant open500
Worst price49.91
Drawdown as % of equity-0.14%
$1,207
Includes Typical Broker Commissions trade costs of $10.00
9/3/19 9:33 NUGT DIREXION DAILY GOLD MINERS BUL LONG 100 42.29 9/4 11:34 42.92 0.11%
Trade id #125193804
Max drawdown($63)
Time9/3/19 9:53
Quant open100
Worst price41.65
Drawdown as % of equity-0.11%
$62
Includes Typical Broker Commissions trade costs of $2.00
9/3/19 9:32 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 100 18.62 9/4 11:34 18.06 0.12%
Trade id #125193773
Max drawdown($68)
Time9/4/19 0:00
Quant open100
Worst price17.93
Drawdown as % of equity-0.12%
($58)
Includes Typical Broker Commissions trade costs of $2.00
8/27/19 10:04 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 200 33.52 8/27 11:31 34.44 0.03%
Trade id #125101709
Max drawdown($14)
Time8/27/19 10:07
Quant open100
Worst price33.14
Drawdown as % of equity-0.03%
$181
Includes Typical Broker Commissions trade costs of $4.00
8/6/19 9:51 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 400 18.85 8/13 9:39 19.04 0.27%
Trade id #124789689
Max drawdown($153)
Time8/6/19 9:51
Quant open100
Worst price18.23
Drawdown as % of equity-0.27%
$69
Includes Typical Broker Commissions trade costs of $8.00
8/6/19 10:04 RUSS DIREXION DAILY RUSSIA BEAR 3X LONG 200 11.25 8/13 9:39 11.78 0.03%
Trade id #124790396
Max drawdown($16)
Time8/6/19 10:04
Quant open100
Worst price10.95
Drawdown as % of equity-0.03%
$102
Includes Typical Broker Commissions trade costs of $4.00
8/6/19 10:04 BZQ PROSHARES ULTRASHORT MSCI BRAZ LONG 300 23.59 8/12 9:34 25.00 0.31%
Trade id #124790336
Max drawdown($176)
Time8/6/19 10:04
Quant open100
Worst price22.76
Drawdown as % of equity-0.31%
$415
Includes Typical Broker Commissions trade costs of $6.00
8/7/19 14:28 IAU ISHARES GOLD TRUST LONG 500 14.42 8/9 10:46 14.37 0.12%
Trade id #124820584
Max drawdown($70)
Time8/7/19 14:28
Quant open500
Worst price14.28
Drawdown as % of equity-0.12%
($31)
Includes Typical Broker Commissions trade costs of $10.00
8/6/19 9:53 NUGT DIREXION DAILY GOLD MINERS BUL LONG 100 36.13 8/7 10:04 41.03 0.07%
Trade id #124789797
Max drawdown($42)
Time8/6/19 9:53
Quant open100
Worst price35.70
Drawdown as % of equity-0.07%
$488
Includes Typical Broker Commissions trade costs of $2.00
8/6/19 9:52 EDZ DIREXION DAILY EMRG MKTS BEAR 3X LONG 100 52.76 8/6 11:37 54.00 0.05%
Trade id #124789740
Max drawdown($26)
Time8/6/19 9:52
Quant open100
Worst price52.49
Drawdown as % of equity-0.05%
$123
Includes Typical Broker Commissions trade costs of $2.00
8/1/19 9:56 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,200 31.23 8/2 11:30 31.28 0.66%
Trade id #124715419
Max drawdown($365)
Time8/1/19 9:56
Quant open1,200
Worst price30.93
Drawdown as % of equity-0.66%
$40
Includes Typical Broker Commissions trade costs of $12.00
8/1/19 9:53 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 300 26.33 8/1 14:52 29.81 0.61%
Trade id #124715243
Max drawdown($335)
Time8/1/19 9:53
Quant open300
Worst price25.21
Drawdown as % of equity-0.61%
$1,038
Includes Typical Broker Commissions trade costs of $6.00
8/1/19 9:52 SDOW PROSHARES ULTRAPRO SHORT DOW30 LONG 1,100 46.76 8/1 12:02 46.77 0.22%
Trade id #124715215
Max drawdown($121)
Time8/1/19 9:52
Quant open100
Worst price46.48
Drawdown as % of equity-0.22%
$3
Includes Typical Broker Commissions trade costs of $6.00
7/30/19 9:47 SDOW PROSHARES ULTRAPRO SHORT DOW30 LONG 1,400 46.80 8/1 9:32 47.19 0.31%
Trade id #124675102
Max drawdown($169)
Time7/30/19 9:47
Quant open1,000
Worst price46.40
Drawdown as % of equity-0.31%
$533
Includes Typical Broker Commissions trade costs of $18.00
7/24/19 10:13 NUGT DIREXION DAILY GOLD MINERS BUL LONG 100 35.59 7/25 9:30 34.81 0.56%
Trade id #124592899
Max drawdown($307)
Time7/24/19 10:13
Quant open100
Worst price32.51
Drawdown as % of equity-0.56%
($80)
Includes Typical Broker Commissions trade costs of $2.00
7/24/19 10:07 EDC DIREXION DAILY EMRG MKTS BULL LONG 500 78.25 7/25 9:30 77.67 2.33%
Trade id #124592739
Max drawdown($1,273)
Time7/24/19 10:07
Quant open500
Worst price75.70
Drawdown as % of equity-2.33%
($297)
Includes Typical Broker Commissions trade costs of $10.00
7/16/19 11:12 SLV ISHARES SILVER TRUST LONG 300 14.64 7/19 9:51 15.49 0.06%
Trade id #124477543
Max drawdown($30)
Time7/16/19 11:12
Quant open300
Worst price14.54
Drawdown as % of equity-0.06%
$251
Includes Typical Broker Commissions trade costs of $6.00
7/16/19 11:13 NUGT DIREXION DAILY GOLD MINERS BUL LONG 600 32.13 7/19 9:51 35.60 0.18%
Trade id #124477565
Max drawdown($93)
Time7/16/19 11:13
Quant open100
Worst price28.33
Drawdown as % of equity-0.18%
$2,071
Includes Typical Broker Commissions trade costs of $8.50
7/16/19 11:03 MU MICRON TECHNOLOGY LONG 500 43.66 7/18 13:50 44.50 1%
Trade id #124477355
Max drawdown($529)
Time7/16/19 11:03
Quant open500
Worst price42.60
Drawdown as % of equity-1.00%
$411
Includes Typical Broker Commissions trade costs of $10.00
7/16/19 11:02 F FORD MOTOR LONG 500 10.46 7/18 13:50 10.24 0.26%
Trade id #124477338
Max drawdown($139)
Time7/16/19 11:02
Quant open500
Worst price10.18
Drawdown as % of equity-0.26%
($118)
Includes Typical Broker Commissions trade costs of $10.00
7/16/19 11:01 BABA ALIBABA GROUP HOLDING LIMITED LONG 100 175.37 7/18 13:49 172.79 0.62%
Trade id #124477326
Max drawdown($331)
Time7/16/19 11:01
Quant open100
Worst price172.06
Drawdown as % of equity-0.62%
($260)
Includes Typical Broker Commissions trade costs of $2.00
7/16/19 10:57 EEM ISHARES MSCI EMERGING MARKETS LONG 500 43.15 7/17 14:15 42.87 0.36%
Trade id #124477212
Max drawdown($189)
Time7/16/19 10:57
Quant open500
Worst price42.77
Drawdown as % of equity-0.36%
($152)
Includes Typical Broker Commissions trade costs of $10.00
7/9/19 9:49 UDOW PROSHARES ULTRAPRO DOW30 LONG 500 103.81 7/10 9:48 106.96 0.14%
Trade id #124387170
Max drawdown($74)
Time7/9/19 9:49
Quant open500
Worst price103.66
Drawdown as % of equity-0.14%
$1,566
Includes Typical Broker Commissions trade costs of $10.00
7/3/19 10:10 EDC DIREXION DAILY EMRG MKTS BULL LONG 200 79.07 7/5 9:49 77.56 0.7%
Trade id #124325260
Max drawdown($363)
Time7/3/19 10:10
Quant open200
Worst price77.25
Drawdown as % of equity-0.70%
($305)
Includes Typical Broker Commissions trade costs of $4.00
6/28/19 9:42 NUGT DIREXION DAILY GOLD MINERS BUL LONG 300 26.27 7/3 10:05 27.00 0.98%
Trade id #124266935
Max drawdown($513)
Time6/28/19 9:42
Quant open200
Worst price24.14
Drawdown as % of equity-0.98%
$212
Includes Typical Broker Commissions trade costs of $6.00
6/18/19 12:59 PFE PFIZER LONG 100 43.19 6/28 9:40 43.46 0.14%
Trade id #124129522
Max drawdown($69)
Time6/18/19 12:59
Quant open100
Worst price42.50
Drawdown as % of equity-0.14%
$25
Includes Typical Broker Commissions trade costs of $2.00
6/20/19 14:36 EDC DIREXION DAILY EMRG MKTS BULL LONG 200 78.00 6/28 9:39 78.38 0.83%
Trade id #124170348
Max drawdown($433)
Time6/20/19 14:36
Quant open100
Worst price74.61
Drawdown as % of equity-0.83%
$71
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    12/23/2018
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    265.93
  • Age
    9 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    533
  • # Profitable
    339
  • % Profitable
    63.60%
  • Avg trade duration
    21.9 hours
  • Max peak-to-valley drawdown
    14.99%
  • drawdown period
    May 13, 2019 - May 30, 2019
  • Cumul. Return
    189.1%
  • Avg win
    $190.95
  • Avg loss
    $105.81
  • Model Account Values (Raw)
  • Cash
    $65,211
  • Margin Used
    $0
  • Buying Power
    $65,615
  • Ratios
  • W:L ratio
    3.16:1
  • Sharpe Ratio
    4.96
  • Sortino Ratio
    11.75
  • Calmar Ratio
    32.769
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.05810
  • Return Statistics
  • Ann Return (w trading costs)
    323.1%
  • Ann Return (Compnd, No Fees)
    379.4%
  • 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 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    996
  • Popularity (Last 6 weeks)
    999
  • C2 Score
    990
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $111
  • Avg Win
    $194
  • # Winners
    340
  • # Losers
    193
  • % Winners
    63.8%
  • Frequency
  • Avg Position Time (mins)
    1315.92
  • Avg Position Time (hrs)
    21.93
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    4.94
  • Daily leverage (max)
    27.81
  • Regression
  • Alpha
    0.41
  • Beta
    -0.09
  • Treynor Index
    -4.37
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    2.620
  • Avg(MAE) / Avg(PL) - Winning trades
    0.408
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.346
  • Hold-and-Hope Ratio
    0.379
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.84537
  • SD
    0.49750
  • Sharpe ratio (Glass type estimate)
    3.70926
  • Sharpe ratio (Hedges UMVUE)
    3.29457
  • df
    7.00000
  • t
    3.02860
  • p
    0.00958
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.69593
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.25100
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.84537
  • Downside part of mean
    0.00000
  • Upside SD
    0.70736
  • Downside SD
    0.00000
  • N nonnegative terms
    8.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.31513
  • Mean of criterion
    1.84537
  • SD of predictor
    0.22189
  • SD of criterion
    0.49750
  • Covariance
    -0.00511
  • r
    -0.04631
  • b (slope, estimate of beta)
    -0.10383
  • a (intercept, estimate of alpha)
    1.87809
  • Mean Square Error
    0.28814
  • DF error
    6.00000
  • t(b)
    -0.11355
  • p(b)
    0.54335
  • t(a)
    2.61644
  • p(a)
    0.01989
  • Lowerbound of 95% confidence interval for beta
    -2.34121
  • Upperbound of 95% confidence interval for beta
    2.13356
  • Lowerbound of 95% confidence interval for alpha
    0.12167
  • Upperbound of 95% confidence interval for alpha
    3.63452
  • Treynor index (mean / b)
    -17.77390
  • Jensen alpha (a)
    1.87809
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.63798
  • SD
    0.40557
  • Sharpe ratio (Glass type estimate)
    4.03869
  • Sharpe ratio (Hedges UMVUE)
    3.58717
  • df
    7.00000
  • t
    3.29757
  • p
    0.00658
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.78873
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.13209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53873
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.63561
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.63798
  • Downside part of mean
    0.00000
  • Upside SD
    0.60623
  • Downside SD
    0.00000
  • N nonnegative terms
    8.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.29007
  • Mean of criterion
    1.63798
  • SD of predictor
    0.21511
  • SD of criterion
    0.40557
  • Covariance
    -0.00222
  • r
    -0.02549
  • b (slope, estimate of beta)
    -0.04806
  • a (intercept, estimate of alpha)
    1.65193
  • Mean Square Error
    0.19178
  • DF error
    6.00000
  • t(b)
    -0.06246
  • p(b)
    0.52389
  • t(a)
    2.84355
  • p(a)
    0.01471
  • Lowerbound of 95% confidence interval for beta
    -1.93089
  • Upperbound of 95% confidence interval for beta
    1.83477
  • Lowerbound of 95% confidence interval for alpha
    0.23040
  • Upperbound of 95% confidence interval for alpha
    3.07345
  • Treynor index (mean / b)
    -34.08090
  • Jensen alpha (a)
    1.65193
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05454
  • Expected Shortfall on VaR
    0.09884
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    1.03002
  • Quartile 1
    1.06654
  • Median
    1.10054
  • Quartile 3
    1.20116
  • Maximum
    1.45588
  • Mean of quarter 1
    1.03564
  • Mean of quarter 2
    1.08693
  • Mean of quarter 3
    1.14083
  • Mean of quarter 4
    1.36104
  • Inter Quartile Range
    0.13462
  • 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
    0.12500
  • Mean of outliers high
    1.45588
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    3.05424
  • Compounded annual return (geometric extrapolation)
    4.29038
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    43.40630
  • 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
    1.62371
  • SD
    0.25370
  • Sharpe ratio (Glass type estimate)
    6.40010
  • Sharpe ratio (Hedges UMVUE)
    6.37369
  • df
    182.00000
  • t
    5.34887
  • p
    0.31571
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    3.95653
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.82744
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93884
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.80855
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.12550
  • Upside Potential Ratio
    23.36110
  • Upside part of mean
    2.09273
  • Downside part of mean
    -0.46902
  • Upside SD
    0.25700
  • Downside SD
    0.08958
  • N nonnegative terms
    115.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    183.00000
  • Mean of predictor
    0.33589
  • Mean of criterion
    1.62371
  • SD of predictor
    0.14958
  • SD of criterion
    0.25370
  • Covariance
    -0.00424
  • r
    -0.11182
  • b (slope, estimate of beta)
    -0.18965
  • a (intercept, estimate of alpha)
    1.68700
  • Mean Square Error
    0.06391
  • DF error
    181.00000
  • t(b)
    -1.51383
  • p(b)
    0.57104
  • t(a)
    5.52520
  • p(a)
    0.26410
  • Lowerbound of 95% confidence interval for beta
    -0.43684
  • Upperbound of 95% confidence interval for beta
    0.05754
  • Lowerbound of 95% confidence interval for alpha
    1.08481
  • Upperbound of 95% confidence interval for alpha
    2.29002
  • Treynor index (mean / b)
    -8.56161
  • Jensen alpha (a)
    1.68742
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.58753
  • SD
    0.24851
  • Sharpe ratio (Glass type estimate)
    6.38832
  • Sharpe ratio (Hedges UMVUE)
    6.36196
  • df
    182.00000
  • t
    5.33902
  • p
    0.31601
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    3.94508
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.81533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92743
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.79649
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.46180
  • Upside Potential Ratio
    22.66520
  • Upside part of mean
    2.06059
  • Downside part of mean
    -0.47306
  • Upside SD
    0.25054
  • Downside SD
    0.09091
  • N nonnegative terms
    115.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    183.00000
  • Mean of predictor
    0.32456
  • Mean of criterion
    1.58753
  • SD of predictor
    0.14925
  • SD of criterion
    0.24851
  • Covariance
    -0.00417
  • r
    -0.11230
  • b (slope, estimate of beta)
    -0.18699
  • a (intercept, estimate of alpha)
    1.64822
  • Mean Square Error
    0.06131
  • DF error
    181.00000
  • t(b)
    -1.52049
  • p(b)
    0.57134
  • t(a)
    5.51326
  • p(a)
    0.26452
  • Lowerbound of 95% confidence interval for beta
    -0.42965
  • Upperbound of 95% confidence interval for beta
    0.05567
  • Lowerbound of 95% confidence interval for alpha
    1.05833
  • Upperbound of 95% confidence interval for alpha
    2.23811
  • Treynor index (mean / b)
    -8.48985
  • Jensen alpha (a)
    1.64822
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01901
  • Expected Shortfall on VaR
    0.02527
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00323
  • Expected Shortfall on VaR
    0.00757
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    183.00000
  • Minimum
    0.95681
  • Quartile 1
    0.99948
  • Median
    1.00213
  • Quartile 3
    1.01006
  • Maximum
    1.10698
  • Mean of quarter 1
    0.99306
  • Mean of quarter 2
    1.00053
  • Mean of quarter 3
    1.00545
  • Mean of quarter 4
    1.02615
  • Inter Quartile Range
    0.01058
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02186
  • Mean of outliers low
    0.96874
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.09290
  • Mean of outliers high
    1.04243
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.69856
  • VaR(95%) (moments method)
    0.00527
  • Expected Shortfall (moments method)
    0.02018
  • Extreme Value Index (regression method)
    0.42899
  • VaR(95%) (regression method)
    0.00531
  • Expected Shortfall (regression method)
    0.01188
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00265
  • Median
    0.00708
  • Quartile 3
    0.01552
  • Maximum
    0.12298
  • Mean of quarter 1
    0.00124
  • Mean of quarter 2
    0.00609
  • Mean of quarter 3
    0.01355
  • Mean of quarter 4
    0.05078
  • Inter Quartile Range
    0.01286
  • 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
    0.07949
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.61864
  • VaR(95%) (moments method)
    0.05165
  • Expected Shortfall (moments method)
    0.14675
  • Extreme Value Index (regression method)
    1.36798
  • VaR(95%) (regression method)
    0.07387
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.99299
  • Compounded annual return (geometric extrapolation)
    4.03009
  • Calmar ratio (compounded annual return / max draw down)
    32.76930
  • Compounded annual return / average of 25% largest draw downs
    79.35980
  • Compounded annual return / Expected Shortfall lognormal
    159.49400
  • 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
    1.55323
  • SD
    0.27455
  • Sharpe ratio (Glass type estimate)
    5.65734
  • Sharpe ratio (Hedges UMVUE)
    5.62463
  • df
    130.00000
  • t
    4.00034
  • p
    0.33447
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.79143
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.50285
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76976
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.47951
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.04670
  • Upside Potential Ratio
    20.46580
  • Upside part of mean
    2.11263
  • Downside part of mean
    -0.55940
  • Upside SD
    0.27084
  • Downside SD
    0.10323
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13636
  • Mean of criterion
    1.55323
  • SD of predictor
    0.13691
  • SD of criterion
    0.27455
  • Covariance
    -0.00457
  • r
    -0.12169
  • b (slope, estimate of beta)
    -0.24403
  • a (intercept, estimate of alpha)
    1.58650
  • Mean Square Error
    0.07484
  • DF error
    129.00000
  • t(b)
    -1.39247
  • p(b)
    0.57728
  • t(a)
    4.09297
  • p(a)
    0.28838
  • Lowerbound of 95% confidence interval for beta
    -0.59076
  • Upperbound of 95% confidence interval for beta
    0.10271
  • Lowerbound of 95% confidence interval for alpha
    0.81959
  • Upperbound of 95% confidence interval for alpha
    2.35341
  • Treynor index (mean / b)
    -6.36493
  • Jensen alpha (a)
    1.58650
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.51228
  • SD
    0.26875
  • Sharpe ratio (Glass type estimate)
    5.62713
  • Sharpe ratio (Hedges UMVUE)
    5.59461
  • df
    130.00000
  • t
    3.97898
  • p
    0.33525
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.76211
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.47177
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74060
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.44861
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.42690
  • Upside Potential Ratio
    19.81480
  • Upside part of mean
    2.07706
  • Downside part of mean
    -0.56478
  • Upside SD
    0.26347
  • Downside SD
    0.10482
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12696
  • Mean of criterion
    1.51228
  • SD of predictor
    0.13741
  • SD of criterion
    0.26875
  • Covariance
    -0.00454
  • r
    -0.12285
  • b (slope, estimate of beta)
    -0.24026
  • a (intercept, estimate of alpha)
    1.54278
  • Mean Square Error
    0.07169
  • DF error
    129.00000
  • t(b)
    -1.40593
  • p(b)
    0.57801
  • t(a)
    4.06779
  • p(a)
    0.28949
  • Lowerbound of 95% confidence interval for beta
    -0.57837
  • Upperbound of 95% confidence interval for beta
    0.09785
  • Lowerbound of 95% confidence interval for alpha
    0.79239
  • Upperbound of 95% confidence interval for alpha
    2.29318
  • Treynor index (mean / b)
    -6.29434
  • Jensen alpha (a)
    1.54278
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02131
  • Expected Shortfall on VaR
    0.02806
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00405
  • Expected Shortfall on VaR
    0.00933
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95681
  • Quartile 1
    0.99898
  • Median
    1.00115
  • Quartile 3
    1.00979
  • Maximum
    1.10698
  • Mean of quarter 1
    0.99178
  • Mean of quarter 2
    1.00020
  • Mean of quarter 3
    1.00472
  • Mean of quarter 4
    1.02740
  • Inter Quartile Range
    0.01081
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96874
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.04257
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.73552
  • VaR(95%) (moments method)
    0.00610
  • Expected Shortfall (moments method)
    0.02650
  • Extreme Value Index (regression method)
    0.39847
  • VaR(95%) (regression method)
    0.00669
  • Expected Shortfall (regression method)
    0.01459
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00173
  • Median
    0.00862
  • Quartile 3
    0.01552
  • Maximum
    0.12298
  • Mean of quarter 1
    0.00089
  • Mean of quarter 2
    0.00663
  • Mean of quarter 3
    0.01520
  • Mean of quarter 4
    0.05908
  • Inter Quartile Range
    0.01378
  • 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
    0.12298
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.68204
  • VaR(95%) (moments method)
    0.05837
  • Expected Shortfall (moments method)
    0.20031
  • Extreme Value Index (regression method)
    2.05432
  • VaR(95%) (regression method)
    0.11424
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.31994
  • Compounded annual return (geometric extrapolation)
    3.66546
  • Calmar ratio (compounded annual return / max draw down)
    29.80450
  • Compounded annual return / average of 25% largest draw downs
    62.04180
  • Compounded annual return / Expected Shortfall lognormal
    130.64900

Strategy Description

This system will trade only Stock in the USA market opening period now, no more futures. Risk management: stop loss when the opening positions jump over the warning line.

Summary Statistics

Strategy began
2018-12-23
Suggested Minimum Capital
$60,000
Rank at C2 %
Top 1.0%
Rank # 
#6
# Trades
533
# Profitable
339
% Profitable
63.6%
Net Dividends
Correlation S&P500
-0.058
Sharpe Ratio
4.96
Sortino Ratio
11.75
Beta
-0.09
Alpha
0.41
Leverage
4.94 Average
27.81 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.