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

Seek Alpha
(128022277)

Created by: SeekAlpha SeekAlpha
Started: 03/2020
Stocks
Last trade: 766 days ago
Trading style: Equity Hedged Equity Pairs Trading / Relative Value

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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
-
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.

(100.0%)
Max Drawdown
699
Num Trades
55.5%
Win Trades
0.9 : 1
Profit Factor
38.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +21.2%+21.4%+3.4%+5.2%+13.7%(4.5%)+1.6%(8.4%)+11.8%+20.0%+117.2%
2021+4.2%(0.3%)(9.5%)+1.3%(0.3%)+22.1%(20.6%)+8.7%(18%)+36.6%+5.0%(43%)(33%)
2022(47.9%)+36.1%(3%)(11.1%)(10.6%)(6.3%)+2.4%(0.1%)(19%)+5.7%(14.7%)(17.6%)(68.4%)
2023+23.8%(64.5%)(18.5%)(249.4%)(5.6%)(111.7%)+176.7%(96.7%)(9822.5%)(54.4%)(31.9%)(184.2%)(86.5%)
2024(232.2%)(26.1%)(72.4%)                                                      (387.5%)

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 2,016 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 785 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/3/21 17:10 IONQ IONQ INC LONG 1,300 15.22 2/21/22 10:10 13.84 43.45%
Trade id #138457193
Max drawdown($6,662)
Time1/28/22 0:00
Quant open1,100
Worst price9.16
Drawdown as % of equity-43.45%
($1,809)
Includes Typical Broker Commissions trade costs of $18.50
1/24/22 10:01 BKKT BAKKT HOLDINGS INC LONG 800 3.92 2/21 10:10 5.15 3.21%
Trade id #139071296
Max drawdown($491)
Time1/28/22 0:00
Quant open800
Worst price3.31
Drawdown as % of equity-3.21%
$970
Includes Typical Broker Commissions trade costs of $10.50
12/3/21 11:58 USO UNITED STATES OIL LONG 100 48.76 2/21/22 10:10 65.16 0.41%
Trade id #138449766
Max drawdown($120)
Time12/3/21 15:08
Quant open100
Worst price47.55
Drawdown as % of equity-0.41%
$1,638
Includes Typical Broker Commissions trade costs of $2.00
1/24/22 10:01 ASTS AST SPACEMOBILE INC LONG 400 5.39 2/21 10:10 6.33 1.44%
Trade id #139071289
Max drawdown($220)
Time1/28/22 0:00
Quant open400
Worst price4.84
Drawdown as % of equity-1.44%
$368
Includes Typical Broker Commissions trade costs of $8.00
11/17/21 11:12 PL PLANET LABS PBC LONG 5,700 7.85 2/21/22 10:10 6.74 35.84%
Trade id #138229124
Max drawdown($9,033)
Time1/13/22 0:00
Quant open3,500
Worst price5.51
Drawdown as % of equity-35.84%
($6,378)
Includes Typical Broker Commissions trade costs of $61.50
1/18/22 9:30 ML MONEYLION INC LONG 2,000 2.91 2/21 10:10 1.70 6.27%
Trade id #138987320
Max drawdown($1,366)
Time2/18/22 0:00
Quant open2,000
Worst price2.23
Drawdown as % of equity-6.27%
($2,436)
Includes Typical Broker Commissions trade costs of $9.00
1/31/22 14:51 @MESH2 MICRO E-MINI S&P 500 SHORT 10 4485.32 1/31 15:32 4477.51 0.92%
Trade id #139178941
Max drawdown($121)
Time1/31/22 14:57
Quant open10
Worst price4487.75
Drawdown as % of equity-0.92%
$382
Includes Typical Broker Commissions trade costs of $9.40
1/10/22 10:53 IONQ2215S12.5 IONQ Jul15'22 12.5 put SHORT 5 3.30 1/27 15:17 4.80 4.88%
Trade id #138888152
Max drawdown($750)
Time1/27/22 15:17
Quant open5
Worst price4.80
Drawdown as % of equity-4.88%
($757)
Includes Typical Broker Commissions trade costs of $7.00
12/22/21 9:48 PL2215S5 PL Jul15'22 5 put SHORT 40 1.14 1/27/22 13:46 1.25 5.53%
Trade id #138664653
Max drawdown($1,035)
Time1/24/22 0:00
Quant open40
Worst price1.40
Drawdown as % of equity-5.53%
($491)
Includes Typical Broker Commissions trade costs of $56.00
1/25/22 9:44 GENI GENIUS SPORTS LTD LONG 300 5.97 1/27 10:49 6.35 0.69%
Trade id #139088743
Max drawdown($106)
Time1/25/22 10:25
Quant open300
Worst price5.62
Drawdown as % of equity-0.69%
$107
Includes Typical Broker Commissions trade costs of $6.00
1/25/22 13:09 @MNQH2 MICRO E-MINI NASDAQ 100 SHORT 10 14071.72 1/25 13:11 14084.56 1.66%
Trade id #139095152
Max drawdown($257)
Time1/25/22 13:11
Quant open10
Worst price14084.60
Drawdown as % of equity-1.66%
($266)
Includes Typical Broker Commissions trade costs of $9.40
11/1/21 10:19 ROKU ROKU INC. CLASS A COMMON STOCK LONG 20 256.79 1/25/22 11:03 150.62 12.53%
Trade id #138027796
Max drawdown($2,346)
Time1/24/22 0:00
Quant open20
Worst price139.47
Drawdown as % of equity-12.53%
($2,123)
Includes Typical Broker Commissions trade costs of $0.40
1/18/22 9:30 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 20 172.73 1/25 11:03 161.53 2.42%
Trade id #138987296
Max drawdown($454)
Time1/24/22 0:00
Quant open20
Worst price150.02
Drawdown as % of equity-2.42%
($224)
Includes Typical Broker Commissions trade costs of $0.40
5/11/21 15:33 U UNITY SOFTWARE INC LONG 60 84.11 1/25/22 11:02 112.60 0.96%
Trade id #135564541
Max drawdown($308)
Time5/13/21 0:00
Quant open60
Worst price78.97
Drawdown as % of equity-0.96%
$1,708
Includes Typical Broker Commissions trade costs of $1.20
5/11/21 13:11 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 162 164.58 1/25/22 10:59 170.97 1.61%
Trade id #135562015
Max drawdown($548)
Time5/19/21 0:00
Quant open50
Worst price129.71
Drawdown as % of equity-1.61%
$1,032
Includes Typical Broker Commissions trade costs of $3.24
1/24/22 10:00 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 10 14106.72 1/24 10:05 14066.40 4.53%
Trade id #139071217
Max drawdown($849)
Time1/24/22 10:05
Quant open10
Worst price14064.20
Drawdown as % of equity-4.53%
($815)
Includes Typical Broker Commissions trade costs of $9.40
12/22/21 9:37 IONQ2221M16 IONQ Jan21'22 16 put SHORT 1 2.00 1/22/22 9:36 0.00 1.48%
Trade id #138664279
Max drawdown($330)
Time1/21/22 0:00
Quant open1
Worst price5.30
Drawdown as % of equity-1.48%
$199
Includes Typical Broker Commissions trade costs of $1.00
4/7/21 9:31 ASTS2221A15 ASTS Jan21'22 15 call LONG 5 2.44 1/22/22 9:35 0.00 4.75%
Trade id #135041373
Max drawdown($1,212)
Time1/3/22 0:00
Quant open5
Worst price0.01
Drawdown as % of equity-4.75%
($1,222)
Includes Typical Broker Commissions trade costs of $3.50
10/20/21 11:22 CMPS2221A30 CMPS Jan21'22 30 call LONG 1 11.98 1/22/22 9:35 0.00 5.95%
Trade id #137888566
Max drawdown($1,197)
Time1/11/22 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-5.95%
($1,199)
Includes Typical Broker Commissions trade costs of $1.00
1/21/22 14:43 @MNQH2 MICRO E-MINI NASDAQ 100 SHORT 10 14590.40 1/21 15:13 14539.69 1.05%
Trade id #139052474
Max drawdown($217)
Time1/21/22 14:47
Quant open10
Worst price14601.20
Drawdown as % of equity-1.05%
$1,005
Includes Typical Broker Commissions trade costs of $9.40
1/21/22 10:04 UPST UPSTART HOLDINGS INC. COMMON STOCK LONG 20 99.07 1/21 15:10 92.87 0.62%
Trade id #139045297
Max drawdown($128)
Time1/21/22 15:10
Quant open20
Worst price92.63
Drawdown as % of equity-0.62%
($124)
Includes Typical Broker Commissions trade costs of $0.40
1/21/22 10:32 NFLX NETFLIX LONG 3 382.30 1/21 14:28 399.64 0.04%
Trade id #139046336
Max drawdown($6)
Time1/21/22 10:38
Quant open3
Worst price380.11
Drawdown as % of equity-0.04%
$52
Includes Typical Broker Commissions trade costs of $0.06
1/18/22 10:52 @MYMH2 MICRO E-MINI DOW SHORT 30 35241 1/18 11:00 35246 1.27%
Trade id #138990037
Max drawdown($287)
Time1/18/22 11:00
Quant open30
Worst price35261
Drawdown as % of equity-1.27%
($104)
Includes Typical Broker Commissions trade costs of $28.20
1/12/22 9:40 @MYMH2 MICRO E-MINI DOW SHORT 30 36273 1/12 9:50 36267 0.66%
Trade id #138917651
Max drawdown($165)
Time1/12/22 9:50
Quant open20
Worst price36290
Drawdown as % of equity-0.66%
$58
Includes Typical Broker Commissions trade costs of $28.20
1/4/22 12:46 @MNQH2 MICRO E-MINI NASDAQ 100 SHORT 20 16217.30 1/4 13:08 16204.75 0.35%
Trade id #138814521
Max drawdown($89)
Time1/4/22 13:08
Quant open10
Worst price16221.80
Drawdown as % of equity-0.35%
$483
Includes Typical Broker Commissions trade costs of $18.80
12/23/21 10:29 PLBY PLBY GROUP INC LONG 200 27.91 12/28 11:30 28.20 0.2%
Trade id #138679674
Max drawdown($56)
Time12/28/21 11:30
Quant open130
Worst price27.48
Drawdown as % of equity-0.20%
$52
Includes Typical Broker Commissions trade costs of $4.00
12/23/21 10:26 ELY CALLAWAY GOLF LONG 200 27.00 12/28 9:30 27.22 0.06%
Trade id #138679573
Max drawdown($18)
Time12/23/21 15:05
Quant open200
Worst price26.91
Drawdown as % of equity-0.06%
$40
Includes Typical Broker Commissions trade costs of $4.00
12/23/21 10:29 UPST UPSTART HOLDINGS INC. COMMON STOCK LONG 40 143.80 12/27 17:57 160.65 0.18%
Trade id #138679676
Max drawdown($49)
Time12/23/21 10:39
Quant open40
Worst price142.57
Drawdown as % of equity-0.18%
$673
Includes Typical Broker Commissions trade costs of $0.80
12/23/21 9:35 JD JD.COM INC SHORT 100 67.47 12/23 12:02 69.16 0.6%
Trade id #138678331
Max drawdown($168)
Time12/23/21 12:02
Quant open100
Worst price69.16
Drawdown as % of equity-0.60%
($171)
Includes Typical Broker Commissions trade costs of $2.00
12/23/21 10:29 RIVN RIVIAN AUTOMOTIVE INC. CLASS A LONG 100 94.76 12/23 11:18 95.81 n/a $103
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    3/13/2020
  • Suggested Minimum Cap
    $18,000
  • Strategy Age (days)
    1476.66
  • Age
    49 months ago
  • What it trades
    Stocks
  • # Trades
    699
  • # Profitable
    388
  • % Profitable
    55.50%
  • Avg trade duration
    29.7 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Feb 14, 2024 - March 15, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $245.10
  • Avg loss
    $360.00
  • Model Account Values (Raw)
  • Cash
    $8,768
  • Margin Used
    $0
  • Buying Power
    $1,028
  • Ratios
  • W:L ratio
    0.85:1
  • Sharpe Ratio
    -0.34
  • Sortino Ratio
    -0.36
  • Calmar Ratio
    -0.363
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -211.67%
  • Correlation to SP500
    0.16750
  • Return Percent SP500 (cumu) during strategy life
    93.81%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.16%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    20.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.02%
  • Percent Trades Stocks
    0.82%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -31.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    86.50%
  • Chance of 20% account loss
    67.50%
  • Chance of 30% account loss
    52.00%
  • Chance of 40% account loss
    31.00%
  • Chance of 60% account loss (Monte Carlo)
    4.50%
  • 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
    18.00%
  • 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
    $360
  • Avg Win
    $245
  • Sum Trade PL (losers)
    $111,959.000
  • Age
  • Num Months filled monthly returns table
    38
  • Win / Loss
  • Sum Trade PL (winners)
    $95,097.000
  • # Winners
    388
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    447
  • Win / Loss
  • # Losers
    311
  • % Winners
    55.5%
  • Frequency
  • Avg Position Time (mins)
    42733.60
  • Avg Position Time (hrs)
    712.23
  • Avg Trade Length
    29.7 days
  • Last Trade Ago
    766
  • Leverage
  • Daily leverage (average)
    2.68
  • Daily leverage (max)
    31.61
  • Regression
  • Alpha
    0.00
  • Beta
    0.75
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.32
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -22.003
  • 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
    0.425
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.247
  • Hold-and-Hope Ratio
    -0.153
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20531
  • SD
    1.17938
  • Sharpe ratio (Glass type estimate)
    0.17409
  • Sharpe ratio (Hedges UMVUE)
    0.17096
  • df
    42.00000
  • t
    0.32954
  • p
    0.37169
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86300
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20912
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86508
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20699
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29491
  • Upside Potential Ratio
    1.97020
  • Upside part of mean
    1.37162
  • Downside part of mean
    -1.16631
  • Upside SD
    0.93671
  • Downside SD
    0.69619
  • N nonnegative terms
    21.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.16659
  • Mean of criterion
    0.20531
  • SD of predictor
    0.14290
  • SD of criterion
    1.17938
  • Covariance
    0.04890
  • r
    0.29017
  • b (slope, estimate of beta)
    2.39486
  • a (intercept, estimate of alpha)
    -0.19364
  • Mean Square Error
    1.30489
  • DF error
    41.00000
  • t(b)
    1.94153
  • p(b)
    0.02954
  • t(a)
    -0.30376
  • p(a)
    0.61858
  • Lowerbound of 95% confidence interval for beta
    -0.09623
  • Upperbound of 95% confidence interval for beta
    4.88595
  • Lowerbound of 95% confidence interval for alpha
    -1.48105
  • Upperbound of 95% confidence interval for alpha
    1.09378
  • Treynor index (mean / b)
    0.08573
  • Jensen alpha (a)
    -0.19364
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.52857
  • SD
    1.33733
  • Sharpe ratio (Glass type estimate)
    -0.39524
  • Sharpe ratio (Hedges UMVUE)
    -0.38814
  • df
    42.00000
  • t
    -0.74818
  • p
    0.77074
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43175
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64588
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42685
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65058
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45747
  • Upside Potential Ratio
    0.94921
  • Upside part of mean
    1.09673
  • Downside part of mean
    -1.62530
  • Upside SD
    0.65967
  • Downside SD
    1.15541
  • N nonnegative terms
    21.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.15518
  • Mean of criterion
    -0.52857
  • SD of predictor
    0.14310
  • SD of criterion
    1.33733
  • Covariance
    0.03636
  • r
    0.19000
  • b (slope, estimate of beta)
    1.77567
  • a (intercept, estimate of alpha)
    -0.80412
  • Mean Square Error
    1.76594
  • DF error
    41.00000
  • t(b)
    1.23917
  • p(b)
    0.11116
  • t(a)
    -1.09198
  • p(a)
    0.85939
  • Lowerbound of 95% confidence interval for beta
    -1.11823
  • Upperbound of 95% confidence interval for beta
    4.66956
  • Lowerbound of 95% confidence interval for alpha
    -2.29128
  • Upperbound of 95% confidence interval for alpha
    0.68305
  • Treynor index (mean / b)
    -0.29768
  • Jensen alpha (a)
    -0.80412
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.49290
  • Expected Shortfall on VaR
    0.56428
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.22698
  • Expected Shortfall on VaR
    0.44499
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.17790
  • Quartile 1
    0.90429
  • Median
    0.99009
  • Quartile 3
    1.13197
  • Maximum
    2.42952
  • Mean of quarter 1
    0.67086
  • Mean of quarter 2
    0.95387
  • Mean of quarter 3
    1.06590
  • Mean of quarter 4
    1.39136
  • Inter Quartile Range
    0.22768
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.09302
  • Mean of outliers low
    0.43652
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06977
  • Mean of outliers high
    1.84851
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25797
  • VaR(95%) (moments method)
    0.31220
  • Expected Shortfall (moments method)
    0.52692
  • Extreme Value Index (regression method)
    0.29429
  • VaR(95%) (regression method)
    0.33359
  • Expected Shortfall (regression method)
    0.58071
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00991
  • Quartile 1
    0.11884
  • Median
    0.22776
  • Quartile 3
    0.59676
  • Maximum
    0.96576
  • Mean of quarter 1
    0.00991
  • Mean of quarter 2
    0.22776
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.96576
  • Inter Quartile Range
    0.47792
  • 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)
    -0.23266
  • Compounded annual return (geometric extrapolation)
    -0.39387
  • Calmar ratio (compounded annual return / max draw down)
    -0.40784
  • Compounded annual return / average of 25% largest draw downs
    -0.40784
  • Compounded annual return / Expected Shortfall lognormal
    -0.69801
  • 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
    0.14216
  • SD
    1.12466
  • Sharpe ratio (Glass type estimate)
    0.12640
  • Sharpe ratio (Hedges UMVUE)
    0.12630
  • df
    944.00000
  • t
    0.24007
  • p
    0.40517
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90565
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15839
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15833
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20255
  • Upside Potential Ratio
    5.53932
  • Upside part of mean
    3.88785
  • Downside part of mean
    -3.74568
  • Upside SD
    0.87806
  • Downside SD
    0.70186
  • N nonnegative terms
    498.00000
  • N negative terms
    447.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    945.00000
  • Mean of predictor
    0.17881
  • Mean of criterion
    0.14216
  • SD of predictor
    0.21479
  • SD of criterion
    1.12466
  • Covariance
    0.03703
  • r
    0.15330
  • b (slope, estimate of beta)
    0.80271
  • a (intercept, estimate of alpha)
    -0.00100
  • Mean Square Error
    1.23644
  • DF error
    943.00000
  • t(b)
    4.76389
  • p(b)
    0.00000
  • t(a)
    -0.00234
  • p(a)
    0.50093
  • Lowerbound of 95% confidence interval for beta
    0.47203
  • Upperbound of 95% confidence interval for beta
    1.13339
  • Lowerbound of 95% confidence interval for alpha
    -1.15191
  • Upperbound of 95% confidence interval for alpha
    1.14917
  • Treynor index (mean / b)
    0.17710
  • Jensen alpha (a)
    -0.00137
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.46539
  • SD
    1.13389
  • Sharpe ratio (Glass type estimate)
    -0.41043
  • Sharpe ratio (Hedges UMVUE)
    -0.41011
  • df
    944.00000
  • t
    -0.77949
  • p
    0.78206
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44251
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.62184
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44228
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62206
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50236
  • Upside Potential Ratio
    3.92057
  • Upside part of mean
    3.63206
  • Downside part of mean
    -4.09744
  • Upside SD
    0.65340
  • Downside SD
    0.92641
  • N nonnegative terms
    498.00000
  • N negative terms
    447.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    945.00000
  • Mean of predictor
    0.15556
  • Mean of criterion
    -0.46539
  • SD of predictor
    0.21584
  • SD of criterion
    1.13389
  • Covariance
    0.03542
  • r
    0.14472
  • b (slope, estimate of beta)
    0.76028
  • a (intercept, estimate of alpha)
    -0.58366
  • Mean Square Error
    1.26011
  • DF error
    943.00000
  • t(b)
    4.49136
  • p(b)
    0.00000
  • t(a)
    -0.98647
  • p(a)
    0.83792
  • Lowerbound of 95% confidence interval for beta
    0.42808
  • Upperbound of 95% confidence interval for beta
    1.09248
  • Lowerbound of 95% confidence interval for alpha
    -1.74477
  • Upperbound of 95% confidence interval for alpha
    0.57746
  • Treynor index (mean / b)
    -0.61213
  • Jensen alpha (a)
    -0.58366
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11042
  • Expected Shortfall on VaR
    0.13579
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03073
  • Expected Shortfall on VaR
    0.06907
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    945.00000
  • Minimum
    0.39558
  • Quartile 1
    0.98685
  • Median
    1.00136
  • Quartile 3
    1.01478
  • Maximum
    2.37749
  • Mean of quarter 1
    0.94859
  • Mean of quarter 2
    0.99468
  • Mean of quarter 3
    1.00680
  • Mean of quarter 4
    1.05274
  • Inter Quartile Range
    0.02793
  • Number outliers low
    65.00000
  • Percentage of outliers low
    0.06878
  • Mean of outliers low
    0.88530
  • Number of outliers high
    63.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    1.11882
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55062
  • VaR(95%) (moments method)
    0.04785
  • Expected Shortfall (moments method)
    0.12023
  • Extreme Value Index (regression method)
    0.21222
  • VaR(95%) (regression method)
    0.04516
  • Expected Shortfall (regression method)
    0.07494
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00001
  • Quartile 1
    0.01680
  • Median
    0.04525
  • Quartile 3
    0.07391
  • Maximum
    0.97539
  • Mean of quarter 1
    0.00838
  • Mean of quarter 2
    0.03016
  • Mean of quarter 3
    0.05750
  • Mean of quarter 4
    0.29946
  • Inter Quartile Range
    0.05711
  • 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
    0.13043
  • Mean of outliers high
    0.49898
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.74070
  • VaR(95%) (moments method)
    0.31727
  • Expected Shortfall (moments method)
    1.31610
  • Extreme Value Index (regression method)
    0.93984
  • VaR(95%) (regression method)
    0.24990
  • Expected Shortfall (regression method)
    3.54718
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.22002
  • Compounded annual return (geometric extrapolation)
    -0.35434
  • Calmar ratio (compounded annual return / max draw down)
    -0.36328
  • Compounded annual return / average of 25% largest draw downs
    -1.18328
  • Compounded annual return / Expected Shortfall lognormal
    -2.60948
  • 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
    0.54189
  • SD
    0.95598
  • Sharpe ratio (Glass type estimate)
    0.56684
  • Sharpe ratio (Hedges UMVUE)
    0.56357
  • df
    130.00000
  • t
    0.40082
  • p
    0.48243
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20691
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33842
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.20908
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33622
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84321
  • Upside Potential Ratio
    9.30174
  • Upside part of mean
    5.97779
  • Downside part of mean
    -5.43590
  • Upside SD
    0.70358
  • Downside SD
    0.64265
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36272
  • Mean of criterion
    0.54189
  • SD of predictor
    0.11712
  • SD of criterion
    0.95598
  • Covariance
    0.03018
  • r
    0.26953
  • b (slope, estimate of beta)
    2.19992
  • a (intercept, estimate of alpha)
    -0.25605
  • Mean Square Error
    0.85407
  • DF error
    129.00000
  • t(b)
    3.17885
  • p(b)
    0.33052
  • t(a)
    -0.19240
  • p(a)
    0.51078
  • Lowerbound of 95% confidence interval for beta
    0.83068
  • Upperbound of 95% confidence interval for beta
    3.56915
  • Lowerbound of 95% confidence interval for alpha
    -2.88917
  • Upperbound of 95% confidence interval for alpha
    2.37706
  • Treynor index (mean / b)
    0.24632
  • Jensen alpha (a)
    -0.25605
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08717
  • SD
    0.95869
  • Sharpe ratio (Glass type estimate)
    0.09093
  • Sharpe ratio (Hedges UMVUE)
    0.09040
  • df
    130.00000
  • t
    0.06430
  • p
    0.49718
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68102
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86264
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68142
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86223
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12813
  • Upside Potential Ratio
    8.44467
  • Upside part of mean
    5.74519
  • Downside part of mean
    -5.65801
  • Upside SD
    0.67026
  • Downside SD
    0.68033
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35564
  • Mean of criterion
    0.08717
  • SD of predictor
    0.11699
  • SD of criterion
    0.95869
  • Covariance
    0.03065
  • r
    0.27325
  • b (slope, estimate of beta)
    2.23924
  • a (intercept, estimate of alpha)
    -0.70918
  • Mean Square Error
    0.85706
  • DF error
    129.00000
  • t(b)
    3.22625
  • p(b)
    0.32824
  • t(a)
    -0.53230
  • p(a)
    0.52979
  • VAR (95 Confidence Intrvl)
    0.11000
  • Lowerbound of 95% confidence interval for beta
    0.86601
  • Upperbound of 95% confidence interval for beta
    3.61247
  • Lowerbound of 95% confidence interval for alpha
    -3.34519
  • Upperbound of 95% confidence interval for alpha
    1.92682
  • Treynor index (mean / b)
    0.03893
  • Jensen alpha (a)
    -0.70918
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09252
  • Expected Shortfall on VaR
    0.11450
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04963
  • Expected Shortfall on VaR
    0.09290
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.79805
  • Quartile 1
    0.96883
  • Median
    0.99926
  • Quartile 3
    1.02936
  • Maximum
    1.14763
  • Mean of quarter 1
    0.93103
  • Mean of quarter 2
    0.98686
  • Mean of quarter 3
    1.01263
  • Mean of quarter 4
    1.07849
  • Inter Quartile Range
    0.06053
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.83696
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.13275
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04235
  • VaR(95%) (moments method)
    0.06654
  • Expected Shortfall (moments method)
    0.08711
  • Extreme Value Index (regression method)
    -0.08725
  • VaR(95%) (regression method)
    0.06145
  • Expected Shortfall (regression method)
    0.07747
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00377
  • Quartile 1
    0.03152
  • Median
    0.11608
  • Quartile 3
    0.21212
  • Maximum
    0.72023
  • Mean of quarter 1
    0.00549
  • Mean of quarter 2
    0.04954
  • Mean of quarter 3
    0.18062
  • Mean of quarter 4
    0.50156
  • Inter Quartile Range
    0.18060
  • 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
    0.12500
  • Mean of outliers high
    0.72023
  • 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?
    -368120000
  • Max Equity Drawdown (num days)
    30
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11846
  • Compounded annual return (geometric extrapolation)
    0.12196
  • Calmar ratio (compounded annual return / max draw down)
    0.16934
  • Compounded annual return / average of 25% largest draw downs
    0.24317
  • Compounded annual return / Expected Shortfall lognormal
    1.06521

Strategy Description

- 10+ years trading experience
- Swing trade under/over-valued stocks both in short-term and long-term
- Current Capital: $100,000 Please use the correct scale factor. My broker account is large than my model account. I cannot re-scale my model account size at the moment because it requires to close all my positions. Please be aware of this and use the correct scale size and the model account will show relative larger volatility.

Summary Statistics

Strategy began
2020-03-13
Suggested Minimum Capital
$25,000
# Trades
699
# Profitable
388
% Profitable
55.5%
Net Dividends
Correlation S&P500
0.168
Sharpe Ratio
-0.34
Sortino Ratio
-0.36
Beta
0.75
Alpha
0.00
Leverage
2.68 Average
31.61 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.