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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

NAS100 Short Term Swing
(98996226)

Created by: CDRing CDRing
Started: 01/2016
Stocks
Last trade: 573 days ago
Subscriptions not currently available.

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 $69.00 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.

8.9%
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.

(25.5%)
Max Drawdown
1191
Num Trades
64.4%
Win Trades
1.3 : 1
Profit Factor
49.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016(4.4%)+1.3%+1.0%(0.4%)+2.1%+0.5%+1.3%+0.6%(0.1%)(4.1%)+2.0%(1.5%)(2%)
2017+7.4%+1.5%+0.9%+0.3%(0.7%)+0.8%+2.6%(2.6%)(1.6%)+1.5%+3.9%+4.0%+19.0%
2018+4.3%(5.1%)(2.6%)+0.6%+2.8%(2.4%)+2.5%+3.6%+2.3%(0.8%)+1.8%(4%)+2.4%
2019(0.1%)(0.1%)+2.1%+3.6%(7.8%)+5.1%+0.9%(1%)+1.0%+2.5%(0.1%)+1.7%+7.4%
2020(3.2%)+2.2%+4.1%+1.7%+3.9%+5.6%+9.7%+3.1%+2.5%(5.1%)+10.4%+10.4%+54.1%
2021(1.3%)(1.1%)+5.2%+1.2%(1.8%)+2.3%+2.4%+3.2%(10.1%)(0.1%)(5.2%)+13.0%+6.1%
2022(9.8%)+1.7%+0.7%(4.6%)(1.1%)(1.1%)+1.1%(1.4%)  -    -  (0.1%)  -  (14.3%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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 10 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1322 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/29/22 9:30 INCY INCYTE LONG 348 78.73 9/2 14:06 70.55 1.81%
Trade id #141227960
Max drawdown($3,260)
Time9/1/22 0:00
Quant open348
Worst price69.36
Drawdown as % of equity-1.81%
($2,854)
Includes Typical Broker Commissions trade costs of $6.96
7/25/22 9:30 MNST MONSTER BEVERAGE LONG 286 95.47 7/29 9:30 98.30 0.17%
Trade id #141165974
Max drawdown($314)
Time7/25/22 10:00
Quant open286
Worst price94.37
Drawdown as % of equity-0.17%
$803
Includes Typical Broker Commissions trade costs of $5.72
7/21/22 9:30 EXC EXELON LONG 629 43.17 7/27 9:30 44.54 0.15%
Trade id #141132694
Max drawdown($276)
Time7/21/22 9:42
Quant open629
Worst price42.73
Drawdown as % of equity-0.15%
$857
Includes Typical Broker Commissions trade costs of $5.00
7/21/22 9:30 AEP AMERICAN ELECTRIC POWER LONG 292 92.46 7/25 9:30 94.52 0.07%
Trade id #141132698
Max drawdown($118)
Time7/21/22 9:49
Quant open292
Worst price92.06
Drawdown as % of equity-0.07%
$596
Includes Typical Broker Commissions trade costs of $5.84
6/10/22 9:30 EXC EXELON LONG 586 46.12 6/24 9:30 42.31 2.01%
Trade id #140731011
Max drawdown($3,486)
Time6/17/22 0:00
Quant open586
Worst price40.17
Drawdown as % of equity-2.01%
($2,238)
Includes Typical Broker Commissions trade costs of $5.00
6/14/22 9:30 AEP AMERICAN ELECTRIC POWER LONG 288 93.12 6/24 9:30 92.51 0.91%
Trade id #140760089
Max drawdown($1,581)
Time6/17/22 0:00
Quant open288
Worst price87.63
Drawdown as % of equity-0.91%
($182)
Includes Typical Broker Commissions trade costs of $5.76
6/13/22 9:30 XEL XCEL ENERGY LONG 384 70.60 6/24 9:30 67.47 1.55%
Trade id #140748276
Max drawdown($2,699)
Time6/17/22 0:00
Quant open384
Worst price63.57
Drawdown as % of equity-1.55%
($1,210)
Includes Typical Broker Commissions trade costs of $7.68
6/10/22 9:30 SIRI SIRIUS XM HOLDINGS INC. COMMON LONG 4,447 6.12 6/24 9:30 6.13 1.08%
Trade id #140731016
Max drawdown($1,912)
Time6/16/22 0:00
Quant open4,447
Worst price5.69
Drawdown as % of equity-1.08%
$39
Includes Typical Broker Commissions trade costs of $5.00
6/14/22 9:30 VRTX VERTEX LONG 109 246.33 6/22 9:30 266.96 0.19%
Trade id #140760066
Max drawdown($344)
Time6/14/22 10:34
Quant open109
Worst price243.17
Drawdown as % of equity-0.19%
$2,247
Includes Typical Broker Commissions trade costs of $2.18
6/7/22 9:30 AMGN AMGEN LONG 111 244.65 6/22 9:30 237.17 0.97%
Trade id #140695882
Max drawdown($1,682)
Time6/17/22 0:00
Quant open111
Worst price229.49
Drawdown as % of equity-0.97%
($832)
Includes Typical Broker Commissions trade costs of $2.22
5/20/22 9:30 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 710 38.68 5/26 9:30 36.50 1.06%
Trade id #140542561
Max drawdown($1,953)
Time5/26/22 9:30
Quant open710
Worst price35.93
Drawdown as % of equity-1.06%
($1,553)
Includes Typical Broker Commissions trade costs of $5.00
4/27/22 9:30 COST COSTCO WHOLESALE LONG 50 556.19 5/18 12:13 431.79 3.36%
Trade id #140279905
Max drawdown($6,295)
Time5/18/22 11:22
Quant open50
Worst price430.29
Drawdown as % of equity-3.36%
($6,221)
Includes Typical Broker Commissions trade costs of $1.00
5/11/22 9:30 VRTX VERTEX LONG 115 237.85 5/17 9:30 255.82 0.3%
Trade id #140437392
Max drawdown($556)
Time5/11/22 9:40
Quant open115
Worst price233.01
Drawdown as % of equity-0.30%
$2,065
Includes Typical Broker Commissions trade costs of $2.30
4/27/22 9:30 CHKP CHECK POINT SOFTWARE LONG 206 127.52 5/16 9:30 122.66 1.1%
Trade id #140279879
Max drawdown($2,043)
Time5/9/22 0:00
Quant open206
Worst price117.60
Drawdown as % of equity-1.10%
($1,005)
Includes Typical Broker Commissions trade costs of $4.12
4/25/22 9:30 VRTX VERTEX LONG 104 270.00 5/5 9:30 271.69 0.9%
Trade id #140248493
Max drawdown($1,654)
Time5/2/22 0:00
Quant open104
Worst price254.09
Drawdown as % of equity-0.90%
$174
Includes Typical Broker Commissions trade costs of $2.08
4/11/22 9:30 AAPL APPLE LONG 167 168.71 5/5 9:30 163.85 1.4%
Trade id #140095483
Max drawdown($2,578)
Time5/2/22 0:00
Quant open167
Worst price153.27
Drawdown as % of equity-1.40%
($815)
Includes Typical Broker Commissions trade costs of $3.34
4/27/22 9:30 PAYX PAYCHEX LONG 214 130.69 5/5 9:30 131.38 0.64%
Trade id #140279893
Max drawdown($1,185)
Time5/2/22 0:00
Quant open214
Worst price125.15
Drawdown as % of equity-0.64%
$144
Includes Typical Broker Commissions trade costs of $4.28
4/27/22 9:30 ADP AUTOMATIC DATA PROCESSING LONG 124 225.00 5/5 9:30 228.29 0.66%
Trade id #140279886
Max drawdown($1,223)
Time5/2/22 0:00
Quant open124
Worst price215.13
Drawdown as % of equity-0.66%
$406
Includes Typical Broker Commissions trade costs of $2.48
4/13/22 9:30 FAST FASTENAL LONG 485 56.71 4/29 9:30 56.98 0.54%
Trade id #140122410
Max drawdown($1,001)
Time4/18/22 0:00
Quant open485
Worst price54.65
Drawdown as % of equity-0.54%
$121
Includes Typical Broker Commissions trade costs of $9.70
4/27/22 9:30 AEP AMERICAN ELECTRIC POWER LONG 279 99.45 4/29 9:30 101.93 0.19%
Trade id #140279897
Max drawdown($348)
Time4/27/22 9:39
Quant open279
Worst price98.20
Drawdown as % of equity-0.19%
$686
Includes Typical Broker Commissions trade costs of $5.58
4/27/22 9:30 SPY2227Q370 SPY May27'22 370 put LONG 6 2.59 4/29 9:30 1.84 0.36%
Trade id #140279903
Max drawdown($654)
Time4/28/22 0:00
Quant open6
Worst price1.50
Drawdown as % of equity-0.36%
($458)
Includes Typical Broker Commissions trade costs of $8.40
4/11/22 9:30 SNPS SYNOPSYS LONG 89 316.02 4/29 9:30 298.55 1.64%
Trade id #140095502
Max drawdown($3,090)
Time4/26/22 0:00
Quant open89
Worst price281.30
Drawdown as % of equity-1.64%
($1,557)
Includes Typical Broker Commissions trade costs of $1.78
4/11/22 9:30 SIRI SIRIUS XM HOLDINGS INC. COMMON LONG 4,386 6.50 4/29 9:30 6.28 1.31%
Trade id #140095492
Max drawdown($2,412)
Time4/27/22 0:00
Quant open4,386
Worst price5.95
Drawdown as % of equity-1.31%
($970)
Includes Typical Broker Commissions trade costs of $5.00
4/7/22 9:30 NVDA NVIDIA LONG 118 244.41 4/27 9:30 185.98 3.79%
Trade id #140056253
Max drawdown($6,980)
Time4/27/22 9:30
Quant open118
Worst price185.25
Drawdown as % of equity-3.79%
($6,897)
Includes Typical Broker Commissions trade costs of $2.36
4/18/22 9:34 CTAS CINTAS LONG 67 411.73 4/21 9:30 422.66 0.05%
Trade id #140166544
Max drawdown($84)
Time4/18/22 15:50
Quant open67
Worst price410.47
Drawdown as % of equity-0.05%
$731
Includes Typical Broker Commissions trade costs of $1.34
4/18/22 9:34 ADP AUTOMATIC DATA PROCESSING LONG 205 228.00 4/21 9:30 233.37 0.3%
Trade id #140166549
Max drawdown($553)
Time4/18/22 15:40
Quant open205
Worst price225.30
Drawdown as % of equity-0.30%
$1,097
Includes Typical Broker Commissions trade costs of $4.10
4/14/22 9:30 VRSK VERISK ANALYTICS LONG 135 215.49 4/21 9:30 216.37 0.37%
Trade id #140135935
Max drawdown($697)
Time4/18/22 0:00
Quant open135
Worst price210.32
Drawdown as % of equity-0.37%
$116
Includes Typical Broker Commissions trade costs of $2.70
4/8/22 9:30 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 47 597.38 4/20 9:30 604.20 0.62%
Trade id #140071855
Max drawdown($1,152)
Time4/18/22 0:00
Quant open47
Worst price572.85
Drawdown as % of equity-0.62%
$320
Includes Typical Broker Commissions trade costs of $0.94
4/11/22 9:30 TSLA TESLA INC. LONG 28 980.40 4/20 9:30 1030.00 0.11%
Trade id #140095479
Max drawdown($204)
Time4/13/22 0:00
Quant open28
Worst price973.10
Drawdown as % of equity-0.11%
$1,388
Includes Typical Broker Commissions trade costs of $0.56
4/1/22 9:30 FOX FOX CORP CLASS B LONG 801 36.62 4/14 9:30 35.99 0.78%
Trade id #139989872
Max drawdown($1,497)
Time4/7/22 0:00
Quant open801
Worst price34.75
Drawdown as % of equity-0.78%
($510)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/2/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3002.65
  • Age
    100 months ago
  • What it trades
    Stocks
  • # Trades
    1191
  • # Profitable
    767
  • % Profitable
    64.40%
  • Avg trade duration
    9.6 days
  • Max peak-to-valley drawdown
    25.54%
  • drawdown period
    Sept 01, 2021 - Feb 22, 2022
  • Annual Return (Compounded)
    8.9%
  • Avg win
    $543.23
  • Avg loss
    $777.27
  • Model Account Values (Raw)
  • Cash
    $193,031
  • Margin Used
    $0
  • Buying Power
    $193,031
  • Ratios
  • W:L ratio
    1.28:1
  • Sharpe Ratio
    0.39
  • Sortino Ratio
    0.58
  • Calmar Ratio
    0.531
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -13.37%
  • Correlation to SP500
    0.34030
  • Return Percent SP500 (cumu) during strategy life
    156.91%
  • Return Statistics
  • Ann Return (w trading costs)
    8.9%
  • Slump
  • Current Slump as Pcnt Equity
    22.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.31%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.089%
  • Instruments
  • Percent Trades Options
    0.03%
  • Percent Trades Stocks
    0.97%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    55.50%
  • Chance of 20% account loss
    30.00%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    1.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    569
  • Popularity (Last 6 weeks)
    674
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    516
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $777
  • Avg Win
    $543
  • Sum Trade PL (losers)
    $329,564.000
  • Age
  • Num Months filled monthly returns table
    99
  • Win / Loss
  • Sum Trade PL (winners)
    $416,661.000
  • # Winners
    767
  • Num Months Winners
    49
  • Dividends
  • Dividends Received in Model Acct
    5961
  • Win / Loss
  • # Losers
    424
  • % Winners
    64.4%
  • Frequency
  • Avg Position Time (mins)
    13890.80
  • Avg Position Time (hrs)
    231.51
  • Avg Trade Length
    9.6 days
  • Last Trade Ago
    568
  • Leverage
  • Daily leverage (average)
    0.83
  • Daily leverage (max)
    2.65
  • Regression
  • Alpha
    0.01
  • Beta
    0.24
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    48.95
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    62.13
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.06
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    17.992
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.740
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.938
  • Hold-and-Hope Ratio
    0.055
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07938
  • SD
    0.13928
  • Sharpe ratio (Glass type estimate)
    0.56991
  • Sharpe ratio (Hedges UMVUE)
    0.56455
  • df
    80.00000
  • t
    1.48067
  • p
    0.07131
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19135
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32769
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19489
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32400
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92006
  • Upside Potential Ratio
    2.38070
  • Upside part of mean
    0.20539
  • Downside part of mean
    -0.12601
  • Upside SD
    0.11064
  • Downside SD
    0.08627
  • N nonnegative terms
    49.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.08433
  • Mean of criterion
    0.07938
  • SD of predictor
    0.15293
  • SD of criterion
    0.13928
  • Covariance
    0.00990
  • r
    0.46489
  • b (slope, estimate of beta)
    0.42338
  • a (intercept, estimate of alpha)
    0.04367
  • Mean Square Error
    0.01540
  • DF error
    79.00000
  • t(b)
    4.66698
  • p(b)
    0.00001
  • t(a)
    0.90283
  • p(a)
    0.18468
  • Lowerbound of 95% confidence interval for beta
    0.24281
  • Upperbound of 95% confidence interval for beta
    0.60395
  • Lowerbound of 95% confidence interval for alpha
    -0.05261
  • Upperbound of 95% confidence interval for alpha
    0.13995
  • Treynor index (mean / b)
    0.18748
  • Jensen alpha (a)
    0.04367
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06953
  • SD
    0.13805
  • Sharpe ratio (Glass type estimate)
    0.50362
  • Sharpe ratio (Hedges UMVUE)
    0.49889
  • df
    80.00000
  • t
    1.30845
  • p
    0.09723
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25633
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26049
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25945
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25723
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77282
  • Upside Potential Ratio
    2.21390
  • Upside part of mean
    0.19918
  • Downside part of mean
    -0.12965
  • Upside SD
    0.10551
  • Downside SD
    0.08997
  • N nonnegative terms
    49.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.07231
  • Mean of criterion
    0.06953
  • SD of predictor
    0.15350
  • SD of criterion
    0.13805
  • Covariance
    0.00983
  • r
    0.46369
  • b (slope, estimate of beta)
    0.41703
  • a (intercept, estimate of alpha)
    0.03937
  • Mean Square Error
    0.01515
  • DF error
    79.00000
  • t(b)
    4.65162
  • p(b)
    0.00001
  • t(a)
    0.82335
  • p(a)
    0.20639
  • Lowerbound of 95% confidence interval for beta
    0.23858
  • Upperbound of 95% confidence interval for beta
    0.59548
  • Lowerbound of 95% confidence interval for alpha
    -0.05581
  • Upperbound of 95% confidence interval for alpha
    0.13455
  • Treynor index (mean / b)
    0.16672
  • Jensen alpha (a)
    0.03937
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05801
  • Expected Shortfall on VaR
    0.07346
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02034
  • Expected Shortfall on VaR
    0.04394
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    81.00000
  • Minimum
    0.87264
  • Quartile 1
    0.99218
  • Median
    1.00926
  • Quartile 3
    1.02585
  • Maximum
    1.14672
  • Mean of quarter 1
    0.96367
  • Mean of quarter 2
    1.00212
  • Mean of quarter 3
    1.01835
  • Mean of quarter 4
    1.05390
  • Inter Quartile Range
    0.03367
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.04938
  • Mean of outliers low
    0.91142
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.03704
  • Mean of outliers high
    1.13082
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19477
  • VaR(95%) (moments method)
    0.02690
  • Expected Shortfall (moments method)
    0.04417
  • Extreme Value Index (regression method)
    0.39524
  • VaR(95%) (regression method)
    0.03954
  • Expected Shortfall (regression method)
    0.08314
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00293
  • Quartile 1
    0.01196
  • Median
    0.02205
  • Quartile 3
    0.04458
  • Maximum
    0.14974
  • Mean of quarter 1
    0.00840
  • Mean of quarter 2
    0.01609
  • Mean of quarter 3
    0.03311
  • Mean of quarter 4
    0.08016
  • Inter Quartile Range
    0.03262
  • 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
    0.07143
  • Mean of outliers high
    0.14974
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.12156
  • VaR(95%) (moments method)
    0.08902
  • Expected Shortfall (moments method)
    0.12675
  • Extreme Value Index (regression method)
    1.08873
  • VaR(95%) (regression method)
    0.12909
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13782
  • Compounded annual return (geometric extrapolation)
    0.10234
  • Calmar ratio (compounded annual return / max draw down)
    0.68343
  • Compounded annual return / average of 25% largest draw downs
    1.27665
  • Compounded annual return / Expected Shortfall lognormal
    1.39305
  • 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
    0.07802
  • SD
    0.13192
  • Sharpe ratio (Glass type estimate)
    0.59142
  • Sharpe ratio (Hedges UMVUE)
    0.59118
  • df
    1771.00000
  • t
    1.53809
  • p
    0.47675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16254
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34525
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34507
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89019
  • Upside Potential Ratio
    7.38111
  • Upside part of mean
    0.64694
  • Downside part of mean
    -0.56891
  • Upside SD
    0.09867
  • Downside SD
    0.08765
  • N nonnegative terms
    826.00000
  • N negative terms
    946.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1772.00000
  • Mean of predictor
    0.09069
  • Mean of criterion
    0.07802
  • SD of predictor
    0.19388
  • SD of criterion
    0.13192
  • Covariance
    0.00967
  • r
    0.37803
  • b (slope, estimate of beta)
    0.25723
  • a (intercept, estimate of alpha)
    0.04600
  • Mean Square Error
    0.01493
  • DF error
    1770.00000
  • t(b)
    17.17930
  • p(b)
    0.31098
  • t(a)
    1.16383
  • p(a)
    0.48617
  • Lowerbound of 95% confidence interval for beta
    0.22787
  • Upperbound of 95% confidence interval for beta
    0.28660
  • Lowerbound of 95% confidence interval for alpha
    -0.03748
  • Upperbound of 95% confidence interval for alpha
    0.14687
  • Treynor index (mean / b)
    0.30332
  • Jensen alpha (a)
    0.05469
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06933
  • SD
    0.13163
  • Sharpe ratio (Glass type estimate)
    0.52675
  • Sharpe ratio (Hedges UMVUE)
    0.52652
  • df
    1771.00000
  • t
    1.36988
  • p
    0.47929
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28052
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22732
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28037
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78287
  • Upside Potential Ratio
    7.24989
  • Upside part of mean
    0.64208
  • Downside part of mean
    -0.57275
  • Upside SD
    0.09742
  • Downside SD
    0.08856
  • N nonnegative terms
    826.00000
  • N negative terms
    946.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1772.00000
  • Mean of predictor
    0.07178
  • Mean of criterion
    0.06933
  • SD of predictor
    0.19470
  • SD of criterion
    0.13163
  • Covariance
    0.00968
  • r
    0.37781
  • b (slope, estimate of beta)
    0.25542
  • a (intercept, estimate of alpha)
    0.05100
  • Mean Square Error
    0.01486
  • DF error
    1770.00000
  • t(b)
    17.16730
  • p(b)
    0.31110
  • t(a)
    1.08770
  • p(a)
    0.48708
  • Lowerbound of 95% confidence interval for beta
    0.22624
  • Upperbound of 95% confidence interval for beta
    0.28460
  • Lowerbound of 95% confidence interval for alpha
    -0.04096
  • Upperbound of 95% confidence interval for alpha
    0.14296
  • Treynor index (mean / b)
    0.27146
  • Jensen alpha (a)
    0.05100
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01303
  • Expected Shortfall on VaR
    0.01637
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00514
  • Expected Shortfall on VaR
    0.01079
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1772.00000
  • Minimum
    0.96087
  • Quartile 1
    0.99828
  • Median
    1.00000
  • Quartile 3
    1.00236
  • Maximum
    1.05336
  • Mean of quarter 1
    0.99198
  • Mean of quarter 2
    0.99956
  • Mean of quarter 3
    1.00095
  • Mean of quarter 4
    1.00913
  • Inter Quartile Range
    0.00408
  • Number outliers low
    154.00000
  • Percentage of outliers low
    0.08691
  • Mean of outliers low
    0.98442
  • Number of outliers high
    157.00000
  • Percentage of outliers high
    0.08860
  • Mean of outliers high
    1.01725
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48374
  • VaR(95%) (moments method)
    0.00684
  • Expected Shortfall (moments method)
    0.01572
  • Extreme Value Index (regression method)
    0.14877
  • VaR(95%) (regression method)
    0.00753
  • Expected Shortfall (regression method)
    0.01229
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    73.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00169
  • Median
    0.00476
  • Quartile 3
    0.02249
  • Maximum
    0.18750
  • Mean of quarter 1
    0.00082
  • Mean of quarter 2
    0.00283
  • Mean of quarter 3
    0.01301
  • Mean of quarter 4
    0.06912
  • Inter Quartile Range
    0.02080
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.16438
  • Mean of outliers high
    0.08764
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.21808
  • VaR(95%) (moments method)
    0.05874
  • Expected Shortfall (moments method)
    0.07433
  • Extreme Value Index (regression method)
    -0.08997
  • VaR(95%) (regression method)
    0.07640
  • Expected Shortfall (regression method)
    0.10446
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13755
  • Compounded annual return (geometric extrapolation)
    0.10213
  • Calmar ratio (compounded annual return / max draw down)
    0.54468
  • Compounded annual return / average of 25% largest draw downs
    1.47763
  • Compounded annual return / Expected Shortfall lognormal
    6.23890
  • 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
    -0.06772
  • SD
    0.05125
  • Sharpe ratio (Glass type estimate)
    -1.32129
  • Sharpe ratio (Hedges UMVUE)
    -1.31365
  • df
    130.00000
  • t
    -0.93429
  • p
    0.54083
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.09521
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45759
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.09005
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46275
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.60842
  • Upside Potential Ratio
    3.48143
  • Upside part of mean
    0.14658
  • Downside part of mean
    -0.21430
  • Upside SD
    0.02918
  • Downside SD
    0.04210
  • N nonnegative terms
    29.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01475
  • Mean of criterion
    -0.06772
  • SD of predictor
    0.25627
  • SD of criterion
    0.05125
  • Covariance
    0.00406
  • r
    0.30878
  • b (slope, estimate of beta)
    0.06176
  • a (intercept, estimate of alpha)
    -0.06863
  • Mean Square Error
    0.00239
  • DF error
    129.00000
  • t(b)
    3.68725
  • p(b)
    0.30660
  • t(a)
    -0.99166
  • p(a)
    0.55530
  • Lowerbound of 95% confidence interval for beta
    0.02862
  • Upperbound of 95% confidence interval for beta
    0.09489
  • Lowerbound of 95% confidence interval for alpha
    -0.20556
  • Upperbound of 95% confidence interval for alpha
    0.06830
  • Treynor index (mean / b)
    -1.09658
  • Jensen alpha (a)
    -0.06863
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06903
  • SD
    0.05139
  • Sharpe ratio (Glass type estimate)
    -1.34334
  • Sharpe ratio (Hedges UMVUE)
    -1.33558
  • df
    130.00000
  • t
    -0.94989
  • p
    0.54151
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.11742
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43581
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.11213
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44098
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.62958
  • Upside Potential Ratio
    3.44997
  • Upside part of mean
    0.14614
  • Downside part of mean
    -0.21517
  • Upside SD
    0.02905
  • Downside SD
    0.04236
  • N nonnegative terms
    29.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01783
  • Mean of criterion
    -0.06903
  • SD of predictor
    0.25621
  • SD of criterion
    0.05139
  • Covariance
    0.00410
  • r
    0.31130
  • b (slope, estimate of beta)
    0.06244
  • a (intercept, estimate of alpha)
    -0.06792
  • Mean Square Error
    0.00240
  • DF error
    129.00000
  • t(b)
    3.72061
  • p(b)
    0.30507
  • t(a)
    -0.97964
  • p(a)
    0.55464
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.02923
  • Upperbound of 95% confidence interval for beta
    0.09564
  • Lowerbound of 95% confidence interval for alpha
    -0.20508
  • Upperbound of 95% confidence interval for alpha
    0.06925
  • Treynor index (mean / b)
    -1.10560
  • Jensen alpha (a)
    -0.06792
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00547
  • Expected Shortfall on VaR
    0.00679
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00244
  • Expected Shortfall on VaR
    0.00522
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98304
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01322
  • Mean of quarter 1
    0.99708
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00231
  • Inter Quartile Range
    0.00000
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.22901
  • Mean of outliers low
    0.99679
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.22901
  • Mean of outliers high
    1.00255
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.80229
  • VaR(95%) (moments method)
    0.00280
  • Expected Shortfall (moments method)
    0.01625
  • Extreme Value Index (regression method)
    0.62105
  • VaR(95%) (regression method)
    0.00263
  • Expected Shortfall (regression method)
    0.00832
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.06333
  • Quartile 1
    0.06333
  • Median
    0.06333
  • Quartile 3
    0.06333
  • Maximum
    0.06333
  • 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
  • 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?
    -303537000
  • Max Equity Drawdown (num days)
    174
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04070
  • Compounded annual return (geometric extrapolation)
    -0.04029
  • Calmar ratio (compounded annual return / max draw down)
    -0.63619
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -5.93519

Strategy Description

The program was updated on 1/1/20 to incorporate the purchase of protective SPY Put options to mitigate risk during periods of higher leverage.

Summary Statistics

Strategy began
2016-01-02
Suggested Minimum Capital
$15,000
# Trades
1191
# Profitable
767
% Profitable
64.4%
Net Dividends
Correlation S&P500
0.340
Sharpe Ratio
0.39
Sortino Ratio
0.58
Beta
0.24
Alpha
0.01
Leverage
0.83 Average
2.65 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.