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NT Market Neutral
(95705352)

Created by: HkaurHkaur HkaurHkaur
Started: 09/2015
Stocks
Last trade: 238 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 $19.00 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.

3.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(16.1%)
Max Drawdown
1066
Num Trades
59.5%
Win Trades
1.2 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                        (1.2%)+2.9%(0.7%)+5.2%+6.2%
2016+2.2%+1.6%(6.4%)+4.6%+2.6%+1.7%+0.6%(3.8%)+2.2%(3.9%)+0.6%+4.0%+5.4%
2017+2.0%(1.8%)+3.1%(0.5%)+1.1%+0.6%(2.2%)(2%)+1.9%  -  (0.3%)(0.6%)+1.2%
2018+1.9%(0.7%)(1.9%)  -  +2.9%+1.8%+0.7%+3.4%  -  (4.1%)  -  (3.4%)0.0
2019+2.5%+1.1%(0.7%)+1.0%+1.3%+1.3%+0.2%(5.7%)                        +0.8%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/16/17 12:03 T AT&T SHORT 22 37.17 11/12/18 14:21 31.53 0.25%
Trade id #114300130
Max drawdown($77)
Time12/14/17 9:19
Quant open-15
Worst price41.36
Drawdown as % of equity-0.25%
$124
Includes Typical Broker Commissions trade costs of $0.44
6/16/17 9:34 NVTA INVITAE CORP LONG 35 9.43 10/9/18 13:40 14.39 0.63%
Trade id #112094864
Max drawdown($181)
Time6/16/17 9:34
Quant open35
Worst price4.24
Drawdown as % of equity-0.63%
$173
Includes Typical Broker Commissions trade costs of $0.70
3/16/18 15:08 CLF CLEVELAND-CLIFFS INC LONG 30 7.50 10/2 15:04 12.34 0.12%
Trade id #117101309
Max drawdown($33)
Time3/16/18 15:08
Quant open30
Worst price6.40
Drawdown as % of equity-0.12%
$144
Includes Typical Broker Commissions trade costs of $0.60
10/17/17 12:54 KALV KALVISTA PHARMACEUTICALS INC. COMMON STOCK LONG 25 9.60 10/2/18 15:03 22.25 0.16%
Trade id #114330944
Max drawdown($46)
Time10/17/17 12:54
Quant open25
Worst price7.73
Drawdown as % of equity-0.16%
$316
Includes Typical Broker Commissions trade costs of $0.50
5/16/17 12:18 HABT HABIT RESTAURANTS INC LONG 40 13.76 9/17/18 15:08 16.00 0.59%
Trade id #111621728
Max drawdown($185)
Time11/2/17 9:43
Quant open30
Worst price9.05
Drawdown as % of equity-0.59%
$89
Includes Typical Broker Commissions trade costs of $0.80
12/26/17 10:46 TWX TIME WARNER INC SHORT 9 91.99 6/29/18 11:25 29.45 0%
Trade id #115519232
Max drawdown($0)
Time12/26/17 10:48
Quant open-6
Worst price92.02
Drawdown as % of equity-0.00%
$563
Includes Typical Broker Commissions trade costs of $0.18
10/23/17 15:27 MULE MULESOFT INC LONG 10 23.76 4/3/18 11:30 44.06 0.1%
Trade id #114428979
Max drawdown($29)
Time10/23/17 15:27
Quant open10
Worst price20.85
Drawdown as % of equity-0.10%
$203
Includes Typical Broker Commissions trade costs of $0.20
12/28/17 12:13 CMCSA COMCAST SHORT 16 40.19 4/3/18 11:29 33.21 0.01%
Trade id #115569184
Max drawdown($1)
Time12/28/17 12:13
Quant open16
Worst price40.30
Drawdown as % of equity-0.01%
$112
Includes Typical Broker Commissions trade costs of $0.32
12/26/17 10:46 VZ VERIZON COMMUNICATIONS SHORT 17 53.45 3/2/18 13:07 48.15 0.07%
Trade id #115519219
Max drawdown($22)
Time2/1/18 9:33
Quant open-17
Worst price54.75
Drawdown as % of equity-0.07%
$90
Includes Typical Broker Commissions trade costs of $0.34
5/19/17 12:26 SWIR SIERRA WIRELESS LONG 28 24.65 2/7/18 15:11 18.80 0.65%
Trade id #111688747
Max drawdown($204)
Time2/6/18 9:31
Quant open28
Worst price17.35
Drawdown as % of equity-0.65%
($165)
Includes Typical Broker Commissions trade costs of $0.56
12/20/16 9:40 IRDM IRIDIUM COMMUNICATIONS LONG 50 10.65 2/7/18 15:11 11.94 0.04%
Trade id #108075156
Max drawdown($10)
Time12/20/16 9:40
Quant open50
Worst price10.45
Drawdown as % of equity-0.04%
$64
Includes Typical Broker Commissions trade costs of $1.00
12/28/17 12:12 XLU UTILITIES SELECT SECTOR SPDR SHORT 20 52.49 2/7/18 15:11 48.39 0.01%
Trade id #115569177
Max drawdown($3)
Time1/18/18 15:23
Quant open-20
Worst price52.68
Drawdown as % of equity-0.01%
$82
Includes Typical Broker Commissions trade costs of $0.40
5/12/17 15:08 ACET ACETO LONG 62 12.17 2/2/18 10:59 9.64 0.64%
Trade id #111579740
Max drawdown($204)
Time2/2/18 10:54
Quant open48
Worst price7.91
Drawdown as % of equity-0.64%
($158)
Includes Typical Broker Commissions trade costs of $1.24
10/6/17 9:35 CASC CASCADIAN THERAPEUTICS INC LONG 50 4.41 1/31/18 13:03 10.14 0.14%
Trade id #114063679
Max drawdown($44)
Time1/8/18 9:46
Quant open50
Worst price3.52
Drawdown as % of equity-0.14%
$286
Includes Typical Broker Commissions trade costs of $1.00
9/21/17 13:43 IBM INTERNATIONAL BUSINESS MACHINE LONG 6 148.09 12/28 12:13 153.55 0.05%
Trade id #113792870
Max drawdown($14)
Time12/15/17 8:56
Quant open6
Worst price145.69
Drawdown as % of equity-0.05%
$33
Includes Typical Broker Commissions trade costs of $0.12
10/9/17 9:35 EWY ISHARES MSCI SOUTH KOREA ETF SHORT 12 70.19 12/26 10:46 72.36 0.13%
Trade id #114108935
Max drawdown($39)
Time11/28/17 13:07
Quant open-6
Worst price76.81
Drawdown as % of equity-0.13%
($26)
Includes Typical Broker Commissions trade costs of $0.24
8/4/17 9:38 IYT ISHARES TRANSPORTATION AVERAGE ETF SHORT 10 166.05 12/26 10:45 179.90 0.45%
Trade id #112987104
Max drawdown($141)
Time12/21/17 9:31
Quant open-5
Worst price194.28
Drawdown as % of equity-0.45%
($139)
Includes Typical Broker Commissions trade costs of $0.20
7/10/17 9:35 CBIO CATALYST BIOSCIENCES INC. COMMON STOCK LONG 45 4.45 12/11 12:22 7.72 0.17%
Trade id #112493584
Max drawdown($50)
Time8/24/17 9:34
Quant open35
Worst price3.11
Drawdown as % of equity-0.17%
$146
Includes Typical Broker Commissions trade costs of $0.90
7/12/17 12:06 SIGM SIGMA DESIGNS LONG 70 6.05 12/8 12:05 6.73 0.2%
Trade id #112554093
Max drawdown($62)
Time12/7/17 16:23
Quant open50
Worst price4.80
Drawdown as % of equity-0.20%
$47
Includes Typical Broker Commissions trade costs of $1.40
8/23/17 10:15 ADMP ADAMIS PHARMACEUTICALS LONG 40 5.40 12/7 9:47 4.75 0.25%
Trade id #113295233
Max drawdown($80)
Time11/29/17 11:57
Quant open40
Worst price3.40
Drawdown as % of equity-0.25%
($27)
Includes Typical Broker Commissions trade costs of $0.80
10/30/17 11:44 MMYT MAKEMYTRIP LONG 20 26.41 12/5 12:23 29.26 0.05%
Trade id #114595564
Max drawdown($16)
Time11/1/17 11:53
Quant open15
Worst price24.32
Drawdown as % of equity-0.05%
$57
Includes Typical Broker Commissions trade costs of $0.40
9/21/17 13:51 IMI INTERMOLECULAR LONG 130 1.04 12/5 12:22 1.28 0.02%
Trade id #113793091
Max drawdown($4)
Time9/21/17 13:51
Quant open130
Worst price1.00
Drawdown as % of equity-0.02%
$28
Includes Typical Broker Commissions trade costs of $2.60
5/23/17 14:34 ERJ EMBRAER LONG 35 18.99 12/5 12:22 19.26 0.1%
Trade id #111736289
Max drawdown($33)
Time6/28/17 10:13
Quant open25
Worst price17.90
Drawdown as % of equity-0.10%
$8
Includes Typical Broker Commissions trade costs of $0.70
7/3/17 12:01 CVA COVANTA HOLDING LONG 28 13.50 12/5 12:21 15.05 0.04%
Trade id #112388065
Max drawdown($11)
Time7/3/17 12:01
Quant open28
Worst price13.07
Drawdown as % of equity-0.04%
$42
Includes Typical Broker Commissions trade costs of $0.56
10/6/17 14:31 ILMN ILLUMINA LONG 2 204.37 12/1 9:45 227.90 0%
Trade id #114073026
Max drawdown($1)
Time11/15/17 9:46
Quant open2
Worst price203.83
Drawdown as % of equity-0.00%
$47
Includes Typical Broker Commissions trade costs of $0.04
10/17/17 12:54 PIRS PIERIS PHARMACEUTICALS INC. COMMON STOCK LONG 37 5.40 12/1 9:45 6.16 0.09%
Trade id #114330953
Max drawdown($27)
Time11/7/17 12:11
Quant open37
Worst price4.67
Drawdown as % of equity-0.09%
$27
Includes Typical Broker Commissions trade costs of $0.74
7/10/17 9:35 CYTK CYTOKINETICS INCORPORATED COM LONG 28 13.03 11/24 13:16 7.50 0.53%
Trade id #112493588
Max drawdown($168)
Time11/21/17 9:29
Quant open28
Worst price7.00
Drawdown as % of equity-0.53%
($156)
Includes Typical Broker Commissions trade costs of $0.56
5/15/17 13:41 CIBR FIRST TRUST NASDAQ CEA CYBERSECURITY ETF LONG 35 21.72 11/20 15:15 22.17 0.11%
Trade id #111604586
Max drawdown($33)
Time8/10/17 15:50
Quant open20
Worst price20.59
Drawdown as % of equity-0.11%
$15
Includes Typical Broker Commissions trade costs of $0.70
9/18/17 9:35 ADMS ADAMAS PHARMACEUTICALS INC. C LONG 13 21.73 11/20 15:15 29.79 0.17%
Trade id #113721487
Max drawdown($52)
Time10/24/17 10:55
Quant open13
Worst price17.68
Drawdown as % of equity-0.17%
$105
Includes Typical Broker Commissions trade costs of $0.26
10/20/17 12:01 NKTR NEKTAR THERAPEUTICS LONG 10 23.71 11/15 12:10 40.18 0.03%
Trade id #114396930
Max drawdown($7)
Time11/1/17 13:15
Quant open10
Worst price22.92
Drawdown as % of equity-0.03%
$165
Includes Typical Broker Commissions trade costs of $0.20

Statistics

  • Strategy began
    9/15/2015
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1434.74
  • Age
    48 months ago
  • What it trades
    Stocks
  • # Trades
    1066
  • # Profitable
    634
  • % Profitable
    59.50%
  • Avg trade duration
    46.6 days
  • Max peak-to-valley drawdown
    16.14%
  • drawdown period
    May 15, 2017 - May 26, 2018
  • Annual Return (Compounded)
    3.4%
  • Avg win
    $64.06
  • Avg loss
    $78.22
  • Model Account Values (Raw)
  • Cash
    $29,893
  • Margin Used
    $4,709
  • Buying Power
    $23,632
  • Ratios
  • W:L ratio
    1.22:1
  • Sharpe Ratio
    0.17
  • Sortino Ratio
    0.25
  • Calmar Ratio
    1.019
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.08510
  • Return Statistics
  • Ann Return (w trading costs)
    3.4%
  • Ann Return (Compnd, No Fees)
    6.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.50%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    667
  • C2 Score
    129
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $80
  • Avg Win
    $66
  • # Winners
    634
  • # Losers
    432
  • % Winners
    59.5%
  • Frequency
  • Avg Position Time (mins)
    74949.90
  • Avg Position Time (hrs)
    1249.17
  • Avg Trade Length
    52.0 days
  • Last Trade Ago
    236
  • Leverage
  • Daily leverage (average)
    0.96
  • Daily leverage (max)
    2.71
  • Regression
  • Alpha
    0.00
  • Beta
    0.07
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    11.945
  • Avg(MAE) / Avg(PL) - Winning trades
    0.584
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.390
  • Hold-and-Hope Ratio
    0.096
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05795
  • SD
    0.07038
  • Sharpe ratio (Glass type estimate)
    0.82341
  • Sharpe ratio (Hedges UMVUE)
    0.80785
  • df
    40.00000
  • t
    1.52200
  • p
    0.06794
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89393
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26716
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88287
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33517
  • Upside Potential Ratio
    2.82213
  • Upside part of mean
    0.12249
  • Downside part of mean
    -0.06454
  • Upside SD
    0.05682
  • Downside SD
    0.04340
  • N nonnegative terms
    27.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.09449
  • Mean of criterion
    0.05795
  • SD of predictor
    0.12888
  • SD of criterion
    0.07038
  • Covariance
    0.00348
  • r
    0.38377
  • b (slope, estimate of beta)
    0.20956
  • a (intercept, estimate of alpha)
    0.03815
  • Mean Square Error
    0.00433
  • DF error
    39.00000
  • t(b)
    2.59534
  • p(b)
    0.00663
  • t(a)
    1.04760
  • p(a)
    0.15064
  • Lowerbound of 95% confidence interval for beta
    0.04624
  • Upperbound of 95% confidence interval for beta
    0.37289
  • Lowerbound of 95% confidence interval for alpha
    -0.03551
  • Upperbound of 95% confidence interval for alpha
    0.11181
  • Treynor index (mean / b)
    0.27653
  • Jensen alpha (a)
    0.03815
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05529
  • SD
    0.07009
  • Sharpe ratio (Glass type estimate)
    0.78877
  • Sharpe ratio (Hedges UMVUE)
    0.77387
  • df
    40.00000
  • t
    1.45798
  • p
    0.07633
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29025
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85826
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29995
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84769
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25412
  • Upside Potential Ratio
    2.73651
  • Upside part of mean
    0.12063
  • Downside part of mean
    -0.06535
  • Upside SD
    0.05572
  • Downside SD
    0.04408
  • N nonnegative terms
    27.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.08582
  • Mean of criterion
    0.05529
  • SD of predictor
    0.12934
  • SD of criterion
    0.07009
  • Covariance
    0.00355
  • r
    0.39144
  • b (slope, estimate of beta)
    0.21212
  • a (intercept, estimate of alpha)
    0.03708
  • Mean Square Error
    0.00427
  • DF error
    39.00000
  • t(b)
    2.65649
  • p(b)
    0.00569
  • t(a)
    1.03016
  • p(a)
    0.15464
  • Lowerbound of 95% confidence interval for beta
    0.05061
  • Upperbound of 95% confidence interval for beta
    0.37363
  • Lowerbound of 95% confidence interval for alpha
    -0.03573
  • Upperbound of 95% confidence interval for alpha
    0.10989
  • Treynor index (mean / b)
    0.26063
  • Jensen alpha (a)
    0.03708
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02827
  • Expected Shortfall on VaR
    0.03642
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00940
  • Expected Shortfall on VaR
    0.02071
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    41.00000
  • Minimum
    0.95538
  • Quartile 1
    0.99954
  • Median
    1.00702
  • Quartile 3
    1.01921
  • Maximum
    1.05569
  • Mean of quarter 1
    0.98249
  • Mean of quarter 2
    1.00414
  • Mean of quarter 3
    1.01337
  • Mean of quarter 4
    1.03110
  • Inter Quartile Range
    0.01966
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.04878
  • Mean of outliers low
    0.95990
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04878
  • Mean of outliers high
    1.05294
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.77156
  • VaR(95%) (moments method)
    0.00244
  • Expected Shortfall (moments method)
    0.00244
  • Extreme Value Index (regression method)
    -0.13533
  • VaR(95%) (regression method)
    0.01869
  • Expected Shortfall (regression method)
    0.02734
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00046
  • Quartile 1
    0.01164
  • Median
    0.02027
  • Quartile 3
    0.04269
  • Maximum
    0.06043
  • Mean of quarter 1
    0.00569
  • Mean of quarter 2
    0.01378
  • Mean of quarter 3
    0.02676
  • Mean of quarter 4
    0.05422
  • Inter Quartile Range
    0.03105
  • 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)
    0.09622
  • Compounded annual return (geometric extrapolation)
    0.08675
  • Calmar ratio (compounded annual return / max draw down)
    1.43551
  • Compounded annual return / average of 25% largest draw downs
    1.60007
  • Compounded annual return / Expected Shortfall lognormal
    2.38192
  • 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
    0.04530
  • SD
    0.07360
  • Sharpe ratio (Glass type estimate)
    0.61548
  • Sharpe ratio (Hedges UMVUE)
    0.61497
  • df
    908.00000
  • t
    1.14643
  • p
    0.12596
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43728
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66797
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43765
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66760
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91461
  • Upside Potential Ratio
    8.15714
  • Upside part of mean
    0.40404
  • Downside part of mean
    -0.35874
  • Upside SD
    0.05446
  • Downside SD
    0.04953
  • N nonnegative terms
    454.00000
  • N negative terms
    455.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    909.00000
  • Mean of predictor
    0.10243
  • Mean of criterion
    0.04530
  • SD of predictor
    0.13372
  • SD of criterion
    0.07360
  • Covariance
    0.00082
  • r
    0.08327
  • b (slope, estimate of beta)
    0.04583
  • a (intercept, estimate of alpha)
    0.04100
  • Mean Square Error
    0.00539
  • DF error
    907.00000
  • t(b)
    2.51655
  • p(b)
    0.00601
  • t(a)
    1.02948
  • p(a)
    0.15177
  • Lowerbound of 95% confidence interval for beta
    0.01009
  • Upperbound of 95% confidence interval for beta
    0.08158
  • Lowerbound of 95% confidence interval for alpha
    -0.03681
  • Upperbound of 95% confidence interval for alpha
    0.11802
  • Treynor index (mean / b)
    0.98838
  • Jensen alpha (a)
    0.04061
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04258
  • SD
    0.07369
  • Sharpe ratio (Glass type estimate)
    0.57792
  • Sharpe ratio (Hedges UMVUE)
    0.57744
  • df
    908.00000
  • t
    1.07646
  • p
    0.14100
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47480
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47514
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63002
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.85093
  • Upside Potential Ratio
    8.04341
  • Upside part of mean
    0.40253
  • Downside part of mean
    -0.35994
  • Upside SD
    0.05409
  • Downside SD
    0.05004
  • N nonnegative terms
    454.00000
  • N negative terms
    455.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    909.00000
  • Mean of predictor
    0.09345
  • Mean of criterion
    0.04258
  • SD of predictor
    0.13393
  • SD of criterion
    0.07369
  • Covariance
    0.00082
  • r
    0.08303
  • b (slope, estimate of beta)
    0.04568
  • a (intercept, estimate of alpha)
    0.03832
  • Mean Square Error
    0.00540
  • DF error
    907.00000
  • t(b)
    2.50919
  • p(b)
    0.00614
  • t(a)
    0.97047
  • p(a)
    0.16604
  • Lowerbound of 95% confidence interval for beta
    0.00995
  • Upperbound of 95% confidence interval for beta
    0.08141
  • Lowerbound of 95% confidence interval for alpha
    -0.03917
  • Upperbound of 95% confidence interval for alpha
    0.11580
  • Treynor index (mean / b)
    0.93220
  • Jensen alpha (a)
    0.03832
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00730
  • Expected Shortfall on VaR
    0.00918
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00313
  • Expected Shortfall on VaR
    0.00638
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    909.00000
  • Minimum
    0.94999
  • Quartile 1
    0.99806
  • Median
    1.00010
  • Quartile 3
    1.00196
  • Maximum
    1.03560
  • Mean of quarter 1
    0.99556
  • Mean of quarter 2
    0.99919
  • Mean of quarter 3
    1.00104
  • Mean of quarter 4
    1.00535
  • Inter Quartile Range
    0.00390
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.02310
  • Mean of outliers low
    0.98736
  • Number of outliers high
    37.00000
  • Percentage of outliers high
    0.04070
  • Mean of outliers high
    1.01268
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25821
  • VaR(95%) (moments method)
    0.00453
  • Expected Shortfall (moments method)
    0.00719
  • Extreme Value Index (regression method)
    0.25728
  • VaR(95%) (regression method)
    0.00405
  • Expected Shortfall (regression method)
    0.00620
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    38.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00219
  • Median
    0.00701
  • Quartile 3
    0.01615
  • Maximum
    0.07169
  • Mean of quarter 1
    0.00083
  • Mean of quarter 2
    0.00522
  • Mean of quarter 3
    0.01098
  • Mean of quarter 4
    0.04291
  • Inter Quartile Range
    0.01396
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13158
  • Mean of outliers high
    0.06206
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.20013
  • VaR(95%) (moments method)
    0.04029
  • Expected Shortfall (moments method)
    0.05125
  • Extreme Value Index (regression method)
    -0.73965
  • VaR(95%) (regression method)
    0.04785
  • Expected Shortfall (regression method)
    0.05355
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07986
  • Compounded annual return (geometric extrapolation)
    0.07304
  • Calmar ratio (compounded annual return / max draw down)
    1.01882
  • Compounded annual return / average of 25% largest draw downs
    1.70212
  • Compounded annual return / Expected Shortfall lognormal
    7.95271
  • 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
    -0.11750
  • SD
    0.08959
  • Sharpe ratio (Glass type estimate)
    -1.31143
  • Sharpe ratio (Hedges UMVUE)
    -1.30385
  • df
    130.00000
  • t
    -0.92732
  • p
    0.54053
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.08540
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46737
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.08019
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47248
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.48355
  • Upside Potential Ratio
    4.06453
  • Upside part of mean
    0.32191
  • Downside part of mean
    -0.43941
  • Upside SD
    0.04179
  • Downside SD
    0.07920
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06515
  • Mean of criterion
    -0.11750
  • SD of predictor
    0.19599
  • SD of criterion
    0.08959
  • Covariance
    0.00373
  • r
    0.21239
  • b (slope, estimate of beta)
    0.09709
  • a (intercept, estimate of alpha)
    -0.12382
  • Mean Square Error
    0.00772
  • DF error
    129.00000
  • t(b)
    2.46863
  • p(b)
    0.36581
  • t(a)
    -0.99600
  • p(a)
    0.55554
  • Lowerbound of 95% confidence interval for beta
    0.01928
  • Upperbound of 95% confidence interval for beta
    0.17491
  • Lowerbound of 95% confidence interval for alpha
    -0.36979
  • Upperbound of 95% confidence interval for alpha
    0.12215
  • Treynor index (mean / b)
    -1.21014
  • Jensen alpha (a)
    -0.12382
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12158
  • SD
    0.09098
  • Sharpe ratio (Glass type estimate)
    -1.33625
  • Sharpe ratio (Hedges UMVUE)
    -1.32852
  • df
    130.00000
  • t
    -0.94487
  • p
    0.54129
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.11027
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44285
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.10503
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44798
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.50327
  • Upside Potential Ratio
    3.96919
  • Upside part of mean
    0.32101
  • Downside part of mean
    -0.44259
  • Upside SD
    0.04160
  • Downside SD
    0.08088
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04608
  • Mean of criterion
    -0.12158
  • SD of predictor
    0.19599
  • SD of criterion
    0.09098
  • Covariance
    0.00373
  • r
    0.20937
  • b (slope, estimate of beta)
    0.09719
  • a (intercept, estimate of alpha)
    -0.12606
  • Mean Square Error
    0.00798
  • DF error
    129.00000
  • t(b)
    2.43187
  • p(b)
    0.36769
  • t(a)
    -0.99792
  • p(a)
    0.55565
  • Lowerbound of 95% confidence interval for beta
    0.01812
  • Upperbound of 95% confidence interval for beta
    0.17627
  • Lowerbound of 95% confidence interval for alpha
    -0.37598
  • Upperbound of 95% confidence interval for alpha
    0.12387
  • Treynor index (mean / b)
    -1.25086
  • Jensen alpha (a)
    -0.12606
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00966
  • Expected Shortfall on VaR
    0.01198
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00381
  • Expected Shortfall on VaR
    0.00841
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94999
  • Quartile 1
    0.99771
  • Median
    1.00007
  • Quartile 3
    1.00168
  • Maximum
    1.01455
  • Mean of quarter 1
    0.99476
  • Mean of quarter 2
    0.99880
  • Mean of quarter 3
    1.00090
  • Mean of quarter 4
    1.00421
  • Inter Quartile Range
    0.00397
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97073
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.01113
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50489
  • VaR(95%) (moments method)
    0.00545
  • Expected Shortfall (moments method)
    0.01129
  • Extreme Value Index (regression method)
    0.42377
  • VaR(95%) (regression method)
    0.00365
  • Expected Shortfall (regression method)
    0.00565
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00193
  • Quartile 1
    0.01911
  • Median
    0.03630
  • Quartile 3
    0.05348
  • Maximum
    0.07067
  • Mean of quarter 1
    0.00193
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07067
  • Inter Quartile Range
    0.03437
  • 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)
    -0.09151
  • Compounded annual return (geometric extrapolation)
    -0.08942
  • Calmar ratio (compounded annual return / max draw down)
    -1.26533
  • Compounded annual return / average of 25% largest draw downs
    -1.26533
  • Compounded annual return / Expected Shortfall lognormal
    -7.46136

Strategy Description

Long-short strategy. Market (Beta) Neutral exposure. Unleveraged. Long positions based on Fundamental research. Short positions are held primarily in Large caps and index ETFs only to minimize short covering risk.


Summary Statistics

Strategy began
2015-09-15
Suggested Minimum Capital
$15,000
# Trades
1066
# Profitable
634
% Profitable
59.5%
Net Dividends
Correlation S&P500
0.085
Sharpe Ratio
0.17
Sortino Ratio
0.25
Beta
0.07
Alpha
0.00
Leverage
0.96 Average
2.71 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.