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TX CHEYENNE
(123671839)

Created by: matlihan matlihan
Started: 05/2019
Stocks
Last trade: 125 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 $299.00 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.

13.2%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(16.9%)
Max Drawdown
47
Num Trades
61.7%
Win Trades
2.1 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                            (0.3%)+6.9%+6.0%(7.3%)(6.2%)+4.9%+0.6%+5.0%+8.7%
2020+4.1%                                                                  +4.1%

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 21 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 13:03 CAT CATERPILLAR LONG 79 129.01 9/24 15:09 126.38 0.27%
Trade id #125293508
Max drawdown($271)
Time9/24/19 14:12
Quant open79
Worst price125.57
Drawdown as % of equity-0.27%
($210)
Includes Typical Broker Commissions trade costs of $1.58
9/10/19 13:03 JNJ JOHNSON & JOHNSON LONG 4 129.12 9/24 15:09 131.61 0%
Trade id #125293517
Max drawdown($2)
Time9/10/19 15:03
Quant open4
Worst price128.49
Drawdown as % of equity-0.00%
$10
Includes Typical Broker Commissions trade costs of $0.08
9/3/19 10:25 GLD SPDR GOLD SHARES LONG 348 145.57 9/24 15:09 140.99 1.84%
Trade id #125196524
Max drawdown($1,882)
Time9/10/19 0:00
Quant open348
Worst price140.16
Drawdown as % of equity-1.84%
($1,599)
Includes Typical Broker Commissions trade costs of $6.96
9/3/19 10:25 HD HOME DEPOT LONG 12 225.33 9/10 13:03 232.60 0.05%
Trade id #125196504
Max drawdown($55)
Time9/4/19 0:00
Quant open12
Worst price220.67
Drawdown as % of equity-0.05%
$87
Includes Typical Broker Commissions trade costs of $0.24
8/26/19 11:43 TLT ISHARES 20+ YEAR TREASURY BOND LONG 213 147.31 9/10 13:03 141.92 1.14%
Trade id #125087600
Max drawdown($1,167)
Time9/10/19 11:53
Quant open213
Worst price141.83
Drawdown as % of equity-1.14%
($1,152)
Includes Typical Broker Commissions trade costs of $4.26
8/26/19 11:43 MCD MCDONALD'S LONG 4 216.03 9/10 13:03 215.47 0.01%
Trade id #125087598
Max drawdown($7)
Time9/10/19 10:09
Quant open1
Worst price208.28
Drawdown as % of equity-0.01%
($2)
Includes Typical Broker Commissions trade costs of $0.08
8/26/19 11:43 KO COCA-COLA LONG 76 54.77 9/10 13:03 54.28 0.06%
Trade id #125087592
Max drawdown($61)
Time9/10/19 10:36
Quant open76
Worst price53.97
Drawdown as % of equity-0.06%
($40)
Includes Typical Broker Commissions trade costs of $1.52
9/3/19 10:25 MRK MERCK LONG 43 86.43 9/10 13:03 81.58 0.32%
Trade id #125196522
Max drawdown($325)
Time9/10/19 9:36
Quant open43
Worst price78.85
Drawdown as % of equity-0.32%
($210)
Includes Typical Broker Commissions trade costs of $0.86
9/3/19 10:25 V VISA LONG 10 179.55 9/10 13:03 175.91 0.06%
Trade id #125196511
Max drawdown($57)
Time9/10/19 11:45
Quant open10
Worst price173.81
Drawdown as % of equity-0.06%
($36)
Includes Typical Broker Commissions trade costs of $0.20
8/26/19 11:43 PG PROCTER & GAMBLE LONG 10 119.05 9/10 13:03 120.68 0%
Trade id #125087608
Max drawdown($2)
Time8/26/19 15:42
Quant open10
Worst price118.77
Drawdown as % of equity-0.00%
$16
Includes Typical Broker Commissions trade costs of $0.20
8/26/19 11:43 JPM JPMORGAN CHASE LONG 19 106.45 9/3 10:25 107.83 0.03%
Trade id #125087596
Max drawdown($30)
Time8/27/19 0:00
Quant open19
Worst price104.84
Drawdown as % of equity-0.03%
$26
Includes Typical Broker Commissions trade costs of $0.38
8/26/19 11:43 WMT WALMART INC LONG 8 111.65 9/3 10:25 114.45 0%
Trade id #125087606
Max drawdown($1)
Time8/26/19 14:32
Quant open8
Worst price111.49
Drawdown as % of equity-0.00%
$22
Includes Typical Broker Commissions trade costs of $0.16
8/26/19 11:43 DIS WALT DISNEY LONG 2 133.53 9/3 10:25 135.54 0%
Trade id #125087594
Max drawdown($0)
Time8/26/19 11:46
Quant open2
Worst price133.31
Drawdown as % of equity-0.00%
$4
Includes Typical Broker Commissions trade costs of $0.04
8/26/19 11:43 MSFT MICROSOFT LONG 4 134.97 9/3 10:25 136.13 0.01%
Trade id #125087604
Max drawdown($5)
Time8/28/19 0:00
Quant open4
Worst price133.55
Drawdown as % of equity-0.01%
$5
Includes Typical Broker Commissions trade costs of $0.08
8/26/19 11:43 AXP AMERICAN EXPRESS LONG 7 117.79 9/3 10:25 118.72 0.01%
Trade id #125087602
Max drawdown($6)
Time8/27/19 0:00
Quant open7
Worst price116.85
Drawdown as % of equity-0.01%
$7
Includes Typical Broker Commissions trade costs of $0.14
8/26/19 11:43 GLD SPDR GOLD SHARES LONG 585 144.26 8/29 12:38 144.41 0.2%
Trade id #125087610
Max drawdown($204)
Time8/26/19 13:10
Quant open585
Worst price143.91
Drawdown as % of equity-0.20%
$83
Includes Typical Broker Commissions trade costs of $5.00
8/6/19 9:47 CAT CATERPILLAR LONG 327 119.50 8/23 14:03 114.07 1.74%
Trade id #124789483
Max drawdown($1,815)
Time8/23/19 13:24
Quant open327
Worst price113.95
Drawdown as % of equity-1.74%
($1,783)
Includes Typical Broker Commissions trade costs of $6.54
8/6/19 9:47 PFE PFIZER LONG 934 36.14 8/23 14:03 34.64 1.76%
Trade id #124789492
Max drawdown($1,905)
Time8/15/19 0:00
Quant open830
Worst price33.97
Drawdown as % of equity-1.76%
($1,411)
Includes Typical Broker Commissions trade costs of $11.84
8/13/19 9:30 GE GENERAL ELECTRIC LONG 4,165 8.83 8/23 12:11 7.78 4.13%
Trade id #124904554
Max drawdown($4,439)
Time8/23/19 12:09
Quant open4,165
Worst price7.76
Drawdown as % of equity-4.13%
($4,364)
Includes Typical Broker Commissions trade costs of $7.50
8/6/19 9:47 TLT ISHARES 20+ YEAR TREASURY BOND LONG 296 138.28 8/20 9:30 144.34 0.08%
Trade id #124789490
Max drawdown($88)
Time8/8/19 0:00
Quant open296
Worst price137.98
Drawdown as % of equity-0.08%
$1,789
Includes Typical Broker Commissions trade costs of $5.92
8/6/19 9:47 INTC INTEL LONG 536 45.67 8/20 9:30 46.97 0.12%
Trade id #124789488
Max drawdown($126)
Time8/15/19 0:00
Quant open536
Worst price45.44
Drawdown as % of equity-0.12%
$689
Includes Typical Broker Commissions trade costs of $7.86
6/25/19 9:31 GS GOLDMAN SACHS GROUP LONG 1,083 201.73 8/20 9:30 206.73 1.09%
Trade id #124217916
Max drawdown($1,122)
Time6/25/19 10:20
Quant open322
Worst price194.01
Drawdown as % of equity-1.09%
$5,387
Includes Typical Broker Commissions trade costs of $21.66
8/6/19 9:47 XOM EXXON MOBIL LONG 33 70.58 8/13 9:30 69.27 0.04%
Trade id #124789485
Max drawdown($41)
Time8/6/19 9:47
Quant open33
Worst price69.33
Drawdown as % of equity-0.04%
($44)
Includes Typical Broker Commissions trade costs of $0.66
7/30/19 9:30 BA BOEING LONG 217 339.84 8/13 9:30 332.80 2.46%
Trade id #124674188
Max drawdown($2,796)
Time7/30/19 9:30
Quant open217
Worst price326.95
Drawdown as % of equity-2.46%
($1,532)
Includes Typical Broker Commissions trade costs of $4.34
7/30/19 9:30 UNH UNITEDHEALTH GROUP LONG 103 252.66 8/6 9:47 245.60 0.91%
Trade id #124674183
Max drawdown($1,037)
Time7/30/19 9:30
Quant open103
Worst price242.59
Drawdown as % of equity-0.91%
($729)
Includes Typical Broker Commissions trade costs of $2.06
7/18/19 9:30 JNJ JOHNSON & JOHNSON LONG 344 129.00 7/30 9:30 132.47 0.15%
Trade id #124514128
Max drawdown($163)
Time7/18/19 9:30
Quant open38
Worst price127.84
Drawdown as % of equity-0.15%
$1,187
Includes Typical Broker Commissions trade costs of $6.88
7/18/19 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 331 131.47 7/23 9:30 131.60 0.07%
Trade id #124514133
Max drawdown($76)
Time7/18/19 9:30
Quant open331
Worst price131.24
Drawdown as % of equity-0.07%
$36
Includes Typical Broker Commissions trade costs of $6.62
6/18/19 9:31 INTC INTEL LONG 2,203 47.79 7/18 9:30 48.57 0.1%
Trade id #124123935
Max drawdown($104)
Time6/18/19 9:31
Quant open695
Worst price46.60
Drawdown as % of equity-0.10%
$1,699
Includes Typical Broker Commissions trade costs of $25.45
7/17/19 9:31 UNH UNITEDHEALTH GROUP LONG 20 264.00 7/18 9:30 265.64 0.12%
Trade id #124492190
Max drawdown($134)
Time7/17/19 9:31
Quant open20
Worst price257.26
Drawdown as % of equity-0.12%
$33
Includes Typical Broker Commissions trade costs of $0.40
7/9/19 9:31 UNH UNITEDHEALTH GROUP LONG 101 244.63 7/17 9:30 248.37 0.02%
Trade id #124386306
Max drawdown($18)
Time7/9/19 9:31
Quant open20
Worst price243.69
Drawdown as % of equity-0.02%
$376
Includes Typical Broker Commissions trade costs of $2.02

Statistics

  • Strategy began
    5/14/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    253.62
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    47
  • # Profitable
    29
  • % Profitable
    61.70%
  • Avg trade duration
    24.6 days
  • Max peak-to-valley drawdown
    16.87%
  • drawdown period
    July 31, 2019 - Oct 02, 2019
  • Cumul. Return
    13.2%
  • Avg win
    $986.90
  • Avg loss
    $826.83
  • Model Account Values (Raw)
  • Cash
    $54,259
  • Margin Used
    $0
  • Buying Power
    $65,607
  • Ratios
  • W:L ratio
    2.08:1
  • Sharpe Ratio
    1.45
  • Sortino Ratio
    2.31
  • Calmar Ratio
    2.165
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -3.98%
  • Correlation to SP500
    0.48060
  • Return Percent SP500 (cumu) during strategy life
    16.27%
  • Return Statistics
  • Ann Return (w trading costs)
    19.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.01%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.69%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.132%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.50%
  • 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
    9718.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • 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
    $827
  • Avg Win
    $987
  • Sum Trade PL (losers)
    $14,883.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $27,623.000
  • # Winners
    28
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    1166
  • Win / Loss
  • # Losers
    18
  • % Winners
    60.9%
  • Frequency
  • Avg Position Time (mins)
    36243.20
  • Avg Position Time (hrs)
    604.05
  • Avg Trade Length
    25.2 days
  • Last Trade Ago
    121
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    1.41
  • Regression
  • Alpha
    0.03
  • Beta
    0.40
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.11
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    21.48
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.336
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.390
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.272
  • Hold-and-Hope Ratio
    0.338
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02810
  • SD
    0.18800
  • Sharpe ratio (Glass type estimate)
    0.14949
  • Sharpe ratio (Hedges UMVUE)
    0.11928
  • df
    4.00000
  • t
    0.09650
  • p
    0.46388
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.89744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17857
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.91821
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15676
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.26204
  • Upside Potential Ratio
    2.56607
  • Upside part of mean
    0.27522
  • Downside part of mean
    -0.24711
  • Upside SD
    0.12976
  • Downside SD
    0.10725
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.10907
  • Mean of criterion
    0.02810
  • SD of predictor
    0.08978
  • SD of criterion
    0.18800
  • Covariance
    0.00732
  • r
    0.43370
  • b (slope, estimate of beta)
    0.90814
  • a (intercept, estimate of alpha)
    -0.07095
  • Mean Square Error
    0.03826
  • DF error
    3.00000
  • t(b)
    0.83367
  • p(b)
    0.23282
  • t(a)
    -0.21798
  • p(a)
    0.57929
  • Lowerbound of 95% confidence interval for beta
    -2.55859
  • Upperbound of 95% confidence interval for beta
    4.37488
  • Lowerbound of 95% confidence interval for alpha
    -1.10680
  • Upperbound of 95% confidence interval for alpha
    0.96491
  • Treynor index (mean / b)
    0.03095
  • Jensen alpha (a)
    -0.07095
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01407
  • SD
    0.18645
  • Sharpe ratio (Glass type estimate)
    0.07545
  • Sharpe ratio (Hedges UMVUE)
    0.06020
  • df
    4.00000
  • t
    0.04870
  • p
    0.48174
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.96585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10778
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97645
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09685
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12797
  • Upside Potential Ratio
    2.42467
  • Upside part of mean
    0.26654
  • Downside part of mean
    -0.25247
  • Upside SD
    0.12547
  • Downside SD
    0.10993
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.10515
  • Mean of criterion
    0.01407
  • SD of predictor
    0.08933
  • SD of criterion
    0.18645
  • Covariance
    0.00713
  • r
    0.42810
  • b (slope, estimate of beta)
    0.89355
  • a (intercept, estimate of alpha)
    -0.07989
  • Mean Square Error
    0.03786
  • DF error
    3.00000
  • t(b)
    0.82047
  • p(b)
    0.23603
  • t(a)
    -0.24777
  • p(a)
    0.58985
  • Lowerbound of 95% confidence interval for beta
    -2.57236
  • Upperbound of 95% confidence interval for beta
    4.35947
  • Lowerbound of 95% confidence interval for alpha
    -1.10605
  • Upperbound of 95% confidence interval for alpha
    0.94627
  • Treynor index (mean / b)
    0.01574
  • Jensen alpha (a)
    -0.07989
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08365
  • Expected Shortfall on VaR
    0.10385
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05231
  • Expected Shortfall on VaR
    0.07893
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.94246
  • Quartile 1
    0.96894
  • Median
    0.99262
  • Quartile 3
    1.04482
  • Maximum
    1.07451
  • Mean of quarter 1
    0.95570
  • Mean of quarter 2
    0.99262
  • Mean of quarter 3
    1.04482
  • Mean of quarter 4
    1.07451
  • Inter Quartile Range
    0.07588
  • 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
    0.09355
  • Quartile 1
    0.09355
  • Median
    0.09355
  • Quartile 3
    0.09355
  • Maximum
    0.09355
  • 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)
    0.04234
  • Compounded annual return (geometric extrapolation)
    0.04287
  • Calmar ratio (compounded annual return / max draw down)
    0.45823
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.41278
  • 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
    0.26147
  • SD
    0.13734
  • Sharpe ratio (Glass type estimate)
    1.90377
  • Sharpe ratio (Hedges UMVUE)
    1.89268
  • df
    129.00000
  • t
    1.34102
  • p
    0.42552
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.69224
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89933
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.68469
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.51768
  • Upside Potential Ratio
    11.44420
  • Upside part of mean
    0.85064
  • Downside part of mean
    -0.58917
  • Upside SD
    0.11599
  • Downside SD
    0.07433
  • N nonnegative terms
    72.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    0.30904
  • Mean of criterion
    0.26147
  • SD of predictor
    0.15705
  • SD of criterion
    0.13734
  • Covariance
    0.01180
  • r
    0.54692
  • b (slope, estimate of beta)
    0.47830
  • a (intercept, estimate of alpha)
    0.11400
  • Mean Square Error
    0.01332
  • DF error
    128.00000
  • t(b)
    7.39116
  • p(b)
    0.22654
  • t(a)
    0.68845
  • p(a)
    0.46963
  • Lowerbound of 95% confidence interval for beta
    0.35026
  • Upperbound of 95% confidence interval for beta
    0.60635
  • Lowerbound of 95% confidence interval for alpha
    -0.21299
  • Upperbound of 95% confidence interval for alpha
    0.44030
  • Treynor index (mean / b)
    0.54666
  • Jensen alpha (a)
    0.11365
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25207
  • SD
    0.13615
  • Sharpe ratio (Glass type estimate)
    1.85141
  • Sharpe ratio (Hedges UMVUE)
    1.84062
  • df
    129.00000
  • t
    1.30414
  • p
    0.42754
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94373
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95087
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63212
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.37029
  • Upside Potential Ratio
    11.28430
  • Upside part of mean
    0.84396
  • Downside part of mean
    -0.59190
  • Upside SD
    0.11420
  • Downside SD
    0.07479
  • N nonnegative terms
    72.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    0.29662
  • Mean of criterion
    0.25207
  • SD of predictor
    0.15687
  • SD of criterion
    0.13615
  • Covariance
    0.01158
  • r
    0.54239
  • b (slope, estimate of beta)
    0.47074
  • a (intercept, estimate of alpha)
    0.11244
  • Mean Square Error
    0.01319
  • DF error
    128.00000
  • t(b)
    7.30424
  • p(b)
    0.22880
  • t(a)
    0.68504
  • p(a)
    0.46978
  • Lowerbound of 95% confidence interval for beta
    0.34322
  • Upperbound of 95% confidence interval for beta
    0.59826
  • Lowerbound of 95% confidence interval for alpha
    -0.21233
  • Upperbound of 95% confidence interval for alpha
    0.43720
  • Treynor index (mean / b)
    0.53547
  • Jensen alpha (a)
    0.11244
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01279
  • Expected Shortfall on VaR
    0.01625
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00482
  • Expected Shortfall on VaR
    0.00958
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    130.00000
  • Minimum
    0.98172
  • Quartile 1
    0.99704
  • Median
    1.00108
  • Quartile 3
    1.00404
  • Maximum
    1.04762
  • Mean of quarter 1
    0.99228
  • Mean of quarter 2
    0.99917
  • Mean of quarter 3
    1.00247
  • Mean of quarter 4
    1.01048
  • Inter Quartile Range
    0.00701
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03077
  • Mean of outliers low
    0.98298
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03077
  • Mean of outliers high
    1.03023
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16850
  • VaR(95%) (moments method)
    0.00748
  • Expected Shortfall (moments method)
    0.01133
  • Extreme Value Index (regression method)
    -0.21302
  • VaR(95%) (regression method)
    0.00779
  • Expected Shortfall (regression method)
    0.00983
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00288
  • Quartile 1
    0.00526
  • Median
    0.00636
  • Quartile 3
    0.00899
  • Maximum
    0.14922
  • Mean of quarter 1
    0.00299
  • Mean of quarter 2
    0.00608
  • Mean of quarter 3
    0.00683
  • Mean of quarter 4
    0.08193
  • Inter Quartile Range
    0.00374
  • 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
    0.25000
  • Mean of outliers high
    0.08193
  • 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)
    0.30035
  • Compounded annual return (geometric extrapolation)
    0.32310
  • Calmar ratio (compounded annual return / max draw down)
    2.16527
  • Compounded annual return / average of 25% largest draw downs
    3.94337
  • Compounded annual return / Expected Shortfall lognormal
    19.88320
  • 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
    0.26147
  • SD
    0.13734
  • Sharpe ratio (Glass type estimate)
    1.90377
  • Sharpe ratio (Hedges UMVUE)
    1.89268
  • df
    129.00000
  • t
    1.34102
  • p
    0.42552
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.69224
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89933
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.68469
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.51768
  • Upside Potential Ratio
    11.44420
  • Upside part of mean
    0.85064
  • Downside part of mean
    -0.58917
  • Upside SD
    0.11599
  • Downside SD
    0.07433
  • N nonnegative terms
    72.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    0.30904
  • Mean of criterion
    0.26147
  • SD of predictor
    0.15705
  • SD of criterion
    0.13734
  • Covariance
    0.01180
  • r
    0.54692
  • b (slope, estimate of beta)
    0.47830
  • a (intercept, estimate of alpha)
    0.11365
  • Mean Square Error
    0.01332
  • DF error
    128.00000
  • t(b)
    7.39116
  • p(b)
    0.22654
  • t(a)
    0.68845
  • p(a)
    0.46963
  • Lowerbound of 95% confidence interval for beta
    0.35026
  • Upperbound of 95% confidence interval for beta
    0.60635
  • Lowerbound of 95% confidence interval for alpha
    -0.21299
  • Upperbound of 95% confidence interval for alpha
    0.44030
  • Treynor index (mean / b)
    0.54666
  • Jensen alpha (a)
    0.11365
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25207
  • SD
    0.13615
  • Sharpe ratio (Glass type estimate)
    1.85141
  • Sharpe ratio (Hedges UMVUE)
    1.84062
  • df
    129.00000
  • t
    1.30414
  • p
    0.42754
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94373
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95087
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63212
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.37029
  • Upside Potential Ratio
    11.28430
  • Upside part of mean
    0.84396
  • Downside part of mean
    -0.59190
  • Upside SD
    0.11420
  • Downside SD
    0.07479
  • N nonnegative terms
    72.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    0.29662
  • Mean of criterion
    0.25207
  • SD of predictor
    0.15687
  • SD of criterion
    0.13615
  • Covariance
    0.01158
  • r
    0.54239
  • b (slope, estimate of beta)
    0.47074
  • a (intercept, estimate of alpha)
    0.11244
  • Mean Square Error
    0.01319
  • DF error
    128.00000
  • t(b)
    7.30424
  • p(b)
    0.22880
  • t(a)
    0.68504
  • p(a)
    0.46978
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.34322
  • Upperbound of 95% confidence interval for beta
    0.59826
  • Lowerbound of 95% confidence interval for alpha
    -0.21233
  • Upperbound of 95% confidence interval for alpha
    0.43720
  • Treynor index (mean / b)
    0.53547
  • Jensen alpha (a)
    0.11244
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01279
  • Expected Shortfall on VaR
    0.01625
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00482
  • Expected Shortfall on VaR
    0.00958
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    130.00000
  • Minimum
    0.98172
  • Quartile 1
    0.99704
  • Median
    1.00108
  • Quartile 3
    1.00404
  • Maximum
    1.04762
  • Mean of quarter 1
    0.99228
  • Mean of quarter 2
    0.99917
  • Mean of quarter 3
    1.00247
  • Mean of quarter 4
    1.01048
  • Inter Quartile Range
    0.00701
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03077
  • Mean of outliers low
    0.98298
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03077
  • Mean of outliers high
    1.03023
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16850
  • VaR(95%) (moments method)
    0.00748
  • Expected Shortfall (moments method)
    0.01133
  • Extreme Value Index (regression method)
    -0.21302
  • VaR(95%) (regression method)
    0.00779
  • Expected Shortfall (regression method)
    0.00983
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00288
  • Quartile 1
    0.00526
  • Median
    0.00636
  • Quartile 3
    0.00899
  • Maximum
    0.14922
  • Mean of quarter 1
    0.00299
  • Mean of quarter 2
    0.00608
  • Mean of quarter 3
    0.00683
  • Mean of quarter 4
    0.08193
  • Inter Quartile Range
    0.00374
  • 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
    0.25000
  • Mean of outliers high
    0.08193
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -252672000
  • Max Equity Drawdown (num days)
    63
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30035
  • Compounded annual return (geometric extrapolation)
    0.32310
  • Calmar ratio (compounded annual return / max draw down)
    2.16527
  • Compounded annual return / average of 25% largest draw downs
    3.94337
  • Compounded annual return / Expected Shortfall lognormal
    19.88320

Strategy Description

Summary Statistics

Strategy began
2019-05-14
Suggested Minimum Capital
$15,000
# Trades
47
# Profitable
29
% Profitable
61.7%
Net Dividends
Correlation S&P500
0.481
Sharpe Ratio
1.45
Sortino Ratio
2.31
Beta
0.40
Alpha
0.03
Leverage
0.91 Average
1.41 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.