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This is an archived track record. This track record was archived on 2/24/20 15:31 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Stack Overflow
(124420098)

Created by: MassiveQuant MassiveQuant
Started: 09/2019
Stocks
Last trade: 1,495 days ago
Trading style: Equity Non-hedged Equity Trend-following
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 $488.00 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."
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
18.7%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(18.1%)
Max Drawdown
296
Num Trades
44.9%
Win Trades
1.1 : 1
Profit Factor
5.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        (1.2%)+19.6%+3.6%+2.9%+25.9%
2020(4.6%)(10.7%)  -    -    -    -    -    -    -    -    -    -  (14.8%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

System developer has asked us to delay this information by 73 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/24/20 10:27 SPY SPDR S&P 500 LONG 800 324.59 2/24 15:31 323.82 n/a ($621)
Includes Typical Broker Commissions trade costs of $5.00
2/21/20 15:58 MTDR MATADOR RESOURCES LONG 2,000 12.66 2/24 15:31 12.19 0.03%
Trade id #127644056
Max drawdown($72)
Time2/21/20 16:00
Quant open2,000
Worst price12.62
Drawdown as % of equity-0.03%
($950)
Includes Typical Broker Commissions trade costs of $7.50
2/21/20 15:56 CLR CONTINENTAL RESOURCES LONG 1,200 25.38 2/24 15:31 23.58 0.04%
Trade id #127644010
Max drawdown($108)
Time2/21/20 16:00
Quant open1,200
Worst price25.29
Drawdown as % of equity-0.04%
($2,165)
Includes Typical Broker Commissions trade costs of $5.00
2/21/20 15:48 FSLY FASTLY INC LONG 800 22.86 2/24 15:31 20.95 0%
Trade id #127643785
Max drawdown($8)
Time2/21/20 15:49
Quant open800
Worst price22.85
Drawdown as % of equity-0.00%
($1,533)
Includes Typical Broker Commissions trade costs of $5.00
2/21/20 14:02 GLOP GASLOG PARTNERS LP LONG 7,000 4.15 2/24 15:31 3.95 0.2%
Trade id #127642381
Max drawdown($560)
Time2/21/20 14:43
Quant open7,000
Worst price4.07
Drawdown as % of equity-0.20%
($1,405)
Includes Typical Broker Commissions trade costs of $5.00
2/20/20 9:40 BA BOEING LONG 200 339.43 2/24 15:31 325.90 0.38%
Trade id #127617200
Max drawdown($1,057)
Time2/21/20 0:00
Quant open115
Worst price330.23
Drawdown as % of equity-0.38%
($2,709)
Includes Typical Broker Commissions trade costs of $4.00
2/18/20 15:51 DIS WALT DISNEY LONG 300 138.97 2/24 15:31 133.68 0.04%
Trade id #127582403
Max drawdown($117)
Time2/21/20 0:00
Quant open300
Worst price138.58
Drawdown as % of equity-0.04%
($1,593)
Includes Typical Broker Commissions trade costs of $6.00
1/31/20 15:34 SGMS SCIENTIFIC GAMES LONG 600 24.72 2/24 15:31 22.55 0.43%
Trade id #127316114
Max drawdown($1,212)
Time2/20/20 0:00
Quant open600
Worst price22.70
Drawdown as % of equity-0.43%
($1,307)
Includes Typical Broker Commissions trade costs of $5.00
2/20/20 10:54 MYOV MYOVANT SCIENCES LTD LONG 3,600 11.00 2/24 15:29 11.09 0.09%
Trade id #127618979
Max drawdown($238)
Time2/21/20 0:00
Quant open3,600
Worst price10.94
Drawdown as % of equity-0.09%
$310
Includes Typical Broker Commissions trade costs of $10.00
2/19/20 15:56 LNG CHENIERE ENERGY SHORT 540 55.37 2/24 15:27 51.82 0.11%
Trade id #127607097
Max drawdown($302)
Time2/20/20 0:00
Quant open540
Worst price55.93
Drawdown as % of equity-0.11%
$1,912
Includes Typical Broker Commissions trade costs of $5.00
2/19/20 15:58 TELL TELLURIAN INC SHORT 7,000 6.71 2/21 15:51 6.55 0.47%
Trade id #127607115
Max drawdown($1,330)
Time2/20/20 0:00
Quant open7,000
Worst price6.90
Drawdown as % of equity-0.47%
$1,113
Includes Typical Broker Commissions trade costs of $7.50
2/19/20 15:57 LSCC LATTICE SEMICONDUCTOR LONG 3,000 20.19 2/21 15:50 19.04 1.61%
Trade id #127607105
Max drawdown($4,464)
Time2/21/20 9:50
Quant open3,000
Worst price18.70
Drawdown as % of equity-1.61%
($3,452)
Includes Typical Broker Commissions trade costs of $8.00
2/18/20 15:59 FDX FEDEX LONG 130 158.61 2/21 15:45 163.08 0.01%
Trade id #127582650
Max drawdown($28)
Time2/18/20 16:00
Quant open130
Worst price158.39
Drawdown as % of equity-0.01%
$578
Includes Typical Broker Commissions trade costs of $2.60
2/14/20 15:47 CCJ CAMECO LONG 6,000 9.23 2/20 15:59 9.06 0.38%
Trade id #127522028
Max drawdown($1,072)
Time2/20/20 13:56
Quant open6,000
Worst price9.05
Drawdown as % of equity-0.38%
($1,050)
Includes Typical Broker Commissions trade costs of $7.50
2/12/20 15:56 BLL BALL CORP LONG 400 76.58 2/20 15:55 76.66 0.1%
Trade id #127482882
Max drawdown($292)
Time2/13/20 0:00
Quant open400
Worst price75.85
Drawdown as % of equity-0.10%
$24
Includes Typical Broker Commissions trade costs of $8.00
2/19/20 9:48 AMZN AMAZON.COM LONG 37 2171.73 2/20 15:52 2149.81 0.58%
Trade id #127595492
Max drawdown($1,638)
Time2/20/20 0:00
Quant open37
Worst price2127.45
Drawdown as % of equity-0.58%
($812)
Includes Typical Broker Commissions trade costs of $0.74
2/20/20 10:49 RIG TRANSOCEAN LONG 7,000 4.39 2/20 15:47 4.26 0.33%
Trade id #127618891
Max drawdown($910)
Time2/20/20 15:46
Quant open7,000
Worst price4.26
Drawdown as % of equity-0.33%
($915)
Includes Typical Broker Commissions trade costs of $5.00
2/19/20 10:42 EXTR EXTREME NETWORKS SHORT 5,000 6.37 2/20 15:44 6.51 0.28%
Trade id #127597244
Max drawdown($800)
Time2/20/20 0:00
Quant open5,000
Worst price6.53
Drawdown as % of equity-0.28%
($705)
Includes Typical Broker Commissions trade costs of $5.00
2/13/20 15:36 AMAT APPLIED MATERIALS SHORT 500 67.20 2/19 15:55 67.41 0.12%
Trade id #127501087
Max drawdown($350)
Time2/14/20 0:00
Quant open500
Worst price67.90
Drawdown as % of equity-0.12%
($115)
Includes Typical Broker Commissions trade costs of $10.00
2/19/20 9:44 GOOG ALPHABET INC CLASS C LONG 60 1524.03 2/19 15:54 1524.90 0.02%
Trade id #127595317
Max drawdown($61)
Time2/19/20 9:58
Quant open60
Worst price1523.00
Drawdown as % of equity-0.02%
$51
Includes Typical Broker Commissions trade costs of $1.20
2/19/20 9:38 AAPL APPLE LONG 200 321.57 2/19 15:53 323.27 0%
Trade id #127595113
Max drawdown($6)
Time2/19/20 9:39
Quant open100
Worst price321.21
Drawdown as % of equity-0.00%
$336
Includes Typical Broker Commissions trade costs of $4.00
2/19/20 9:37 TSLA TESLA INC. LONG 60 917.84 2/19 15:52 916.02 0.35%
Trade id #127595095
Max drawdown($1,009)
Time2/19/20 15:10
Quant open60
Worst price901.02
Drawdown as % of equity-0.35%
($110)
Includes Typical Broker Commissions trade costs of $1.20
2/14/20 15:40 ELAN ELANCO ANIMAL HEALTH INC LONG 1,400 30.95 2/19 15:34 30.30 0.86%
Trade id #127521790
Max drawdown($2,436)
Time2/19/20 9:54
Quant open1,400
Worst price29.21
Drawdown as % of equity-0.86%
($915)
Includes Typical Broker Commissions trade costs of $5.00
2/18/20 15:45 CREE CREE LONG 430 47.03 2/19 15:30 48.47 0.01%
Trade id #127582192
Max drawdown($43)
Time2/18/20 15:53
Quant open430
Worst price46.93
Drawdown as % of equity-0.01%
$610
Includes Typical Broker Commissions trade costs of $8.60
2/13/20 15:37 ANTM ANTHEM INC SHORT 130 297.90 2/19 15:28 303.47 0.28%
Trade id #127501096
Max drawdown($837)
Time2/18/20 0:00
Quant open130
Worst price304.34
Drawdown as % of equity-0.28%
($727)
Includes Typical Broker Commissions trade costs of $2.60
2/11/20 15:47 EDU NEW ORIENTAL SHORT 240 138.13 2/19 10:38 141.83 0.35%
Trade id #127464287
Max drawdown($1,020)
Time2/14/20 0:00
Quant open240
Worst price142.38
Drawdown as % of equity-0.35%
($893)
Includes Typical Broker Commissions trade costs of $4.80
2/12/20 15:49 AAL AMERICAN AIRLINES GROUP INC. C SHORT 1,300 30.47 2/19 10:37 28.65 0.02%
Trade id #127482683
Max drawdown($52)
Time2/12/20 15:57
Quant open1,300
Worst price30.51
Drawdown as % of equity-0.02%
$2,361
Includes Typical Broker Commissions trade costs of $5.00
2/14/20 15:58 TSLA TESLA INC. SHORT 60 799.73 2/19 9:37 918.50 2.57%
Trade id #127522305
Max drawdown($7,516)
Time2/19/20 9:36
Quant open60
Worst price925.00
Drawdown as % of equity-2.57%
($7,127)
Includes Typical Broker Commissions trade costs of $1.20
2/14/20 15:53 BEST BEST INC SHORT 2,000 5.42 2/18 15:59 5.49 0.06%
Trade id #127522152
Max drawdown($180)
Time2/18/20 9:32
Quant open2,000
Worst price5.51
Drawdown as % of equity-0.06%
($145)
Includes Typical Broker Commissions trade costs of $5.00
2/14/20 15:45 ATVI ACTIVISION BLIZZARD LONG 200 63.45 2/18 15:58 63.71 0.01%
Trade id #127521943
Max drawdown($38)
Time2/18/20 9:31
Quant open200
Worst price63.26
Drawdown as % of equity-0.01%
$48
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    9/25/2019
  • Suggested Minimum Cap
    $250,000
  • Strategy Age (days)
    1641.15
  • Age
    55 months ago
  • What it trades
    Stocks
  • # Trades
    296
  • # Profitable
    133
  • % Profitable
    44.90%
  • Avg trade duration
    15.3 days
  • Max peak-to-valley drawdown
    18.07%
  • drawdown period
    Jan 16, 2020 - Feb 24, 2020
  • Cumul. Return
    7.6%
  • Avg win
    $1,427
  • Avg loss
    $1,025
  • Model Account Values (Raw)
  • Cash
    $272,957
  • Margin Used
    $0
  • Buying Power
    $272,957
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    -0.02
  • Sortino Ratio
    -0.03
  • Calmar Ratio
    0.568
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -1.23%
  • Correlation to SP500
    0.07590
  • Return Percent SP500 (cumu) during strategy life
    76.03%
  • Return Statistics
  • Ann Return (w trading costs)
    18.7%
  • Slump
  • Current Slump as Pcnt Equity
    19.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • 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)
    0.076%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 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
    1.18%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    838
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    312
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,026
  • Avg Win
    $1,427
  • Sum Trade PL (losers)
    $167,163.000
  • Age
  • Num Months filled monthly returns table
    55
  • Win / Loss
  • Sum Trade PL (winners)
    $189,805.000
  • # Winners
    133
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    315
  • Win / Loss
  • # Losers
    163
  • % Winners
    44.9%
  • Frequency
  • Avg Position Time (mins)
    22048.90
  • Avg Position Time (hrs)
    367.48
  • Avg Trade Length
    15.3 days
  • Last Trade Ago
    1489
  • Leverage
  • Daily leverage (average)
    1.65
  • Daily leverage (max)
    2.35
  • Regression
  • Alpha
    -0.00
  • Beta
    0.02
  • Treynor Index
    -0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.29
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    12.902
  • 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
    0.401
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.344
  • Hold-and-Hope Ratio
    0.078
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69076
  • SD
    0.30433
  • Sharpe ratio (Glass type estimate)
    2.26977
  • Sharpe ratio (Hedges UMVUE)
    1.64240
  • df
    3.00000
  • t
    1.31045
  • p
    0.14067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67667
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.94356
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.99784
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.28265
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.82520
  • Upside Potential Ratio
    18.55720
  • Upside part of mean
    0.76187
  • Downside part of mean
    -0.07111
  • Upside SD
    0.32793
  • Downside SD
    0.04106
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.28355
  • Mean of criterion
    0.69076
  • SD of predictor
    0.04809
  • SD of criterion
    0.30433
  • Covariance
    -0.00344
  • r
    -0.23475
  • b (slope, estimate of beta)
    -1.48556
  • a (intercept, estimate of alpha)
    1.11199
  • Mean Square Error
    0.13127
  • DF error
    2.00000
  • t(b)
    -0.34153
  • p(b)
    0.61737
  • t(a)
    0.80356
  • p(a)
    0.25299
  • Lowerbound of 95% confidence interval for beta
    -20.20110
  • Upperbound of 95% confidence interval for beta
    17.23000
  • Lowerbound of 95% confidence interval for alpha
    -4.84216
  • Upperbound of 95% confidence interval for alpha
    7.06614
  • Treynor index (mean / b)
    -0.46498
  • Jensen alpha (a)
    1.11199
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64157
  • SD
    0.28070
  • Sharpe ratio (Glass type estimate)
    2.28557
  • Sharpe ratio (Hedges UMVUE)
    1.65384
  • df
    3.00000
  • t
    1.31958
  • p
    0.13932
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.96436
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98972
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29741
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.44110
  • Upside Potential Ratio
    17.17310
  • Upside part of mean
    0.71354
  • Downside part of mean
    -0.07197
  • Upside SD
    0.30277
  • Downside SD
    0.04155
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.27942
  • Mean of criterion
    0.64157
  • SD of predictor
    0.04695
  • SD of criterion
    0.28070
  • Covariance
    -0.00276
  • r
    -0.20917
  • b (slope, estimate of beta)
    -1.25069
  • a (intercept, estimate of alpha)
    0.99104
  • Mean Square Error
    0.11302
  • DF error
    2.00000
  • t(b)
    -0.30251
  • p(b)
    0.60459
  • t(a)
    0.76606
  • p(a)
    0.26185
  • Lowerbound of 95% confidence interval for beta
    -19.03970
  • Upperbound of 95% confidence interval for beta
    16.53830
  • Lowerbound of 95% confidence interval for alpha
    -4.57529
  • Upperbound of 95% confidence interval for alpha
    6.55737
  • Treynor index (mean / b)
    -0.51297
  • Jensen alpha (a)
    0.99104
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07672
  • Expected Shortfall on VaR
    0.10706
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00841
  • Expected Shortfall on VaR
    0.01855
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.97630
  • Quartile 1
    1.01938
  • Median
    1.03576
  • Quartile 3
    1.07394
  • Maximum
    1.18243
  • Mean of quarter 1
    0.97630
  • Mean of quarter 2
    1.03375
  • Mean of quarter 3
    1.03778
  • Mean of quarter 4
    1.18243
  • Inter Quartile Range
    0.05456
  • 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
    0.25000
  • Mean of outliers high
    1.18243
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.02370
  • Quartile 1
    0.02370
  • Median
    0.02370
  • Quartile 3
    0.02370
  • Maximum
    0.02370
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.71534
  • Compounded annual return (geometric extrapolation)
    0.89947
  • Calmar ratio (compounded annual return / max draw down)
    37.94690
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.40151
  • 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
    0.26270
  • SD
    0.21966
  • Sharpe ratio (Glass type estimate)
    1.19597
  • Sharpe ratio (Hedges UMVUE)
    1.18741
  • df
    105.00000
  • t
    0.76072
  • p
    0.45291
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89242
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27876
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.89816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27297
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03755
  • Upside Potential Ratio
    10.50030
  • Upside part of mean
    1.35381
  • Downside part of mean
    -1.09110
  • Upside SD
    0.17730
  • Downside SD
    0.12893
  • N nonnegative terms
    53.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    106.00000
  • Mean of predictor
    0.21455
  • Mean of criterion
    0.26270
  • SD of predictor
    0.11014
  • SD of criterion
    0.21966
  • Covariance
    0.00995
  • r
    0.41147
  • b (slope, estimate of beta)
    0.82060
  • a (intercept, estimate of alpha)
    0.05400
  • Mean Square Error
    0.04047
  • DF error
    104.00000
  • t(b)
    4.60405
  • p(b)
    0.29426
  • t(a)
    0.27197
  • p(a)
    0.48667
  • Lowerbound of 95% confidence interval for beta
    0.46715
  • Upperbound of 95% confidence interval for beta
    1.17405
  • Lowerbound of 95% confidence interval for alpha
    -0.54507
  • Upperbound of 95% confidence interval for alpha
    0.71835
  • Treynor index (mean / b)
    0.32013
  • Jensen alpha (a)
    0.08664
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23895
  • SD
    0.21788
  • Sharpe ratio (Glass type estimate)
    1.09669
  • Sharpe ratio (Hedges UMVUE)
    1.08884
  • df
    105.00000
  • t
    0.69757
  • p
    0.45680
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.99080
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.17910
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.99606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17374
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83207
  • Upside Potential Ratio
    10.26250
  • Upside part of mean
    1.33849
  • Downside part of mean
    -1.09954
  • Upside SD
    0.17387
  • Downside SD
    0.13043
  • N nonnegative terms
    53.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    106.00000
  • Mean of predictor
    0.20844
  • Mean of criterion
    0.23895
  • SD of predictor
    0.11047
  • SD of criterion
    0.21788
  • Covariance
    0.01002
  • r
    0.41614
  • b (slope, estimate of beta)
    0.82076
  • a (intercept, estimate of alpha)
    0.06787
  • Mean Square Error
    0.03963
  • DF error
    104.00000
  • t(b)
    4.66710
  • p(b)
    0.29193
  • t(a)
    0.21539
  • p(a)
    0.48944
  • Lowerbound of 95% confidence interval for beta
    0.47202
  • Upperbound of 95% confidence interval for beta
    1.16950
  • Lowerbound of 95% confidence interval for alpha
    -0.55700
  • Upperbound of 95% confidence interval for alpha
    0.69275
  • Treynor index (mean / b)
    0.29113
  • Jensen alpha (a)
    0.06787
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02101
  • Expected Shortfall on VaR
    0.02648
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00965
  • Expected Shortfall on VaR
    0.01819
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    106.00000
  • Minimum
    0.95836
  • Quartile 1
    0.99377
  • Median
    1.00016
  • Quartile 3
    1.00699
  • Maximum
    1.06939
  • Mean of quarter 1
    0.98655
  • Mean of quarter 2
    0.99699
  • Mean of quarter 3
    1.00293
  • Mean of quarter 4
    1.01747
  • Inter Quartile Range
    0.01322
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01887
  • Mean of outliers low
    0.96572
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01887
  • Mean of outliers high
    1.05487
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02819
  • VaR(95%) (moments method)
    0.01309
  • Expected Shortfall (moments method)
    0.01713
  • Extreme Value Index (regression method)
    0.23280
  • VaR(95%) (regression method)
    0.01443
  • Expected Shortfall (regression method)
    0.02224
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00685
  • Median
    0.01325
  • Quartile 3
    0.03169
  • Maximum
    0.14671
  • Mean of quarter 1
    0.00427
  • Mean of quarter 2
    0.01110
  • Mean of quarter 3
    0.02501
  • Mean of quarter 4
    0.11708
  • Inter Quartile Range
    0.02484
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.11708
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -10.34530
  • VaR(95%) (moments method)
    0.07596
  • Expected Shortfall (moments method)
    0.07596
  • Extreme Value Index (regression method)
    -0.91200
  • VaR(95%) (regression method)
    0.17413
  • Expected Shortfall (regression method)
    0.19060
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25088
  • Compounded annual return (geometric extrapolation)
    0.26991
  • Calmar ratio (compounded annual return / max draw down)
    1.83981
  • Compounded annual return / average of 25% largest draw downs
    2.30544
  • Compounded annual return / Expected Shortfall lognormal
    10.19150
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01400
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -236511000
  • Max Equity Drawdown (num days)
    39

Strategy Description

This strategy is a systematic discretionary long/short equity strategy. The trade signals are based on daily chart patterns, often executed near the end of day. A trade may be initiated if there is a bullish pattern on both daily and weekly time frame, or a bearish pattern on both daily and weekly time frame.

Summary Statistics

Strategy began
2019-09-25
Suggested Minimum Capital
$35,000
# Trades
296
# Profitable
133
% Profitable
44.9%
Net Dividends
Correlation S&P500
0.076
Sharpe Ratio
-0.02
Sortino Ratio
-0.03
Beta
0.02
Alpha
-0.00
Leverage
1.65 Average
2.35 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.