Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

The Candle SP 500
(123139019)

Created by: MourelleInvestments MourelleInvestments
Started: 03/2019
Stocks
Last trade: Today
Trading style: Equity Trend-following 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. You can subscribe to this system for free.

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.
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).
28.4%
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.

(6.1%)
Max Drawdown
26
Num Trades
61.5%
Win Trades
2.9 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                -  +1.8%+2.2%(0.6%)+9.9%+3.0%(1%)+1.7%+4.3%  -  +23.0%
2020+4.4%                                                                  +4.4%

Model Account Details

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

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

Trading Record

This strategy has placed 37 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/23/20 15:54 SSO PROSHARES ULTRA S&P500 LONG 250 159.89 1/24 15:42 156.19 1.62%
Trade id #127192481
Max drawdown($1,054)
Time1/24/20 0:00
Quant open250
Worst price155.67
Drawdown as % of equity-1.62%
($929)
Includes Typical Broker Commissions trade costs of $5.00
1/10/20 14:42 NUGT DIREXION DAILY GOLD MINERS BUL LONG 500 31.41 1/23 14:03 31.93 1.85%
Trade id #126950708
Max drawdown($1,179)
Time1/14/20 0:00
Quant open500
Worst price29.05
Drawdown as % of equity-1.85%
$253
Includes Typical Broker Commissions trade costs of $10.00
1/3/20 9:45 SSO PROSHARES ULTRA S&P500 LONG 300 151.77 1/10 15:31 154.26 1.11%
Trade id #126851603
Max drawdown($720)
Time1/6/20 0:00
Quant open300
Worst price149.37
Drawdown as % of equity-1.11%
$742
Includes Typical Broker Commissions trade costs of $6.00
1/3/20 15:37 DUST DIREXION DAILY GOLD MINERS BEA LONG 3,500 5.75 1/7 12:35 5.53 1.3%
Trade id #126862652
Max drawdown($841)
Time1/6/20 0:00
Quant open2,000
Worst price5.35
Drawdown as % of equity-1.30%
($771)
Includes Typical Broker Commissions trade costs of $7.50
1/3/20 9:34 NUGT DIREXION DAILY GOLD MINERS BUL SHORT 1,000 36.15 1/3 15:51 34.07 0.65%
Trade id #126851075
Max drawdown($399)
Time1/3/20 9:42
Quant open1,000
Worst price36.55
Drawdown as % of equity-0.65%
$2,080
Includes Typical Broker Commissions trade costs of $5.00
12/24/19 11:17 NUGT DIREXION DAILY GOLD MINERS BUL LONG 1,000 34.07 1/3/20 9:34 36.15 0.01%
Trade id #126736368
Max drawdown($8)
Time12/24/19 11:52
Quant open100
Worst price32.15
Drawdown as % of equity-0.01%
$2,078
Includes Typical Broker Commissions trade costs of $6.00
11/20/19 15:27 SDS PROSHARES ULTRASHORT S&P500 LONG 1,150 27.02 12/9 9:30 26.36 1.55%
Trade id #126294409
Max drawdown($954)
Time11/27/19 0:00
Quant open1,150
Worst price26.19
Drawdown as % of equity-1.55%
($764)
Includes Typical Broker Commissions trade costs of $5.00
11/25/19 9:30 SSO PROSHARES ULTRA S&P500 LONG 250 141.11 12/5 10:06 140.10 1.86%
Trade id #126351504
Max drawdown($1,141)
Time12/3/19 0:00
Quant open250
Worst price136.54
Drawdown as % of equity-1.86%
($258)
Includes Typical Broker Commissions trade costs of $5.00
10/25/19 11:49 SSO PROSHARES ULTRA S&P500 LONG 450 132.56 11/21 10:16 139.82 0.53%
Trade id #125952307
Max drawdown($307)
Time10/25/19 14:36
Quant open450
Worst price131.88
Drawdown as % of equity-0.53%
$3,255
Includes Typical Broker Commissions trade costs of $9.00
9/26/19 11:22 QID PROSHARES ULTRASHORT QQQ LONG 1,000 30.28 10/10 9:35 30.34 1.38%
Trade id #125519740
Max drawdown($800)
Time10/1/19 0:00
Quant open1,000
Worst price29.48
Drawdown as % of equity-1.38%
$55
Includes Typical Broker Commissions trade costs of $5.00
9/24/19 13:24 SDS PROSHARES ULTRASHORT S&P500 LONG 1,500 29.97 9/25 15:48 29.28 1.86%
Trade id #125485288
Max drawdown($1,101)
Time9/25/19 0:00
Quant open1,500
Worst price29.24
Drawdown as % of equity-1.86%
($1,051)
Includes Typical Broker Commissions trade costs of $10.00
9/23/19 10:24 SSO PROSHARES ULTRA S&P500 LONG 500 129.55 9/24 12:36 127.92 2.26%
Trade id #125460473
Max drawdown($1,358)
Time9/24/19 0:00
Quant open500
Worst price126.83
Drawdown as % of equity-2.26%
($822)
Includes Typical Broker Commissions trade costs of $10.00
9/5/19 9:30 SSO PROSHARES ULTRA S&P500 LONG 500 128.57 9/19 12:29 131.62 0.29%
Trade id #125230348
Max drawdown($172)
Time9/10/19 0:00
Quant open250
Worst price126.83
Drawdown as % of equity-0.29%
$1,518
Includes Typical Broker Commissions trade costs of $10.00
8/16/19 15:42 SDS PROSHARES ULTRASHORT S&P500 SHORT 1,500 31.36 8/23 10:32 30.90 0.03%
Trade id #124971459
Max drawdown($19)
Time8/16/19 15:46
Quant open1,000
Worst price31.60
Drawdown as % of equity-0.03%
$682
Includes Typical Broker Commissions trade costs of $15.00
8/1/19 15:55 SDS PROSHARES ULTRASHORT S&P500 LONG 1,000 30.55 8/16 15:42 31.58 0.22%
Trade id #124727791
Max drawdown($126)
Time8/1/19 15:55
Quant open1,000
Worst price30.42
Drawdown as % of equity-0.22%
$1,025
Includes Typical Broker Commissions trade costs of $5.00
7/24/19 15:55 TNA DIREXION DAILY SMALL CAP BULL LONG 500 64.04 7/31 14:48 64.09 2.8%
Trade id #124602886
Max drawdown($1,615)
Time7/24/19 15:55
Quant open500
Worst price60.81
Drawdown as % of equity-2.80%
$15
Includes Typical Broker Commissions trade costs of $10.00
7/24/19 15:36 SPXL DIREXION DAILY S&P500 BULL 3X LONG 500 55.33 7/31 14:48 53.49 1.57%
Trade id #124602202
Max drawdown($920)
Time7/31/19 14:48
Quant open500
Worst price53.49
Drawdown as % of equity-1.57%
($930)
Includes Typical Broker Commissions trade costs of $10.00
7/17/19 15:50 NUGT DIREXION DAILY GOLD MINERS BUL LONG 900 31.98 7/23 11:24 35.20 1.82%
Trade id #124505036
Max drawdown($999)
Time7/17/19 15:50
Quant open900
Worst price30.87
Drawdown as % of equity-1.82%
$2,884
Includes Typical Broker Commissions trade costs of $11.50
6/27/19 14:21 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,000 50.74 7/17 10:15 54.49 0.51%
Trade id #124258594
Max drawdown($260)
Time6/27/19 14:21
Quant open1,000
Worst price50.48
Drawdown as % of equity-0.51%
$3,738
Includes Typical Broker Commissions trade costs of $12.50
6/18/19 10:38 QLD PROSHARES ULTRA QQQ LONG 500 96.50 6/25 15:53 94.02 2.49%
Trade id #124126008
Max drawdown($1,305)
Time6/18/19 10:38
Quant open500
Worst price93.89
Drawdown as % of equity-2.49%
($1,250)
Includes Typical Broker Commissions trade costs of $10.00
6/14/19 9:54 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,000 19.65 6/18 10:37 18.71 1.8%
Trade id #124084270
Max drawdown($960)
Time6/18/19 9:51
Quant open1,000
Worst price18.69
Drawdown as % of equity-1.80%
($945)
Includes Typical Broker Commissions trade costs of $5.00
6/12/19 11:10 NUGT DIREXION DAILY GOLD MINERS BUL LONG 1,000 20.46 6/14 13:26 21.10 0.76%
Trade id #124051387
Max drawdown($400)
Time6/12/19 19:46
Quant open1,000
Worst price20.06
Drawdown as % of equity-0.76%
$635
Includes Typical Broker Commissions trade costs of $5.00
6/7/19 15:12 QLD PROSHARES ULTRA QQQ LONG 500 90.17 6/12 9:32 91.60 0.31%
Trade id #123984981
Max drawdown($160)
Time6/7/19 16:01
Quant open500
Worst price89.85
Drawdown as % of equity-0.31%
$705
Includes Typical Broker Commissions trade costs of $10.00
5/7/19 14:26 SDS PROSHARES ULTRASHORT S&P500 LONG 1,000 32.42 6/5 9:30 33.52 1.04%
Trade id #123562928
Max drawdown($530)
Time5/8/19 11:09
Quant open1,000
Worst price31.89
Drawdown as % of equity-1.04%
$1,095
Includes Typical Broker Commissions trade costs of $5.00
4/9/19 9:30 SSO PROSHARES ULTRA S&P500 LONG 400 121.88 4/25 10:32 124.21 0.69%
Trade id #123252301
Max drawdown($341)
Time4/9/19 15:56
Quant open400
Worst price121.03
Drawdown as % of equity-0.69%
$924
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/31/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    302.48
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    26
  • # Profitable
    16
  • % Profitable
    61.50%
  • Avg trade duration
    9.4 days
  • Max peak-to-valley drawdown
    6.06%
  • drawdown period
    June 14, 2019 - June 27, 2019
  • Cumul. Return
    28.4%
  • Avg win
    $1,363
  • Avg loss
    $772.60
  • Model Account Values (Raw)
  • Cash
    $48,389
  • Margin Used
    $0
  • Buying Power
    $48,315
  • Ratios
  • W:L ratio
    2.88:1
  • Sharpe Ratio
    1.69
  • Sortino Ratio
    3.01
  • Calmar Ratio
    7.067
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    13.89%
  • Correlation to SP500
    -0.26400
  • Return Percent SP500 (cumu) during strategy life
    16.27%
  • Return Statistics
  • Ann Return (w trading costs)
    34.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.02%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.284%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    35.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    804
  • Popularity (Last 6 weeks)
    982
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    972
  • Popularity (7 days, Percentile 1000 scale)
    952
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $850
  • Avg Win
    $1,284
  • Sum Trade PL (losers)
    $7,652.000
  • AUM
  • AUM (AutoTrader num accounts)
    10
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $21,833.000
  • # Winners
    17
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    213
  • AUM
  • AUM (AutoTrader live capital)
    488267
  • Win / Loss
  • # Losers
    9
  • % Winners
    65.4%
  • Frequency
  • Avg Position Time (mins)
    13601.00
  • Avg Position Time (hrs)
    226.68
  • Avg Trade Length
    9.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.68
  • Daily leverage (max)
    3.61
  • Regression
  • Alpha
    0.09
  • Beta
    -0.31
  • Treynor Index
    -0.26
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    6.50
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    3.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.46
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.253
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.372
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.259
  • Hold-and-Hope Ratio
    0.801
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31511
  • SD
    0.07634
  • Sharpe ratio (Glass type estimate)
    4.12787
  • Sharpe ratio (Hedges UMVUE)
    3.72624
  • df
    8.00000
  • t
    3.57484
  • p
    0.00362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.04633
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.06988
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81839
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.63408
  • Statistics related to Sortino ratio
  • Sortino ratio
    32.67130
  • Upside Potential Ratio
    34.30410
  • Upside part of mean
    0.33086
  • Downside part of mean
    -0.01575
  • Upside SD
    0.11559
  • Downside SD
    0.00964
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.16054
  • Mean of criterion
    0.31511
  • SD of predictor
    0.10080
  • SD of criterion
    0.07634
  • Covariance
    0.00239
  • r
    0.31058
  • b (slope, estimate of beta)
    0.23520
  • a (intercept, estimate of alpha)
    0.27735
  • Mean Square Error
    0.00602
  • DF error
    7.00000
  • t(b)
    0.86447
  • p(b)
    0.20798
  • t(a)
    2.78308
  • p(a)
    0.01359
  • Lowerbound of 95% confidence interval for beta
    -0.40816
  • Upperbound of 95% confidence interval for beta
    0.87857
  • Lowerbound of 95% confidence interval for alpha
    0.04170
  • Upperbound of 95% confidence interval for alpha
    0.51299
  • Treynor index (mean / b)
    1.33972
  • Jensen alpha (a)
    0.27735
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30787
  • SD
    0.07446
  • Sharpe ratio (Glass type estimate)
    4.13454
  • Sharpe ratio (Hedges UMVUE)
    3.73226
  • df
    8.00000
  • t
    3.58062
  • p
    0.00359
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.05080
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.07868
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82256
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.64197
  • Statistics related to Sortino ratio
  • Sortino ratio
    31.90070
  • Upside Potential Ratio
    33.53350
  • Upside part of mean
    0.32363
  • Downside part of mean
    -0.01576
  • Upside SD
    0.11285
  • Downside SD
    0.00965
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.15474
  • Mean of criterion
    0.30787
  • SD of predictor
    0.09911
  • SD of criterion
    0.07446
  • Covariance
    0.00228
  • r
    0.30839
  • b (slope, estimate of beta)
    0.23170
  • a (intercept, estimate of alpha)
    0.27202
  • Mean Square Error
    0.00573
  • DF error
    7.00000
  • t(b)
    0.85772
  • p(b)
    0.20972
  • t(a)
    2.80668
  • p(a)
    0.01314
  • Lowerbound of 95% confidence interval for beta
    -0.40708
  • Upperbound of 95% confidence interval for beta
    0.87048
  • Lowerbound of 95% confidence interval for alpha
    0.04284
  • Upperbound of 95% confidence interval for alpha
    0.50119
  • Treynor index (mean / b)
    1.32873
  • Jensen alpha (a)
    0.27202
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00965
  • Expected Shortfall on VaR
    0.01848
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00166
  • Expected Shortfall on VaR
    0.00390
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.99633
  • Quartile 1
    1.01864
  • Median
    1.03211
  • Quartile 3
    1.04014
  • Maximum
    1.05637
  • Mean of quarter 1
    1.00383
  • Mean of quarter 2
    1.02884
  • Mean of quarter 3
    1.03800
  • Mean of quarter 4
    1.05605
  • Inter Quartile Range
    0.02150
  • 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)
    -7.82953
  • VaR(95%) (regression method)
    0.11650
  • Expected Shortfall (regression method)
    0.11650
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00348
  • Quartile 1
    0.00353
  • Median
    0.00358
  • Quartile 3
    0.00363
  • Maximum
    0.00367
  • Mean of quarter 1
    0.00348
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00367
  • Inter Quartile Range
    0.00010
  • 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)
    0.38184
  • Compounded annual return (geometric extrapolation)
    0.39903
  • Calmar ratio (compounded annual return / max draw down)
    108.59700
  • Compounded annual return / average of 25% largest draw downs
    108.59700
  • Compounded annual return / Expected Shortfall lognormal
    21.59380
  • 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
    0.30297
  • SD
    0.14679
  • Sharpe ratio (Glass type estimate)
    2.06400
  • Sharpe ratio (Hedges UMVUE)
    2.05647
  • df
    206.00000
  • t
    1.83461
  • p
    0.03400
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15747
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27042
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.71475
  • Upside Potential Ratio
    11.28670
  • Upside part of mean
    0.92052
  • Downside part of mean
    -0.61755
  • Upside SD
    0.12305
  • Downside SD
    0.08156
  • N nonnegative terms
    89.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    207.00000
  • Mean of predictor
    0.13667
  • Mean of criterion
    0.30297
  • SD of predictor
    0.12369
  • SD of criterion
    0.14679
  • Covariance
    -0.00491
  • r
    -0.27017
  • b (slope, estimate of beta)
    -0.32062
  • a (intercept, estimate of alpha)
    0.34700
  • Mean Square Error
    0.02007
  • DF error
    205.00000
  • t(b)
    -4.01761
  • p(b)
    0.99996
  • t(a)
    2.17069
  • p(a)
    0.01555
  • Lowerbound of 95% confidence interval for beta
    -0.47797
  • Upperbound of 95% confidence interval for beta
    -0.16328
  • Lowerbound of 95% confidence interval for alpha
    0.03181
  • Upperbound of 95% confidence interval for alpha
    0.66177
  • Treynor index (mean / b)
    -0.94493
  • Jensen alpha (a)
    0.34679
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29213
  • SD
    0.14597
  • Sharpe ratio (Glass type estimate)
    2.00126
  • Sharpe ratio (Hedges UMVUE)
    1.99396
  • df
    206.00000
  • t
    1.77884
  • p
    0.03837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21460
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21236
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21945
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20737
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.55696
  • Upside Potential Ratio
    11.11640
  • Upside part of mean
    0.91297
  • Downside part of mean
    -0.62084
  • Upside SD
    0.12160
  • Downside SD
    0.08213
  • N nonnegative terms
    89.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    207.00000
  • Mean of predictor
    0.12898
  • Mean of criterion
    0.29213
  • SD of predictor
    0.12414
  • SD of criterion
    0.14597
  • Covariance
    -0.00489
  • r
    -0.26985
  • b (slope, estimate of beta)
    -0.31730
  • a (intercept, estimate of alpha)
    0.33305
  • Mean Square Error
    0.01985
  • DF error
    205.00000
  • t(b)
    -4.01254
  • p(b)
    0.99996
  • t(a)
    2.09672
  • p(a)
    0.01862
  • Lowerbound of 95% confidence interval for beta
    -0.47321
  • Upperbound of 95% confidence interval for beta
    -0.16139
  • Lowerbound of 95% confidence interval for alpha
    0.01987
  • Upperbound of 95% confidence interval for alpha
    0.64623
  • Treynor index (mean / b)
    -0.92066
  • Jensen alpha (a)
    0.33305
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01362
  • Expected Shortfall on VaR
    0.01733
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00587
  • Expected Shortfall on VaR
    0.01153
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    207.00000
  • Minimum
    0.97996
  • Quartile 1
    0.99768
  • Median
    1.00000
  • Quartile 3
    1.00467
  • Maximum
    1.04342
  • Mean of quarter 1
    0.99165
  • Mean of quarter 2
    0.99921
  • Mean of quarter 3
    1.00124
  • Mean of quarter 4
    1.01295
  • Inter Quartile Range
    0.00699
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.06280
  • Mean of outliers low
    0.98374
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.05314
  • Mean of outliers high
    1.02482
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16727
  • VaR(95%) (moments method)
    0.00695
  • Expected Shortfall (moments method)
    0.01091
  • Extreme Value Index (regression method)
    -0.28632
  • VaR(95%) (regression method)
    0.00804
  • Expected Shortfall (regression method)
    0.01021
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00159
  • Quartile 1
    0.00365
  • Median
    0.01410
  • Quartile 3
    0.02027
  • Maximum
    0.05337
  • Mean of quarter 1
    0.00228
  • Mean of quarter 2
    0.00908
  • Mean of quarter 3
    0.01794
  • Mean of quarter 4
    0.03282
  • Inter Quartile Range
    0.01663
  • 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
    0.04762
  • Mean of outliers high
    0.05337
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.09956
  • VaR(95%) (moments method)
    0.03480
  • Expected Shortfall (moments method)
    0.04596
  • Extreme Value Index (regression method)
    0.73417
  • VaR(95%) (regression method)
    0.03873
  • Expected Shortfall (regression method)
    0.11028
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36413
  • Compounded annual return (geometric extrapolation)
    0.37717
  • Calmar ratio (compounded annual return / max draw down)
    7.06690
  • Compounded annual return / average of 25% largest draw downs
    11.49160
  • Compounded annual return / Expected Shortfall lognormal
    21.76500
  • 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
    0.19371
  • SD
    0.13155
  • Sharpe ratio (Glass type estimate)
    1.47255
  • Sharpe ratio (Hedges UMVUE)
    1.46404
  • df
    130.00000
  • t
    1.04125
  • p
    0.45453
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.30781
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24735
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31348
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.24155
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.47731
  • Upside Potential Ratio
    9.74532
  • Upside part of mean
    0.76202
  • Downside part of mean
    -0.56831
  • Upside SD
    0.10584
  • Downside SD
    0.07819
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12461
  • Mean of criterion
    0.19371
  • SD of predictor
    0.12770
  • SD of criterion
    0.13155
  • Covariance
    -0.00444
  • r
    -0.26427
  • b (slope, estimate of beta)
    -0.27224
  • a (intercept, estimate of alpha)
    0.22763
  • Mean Square Error
    0.01622
  • DF error
    129.00000
  • t(b)
    -3.11224
  • p(b)
    0.66626
  • t(a)
    1.26150
  • p(a)
    0.42987
  • Lowerbound of 95% confidence interval for beta
    -0.44531
  • Upperbound of 95% confidence interval for beta
    -0.09917
  • Lowerbound of 95% confidence interval for alpha
    -0.12938
  • Upperbound of 95% confidence interval for alpha
    0.58465
  • Treynor index (mean / b)
    -0.71154
  • Jensen alpha (a)
    0.22763
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18508
  • SD
    0.13104
  • Sharpe ratio (Glass type estimate)
    1.41245
  • Sharpe ratio (Hedges UMVUE)
    1.40429
  • df
    130.00000
  • t
    0.99875
  • p
    0.45637
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36733
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18691
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18134
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35045
  • Upside Potential Ratio
    9.60620
  • Upside part of mean
    0.75642
  • Downside part of mean
    -0.57134
  • Upside SD
    0.10474
  • Downside SD
    0.07874
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11643
  • Mean of criterion
    0.18508
  • SD of predictor
    0.12818
  • SD of criterion
    0.13104
  • Covariance
    -0.00443
  • r
    -0.26379
  • b (slope, estimate of beta)
    -0.26968
  • a (intercept, estimate of alpha)
    0.21648
  • Mean Square Error
    0.01610
  • DF error
    129.00000
  • t(b)
    -3.10615
  • p(b)
    0.66597
  • t(a)
    1.20452
  • p(a)
    0.43299
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.44145
  • Upperbound of 95% confidence interval for beta
    -0.09790
  • Lowerbound of 95% confidence interval for alpha
    -0.13911
  • Upperbound of 95% confidence interval for alpha
    0.57207
  • Treynor index (mean / b)
    -0.68631
  • Jensen alpha (a)
    0.21648
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01253
  • Expected Shortfall on VaR
    0.01586
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00541
  • Expected Shortfall on VaR
    0.01080
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98033
  • Quartile 1
    0.99795
  • Median
    1.00000
  • Quartile 3
    1.00277
  • Maximum
    1.03790
  • Mean of quarter 1
    0.99226
  • Mean of quarter 2
    0.99937
  • Mean of quarter 3
    1.00082
  • Mean of quarter 4
    1.01093
  • Inter Quartile Range
    0.00482
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98609
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.01622
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45004
  • VaR(95%) (moments method)
    0.00731
  • Expected Shortfall (moments method)
    0.01568
  • Extreme Value Index (regression method)
    -0.28052
  • VaR(95%) (regression method)
    0.00724
  • Expected Shortfall (regression method)
    0.00922
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00159
  • Quartile 1
    0.00318
  • Median
    0.01410
  • Quartile 3
    0.01805
  • Maximum
    0.03767
  • Mean of quarter 1
    0.00205
  • Mean of quarter 2
    0.00853
  • Mean of quarter 3
    0.01571
  • Mean of quarter 4
    0.02701
  • Inter Quartile Range
    0.01487
  • 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)
    -0.88568
  • VaR(95%) (moments method)
    0.03102
  • Expected Shortfall (moments method)
    0.03324
  • Extreme Value Index (regression method)
    -0.00648
  • VaR(95%) (regression method)
    0.03550
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.04526
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -252140000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22474
  • Compounded annual return (geometric extrapolation)
    0.23737
  • Calmar ratio (compounded annual return / max draw down)
    6.30189
  • Compounded annual return / average of 25% largest draw downs
    8.78710
  • Compounded annual return / Expected Shortfall lognormal
    14.96620

Strategy Description

Trend following using systematic signals.On average 30 plus trade signals a year on the long side and the same on the short side. It is implemented with two simple ETF,s on the SP 500: Long the market:SPY and SH for going short. Other market index ETF,s are also valid to implement the strategy.Signals may last several months or as short as one day.

Summary Statistics

Strategy began
2019-03-31
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 2.8%
Rank # 
#18
# Trades
26
# Profitable
16
% Profitable
61.5%
Net Dividends
Correlation S&P500
-0.264
Sharpe Ratio
1.69
Sortino Ratio
3.01
Beta
-0.31
Alpha
0.09
Leverage
1.68 Average
3.61 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.