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These are hypothetical performance results that have certain inherent limitations. Learn more

stock star
(125587405)

Created by: JamesLang JamesLang
Started: 10/2019
Stocks
Last trade: 521 days ago
Trading style: Equity Trend-following

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 $150.00 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
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.
9.9%
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.

(43.5%)
Max Drawdown
262
Num Trades
56.1%
Win Trades
1.5 : 1
Profit Factor
44.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                               +46.1%+8.1%+4.6%+65.3%
2020+5.1%+5.6%+8.8%+3.4%+5.8%+2.4%(1.8%)+1.1%(4.6%)(0.7%)+1.9%+0.7%+30.5%
2021  -  (1%)+1.9%(0.9%)+10.4%+5.2%(2.3%)+0.2%(5.3%)+0.2%(3.2%)+5.1%+9.9%
2022(6.9%)+9.0%+4.2%(7.4%)+7.5%(12.6%)+2.1%+2.0%+8.8%(38.3%)  -    -  (35.6%)
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 168 hours.

Trading Record

This strategy has placed 445 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 548 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/12/22 12:02 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 62.06 10/25 11:05 50.02 26.29%
Trade id #142142694
Max drawdown($24,720)
Time10/25/22 9:56
Quant open2,000
Worst price49.70
Drawdown as % of equity-26.29%
($24,085)
Includes Typical Broker Commissions trade costs of $5.00
10/10/22 15:17 TQQQ PROSHARES ULTRAPRO QQQ LONG 13,000 18.72 10/12 12:01 18.23 8.83%
Trade id #142110844
Max drawdown($9,730)
Time10/11/22 0:00
Quant open7,000
Worst price17.74
Drawdown as % of equity-8.83%
($6,430)
Includes Typical Broker Commissions trade costs of $10.00
10/11/22 14:56 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 63.58 10/12 10:34 62.78 4.08%
Trade id #142128291
Max drawdown($4,220)
Time10/12/22 9:45
Quant open2,000
Worst price61.47
Drawdown as % of equity-4.08%
($1,605)
Includes Typical Broker Commissions trade costs of $5.00
10/10/22 15:03 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,200 60.85 10/10 15:17 60.09 1.77%
Trade id #142110673
Max drawdown($2,090)
Time10/10/22 15:17
Quant open2,200
Worst price59.90
Drawdown as % of equity-1.77%
($1,677)
Includes Typical Broker Commissions trade costs of $5.00
10/10/22 10:35 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,400 60.64 10/10 13:51 59.97 1.61%
Trade id #142105044
Max drawdown($1,896)
Time10/10/22 13:49
Quant open2,400
Worst price59.85
Drawdown as % of equity-1.61%
($1,613)
Includes Typical Broker Commissions trade costs of $5.00
10/10/22 9:52 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,400 60.23 10/10 10:27 59.65 1.4%
Trade id #142104024
Max drawdown($1,604)
Time10/10/22 10:27
Quant open2,400
Worst price59.56
Drawdown as % of equity-1.40%
($1,403)
Includes Typical Broker Commissions trade costs of $9.00
10/7/22 13:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 58.88 10/10 9:40 60.17 0.58%
Trade id #142088631
Max drawdown($660)
Time10/7/22 15:04
Quant open2,000
Worst price58.55
Drawdown as % of equity-0.58%
$2,575
Includes Typical Broker Commissions trade costs of $5.00
10/7/22 12:37 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 58.56 10/7 13:37 58.57 0.47%
Trade id #142087299
Max drawdown($540)
Time10/7/22 13:18
Quant open2,000
Worst price58.29
Drawdown as % of equity-0.47%
$13
Includes Typical Broker Commissions trade costs of $7.50
10/7/22 11:20 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 57.74 10/7 11:51 57.95 0.67%
Trade id #142084425
Max drawdown($760)
Time10/7/22 11:30
Quant open2,000
Worst price57.36
Drawdown as % of equity-0.67%
$410
Includes Typical Broker Commissions trade costs of $10.00
10/7/22 9:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 500 57.36 10/7 10:09 56.99 0.18%
Trade id #142082279
Max drawdown($200)
Time10/7/22 10:09
Quant open500
Worst price56.96
Drawdown as % of equity-0.18%
($195)
Includes Typical Broker Commissions trade costs of $10.00
10/7/22 9:34: Rescaled downward to 98% of previous Model Account size
10/3/22 15:02 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 6,272 53.61 10/7 9:32 53.79 12.75%
Trade id #142017501
Max drawdown($12,790)
Time10/5/22 0:00
Quant open2,352
Worst price50.68
Drawdown as % of equity-12.75%
$1,086
Includes Typical Broker Commissions trade costs of $31.23
9/29/22 9:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 45,080 20.62 10/5 13:35 20.47 3.88%
Trade id #141975513
Max drawdown($4,513)
Time9/29/22 10:16
Quant open7,683
Worst price20.02
Drawdown as % of equity-3.88%
($6,698)
Includes Typical Broker Commissions trade costs of $45.97
9/30/22 13:49 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,352 59.34 10/3 10:24 58.74 1.52%
Trade id #141996006
Max drawdown($1,782)
Time10/3/22 10:24
Quant open2,305
Worst price58.56
Drawdown as % of equity-1.52%
($1,416)
Includes Typical Broker Commissions trade costs of $8.92
9/28/22 10:06 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 4,900 56.53 9/29 11:34 55.62 9.45%
Trade id #141959960
Max drawdown($11,200)
Time9/28/22 15:49
Quant open2,977
Worst price52.77
Drawdown as % of equity-9.45%
($4,500)
Includes Typical Broker Commissions trade costs of $18.48
9/28/22 11:08 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,960 21.46 9/28 11:08 21.46 n/a ($5)
Includes Typical Broker Commissions trade costs of $5.00
9/27/22 14:14 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,176 57.29 9/28 9:33 57.27 0.65%
Trade id #141949257
Max drawdown($821)
Time9/27/22 14:49
Quant open576
Worst price56.45
Drawdown as % of equity-0.65%
($37)
Includes Typical Broker Commissions trade costs of $10.88
9/27/22 13:29: Rescaled upward by +-300% of previous Model Account size
9/27/22 11:26 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,176 56.05 9/27 11:35 56.11 0.17%
Trade id #141944727
Max drawdown($216)
Time9/27/22 11:34
Quant open1,152
Worst price55.86
Drawdown as % of equity-0.17%
$68
Includes Typical Broker Commissions trade costs of $5.00
9/27/22 9:53 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,176 54.55 9/27 11:09 54.72 0.18%
Trade id #141942557
Max drawdown($222)
Time9/27/22 10:46
Quant open1,152
Worst price54.36
Drawdown as % of equity-0.18%
$182
Includes Typical Broker Commissions trade costs of $8.92
9/26/22 10:41 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 392 54.83 9/26 11:36 56.00 0.44%
Trade id #141929678
Max drawdown($458)
Time9/26/22 10:44
Quant open1,537
Worst price54.53
Drawdown as % of equity-0.44%
$451
Includes Typical Broker Commissions trade costs of $7.84
9/19/22 12:41 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,352 49.15 9/26 9:30 56.63 28.99%
Trade id #141853555
Max drawdown($25,262)
Time9/21/22 0:00
Quant open9,220
Worst price46.41
Drawdown as % of equity-28.99%
$17,569
Includes Typical Broker Commissions trade costs of $26.02
9/19/22 9:42 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 784 48.96 9/19 11:33 49.41 0.84%
Trade id #141848863
Max drawdown($762)
Time9/19/22 11:18
Quant open1,537
Worst price48.44
Drawdown as % of equity-0.84%
$340
Includes Typical Broker Commissions trade costs of $10.34
9/19/22 9:42 TQQQ PROSHARES ULTRAPRO QQQ LONG 39.200000000 24.44 9/19 9:53 24.60 0.02%
Trade id #141848867
Max drawdown($20)
Time9/19/22 9:48
Quant open154
Worst price24.31
Drawdown as % of equity-0.02%
$5
Includes Typical Broker Commissions trade costs of $0.78
6/10/22 9:32 FLR FLUOR LONG 2,352 29.25 9/19 9:35 25.88 85.54%
Trade id #140731353
Max drawdown($69,884)
Time7/6/22 0:00
Quant open9,220
Worst price21.68
Drawdown as % of equity-85.54%
($7,943)
Includes Typical Broker Commissions trade costs of $5.39
4/19/22 10:40 WTI W&T OFFSHORE LONG 16,464 4.98 5/13 9:30 5.28 25.05%
Trade id #140182941
Max drawdown($23,226)
Time4/25/22 0:00
Quant open32,269
Worst price4.36
Drawdown as % of equity-25.05%
$4,882
Includes Typical Broker Commissions trade costs of $7.50
12/14/21 10:28 DARE DARE BIOSCIENCE INC LONG 8,624 1.87 4/19/22 10:31 1.36 21.44%
Trade id #138575279
Max drawdown($20,154)
Time4/18/22 0:00
Quant open33,806
Worst price1.27
Drawdown as % of equity-21.44%
($4,370)
Includes Typical Broker Commissions trade costs of $5.00
10/5/21 9:30 FTV FORTIVE CORP LONG 1,960 67.86 4/19/22 10:31 57.86 93.17%
Trade id #137667155
Max drawdown($90,641)
Time3/10/22 0:00
Quant open7,683
Worst price56.06
Drawdown as % of equity-93.17%
($19,601)
Includes Typical Broker Commissions trade costs of $13.92
12/17/21 12:48 GTE GRAN TIERRA ENERGY LONG 32,536 0.73 3/7/22 10:28 1.74 9.58%
Trade id #138622103
Max drawdown($8,253)
Time12/20/21 0:00
Quant open127,541
Worst price0.66
Drawdown as % of equity-9.58%
$32,970
Includes Typical Broker Commissions trade costs of $5.00
10/20/21 10:25 SNAP SNAP INC LONG 862.400000000 75.90 10/20 12:40 75.23 4.11%
Trade id #137886901
Max drawdown($3,736)
Time10/20/21 12:20
Quant open3,381
Worst price74.79
Drawdown as % of equity-4.11%
($576)
Includes Typical Broker Commissions trade costs of $5.00
6/4/21 11:43 BIIB BIOGEN INC. COMMON STOCK LONG 78.400000000 288.18 10/20 10:25 269.84 7.44%
Trade id #135913897
Max drawdown($6,724)
Time10/19/21 0:00
Quant open308
Worst price266.30
Drawdown as % of equity-7.44%
($1,440)
Includes Typical Broker Commissions trade costs of $1.56
5/26/21 12:56 WDC WESTERN DIGITAL LONG 392 73.88 6/4 11:42 77.32 0.39%
Trade id #135787841
Max drawdown($363)
Time5/26/21 13:09
Quant open1,537
Worst price73.64
Drawdown as % of equity-0.39%
$1,341
Includes Typical Broker Commissions trade costs of $7.84

Statistics

  • Strategy began
    10/2/2019
  • Suggested Minimum Cap
    $39,200
  • Strategy Age (days)
    1633.17
  • Age
    55 months ago
  • What it trades
    Stocks
  • # Trades
    262
  • # Profitable
    147
  • % Profitable
    56.10%
  • Avg trade duration
    6.7 days
  • Max peak-to-valley drawdown
    43.54%
  • drawdown period
    Sept 23, 2022 - Oct 28, 2022
  • Annual Return (Compounded)
    9.9%
  • Avg win
    $1,071
  • Avg loss
    $945.38
  • Model Account Values (Raw)
  • Cash
    $88,846
  • Margin Used
    $0
  • Buying Power
    $88,846
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0.39
  • Sortino Ratio
    0.52
  • Calmar Ratio
    0.888
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -29.00%
  • Correlation to SP500
    0.01790
  • Return Percent SP500 (cumu) during strategy life
    81.96%
  • Return Statistics
  • Ann Return (w trading costs)
    9.9%
  • Slump
  • Current Slump as Pcnt Equity
    77.10%
  • Instruments
  • Percent Trades Futures
    0.10%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.33%
  • 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)
    0.099%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.90%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    20.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    33.50%
  • Chance of 20% account loss
    8.50%
  • Chance of 30% account loss
    2.50%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    9.69%
  • 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
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $945
  • Avg Win
    $1,072
  • Sum Trade PL (losers)
    $108,719.000
  • Age
  • Num Months filled monthly returns table
    54
  • Win / Loss
  • Sum Trade PL (winners)
    $157,519.000
  • # Winners
    147
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    847
  • Win / Loss
  • # Losers
    115
  • % Winners
    56.1%
  • Frequency
  • Avg Position Time (mins)
    9636.23
  • Avg Position Time (hrs)
    160.60
  • Avg Trade Length
    6.7 days
  • Last Trade Ago
    514
  • Leverage
  • Daily leverage (average)
    0.89
  • Daily leverage (max)
    12.98
  • Regression
  • Alpha
    0.03
  • Beta
    0.02
  • Treynor Index
    1.58
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    6.95
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    25.818
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    1.823
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.854
  • Hold-and-Hope Ratio
    0.039
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29761
  • SD
    0.36653
  • Sharpe ratio (Glass type estimate)
    0.81196
  • Sharpe ratio (Hedges UMVUE)
    0.79491
  • df
    36.00000
  • t
    1.42576
  • p
    0.08128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32521
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93823
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33628
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92610
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63884
  • Upside Potential Ratio
    2.74930
  • Upside part of mean
    0.49926
  • Downside part of mean
    -0.20166
  • Upside SD
    0.32422
  • Downside SD
    0.18160
  • N nonnegative terms
    23.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.18329
  • Mean of criterion
    0.29761
  • SD of predictor
    0.21062
  • SD of criterion
    0.36653
  • Covariance
    0.00289
  • r
    0.03744
  • b (slope, estimate of beta)
    0.06516
  • a (intercept, estimate of alpha)
    0.28566
  • Mean Square Error
    0.13799
  • DF error
    35.00000
  • t(b)
    0.22168
  • p(b)
    0.41292
  • t(a)
    1.30857
  • p(a)
    0.09960
  • Lowerbound of 95% confidence interval for beta
    -0.53158
  • Upperbound of 95% confidence interval for beta
    0.66190
  • Lowerbound of 95% confidence interval for alpha
    -0.15751
  • Upperbound of 95% confidence interval for alpha
    0.72884
  • Treynor index (mean / b)
    4.56718
  • Jensen alpha (a)
    0.28566
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23430
  • SD
    0.34664
  • Sharpe ratio (Glass type estimate)
    0.67593
  • Sharpe ratio (Hedges UMVUE)
    0.66173
  • df
    36.00000
  • t
    1.18689
  • p
    0.12152
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45560
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78834
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10788
  • Upside Potential Ratio
    2.15447
  • Upside part of mean
    0.45564
  • Downside part of mean
    -0.22134
  • Upside SD
    0.27705
  • Downside SD
    0.21149
  • N nonnegative terms
    23.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.16070
  • Mean of criterion
    0.23430
  • SD of predictor
    0.20667
  • SD of criterion
    0.34664
  • Covariance
    0.00098
  • r
    0.01374
  • b (slope, estimate of beta)
    0.02305
  • a (intercept, estimate of alpha)
    0.23060
  • Mean Square Error
    0.12357
  • DF error
    35.00000
  • t(b)
    0.08130
  • p(b)
    0.46783
  • t(a)
    1.12319
  • p(a)
    0.13450
  • Lowerbound of 95% confidence interval for beta
    -0.55244
  • Upperbound of 95% confidence interval for beta
    0.59854
  • Lowerbound of 95% confidence interval for alpha
    -0.18620
  • Upperbound of 95% confidence interval for alpha
    0.64739
  • Treynor index (mean / b)
    10.16610
  • Jensen alpha (a)
    0.23060
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13504
  • Expected Shortfall on VaR
    0.16989
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03067
  • Expected Shortfall on VaR
    0.07184
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    37.00000
  • Minimum
    0.70450
  • Quartile 1
    0.98937
  • Median
    1.01207
  • Quartile 3
    1.03797
  • Maximum
    1.48317
  • Mean of quarter 1
    0.94224
  • Mean of quarter 2
    1.00458
  • Mean of quarter 3
    1.02836
  • Mean of quarter 4
    1.14277
  • Inter Quartile Range
    0.04860
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02703
  • Mean of outliers low
    0.70450
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10811
  • Mean of outliers high
    1.22658
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64063
  • VaR(95%) (moments method)
    0.04840
  • Expected Shortfall (moments method)
    0.15410
  • Extreme Value Index (regression method)
    1.06409
  • VaR(95%) (regression method)
    0.05809
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01063
  • Quartile 1
    0.01862
  • Median
    0.05822
  • Quartile 3
    0.10530
  • Maximum
    0.29550
  • Mean of quarter 1
    0.01316
  • Mean of quarter 2
    0.02739
  • Mean of quarter 3
    0.08904
  • Mean of quarter 4
    0.20311
  • Inter Quartile Range
    0.08668
  • 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
    0.16667
  • Mean of outliers high
    0.29550
  • 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)
    0.40362
  • Compounded annual return (geometric extrapolation)
    0.29980
  • Calmar ratio (compounded annual return / max draw down)
    1.01454
  • Compounded annual return / average of 25% largest draw downs
    1.47604
  • Compounded annual return / Expected Shortfall lognormal
    1.76462
  • 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
    0.25599
  • SD
    0.20871
  • Sharpe ratio (Glass type estimate)
    1.22654
  • Sharpe ratio (Hedges UMVUE)
    1.22541
  • df
    808.00000
  • t
    2.15530
  • p
    0.01572
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10921
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34318
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10842
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34239
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79421
  • Upside Potential Ratio
    6.94796
  • Upside part of mean
    0.99132
  • Downside part of mean
    -0.73532
  • Upside SD
    0.15297
  • Downside SD
    0.14268
  • N nonnegative terms
    382.00000
  • N negative terms
    427.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    809.00000
  • Mean of predictor
    0.19488
  • Mean of criterion
    0.25599
  • SD of predictor
    0.26162
  • SD of criterion
    0.20871
  • Covariance
    0.00139
  • r
    0.02542
  • b (slope, estimate of beta)
    0.02028
  • a (intercept, estimate of alpha)
    0.25200
  • Mean Square Error
    0.04359
  • DF error
    807.00000
  • t(b)
    0.72233
  • p(b)
    0.23515
  • t(a)
    2.11915
  • p(a)
    0.01719
  • Lowerbound of 95% confidence interval for beta
    -0.03483
  • Upperbound of 95% confidence interval for beta
    0.07538
  • Lowerbound of 95% confidence interval for alpha
    0.01858
  • Upperbound of 95% confidence interval for alpha
    0.48550
  • Treynor index (mean / b)
    12.62400
  • Jensen alpha (a)
    0.25204
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23392
  • SD
    0.21008
  • Sharpe ratio (Glass type estimate)
    1.11352
  • Sharpe ratio (Hedges UMVUE)
    1.11248
  • df
    808.00000
  • t
    1.95668
  • p
    0.02536
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00350
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22991
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00422
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22919
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58346
  • Upside Potential Ratio
    6.63258
  • Upside part of mean
    0.97983
  • Downside part of mean
    -0.74590
  • Upside SD
    0.14987
  • Downside SD
    0.14773
  • N nonnegative terms
    382.00000
  • N negative terms
    427.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    809.00000
  • Mean of predictor
    0.16043
  • Mean of criterion
    0.23392
  • SD of predictor
    0.26282
  • SD of criterion
    0.21008
  • Covariance
    0.00125
  • r
    0.02269
  • b (slope, estimate of beta)
    0.01814
  • a (intercept, estimate of alpha)
    0.23101
  • Mean Square Error
    0.04416
  • DF error
    807.00000
  • t(b)
    0.64476
  • p(b)
    0.25963
  • t(a)
    1.93027
  • p(a)
    0.02696
  • Lowerbound of 95% confidence interval for beta
    -0.03708
  • Upperbound of 95% confidence interval for beta
    0.07335
  • Lowerbound of 95% confidence interval for alpha
    -0.00391
  • Upperbound of 95% confidence interval for alpha
    0.46593
  • Treynor index (mean / b)
    12.89760
  • Jensen alpha (a)
    0.23101
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02025
  • Expected Shortfall on VaR
    0.02553
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00649
  • Expected Shortfall on VaR
    0.01448
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    809.00000
  • Minimum
    0.86894
  • Quartile 1
    0.99779
  • Median
    1.00000
  • Quartile 3
    1.00349
  • Maximum
    1.08662
  • Mean of quarter 1
    0.98966
  • Mean of quarter 2
    0.99937
  • Mean of quarter 3
    1.00136
  • Mean of quarter 4
    1.01399
  • Inter Quartile Range
    0.00570
  • Number outliers low
    55.00000
  • Percentage of outliers low
    0.06799
  • Mean of outliers low
    0.97496
  • Number of outliers high
    86.00000
  • Percentage of outliers high
    0.10630
  • Mean of outliers high
    1.02401
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71745
  • VaR(95%) (moments method)
    0.00966
  • Expected Shortfall (moments method)
    0.03729
  • Extreme Value Index (regression method)
    0.54473
  • VaR(95%) (regression method)
    0.00812
  • Expected Shortfall (regression method)
    0.02024
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00424
  • Median
    0.00959
  • Quartile 3
    0.02790
  • Maximum
    0.33713
  • Mean of quarter 1
    0.00182
  • Mean of quarter 2
    0.00640
  • Mean of quarter 3
    0.01561
  • Mean of quarter 4
    0.09625
  • Inter Quartile Range
    0.02367
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.17112
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.77243
  • VaR(95%) (moments method)
    0.10614
  • Expected Shortfall (moments method)
    0.47849
  • Extreme Value Index (regression method)
    0.92354
  • VaR(95%) (regression method)
    0.07549
  • Expected Shortfall (regression method)
    0.77371
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40303
  • Compounded annual return (geometric extrapolation)
    0.29931
  • Calmar ratio (compounded annual return / max draw down)
    0.88781
  • Compounded annual return / average of 25% largest draw downs
    3.10974
  • Compounded annual return / Expected Shortfall lognormal
    11.72150
  • 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
    -0.62540
  • SD
    0.34335
  • Sharpe ratio (Glass type estimate)
    -1.82147
  • Sharpe ratio (Hedges UMVUE)
    -1.81094
  • df
    130.00000
  • t
    -1.28798
  • p
    0.55612
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.59872
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.96255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.59148
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96959
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.14669
  • Upside Potential Ratio
    3.13806
  • Upside part of mean
    0.91421
  • Downside part of mean
    -1.53961
  • Upside SD
    0.18332
  • Downside SD
    0.29133
  • N nonnegative terms
    27.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49230
  • Mean of criterion
    -0.62540
  • SD of predictor
    0.32474
  • SD of criterion
    0.34335
  • Covariance
    -0.02394
  • r
    -0.21474
  • b (slope, estimate of beta)
    -0.22705
  • a (intercept, estimate of alpha)
    -0.51362
  • Mean Square Error
    0.11332
  • DF error
    129.00000
  • t(b)
    -2.49729
  • p(b)
    0.63565
  • t(a)
    -1.07413
  • p(a)
    0.55985
  • Lowerbound of 95% confidence interval for beta
    -0.40693
  • Upperbound of 95% confidence interval for beta
    -0.04716
  • Lowerbound of 95% confidence interval for alpha
    -1.45969
  • Upperbound of 95% confidence interval for alpha
    0.43245
  • Treynor index (mean / b)
    2.75445
  • Jensen alpha (a)
    -0.51362
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.68658
  • SD
    0.35192
  • Sharpe ratio (Glass type estimate)
    -1.95097
  • Sharpe ratio (Hedges UMVUE)
    -1.93970
  • df
    130.00000
  • t
    -1.37955
  • p
    0.56006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.72927
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.72151
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84212
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.25211
  • Upside Potential Ratio
    2.94540
  • Upside part of mean
    0.89794
  • Downside part of mean
    -1.58452
  • Upside SD
    0.17821
  • Downside SD
    0.30486
  • N nonnegative terms
    27.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.43950
  • Mean of criterion
    -0.68658
  • SD of predictor
    0.32493
  • SD of criterion
    0.35192
  • Covariance
    -0.02459
  • r
    -0.21508
  • b (slope, estimate of beta)
    -0.23294
  • a (intercept, estimate of alpha)
    -0.58420
  • Mean Square Error
    0.11903
  • DF error
    129.00000
  • t(b)
    -2.50140
  • p(b)
    0.63586
  • t(a)
    -1.19315
  • p(a)
    0.56639
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.41719
  • Upperbound of 95% confidence interval for beta
    -0.04869
  • Lowerbound of 95% confidence interval for alpha
    -1.55295
  • Upperbound of 95% confidence interval for alpha
    0.38455
  • Treynor index (mean / b)
    2.94742
  • Jensen alpha (a)
    -0.58420
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03765
  • Expected Shortfall on VaR
    0.04633
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01777
  • Expected Shortfall on VaR
    0.03762
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86894
  • Quartile 1
    0.99910
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.08662
  • Mean of quarter 1
    0.97703
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01394
  • Inter Quartile Range
    0.00090
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.23664
  • Mean of outliers low
    0.97562
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.19084
  • Mean of outliers high
    1.01836
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25062
  • VaR(95%) (moments method)
    0.00654
  • Expected Shortfall (moments method)
    0.01207
  • Extreme Value Index (regression method)
    0.41576
  • VaR(95%) (regression method)
    0.01854
  • Expected Shortfall (regression method)
    0.04396
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.13363
  • Quartile 1
    0.18451
  • Median
    0.23538
  • Quartile 3
    0.28625
  • Maximum
    0.33713
  • Mean of quarter 1
    0.13363
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.33713
  • Inter Quartile Range
    0.10175
  • 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?
    -415624000
  • Max Equity Drawdown (num days)
    35
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.56120
  • Compounded annual return (geometric extrapolation)
    -0.48246
  • Calmar ratio (compounded annual return / max draw down)
    -1.43109
  • Compounded annual return / average of 25% largest draw downs
    -1.43109
  • Compounded annual return / Expected Shortfall lognormal
    -10.41430

Strategy Description

"stock star" only trade stock now, no futures, option, forex, follow the trend with strict risk management rules.

Summary Statistics

Strategy began
2019-10-02
Suggested Minimum Capital
$35,000
# Trades
262
# Profitable
147
% Profitable
56.1%
Net Dividends
Correlation S&P500
0.018
Sharpe Ratio
0.39
Sortino Ratio
0.52
Beta
0.02
Alpha
0.03
Leverage
0.89 Average
12.98 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.