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USTX-SHUN
(123334826)

Created by: mka mka
Started: 04/2019
Stocks
Last trade: 10 days ago

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 $200.00 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.

15.8%
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.

(15.8%)
Max Drawdown
59
Num Trades
55.9%
Win Trades
2.3 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     +3.3%(14.4%)+23.1%+1.9%+5.9%+0.1%                  +17.5%

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 36 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/20/19 9:46 TLT ISHARES 20+ YEAR TREASURY BOND LONG 215 145.51 8/29 13:41 147.42 0.77%
Trade id #125001819
Max drawdown($446)
Time8/23/19 0:00
Quant open215
Worst price143.43
Drawdown as % of equity-0.77%
$408
Includes Typical Broker Commissions trade costs of $4.30
8/20/19 9:46 COST COSTCO WHOLESALE LONG 4 275.68 8/28 10:37 297.62 0.02%
Trade id #125001807
Max drawdown($11)
Time8/23/19 0:00
Quant open4
Worst price272.70
Drawdown as % of equity-0.02%
$88
Includes Typical Broker Commissions trade costs of $0.08
7/30/19 11:06 QCOM QUALCOMM LONG 28 72.22 8/28 10:37 74.51 0.1%
Trade id #124677971
Max drawdown($57)
Time8/7/19 0:00
Quant open10
Worst price67.12
Drawdown as % of equity-0.10%
$63
Includes Typical Broker Commissions trade costs of $0.56
8/6/19 14:54 SO SOUTHERN LONG 143 57.86 8/28 10:37 58.05 0.01%
Trade id #124797509
Max drawdown($6)
Time8/7/19 0:00
Quant open12
Worst price56.28
Drawdown as % of equity-0.01%
$25
Includes Typical Broker Commissions trade costs of $2.86
7/30/19 11:06 DIS WALT DISNEY LONG 17 142.70 8/28 10:37 135.32 0.31%
Trade id #124677977
Max drawdown($177)
Time8/7/19 0:00
Quant open17
Worst price132.26
Drawdown as % of equity-0.31%
($125)
Includes Typical Broker Commissions trade costs of $0.34
8/20/19 9:46 FB FACEBOOK LONG 5 185.25 8/28 10:37 181.28 0.07%
Trade id #125001809
Max drawdown($42)
Time8/23/19 0:00
Quant open5
Worst price176.66
Drawdown as % of equity-0.07%
($20)
Includes Typical Broker Commissions trade costs of $0.10
8/23/19 13:11 TUR ISHARES MSCI TURKEY INVEST MKT LONG 203 24.25 8/28 10:37 23.84 0.17%
Trade id #125063852
Max drawdown($101)
Time8/27/19 0:00
Quant open203
Worst price23.75
Drawdown as % of equity-0.17%
($87)
Includes Typical Broker Commissions trade costs of $4.06
7/30/19 11:06 NEE NEXTERA ENERGY LONG 25 213.89 8/23 13:04 218.89 0.08%
Trade id #124677973
Max drawdown($44)
Time7/31/19 0:00
Quant open9
Worst price206.21
Drawdown as % of equity-0.08%
$125
Includes Typical Broker Commissions trade costs of $0.50
8/20/19 9:46 TGT TARGET LONG 20 86.57 8/23 13:02 104.37 0.04%
Trade id #125001811
Max drawdown($20)
Time8/20/19 16:00
Quant open20
Worst price85.54
Drawdown as % of equity-0.04%
$356
Includes Typical Broker Commissions trade costs of $0.40
7/30/19 11:06 MDT MEDTRONIC PLC LONG 70 101.93 8/20 9:46 107.97 0.16%
Trade id #124677975
Max drawdown($90)
Time8/15/19 0:00
Quant open70
Worst price100.63
Drawdown as % of equity-0.16%
$422
Includes Typical Broker Commissions trade costs of $1.40
8/13/19 13:26 KO COCA-COLA LONG 26 53.27 8/20 9:46 54.27 0.01%
Trade id #124912155
Max drawdown($7)
Time8/14/19 0:00
Quant open26
Worst price52.97
Drawdown as % of equity-0.01%
$25
Includes Typical Broker Commissions trade costs of $0.52
7/30/19 11:06 MCD MCDONALD'S LONG 18 217.03 8/20 9:46 218.86 0.07%
Trade id #124677958
Max drawdown($39)
Time7/31/19 0:00
Quant open8
Worst price209.37
Drawdown as % of equity-0.07%
$33
Includes Typical Broker Commissions trade costs of $0.36
8/6/19 14:54 TLT ISHARES 20+ YEAR TREASURY BOND LONG 235 139.42 8/13 13:26 142.69 0.61%
Trade id #124797519
Max drawdown($338)
Time8/6/19 14:54
Quant open235
Worst price137.98
Drawdown as % of equity-0.61%
$763
Includes Typical Broker Commissions trade costs of $4.70
7/30/19 11:06 ACN ACCENTURE LONG 3 197.07 8/6 14:54 188.64 0.07%
Trade id #124677956
Max drawdown($38)
Time7/30/19 11:06
Quant open3
Worst price184.23
Drawdown as % of equity-0.07%
($25)
Includes Typical Broker Commissions trade costs of $0.06
7/30/19 11:06 TGT TARGET LONG 3 86.53 8/6 14:54 83.09 0.04%
Trade id #124677964
Max drawdown($19)
Time7/30/19 11:06
Quant open3
Worst price80.03
Drawdown as % of equity-0.04%
($10)
Includes Typical Broker Commissions trade costs of $0.06
7/30/19 11:06 FB FACEBOOK LONG 3 197.00 8/6 14:54 185.00 0.1%
Trade id #124677962
Max drawdown($52)
Time7/30/19 11:06
Quant open3
Worst price179.34
Drawdown as % of equity-0.10%
($36)
Includes Typical Broker Commissions trade costs of $0.06
7/30/19 11:06 GLD SPDR GOLD SHARES LONG 300 134.81 8/6 14:54 138.71 1.36%
Trade id #124677979
Max drawdown($751)
Time7/30/19 11:06
Quant open300
Worst price132.31
Drawdown as % of equity-1.36%
$1,164
Includes Typical Broker Commissions trade costs of $6.00
7/23/19 15:47 KO COCA-COLA LONG 69 54.41 8/6 14:54 53.74 0.21%
Trade id #124584149
Max drawdown($116)
Time7/23/19 15:47
Quant open69
Worst price52.72
Drawdown as % of equity-0.21%
($47)
Includes Typical Broker Commissions trade costs of $1.38
7/23/19 15:47 ABBV ABBVIE INC LONG 14 67.85 7/30 11:07 67.21 0.04%
Trade id #124584161
Max drawdown($22)
Time7/23/19 15:47
Quant open14
Worst price66.26
Drawdown as % of equity-0.04%
($9)
Includes Typical Broker Commissions trade costs of $0.28
7/23/19 15:47 GE GENERAL ELECTRIC LONG 85 10.63 7/30 11:07 10.38 0.05%
Trade id #124584143
Max drawdown($29)
Time7/23/19 15:47
Quant open85
Worst price10.28
Drawdown as % of equity-0.05%
($23)
Includes Typical Broker Commissions trade costs of $1.70
6/18/19 15:33 CVS CVS HEALTH CORP LONG 261 54.63 7/30 11:06 55.73 0.02%
Trade id #124132471
Max drawdown($9)
Time6/18/19 15:33
Quant open5
Worst price52.76
Drawdown as % of equity-0.02%
$281
Includes Typical Broker Commissions trade costs of $5.22
7/23/19 15:47 OXY OCCIDENTAL PETROLEUM LONG 70 51.78 7/30 11:06 50.73 0.19%
Trade id #124584155
Max drawdown($103)
Time7/23/19 15:47
Quant open70
Worst price50.30
Drawdown as % of equity-0.19%
($75)
Includes Typical Broker Commissions trade costs of $1.40
7/23/19 15:47 SO SOUTHERN LONG 217 55.47 7/30 11:06 55.83 0.14%
Trade id #124584153
Max drawdown($80)
Time7/23/19 15:47
Quant open217
Worst price55.10
Drawdown as % of equity-0.14%
$74
Includes Typical Broker Commissions trade costs of $4.34
7/23/19 15:47 BMY BRISTOL-MYERS SQUIBB LONG 44 43.01 7/30 11:06 44.97 0.03%
Trade id #124584146
Max drawdown($14)
Time7/23/19 15:47
Quant open44
Worst price42.68
Drawdown as % of equity-0.03%
$85
Includes Typical Broker Commissions trade costs of $0.88
6/26/19 11:46 BIIB BIOGEN INC. COMMON STOCK LONG 8 235.71 7/30 11:06 240.82 0.13%
Trade id #124241057
Max drawdown($68)
Time6/26/19 11:46
Quant open8
Worst price227.19
Drawdown as % of equity-0.13%
$41
Includes Typical Broker Commissions trade costs of $0.16
7/23/19 15:47 CL COLGATE-PALMOLIVE LONG 62 72.29 7/30 11:06 75.48 0.13%
Trade id #124584157
Max drawdown($71)
Time7/23/19 15:47
Quant open62
Worst price71.13
Drawdown as % of equity-0.13%
$197
Includes Typical Broker Commissions trade costs of $1.24
6/18/19 15:33 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 1,380 31.10 7/30 11:06 31.77 2.47%
Trade id #124132475
Max drawdown($1,101)
Time6/18/19 15:33
Quant open1,279
Worst price30.24
Drawdown as % of equity-2.47%
$916
Includes Typical Broker Commissions trade costs of $10.61
6/18/19 15:33 HAL HALLIBURTON LONG 918 22.65 7/30 11:06 23.10 1.49%
Trade id #124132473
Max drawdown($664)
Time6/18/19 15:33
Quant open466
Worst price21.22
Drawdown as % of equity-1.49%
$395
Includes Typical Broker Commissions trade costs of $13.86
7/23/19 15:47 SPG SIMON PROPERTY GROUP LONG 40 158.35 7/30 11:06 160.19 0.11%
Trade id #124584151
Max drawdown($62)
Time7/23/19 15:47
Quant open40
Worst price156.80
Drawdown as % of equity-0.11%
$73
Includes Typical Broker Commissions trade costs of $0.80
6/26/19 11:46 SPG SIMON PROPERTY GROUP LONG 66 160.14 7/10 15:41 163.82 0.2%
Trade id #124241062
Max drawdown($110)
Time6/26/19 11:46
Quant open59
Worst price157.84
Drawdown as % of equity-0.20%
$242
Includes Typical Broker Commissions trade costs of $1.32

Statistics

  • Strategy began
    4/16/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    151.72
  • Age
    152 days ago
  • What it trades
    Stocks
  • # Trades
    59
  • # Profitable
    33
  • % Profitable
    55.90%
  • Avg trade duration
    20.7 days
  • Max peak-to-valley drawdown
    15.81%
  • drawdown period
    May 01, 2019 - May 31, 2019
  • Cumul. Return
    15.8%
  • Avg win
    $490.97
  • Avg loss
    $295.62
  • Model Account Values (Raw)
  • Cash
    $32,834
  • Margin Used
    $0
  • Buying Power
    $32,310
  • Ratios
  • W:L ratio
    2.27:1
  • Sharpe Ratio
    1.57
  • Sortino Ratio
    3.64
  • Calmar Ratio
    4.114
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.16290
  • Return Statistics
  • Ann Return (w trading costs)
    41.3%
  • Ann Return (Compnd, No Fees)
    49.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.00%
  • 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)
    402
  • Popularity (Last 6 weeks)
    890
  • C2 Score
    964
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $302
  • Avg Win
    $498
  • # Winners
    33
  • # Losers
    26
  • % Winners
    55.9%
  • Frequency
  • Avg Position Time (mins)
    29734.80
  • Avg Position Time (hrs)
    495.58
  • Avg Trade Length
    20.6 days
  • Last Trade Ago
    10
  • Leverage
  • Daily leverage (average)
    1.05
  • Daily leverage (max)
    1.87
  • Regression
  • Alpha
    0.11
  • Beta
    0.25
  • Treynor Index
    0.45
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    1.894
  • Avg(MAE) / Avg(PL) - Winning trades
    0.315
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.371
  • Hold-and-Hope Ratio
    0.543
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54802
  • SD
    0.41437
  • Sharpe ratio (Glass type estimate)
    1.32253
  • Sharpe ratio (Hedges UMVUE)
    0.95698
  • df
    3.00000
  • t
    0.76356
  • p
    0.25034
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.76943
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52306
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43703
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.23945
  • Upside Potential Ratio
    4.97150
  • Upside part of mean
    0.84103
  • Downside part of mean
    -0.29301
  • Upside SD
    0.35382
  • Downside SD
    0.16917
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.03625
  • Mean of criterion
    0.54802
  • SD of predictor
    0.10154
  • SD of criterion
    0.41437
  • Covariance
    0.00061
  • r
    0.01445
  • b (slope, estimate of beta)
    0.05899
  • a (intercept, estimate of alpha)
    0.55016
  • Mean Square Error
    0.25750
  • DF error
    2.00000
  • t(b)
    0.02044
  • p(b)
    0.49277
  • t(a)
    0.62156
  • p(a)
    0.29882
  • Lowerbound of 95% confidence interval for beta
    -12.35620
  • Upperbound of 95% confidence interval for beta
    12.47410
  • Lowerbound of 95% confidence interval for alpha
    -3.25823
  • Upperbound of 95% confidence interval for alpha
    4.35855
  • Treynor index (mean / b)
    9.29059
  • Jensen alpha (a)
    0.55016
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47546
  • SD
    0.39837
  • Sharpe ratio (Glass type estimate)
    1.19351
  • Sharpe ratio (Hedges UMVUE)
    0.86363
  • df
    3.00000
  • t
    0.68907
  • p
    0.27014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.40769
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62131
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.60075
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32800
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.67749
  • Upside Potential Ratio
    4.40954
  • Upside part of mean
    0.78303
  • Downside part of mean
    -0.30757
  • Upside SD
    0.32608
  • Downside SD
    0.17758
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.04011
  • Mean of criterion
    0.47546
  • SD of predictor
    0.10194
  • SD of criterion
    0.39837
  • Covariance
    -0.00127
  • r
    -0.03123
  • b (slope, estimate of beta)
    -0.12206
  • a (intercept, estimate of alpha)
    0.47057
  • Mean Square Error
    0.23782
  • DF error
    2.00000
  • t(b)
    -0.04419
  • p(b)
    0.51562
  • t(a)
    0.55238
  • p(a)
    0.31809
  • Lowerbound of 95% confidence interval for beta
    -12.00600
  • Upperbound of 95% confidence interval for beta
    11.76190
  • Lowerbound of 95% confidence interval for alpha
    -3.19484
  • Upperbound of 95% confidence interval for alpha
    4.13597
  • Treynor index (mean / b)
    -3.89537
  • Jensen alpha (a)
    0.47057
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13889
  • Expected Shortfall on VaR
    0.17856
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03467
  • Expected Shortfall on VaR
    0.07643
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.90466
  • Quartile 1
    0.98837
  • Median
    1.04840
  • Quartile 3
    1.10803
  • Maximum
    1.19053
  • Mean of quarter 1
    0.90466
  • Mean of quarter 2
    1.01627
  • Mean of quarter 3
    1.08053
  • Mean of quarter 4
    1.19053
  • Inter Quartile Range
    0.11967
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.09534
  • Quartile 1
    0.09534
  • Median
    0.09534
  • Quartile 3
    0.09534
  • Maximum
    0.09534
  • 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)
    0.54806
  • Compounded annual return (geometric extrapolation)
    0.65428
  • Calmar ratio (compounded annual return / max draw down)
    6.86248
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.66423
  • 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
    0.45492
  • SD
    0.21649
  • Sharpe ratio (Glass type estimate)
    2.10141
  • Sharpe ratio (Hedges UMVUE)
    2.08650
  • df
    106.00000
  • t
    1.34292
  • p
    0.43533
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98338
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.17648
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99328
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.16629
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.03396
  • Upside Potential Ratio
    13.36120
  • Upside part of mean
    1.20747
  • Downside part of mean
    -0.75254
  • Upside SD
    0.19761
  • Downside SD
    0.09037
  • N nonnegative terms
    57.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    107.00000
  • Mean of predictor
    0.07098
  • Mean of criterion
    0.45492
  • SD of predictor
    0.14329
  • SD of criterion
    0.21649
  • Covariance
    0.00517
  • r
    0.16656
  • b (slope, estimate of beta)
    0.25164
  • a (intercept, estimate of alpha)
    0.43700
  • Mean Square Error
    0.04600
  • DF error
    105.00000
  • t(b)
    1.73092
  • p(b)
    0.39446
  • t(a)
    1.30167
  • p(a)
    0.41999
  • Lowerbound of 95% confidence interval for beta
    -0.03662
  • Upperbound of 95% confidence interval for beta
    0.53990
  • Lowerbound of 95% confidence interval for alpha
    -0.22871
  • Upperbound of 95% confidence interval for alpha
    1.10283
  • Treynor index (mean / b)
    1.80784
  • Jensen alpha (a)
    0.43706
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43212
  • SD
    0.21070
  • Sharpe ratio (Glass type estimate)
    2.05088
  • Sharpe ratio (Hedges UMVUE)
    2.03634
  • df
    106.00000
  • t
    1.31064
  • p
    0.43686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03322
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.12549
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04284
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.11551
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.74724
  • Upside Potential Ratio
    13.05900
  • Upside part of mean
    1.18871
  • Downside part of mean
    -0.75658
  • Upside SD
    0.19081
  • Downside SD
    0.09103
  • N nonnegative terms
    57.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    107.00000
  • Mean of predictor
    0.06075
  • Mean of criterion
    0.43212
  • SD of predictor
    0.14382
  • SD of criterion
    0.21070
  • Covariance
    0.00529
  • r
    0.17452
  • b (slope, estimate of beta)
    0.25567
  • a (intercept, estimate of alpha)
    0.41659
  • Mean Square Error
    0.04345
  • DF error
    105.00000
  • t(b)
    1.81618
  • p(b)
    0.38946
  • t(a)
    1.27671
  • p(a)
    0.42149
  • Lowerbound of 95% confidence interval for beta
    -0.02346
  • Upperbound of 95% confidence interval for beta
    0.53480
  • Lowerbound of 95% confidence interval for alpha
    -0.23040
  • Upperbound of 95% confidence interval for alpha
    1.06358
  • Treynor index (mean / b)
    1.69014
  • Jensen alpha (a)
    0.41659
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01957
  • Expected Shortfall on VaR
    0.02488
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00638
  • Expected Shortfall on VaR
    0.01225
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    107.00000
  • Minimum
    0.97692
  • Quartile 1
    0.99603
  • Median
    1.00073
  • Quartile 3
    1.00546
  • Maximum
    1.10141
  • Mean of quarter 1
    0.99035
  • Mean of quarter 2
    0.99852
  • Mean of quarter 3
    1.00287
  • Mean of quarter 4
    1.01567
  • Inter Quartile Range
    0.00943
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01869
  • Mean of outliers low
    0.97783
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03738
  • Mean of outliers high
    1.04725
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21200
  • VaR(95%) (moments method)
    0.00932
  • Expected Shortfall (moments method)
    0.01158
  • Extreme Value Index (regression method)
    0.02132
  • VaR(95%) (regression method)
    0.01043
  • Expected Shortfall (regression method)
    0.01446
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00075
  • Quartile 1
    0.00349
  • Median
    0.00622
  • Quartile 3
    0.01522
  • Maximum
    0.14197
  • Mean of quarter 1
    0.00109
  • Mean of quarter 2
    0.00588
  • Mean of quarter 3
    0.01196
  • Mean of quarter 4
    0.06344
  • Inter Quartile Range
    0.01172
  • 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
    0.09091
  • Mean of outliers high
    0.14197
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40534
  • VaR(95%) (moments method)
    0.05763
  • Expected Shortfall (moments method)
    0.12372
  • Extreme Value Index (regression method)
    2.20748
  • VaR(95%) (regression method)
    0.16998
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.50608
  • Compounded annual return (geometric extrapolation)
    0.58412
  • Calmar ratio (compounded annual return / max draw down)
    4.11449
  • Compounded annual return / average of 25% largest draw downs
    9.20757
  • Compounded annual return / Expected Shortfall lognormal
    23.48220

Strategy Description

Summary Statistics

Strategy began
2019-04-16
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 3.6%
Rank # 
#22
# Trades
59
# Profitable
33
% Profitable
55.9%
Net Dividends
Correlation S&P500
0.163
Sharpe Ratio
1.57
Sortino Ratio
3.64
Beta
0.25
Alpha
0.11
Leverage
1.05 Average
1.87 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.