Collective2 Collective2
Featured Strategy Easiest Followed by live capital $433,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Tailored to profit
(122194968)

Created by: Got24 Got24
Started: 01/2019
Stocks
Last trade: 1,292 days ago
Trading style: Equity Non-hedged Equity

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 $50.00 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.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
-8.8%
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.

(58.5%)
Max Drawdown
127
Num Trades
66.9%
Win Trades
0.6 : 1
Profit Factor
46.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019(0.2%)  -  (0.4%)+0.6%(6.7%)(2.9%)+1.0%(5.1%)+5.0%(4.6%)+4.4%+3.8%(5.8%)
2020(5.1%)(12.2%)(19.3%)+4.7%+11.2%  -  +1.4%(5.5%)+17.5%+7.0%+16.7%+6.2%
2021+15.8%+10.2%+4.4%(1%)+0.6%+4.5%(3.9%)(4.1%)(7.2%)(3.7%)(7.7%)+0.2%+5.6%
2022+3.1%(5.3%)(3%)(5.9%)(3%)(2.7%)(0.3%)+2.2%(8.6%)(6.9%)+6.6%+1.8%(20.9%)
2023+9.0%(11.5%)(9.9%)+1.6%(14.8%)+2.5%+0.4%+0.7%(4.2%)(7%)+2.8%+7.1%(23.5%)
2024+2.9%(3.2%)(0.3%)(1.7%)                                                (2.3%)

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 241 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/5/19 12:04 PIR PIER 1 IMPORTS LONG 36 6.57 10/12/20 16:00 0.15 1.37%
Trade id #124348988
Max drawdown($126)
Time8/5/19 0:00
Quant open36
Worst price3.04
Drawdown as % of equity-1.37%
 ($232)
Includes Typical Broker Commissions trade costs of $0.72
8/27/19 11:20 CNAC CONSTELLATION ALPHA CAPITAL CORP. ORDINARY SHARES LONG 62 3.46 8/30 9:30 0.00 0.45%
Trade id #125103766
Max drawdown($40)
Time8/29/19 0:00
Quant open62
Worst price2.80
Drawdown as % of equity-0.45%
 ($216)
Includes Typical Broker Commissions trade costs of $1.24
7/8/19 9:55 ALRN AILERON THERAPEUTICS INC. COMMON STOCK LONG 305 0.79 8/27 11:17 0.79 1.11%
Trade id #124371162
Max drawdown($105)
Time7/22/19 0:00
Quant open305
Worst price0.45
Drawdown as % of equity-1.11%
 ($6)
Includes Typical Broker Commissions trade costs of $6.10
2/13/19 4:00 LSE.PLUS PLUS500 LTD LONG 83 £7.031 8/20 7:27 £5.994 n/a ($112)
Includes Typical Broker Commissions trade costs of $1.08
8/13/19 13:50 GHSI GUARDION HEALTH SCIENCES INC. LONG 484 0.24 8/15 13:28 0.28 0.07%
Trade id #124912787
Max drawdown($6)
Time8/13/19 13:50
Quant open484
Worst price0.23
Drawdown as % of equity-0.07%
 $6
Includes Typical Broker Commissions trade costs of $9.68
7/1/19 14:56 LEN LENNAR LONG 5 47.58 8/12 11:33 49.22 0.11%
Trade id #124294881
Max drawdown($10)
Time7/1/19 14:56
Quant open5
Worst price45.52
Drawdown as % of equity-0.11%
 $8
Includes Typical Broker Commissions trade costs of $0.10
7/1/19 11:40 AHT ASHFORD HOSPITALITY TRUST LONG 90 2.85 8/12 11:33 2.96 0.45%
Trade id #124291037
Max drawdown($41)
Time7/1/19 11:40
Quant open90
Worst price2.39
Drawdown as % of equity-0.45%
 $8
Includes Typical Broker Commissions trade costs of $1.80
6/21/19 15:46 PVAC PENN VIRGINIA CORPORATION COMMON STOCK LONG 8 30.25 8/12 11:32 31.94 0.22%
Trade id #124186634
Max drawdown($20)
Time6/21/19 15:46
Quant open8
Worst price27.69
Drawdown as % of equity-0.22%
 $14
Includes Typical Broker Commissions trade costs of $0.16
8/5/19 14:29 GLYC GLYCOMIMETICS INC. COMMON STO LONG 81 2.84 8/12 11:32 3.17 0.06%
Trade id #124773921
Max drawdown($5)
Time8/5/19 14:29
Quant open81
Worst price2.77
Drawdown as % of equity-0.06%
 $25
Includes Typical Broker Commissions trade costs of $1.62
8/1/19 13:29 TWOU 2U INC. COMMON STOCK LONG 17 13.19 8/12 11:25 15.23 0.07%
Trade id #124722846
Max drawdown($6)
Time8/1/19 13:29
Quant open17
Worst price12.81
Drawdown as % of equity-0.07%
 $35
Includes Typical Broker Commissions trade costs of $0.34
7/11/19 13:04 EYEN EYENOVIA INC. COMMON STOCK LONG 50 2.77 8/5 14:27 3.17 0.11%
Trade id #124422706
Max drawdown($11)
Time7/11/19 13:04
Quant open50
Worst price2.55
Drawdown as % of equity-0.11%
 $19
Includes Typical Broker Commissions trade costs of $1.00
6/14/19 13:57 SLS SELLAS LIFE SCIENCES GROUP INC. LONG 1,666 0.15 7/31 13:08 0.18 0.91%
Trade id #124089267
Max drawdown($87)
Time6/14/19 13:57
Quant open1,666
Worst price0.10
Drawdown as % of equity-0.91%
 $40
Includes Typical Broker Commissions trade costs of $5.00
6/14/19 13:31 USX US XPRESS ENTERPRISES INC LONG 106 4.56 7/16 14:45 4.63 0.77%
Trade id #124088957
Max drawdown($74)
Time6/14/19 13:31
Quant open46
Worst price3.80
Drawdown as % of equity-0.77%
 $5
Includes Typical Broker Commissions trade costs of $2.12
7/8/19 9:51 CLDR CLOUDERA INC LONG 43 5.16 7/11 13:03 5.16 0.06%
Trade id #124371066
Max drawdown($5)
Time7/8/19 9:51
Quant open43
Worst price5.03
Drawdown as % of equity-0.06%
 ($1)
Includes Typical Broker Commissions trade costs of $0.86
2/26/19 9:30 CVS CVS HEALTH CORP LONG 4 61.25 7/11 13:00 57.97 0.38%
Trade id #122684059
Max drawdown($38)
Time2/26/19 9:30
Quant open4
Worst price51.72
Drawdown as % of equity-0.38%
 ($13)
Includes Typical Broker Commissions trade costs of $0.08
5/9/19 4:00 LSE.EZJ EasyJet PLC LONG 18 £10.455 7/8 9:53 £10.115 n/a ($8)
Includes Typical Broker Commissions trade costs of $0.37
5/14/19 4:00 LSE.ITV ITV LONG 174 £1.124 7/8 9:44 £1.115 n/a ($2)
Includes Typical Broker Commissions trade costs of $0.39
7/5/19 11:57 TRNX TARONIS TECHNOLOGIES INC LONG 1,537 0.15 7/5 15:41 0.22 0.03%
Trade id #124348916
Max drawdown($2)
Time7/5/19 11:57
Quant open1,537
Worst price0.15
Drawdown as % of equity-0.03%
 $100
Includes Typical Broker Commissions trade costs of $5.00
6/26/19 10:21 ABBV ABBVIE INC LONG 4 67.42 7/5 12:14 73.27 0.01%
Trade id #124238828
Max drawdown($0)
Time6/26/19 10:21
Quant open4
Worst price67.25
Drawdown as % of equity-0.01%
 $23
Includes Typical Broker Commissions trade costs of $0.08
5/9/19 9:30 FTNT FORTINET LONG 3 80.25 7/3 12:10 79.13 0.34%
Trade id #123587826
Max drawdown($34)
Time5/9/19 9:30
Quant open3
Worst price68.87
Drawdown as % of equity-0.34%
 ($3)
Includes Typical Broker Commissions trade costs of $0.06
6/19/19 14:45 FCEL FUELCELL ENERGY LONG 900 0.20 7/3 12:04 0.72 0.53%
Trade id #124148934
Max drawdown($50)
Time6/19/19 14:45
Quant open474
Worst price0.13
Drawdown as % of equity-0.53%
 $460
Includes Typical Broker Commissions trade costs of $11.50
3/8/19 4:00 LSE.WMH William Hill LONG 118 £1.650 7/2 4:04 £1.544 n/a ($16)
Includes Typical Broker Commissions trade costs of $0.37
6/13/19 13:12 MU MICRON TECHNOLOGY LONG 7 33.49 7/1 12:52 40.12 0.1%
Trade id #124071062
Max drawdown($9)
Time6/13/19 13:12
Quant open7
Worst price32.14
Drawdown as % of equity-0.10%
 $46
Includes Typical Broker Commissions trade costs of $0.14
6/11/19 14:51 LGCY LEGACY RESERVES LONG 6,712 0.07 7/1 9:31 0.04 2.56%
Trade id #124037263
Max drawdown($237)
Time7/1/19 9:31
Quant open6,712
Worst price0.04
Drawdown as % of equity-2.56%
 ($247)
Includes Typical Broker Commissions trade costs of $10.00
2/27/19 4:00 LSE.FRES Fresnillo Plc LONG 21 £8.970 6/28 9:59 £8.662 n/a ($9)
Includes Typical Broker Commissions trade costs of $0.37
6/24/19 11:52 WTI W&T OFFSHORE LONG 58 4.54 6/27 14:48 4.75 0.06%
Trade id #124205373
Max drawdown($5)
Time6/24/19 11:52
Quant open58
Worst price4.44
Drawdown as % of equity-0.06%
 $11
Includes Typical Broker Commissions trade costs of $1.16
6/14/19 13:53 EMN EASTMAN CHEMICAL LONG 3 72.26 6/26 13:41 76.11 0.03%
Trade id #124089229
Max drawdown($2)
Time6/14/19 13:53
Quant open3
Worst price71.44
Drawdown as % of equity-0.03%
 $12
Includes Typical Broker Commissions trade costs of $0.06
3/12/19 4:00 LSE.CNE Cairn Energy LONG 112 £1.660 6/26 8:10 £1.684 n/a $4
Includes Typical Broker Commissions trade costs of $0.38
6/14/19 14:08 PSX PHILLIPS 66 LONG 3 85.53 6/25 14:06 89.75 0.01%
Trade id #124089421
Max drawdown($0)
Time6/14/19 14:08
Quant open3
Worst price85.32
Drawdown as % of equity-0.01%
 $13
Includes Typical Broker Commissions trade costs of $0.06
6/13/19 13:11 HAL HALLIBURTON LONG 12 21.69 6/24 15:32 22.50 0.07%
Trade id #124071052
Max drawdown($6)
Time6/13/19 13:11
Quant open12
Worst price21.16
Drawdown as % of equity-0.07%
 $10
Includes Typical Broker Commissions trade costs of $0.24
Next

Statistics

  • Strategy began
    1/25/2019
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1913.71
  • Age
    64 months ago
  • What it trades
    Stocks
  • # Trades
    127
  • # Profitable
    85
  • % Profitable
    66.90%
  • Avg trade duration
    391.4 days
  • Max peak-to-valley drawdown
    58.46%
  • drawdown period
    June 23, 2021 - Oct 25, 2023
  • Annual Return (Compounded)
    -8.8%
  • Avg win
    $37.60
  • Avg loss
    $130.45
  • Model Account Values (Raw)
  • Cash
    $4,869
  • Margin Used
    $0
  • Buying Power
    $2,579
  • Ratios
  • W:L ratio
    0.64:1
  • Sharpe Ratio
    -0.3
  • Sortino Ratio
    -0.41
  • Calmar Ratio
    -0.322
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -126.96%
  • Correlation to SP500
    0.39630
  • Return Percent SP500 (cumu) during strategy life
    89.45%
  • Return Statistics
  • Ann Return (w trading costs)
    -8.8%
  • Slump
  • Current Slump as Pcnt Equity
    123.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.54%
  • 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)
    -0.088%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.50%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
    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
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $130
  • Avg Win
    $38
  • Sum Trade PL (losers)
    $5,479.000
  • Age
  • Num Months filled monthly returns table
    64
  • Win / Loss
  • Sum Trade PL (winners)
    $3,196.000
  • # Winners
    85
  • Num Months Winners
    31
  • Dividends
  • Dividends Received in Model Acct
    299
  • Win / Loss
  • # Losers
    42
  • % Winners
    66.9%
  • Frequency
  • Avg Position Time (mins)
    576846.00
  • Avg Position Time (hrs)
    9614.10
  • Avg Trade Length
    400.6 days
  • Last Trade Ago
    1288
  • Leverage
  • Daily leverage (average)
    0.92
  • Daily leverage (max)
    1.38
  • Regression
  • Alpha
    -0.04
  • Beta
    0.47
  • Treynor Index
    -0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.88
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    64.74
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.13
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    8.556
  • 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
    0.19
  • Avg(MAE) / Avg(PL) - Winning trades
    0.461
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.179
  • Hold-and-Hope Ratio
    -0.404
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16177
  • SD
    1.08356
  • Sharpe ratio (Glass type estimate)
    0.14930
  • Sharpe ratio (Hedges UMVUE)
    0.13973
  • df
    12.00000
  • t
    0.15540
  • p
    0.47759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73772
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74417
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02364
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.39776
  • Upside Potential Ratio
    2.53415
  • Upside part of mean
    1.03066
  • Downside part of mean
    -0.86888
  • Upside SD
    0.95946
  • Downside SD
    0.40671
  • N nonnegative terms
    5.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.53085
  • Mean of criterion
    0.16177
  • SD of predictor
    0.61618
  • SD of criterion
    1.08356
  • Covariance
    0.61430
  • r
    0.92006
  • b (slope, estimate of beta)
    1.61795
  • a (intercept, estimate of alpha)
    -0.69712
  • Mean Square Error
    0.19659
  • DF error
    11.00000
  • t(b)
    7.78892
  • p(b)
    0.00000
  • t(a)
    -1.58423
  • p(a)
    0.92928
  • Lowerbound of 95% confidence interval for beta
    1.16075
  • Upperbound of 95% confidence interval for beta
    2.07515
  • Lowerbound of 95% confidence interval for alpha
    -1.66563
  • Upperbound of 95% confidence interval for alpha
    0.27139
  • Treynor index (mean / b)
    0.09999
  • Jensen alpha (a)
    -0.69712
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21827
  • SD
    0.83973
  • Sharpe ratio (Glass type estimate)
    -0.25993
  • Sharpe ratio (Hedges UMVUE)
    -0.24328
  • df
    12.00000
  • t
    -0.27054
  • p
    0.53893
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.14053
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63123
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.12886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64231
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.47479
  • Upside Potential Ratio
    1.62226
  • Upside part of mean
    0.74579
  • Downside part of mean
    -0.96406
  • Upside SD
    0.66598
  • Downside SD
    0.45972
  • N nonnegative terms
    5.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.38762
  • Mean of criterion
    -0.21827
  • SD of predictor
    0.50692
  • SD of criterion
    0.83973
  • Covariance
    0.36415
  • r
    0.85546
  • b (slope, estimate of beta)
    1.41710
  • a (intercept, estimate of alpha)
    -0.76757
  • Mean Square Error
    0.20631
  • DF error
    11.00000
  • t(b)
    5.47864
  • p(b)
    0.00010
  • t(a)
    -1.71424
  • p(a)
    0.94276
  • Lowerbound of 95% confidence interval for beta
    0.84780
  • Upperbound of 95% confidence interval for beta
    1.98641
  • Lowerbound of 95% confidence interval for alpha
    -1.75309
  • Upperbound of 95% confidence interval for alpha
    0.21795
  • Treynor index (mean / b)
    -0.15402
  • Jensen alpha (a)
    -0.76757
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.34092
  • Expected Shortfall on VaR
    0.40210
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.18872
  • Expected Shortfall on VaR
    0.30629
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.74110
  • Quartile 1
    0.92206
  • Median
    0.96603
  • Quartile 3
    1.02232
  • Maximum
    1.99884
  • Mean of quarter 1
    0.80766
  • Mean of quarter 2
    0.95041
  • Mean of quarter 3
    1.01284
  • Mean of quarter 4
    1.36170
  • Inter Quartile Range
    0.10026
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.15385
  • Mean of outliers low
    0.75586
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    1.99884
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -57.80500
  • VaR(95%) (moments method)
    0.16351
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.15476
  • VaR(95%) (regression method)
    0.28512
  • Expected Shortfall (regression method)
    0.28851
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00454
  • Quartile 1
    0.13021
  • Median
    0.25587
  • Quartile 3
    0.36463
  • Maximum
    0.47340
  • Mean of quarter 1
    0.00454
  • Mean of quarter 2
    0.25587
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.47340
  • Inter Quartile Range
    0.23443
  • 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)
    -0.17202
  • Compounded annual return (geometric extrapolation)
    -0.17334
  • Calmar ratio (compounded annual return / max draw down)
    -0.36616
  • Compounded annual return / average of 25% largest draw downs
    -0.36616
  • Compounded annual return / Expected Shortfall lognormal
    -0.43109
  • 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
    -0.11756
  • SD
    0.43365
  • Sharpe ratio (Glass type estimate)
    -0.27109
  • Sharpe ratio (Hedges UMVUE)
    -0.27042
  • df
    303.00000
  • t
    -0.29201
  • p
    0.61476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54879
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09008
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54925
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40537
  • Upside Potential Ratio
    6.00872
  • Upside part of mean
    1.74255
  • Downside part of mean
    -1.86011
  • Upside SD
    0.32154
  • Downside SD
    0.29000
  • N nonnegative terms
    147.00000
  • N negative terms
    157.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    304.00000
  • Mean of predictor
    0.63038
  • Mean of criterion
    -0.11756
  • SD of predictor
    0.40119
  • SD of criterion
    0.43365
  • Covariance
    0.08091
  • r
    0.46506
  • b (slope, estimate of beta)
    0.50270
  • a (intercept, estimate of alpha)
    -0.43400
  • Mean Square Error
    0.14787
  • DF error
    302.00000
  • t(b)
    9.12928
  • p(b)
    0.00000
  • t(a)
    -1.21128
  • p(a)
    0.88663
  • Lowerbound of 95% confidence interval for beta
    0.39434
  • Upperbound of 95% confidence interval for beta
    0.61105
  • Lowerbound of 95% confidence interval for alpha
    -1.14026
  • Upperbound of 95% confidence interval for alpha
    0.27136
  • Treynor index (mean / b)
    -0.23386
  • Jensen alpha (a)
    -0.43445
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20952
  • SD
    0.42783
  • Sharpe ratio (Glass type estimate)
    -0.48971
  • Sharpe ratio (Hedges UMVUE)
    -0.48850
  • df
    303.00000
  • t
    -0.52751
  • p
    0.70089
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.30931
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30846
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33146
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.69467
  • Upside Potential Ratio
    5.61895
  • Upside part of mean
    1.69470
  • Downside part of mean
    -1.90421
  • Upside SD
    0.30272
  • Downside SD
    0.30160
  • N nonnegative terms
    147.00000
  • N negative terms
    157.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    304.00000
  • Mean of predictor
    0.54899
  • Mean of criterion
    -0.20952
  • SD of predictor
    0.40339
  • SD of criterion
    0.42783
  • Covariance
    0.08342
  • r
    0.48335
  • b (slope, estimate of beta)
    0.51264
  • a (intercept, estimate of alpha)
    -0.49095
  • Mean Square Error
    0.14074
  • DF error
    302.00000
  • t(b)
    9.59508
  • p(b)
    0.00000
  • t(a)
    -1.40469
  • p(a)
    0.91943
  • Lowerbound of 95% confidence interval for beta
    0.40750
  • Upperbound of 95% confidence interval for beta
    0.61778
  • Lowerbound of 95% confidence interval for alpha
    -1.17873
  • Upperbound of 95% confidence interval for alpha
    0.19683
  • Treynor index (mean / b)
    -0.40870
  • Jensen alpha (a)
    -0.49095
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04331
  • Expected Shortfall on VaR
    0.05377
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01641
  • Expected Shortfall on VaR
    0.03477
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    304.00000
  • Minimum
    0.89024
  • Quartile 1
    0.99380
  • Median
    1.00000
  • Quartile 3
    1.00572
  • Maximum
    1.21534
  • Mean of quarter 1
    0.97450
  • Mean of quarter 2
    0.99732
  • Mean of quarter 3
    1.00238
  • Mean of quarter 4
    1.02443
  • Inter Quartile Range
    0.01193
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.08224
  • Mean of outliers low
    0.94750
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.06579
  • Mean of outliers high
    1.05813
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59832
  • VaR(95%) (moments method)
    0.02435
  • Expected Shortfall (moments method)
    0.06811
  • Extreme Value Index (regression method)
    0.09113
  • VaR(95%) (regression method)
    0.02298
  • Expected Shortfall (regression method)
    0.03529
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00143
  • Median
    0.00830
  • Quartile 3
    0.02906
  • Maximum
    0.51646
  • Mean of quarter 1
    0.00065
  • Mean of quarter 2
    0.00311
  • Mean of quarter 3
    0.01899
  • Mean of quarter 4
    0.23742
  • Inter Quartile Range
    0.02763
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.21429
  • Mean of outliers high
    0.30629
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.78515
  • VaR(95%) (moments method)
    0.11771
  • Expected Shortfall (moments method)
    0.11884
  • Extreme Value Index (regression method)
    -0.11908
  • VaR(95%) (regression method)
    0.47801
  • Expected Shortfall (regression method)
    0.69373
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.16375
  • Compounded annual return (geometric extrapolation)
    -0.16607
  • Calmar ratio (compounded annual return / max draw down)
    -0.32156
  • Compounded annual return / average of 25% largest draw downs
    -0.69949
  • Compounded annual return / Expected Shortfall lognormal
    -3.08841
  • 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
    -0.22964
  • SD
    0.64307
  • Sharpe ratio (Glass type estimate)
    -0.35709
  • Sharpe ratio (Hedges UMVUE)
    -0.35503
  • df
    130.00000
  • t
    -0.25250
  • p
    0.51107
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.12864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41566
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.12717
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41711
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.53233
  • Upside Potential Ratio
    7.24230
  • Upside part of mean
    3.12419
  • Downside part of mean
    -3.35382
  • Upside SD
    0.47381
  • Downside SD
    0.43138
  • 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
    1.29157
  • Mean of criterion
    -0.22964
  • SD of predictor
    0.59113
  • SD of criterion
    0.64307
  • Covariance
    0.18042
  • r
    0.47461
  • b (slope, estimate of beta)
    0.51632
  • a (intercept, estimate of alpha)
    -0.89650
  • Mean Square Error
    0.32287
  • DF error
    129.00000
  • t(b)
    6.12431
  • p(b)
    0.20961
  • t(a)
    -1.10553
  • p(a)
    0.56158
  • Lowerbound of 95% confidence interval for beta
    0.34952
  • Upperbound of 95% confidence interval for beta
    0.68312
  • Lowerbound of 95% confidence interval for alpha
    -2.50092
  • Upperbound of 95% confidence interval for alpha
    0.70793
  • Treynor index (mean / b)
    -0.44476
  • Jensen alpha (a)
    -0.89650
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.43093
  • SD
    0.63407
  • Sharpe ratio (Glass type estimate)
    -0.67963
  • Sharpe ratio (Hedges UMVUE)
    -0.67570
  • df
    130.00000
  • t
    -0.48057
  • p
    0.52106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.45146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.44872
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09732
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.95905
  • Upside Potential Ratio
    6.72277
  • Upside part of mean
    3.02076
  • Downside part of mean
    -3.45169
  • Upside SD
    0.44473
  • Downside SD
    0.44933
  • 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
    1.11409
  • Mean of criterion
    -0.43093
  • SD of predictor
    0.59515
  • SD of criterion
    0.63407
  • Covariance
    0.18659
  • r
    0.49447
  • b (slope, estimate of beta)
    0.52680
  • a (intercept, estimate of alpha)
    -1.01783
  • Mean Square Error
    0.30610
  • DF error
    129.00000
  • t(b)
    6.46120
  • p(b)
    0.19856
  • t(a)
    -1.29218
  • p(a)
    0.57181
  • VAR (95 Confidence Intrvl)
    0.04300
  • Lowerbound of 95% confidence interval for beta
    0.36549
  • Upperbound of 95% confidence interval for beta
    0.68812
  • Lowerbound of 95% confidence interval for alpha
    -2.57629
  • Upperbound of 95% confidence interval for alpha
    0.54062
  • Treynor index (mean / b)
    -0.81802
  • Jensen alpha (a)
    -1.01783
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06394
  • Expected Shortfall on VaR
    0.07904
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02987
  • Expected Shortfall on VaR
    0.05876
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89024
  • Quartile 1
    0.98452
  • Median
    1.00000
  • Quartile 3
    1.01480
  • Maximum
    1.21534
  • Mean of quarter 1
    0.95541
  • Mean of quarter 2
    0.99399
  • Mean of quarter 3
    1.00641
  • Mean of quarter 4
    1.04132
  • Inter Quartile Range
    0.03029
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.91326
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.12001
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05112
  • VaR(95%) (moments method)
    0.03845
  • Expected Shortfall (moments method)
    0.05164
  • Extreme Value Index (regression method)
    -0.65707
  • VaR(95%) (regression method)
    0.04730
  • Expected Shortfall (regression method)
    0.05400
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00357
  • Quartile 1
    0.02557
  • Median
    0.03287
  • Quartile 3
    0.22878
  • Maximum
    0.51646
  • Mean of quarter 1
    0.01370
  • Mean of quarter 2
    0.03081
  • Mean of quarter 3
    0.03493
  • Mean of quarter 4
    0.40493
  • Inter Quartile Range
    0.20320
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -411391000
  • Max Equity Drawdown (num days)
    854
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.36501
  • Compounded annual return (geometric extrapolation)
    -0.33170
  • Calmar ratio (compounded annual return / max draw down)
    -0.64226
  • Compounded annual return / average of 25% largest draw downs
    -0.81917
  • Compounded annual return / Expected Shortfall lognormal
    -4.19650

Strategy Description

The portfolio is based on US-nontech, US-tech150 and UK200 stocks.
The choice of the stocks in the portfolio is supported by a proprietary screening algorithm, checking the stocks lists every day.
A trailing stop is used for all positions as soon it reaches the minimum desired return, maximizing profits.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-01-25
Suggested Minimum Capital
$15,000
# Trades
127
# Profitable
85
% Profitable
66.9%
Net Dividends
$298
Correlation S&P500
0.396
Sharpe Ratio
-0.30
Sortino Ratio
-0.41
Beta
0.47
Alpha
-0.04
Leverage
0.92 Average
1.38 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.