Collective2 Collective2
Featured Strategy MT3 Algotrading +78.2% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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This is an archived track record. This track record was archived on 11/20/23 15:59 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Schulenberg Tech 6
(123231599)

Created by: CraigSchulenberg CraigSchulenberg
Started: 04/2019
Stocks
Last trade: 513 days ago
Subscriptions not currently available.

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $100.00 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.

13.2%
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.

(28.6%)
Max Drawdown
1001
Num Trades
44.5%
Win Trades
1.4 : 1
Profit Factor
44.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     +1.0%(5%)+4.5%+3.0%+1.9%(1%)(0.1%)(0.2%)+1.5%+5.4%
2020(0.2%)(3.8%)+2.8%(0.2%)+1.0%+8.0%+8.3%+4.3%(1.3%)(0.8%)+10.2%+4.2%+36.5%
2021+3.7%+8.1%+4.6%+4.2%+2.7%+5.7%(3.5%)+0.8%(4.4%)+1.8%+2.9%+3.7%+34.0%
2022(1.2%)+3.4%+4.5%(7.9%)(2.9%)(2.5%)+2.3%(4.3%)(4.9%)+7.6%(0.3%)(3.4%)(10%)
2023+0.2%(1.8%)+1.7%+2.5%(4.3%)+4.0%  -    -    -    -    -    -  +2.2%
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 72 hours.

Trading Record

This strategy has placed 1,458 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 512 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/18/23 9:30 CP CANADIAN PACIFIC RAILWAY LONG 140 82.44 6/27 9:30 80.42 0.58%
Trade id #144660404
Max drawdown($997)
Time6/12/23 0:00
Quant open140
Worst price75.31
Drawdown as % of equity-0.58%
 ($286)
Includes Typical Broker Commissions trade costs of $2.80
3/21/23 9:30 MSTR MICROSTRATEGY LONG 39 268.99 6/27 9:30 312.30 0.88%
Trade id #143975691
Max drawdown($1,492)
Time3/27/23 0:00
Quant open39
Worst price230.72
Drawdown as % of equity-0.88%
 $1,688
Includes Typical Broker Commissions trade costs of $0.78
5/18/23 9:30 VRTX VERTEX LONG 34 341.10 6/27 9:30 348.05 0.42%
Trade id #144660395
Max drawdown($717)
Time6/1/23 0:00
Quant open34
Worst price320.01
Drawdown as % of equity-0.42%
 $235
Includes Typical Broker Commissions trade costs of $0.68
5/18/23 9:30 JBL JABIL INC LONG 140 82.75 6/27 9:30 101.72 n/a $2,653
Includes Typical Broker Commissions trade costs of $2.80
5/22/23 9:30 STAG STAG INDUSTRIAL LONG 321 34.57 6/27 9:30 35.13 0.22%
Trade id #144707334
Max drawdown($369)
Time5/25/23 0:00
Quant open321
Worst price33.42
Drawdown as % of equity-0.22%
 $174
Includes Typical Broker Commissions trade costs of $6.42
6/23/23 9:30 SH PROSHARES SHORT S&P500 LONG 2,340 14.19 6/27 9:30 14.21 0.05%
Trade id #145013772
Max drawdown($94)
Time6/23/23 12:33
Quant open1,577
Worst price14.12
Drawdown as % of equity-0.05%
 $48
Includes Typical Broker Commissions trade costs of $7.50
5/31/23 9:30 CR CRANE HOLDINGS CO LONG 136 75.14 6/27 9:30 81.62 0.23%
Trade id #144788161
Max drawdown($387)
Time5/31/23 10:16
Quant open136
Worst price72.29
Drawdown as % of equity-0.23%
 $878
Includes Typical Broker Commissions trade costs of $2.72
3/29/23 9:30 MCD MCDONALD'S LONG 39 277.00 6/27 9:30 290.47 0.01%
Trade id #144101631
Max drawdown($19)
Time3/29/23 13:57
Quant open39
Worst price276.50
Drawdown as % of equity-0.01%
 $524
Includes Typical Broker Commissions trade costs of $0.78
3/17/23 9:30 ROL ROLLINS LONG 285 36.57 6/27 9:30 41.81 0.12%
Trade id #143943195
Max drawdown($204)
Time3/17/23 12:27
Quant open285
Worst price35.85
Drawdown as % of equity-0.12%
 $1,487
Includes Typical Broker Commissions trade costs of $5.70
1/12/23 9:30 CTAS CINTAS LONG 23 451.74 6/27 9:30 486.35 0.38%
Trade id #143191204
Max drawdown($659)
Time1/20/23 0:00
Quant open23
Worst price423.06
Drawdown as % of equity-0.38%
 $796
Includes Typical Broker Commissions trade costs of $0.46
6/22/23 9:30 DHR DANAHER LONG 45 238.64 6/26 9:30 238.50 0.11%
Trade id #144996138
Max drawdown($194)
Time6/23/23 0:00
Quant open45
Worst price234.32
Drawdown as % of equity-0.11%
 ($7)
Includes Typical Broker Commissions trade costs of $0.90
5/18/23 9:30 RMD RESMED LONG 51 224.07 6/26 9:30 215.38 0.5%
Trade id #144660402
Max drawdown($854)
Time5/31/23 0:00
Quant open51
Worst price207.31
Drawdown as % of equity-0.50%
 ($444)
Includes Typical Broker Commissions trade costs of $1.02
5/31/23 9:30 RELX RELX PLC LONG 339 31.46 6/26 9:30 32.88 0.08%
Trade id #144788166
Max drawdown($144)
Time5/31/23 11:14
Quant open339
Worst price31.04
Drawdown as % of equity-0.08%
 $474
Includes Typical Broker Commissions trade costs of $6.78
6/15/23 9:30 AMGN AMGEN LONG 50 223.01 6/23 9:30 229.87 n/a $342
Includes Typical Broker Commissions trade costs of $1.00
6/22/23 9:30 IEX IDEX LONG 52 207.02 6/23 9:30 202.54 0.13%
Trade id #144996102
Max drawdown($232)
Time6/23/23 9:30
Quant open52
Worst price202.54
Drawdown as % of equity-0.13%
 ($234)
Includes Typical Broker Commissions trade costs of $1.04
6/21/23 9:30 SH PROSHARES SHORT S&P500 LONG 1,531 14.07 6/22 9:30 14.15 0.02%
Trade id #144978676
Max drawdown($38)
Time6/21/23 14:32
Quant open1,531
Worst price14.04
Drawdown as % of equity-0.02%
 $117
Includes Typical Broker Commissions trade costs of $5.00
6/2/23 9:30 DHR DANAHER LONG 47 234.56 6/21 9:30 235.31 0.16%
Trade id #144811757
Max drawdown($289)
Time6/20/23 0:00
Quant open47
Worst price228.41
Drawdown as % of equity-0.16%
 $34
Includes Typical Broker Commissions trade costs of $0.94
6/13/23 9:30 IEX IDEX LONG 51 207.31 6/21 9:30 204.23 0.09%
Trade id #144906065
Max drawdown($157)
Time6/21/23 9:30
Quant open51
Worst price204.23
Drawdown as % of equity-0.09%
 ($158)
Includes Typical Broker Commissions trade costs of $1.02
6/14/23 9:30 SH PROSHARES SHORT S&P500 LONG 785 14.24 6/15 9:30 14.28 0.03%
Trade id #144918044
Max drawdown($47)
Time6/14/23 11:24
Quant open785
Worst price14.18
Drawdown as % of equity-0.03%
 $26
Includes Typical Broker Commissions trade costs of $5.00
6/13/23 9:30 AMGN AMGEN LONG 50 217.43 6/14 9:30 223.26 0.01%
Trade id #144906060
Max drawdown($25)
Time6/13/23 9:33
Quant open50
Worst price216.93
Drawdown as % of equity-0.01%
 $291
Includes Typical Broker Commissions trade costs of $1.00
6/12/23 9:30 SH PROSHARES SHORT S&P500 LONG 1,496 14.44 6/13 9:30 14.30 0.13%
Trade id #144895822
Max drawdown($231)
Time6/13/23 9:30
Quant open1,496
Worst price14.29
Drawdown as % of equity-0.13%
 ($214)
Includes Typical Broker Commissions trade costs of $5.00
6/9/23 9:30 IEX IDEX LONG 52 208.05 6/12 9:30 207.30 0.09%
Trade id #144880225
Max drawdown($163)
Time6/9/23 11:34
Quant open52
Worst price204.91
Drawdown as % of equity-0.09%
 ($40)
Includes Typical Broker Commissions trade costs of $1.04
6/9/23 9:30 AMGN AMGEN LONG 49 219.34 6/12 9:30 218.91 0.04%
Trade id #144880246
Max drawdown($68)
Time6/9/23 9:33
Quant open49
Worst price217.95
Drawdown as % of equity-0.04%
 ($22)
Includes Typical Broker Commissions trade costs of $0.98
6/8/23 9:30 SH PROSHARES SHORT S&P500 LONG 1,509 14.58 6/9 9:30 14.47 0.11%
Trade id #144869653
Max drawdown($188)
Time6/9/23 9:30
Quant open1,509
Worst price14.46
Drawdown as % of equity-0.11%
 ($171)
Includes Typical Broker Commissions trade costs of $5.00
6/6/23 9:30 AMGN AMGEN LONG 47 223.08 6/8 9:30 221.26 0.1%
Trade id #144844323
Max drawdown($178)
Time6/6/23 12:41
Quant open47
Worst price219.28
Drawdown as % of equity-0.10%
 ($87)
Includes Typical Broker Commissions trade costs of $0.94
6/2/23 9:30 IEX IDEX LONG 55 203.53 6/8 9:30 207.37 n/a $210
Includes Typical Broker Commissions trade costs of $1.10
6/5/23 9:30 SH PROSHARES SHORT S&P500 LONG 717 14.50 6/6 9:30 14.56 0.02%
Trade id #144831458
Max drawdown($28)
Time6/5/23 12:18
Quant open717
Worst price14.46
Drawdown as % of equity-0.02%
 $38
Includes Typical Broker Commissions trade costs of $5.00
4/28/23 9:30 AMGN AMGEN LONG 46 236.82 6/5 9:30 219.67 0.68%
Trade id #144461757
Max drawdown($1,155)
Time6/1/23 0:00
Quant open46
Worst price211.71
Drawdown as % of equity-0.68%
 ($790)
Includes Typical Broker Commissions trade costs of $0.92
6/1/23 9:30 SH PROSHARES SHORT S&P500 LONG 1,503 14.85 6/2 9:30 14.63 0.21%
Trade id #144800120
Max drawdown($360)
Time6/2/23 9:30
Quant open1,503
Worst price14.61
Drawdown as % of equity-0.21%
 ($336)
Includes Typical Broker Commissions trade costs of $5.00
5/22/23 9:30 DHR DANAHER LONG 48 228.43 6/1 9:31 230.58 0.16%
Trade id #144707347
Max drawdown($274)
Time5/24/23 0:00
Quant open48
Worst price222.71
Drawdown as % of equity-0.16%
 $102
Includes Typical Broker Commissions trade costs of $0.96
Next

Statistics

  • Strategy began
    4/7/2019
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2049.47
  • Age
    69 months ago
  • What it trades
    Stocks
  • # Trades
    1001
  • # Profitable
    445
  • % Profitable
    44.50%
  • Avg trade duration
    21.3 days
  • Max peak-to-valley drawdown
    28.62%
  • drawdown period
    April 08, 2022 - Feb 08, 2023
  • Annual Return (Compounded)
    13.2%
  • Avg win
    $661.34
  • Avg loss
    $385.61
  • Model Account Values (Raw)
  • Cash
    $187,053
  • Margin Used
    $0
  • Buying Power
    $187,053
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    0.6
  • Sortino Ratio
    0.86
  • Calmar Ratio
    0.815
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    20.02%
  • Correlation to SP500
    0.32840
  • Return Percent SP500 (cumu) during strategy life
    104.55%
  • Return Statistics
  • Ann Return (w trading costs)
    13.2%
  • Slump
  • Current Slump as Pcnt Equity
    18.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.47%
  • 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)
    0.132%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    59.00%
  • Chance of 20% account loss
    31.00%
  • Chance of 30% account loss
    5.00%
  • Chance of 40% account loss
    1.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    418
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    275
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $386
  • Avg Win
    $661
  • Sum Trade PL (losers)
    $214,398.000
  • Age
  • Num Months filled monthly returns table
    68
  • Win / Loss
  • Sum Trade PL (winners)
    $294,298.000
  • # Winners
    445
  • Num Months Winners
    30
  • Dividends
  • Dividends Received in Model Acct
    7146
  • Win / Loss
  • # Losers
    556
  • % Winners
    44.5%
  • Frequency
  • Avg Position Time (mins)
    30634.30
  • Avg Position Time (hrs)
    510.57
  • Avg Trade Length
    21.3 days
  • Last Trade Ago
    508
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    1.55
  • Regression
  • Alpha
    0.02
  • Beta
    0.20
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    39.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    49.07
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.81
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    6.112
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.314
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.352
  • Hold-and-Hope Ratio
    0.163
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13319
  • SD
    0.14321
  • Sharpe ratio (Glass type estimate)
    0.93003
  • Sharpe ratio (Hedges UMVUE)
    0.91571
  • df
    49.00000
  • t
    1.89841
  • p
    0.03177
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05213
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90306
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06144
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89286
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66676
  • Upside Potential Ratio
    3.29031
  • Upside part of mean
    0.26293
  • Downside part of mean
    -0.12974
  • Upside SD
    0.12326
  • Downside SD
    0.07991
  • N nonnegative terms
    30.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.09688
  • Mean of criterion
    0.13319
  • SD of predictor
    0.21635
  • SD of criterion
    0.14321
  • Covariance
    0.02081
  • r
    0.67178
  • b (slope, estimate of beta)
    0.44468
  • a (intercept, estimate of alpha)
    0.09011
  • Mean Square Error
    0.01149
  • DF error
    48.00000
  • t(b)
    6.28314
  • p(b)
    0.00000
  • t(a)
    1.70164
  • p(a)
    0.04765
  • Lowerbound of 95% confidence interval for beta
    0.30238
  • Upperbound of 95% confidence interval for beta
    0.58698
  • Lowerbound of 95% confidence interval for alpha
    -0.01636
  • Upperbound of 95% confidence interval for alpha
    0.19658
  • Treynor index (mean / b)
    0.29952
  • Jensen alpha (a)
    0.09011
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12232
  • SD
    0.14180
  • Sharpe ratio (Glass type estimate)
    0.86265
  • Sharpe ratio (Hedges UMVUE)
    0.84937
  • df
    49.00000
  • t
    1.76088
  • p
    0.04225
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11676
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83357
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12543
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82416
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48235
  • Upside Potential Ratio
    3.09123
  • Upside part of mean
    0.25509
  • Downside part of mean
    -0.13276
  • Upside SD
    0.11892
  • Downside SD
    0.08252
  • N nonnegative terms
    30.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.07132
  • Mean of criterion
    0.12232
  • SD of predictor
    0.23233
  • SD of criterion
    0.14180
  • Covariance
    0.02238
  • r
    0.67939
  • b (slope, estimate of beta)
    0.41465
  • a (intercept, estimate of alpha)
    0.09275
  • Mean Square Error
    0.01105
  • DF error
    48.00000
  • t(b)
    6.41459
  • p(b)
    0.00000
  • t(a)
    1.79375
  • p(a)
    0.03958
  • Lowerbound of 95% confidence interval for beta
    0.28468
  • Upperbound of 95% confidence interval for beta
    0.54462
  • Lowerbound of 95% confidence interval for alpha
    -0.01121
  • Upperbound of 95% confidence interval for alpha
    0.19672
  • Treynor index (mean / b)
    0.29500
  • Jensen alpha (a)
    0.09275
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05553
  • Expected Shortfall on VaR
    0.07145
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02142
  • Expected Shortfall on VaR
    0.04424
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    50.00000
  • Minimum
    0.90746
  • Quartile 1
    0.99072
  • Median
    1.00673
  • Quartile 3
    1.03751
  • Maximum
    1.10019
  • Mean of quarter 1
    0.96466
  • Mean of quarter 2
    0.99882
  • Mean of quarter 3
    1.02505
  • Mean of quarter 4
    1.06494
  • Inter Quartile Range
    0.04680
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02000
  • Mean of outliers low
    0.90746
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00125
  • VaR(95%) (moments method)
    0.02753
  • Expected Shortfall (moments method)
    0.03872
  • Extreme Value Index (regression method)
    0.35056
  • VaR(95%) (regression method)
    0.03365
  • Expected Shortfall (regression method)
    0.06308
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00558
  • Quartile 1
    0.00786
  • Median
    0.02365
  • Quartile 3
    0.06403
  • Maximum
    0.16554
  • Mean of quarter 1
    0.00569
  • Mean of quarter 2
    0.01679
  • Mean of quarter 3
    0.03553
  • Mean of quarter 4
    0.12904
  • Inter Quartile Range
    0.05617
  • 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
    0.14286
  • Mean of outliers high
    0.16554
  • 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)
    0.20881
  • Compounded annual return (geometric extrapolation)
    0.16210
  • Calmar ratio (compounded annual return / max draw down)
    0.97922
  • Compounded annual return / average of 25% largest draw downs
    1.25620
  • Compounded annual return / Expected Shortfall lognormal
    2.26887
  • 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
    0.12919
  • SD
    0.13748
  • Sharpe ratio (Glass type estimate)
    0.93968
  • Sharpe ratio (Hedges UMVUE)
    0.93905
  • df
    1112.00000
  • t
    1.93676
  • p
    0.47101
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01226
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89122
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01269
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89078
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34475
  • Upside Potential Ratio
    8.76077
  • Upside part of mean
    0.84165
  • Downside part of mean
    -0.71246
  • Upside SD
    0.09858
  • Downside SD
    0.09607
  • N nonnegative terms
    593.00000
  • N negative terms
    520.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1113.00000
  • Mean of predictor
    0.10502
  • Mean of criterion
    0.12919
  • SD of predictor
    0.22949
  • SD of criterion
    0.13748
  • Covariance
    0.01224
  • r
    0.38795
  • b (slope, estimate of beta)
    0.23242
  • a (intercept, estimate of alpha)
    0.09300
  • Mean Square Error
    0.01607
  • DF error
    1111.00000
  • t(b)
    14.03000
  • p(b)
    0.25936
  • t(a)
    1.70287
  • p(a)
    0.46753
  • Lowerbound of 95% confidence interval for beta
    0.19992
  • Upperbound of 95% confidence interval for beta
    0.26492
  • Lowerbound of 95% confidence interval for alpha
    -0.01595
  • Upperbound of 95% confidence interval for alpha
    0.22551
  • Treynor index (mean / b)
    0.55585
  • Jensen alpha (a)
    0.10478
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11970
  • SD
    0.13758
  • Sharpe ratio (Glass type estimate)
    0.87006
  • Sharpe ratio (Hedges UMVUE)
    0.86947
  • df
    1112.00000
  • t
    1.79327
  • p
    0.47315
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08174
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82151
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08215
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82109
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23334
  • Upside Potential Ratio
    8.62172
  • Upside part of mean
    0.83676
  • Downside part of mean
    -0.71706
  • Upside SD
    0.09770
  • Downside SD
    0.09705
  • N nonnegative terms
    593.00000
  • N negative terms
    520.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1113.00000
  • Mean of predictor
    0.07854
  • Mean of criterion
    0.11970
  • SD of predictor
    0.23051
  • SD of criterion
    0.13758
  • Covariance
    0.01235
  • r
    0.38931
  • b (slope, estimate of beta)
    0.23235
  • a (intercept, estimate of alpha)
    0.10145
  • Mean Square Error
    0.01607
  • DF error
    1111.00000
  • t(b)
    14.08780
  • p(b)
    0.25857
  • t(a)
    1.64894
  • p(a)
    0.46856
  • Lowerbound of 95% confidence interval for beta
    0.19999
  • Upperbound of 95% confidence interval for beta
    0.26471
  • Lowerbound of 95% confidence interval for alpha
    -0.01927
  • Upperbound of 95% confidence interval for alpha
    0.22217
  • Treynor index (mean / b)
    0.51516
  • Jensen alpha (a)
    0.10145
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01343
  • Expected Shortfall on VaR
    0.01693
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00596
  • Expected Shortfall on VaR
    0.01214
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1113.00000
  • Minimum
    0.95340
  • Quartile 1
    0.99673
  • Median
    1.00065
  • Quartile 3
    1.00481
  • Maximum
    1.05056
  • Mean of quarter 1
    0.99047
  • Mean of quarter 2
    0.99893
  • Mean of quarter 3
    1.00264
  • Mean of quarter 4
    1.01040
  • Inter Quartile Range
    0.00808
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.04043
  • Mean of outliers low
    0.97810
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.02695
  • Mean of outliers high
    1.02348
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21965
  • VaR(95%) (moments method)
    0.00887
  • Expected Shortfall (moments method)
    0.01417
  • Extreme Value Index (regression method)
    0.05396
  • VaR(95%) (regression method)
    0.00867
  • Expected Shortfall (regression method)
    0.01236
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    62.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00358
  • Median
    0.01047
  • Quartile 3
    0.02522
  • Maximum
    0.19073
  • Mean of quarter 1
    0.00147
  • Mean of quarter 2
    0.00637
  • Mean of quarter 3
    0.01816
  • Mean of quarter 4
    0.05934
  • Inter Quartile Range
    0.02164
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.11290
  • Mean of outliers high
    0.08998
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.17559
  • VaR(95%) (moments method)
    0.05948
  • Expected Shortfall (moments method)
    0.08936
  • Extreme Value Index (regression method)
    0.31956
  • VaR(95%) (regression method)
    0.06703
  • Expected Shortfall (regression method)
    0.11513
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20528
  • Compounded annual return (geometric extrapolation)
    0.15906
  • Calmar ratio (compounded annual return / max draw down)
    0.83394
  • Compounded annual return / average of 25% largest draw downs
    2.68054
  • Compounded annual return / Expected Shortfall lognormal
    9.39757
  • 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
    0.03155
  • SD
    0.10352
  • Sharpe ratio (Glass type estimate)
    0.30476
  • Sharpe ratio (Hedges UMVUE)
    0.30300
  • df
    130.00000
  • t
    0.21550
  • p
    0.49055
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.46778
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07634
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.46905
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07505
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45032
  • Upside Potential Ratio
    6.75318
  • Upside part of mean
    0.47313
  • Downside part of mean
    -0.44158
  • Upside SD
    0.07570
  • Downside SD
    0.07006
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23881
  • Mean of criterion
    0.03155
  • SD of predictor
    0.18345
  • SD of criterion
    0.10352
  • Covariance
    0.00526
  • r
    0.27700
  • b (slope, estimate of beta)
    0.15631
  • a (intercept, estimate of alpha)
    -0.00578
  • Mean Square Error
    0.00997
  • DF error
    129.00000
  • t(b)
    3.27421
  • p(b)
    0.32594
  • t(a)
    -0.04079
  • p(a)
    0.50229
  • Lowerbound of 95% confidence interval for beta
    0.06186
  • Upperbound of 95% confidence interval for beta
    0.25077
  • Lowerbound of 95% confidence interval for alpha
    -0.28609
  • Upperbound of 95% confidence interval for alpha
    0.27453
  • Treynor index (mean / b)
    0.20184
  • Jensen alpha (a)
    -0.00578
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02623
  • SD
    0.10350
  • Sharpe ratio (Glass type estimate)
    0.25342
  • Sharpe ratio (Hedges UMVUE)
    0.25195
  • df
    130.00000
  • t
    0.17919
  • p
    0.49214
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.51905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02491
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52002
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02393
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36940
  • Upside Potential Ratio
    6.62290
  • Upside part of mean
    0.47026
  • Downside part of mean
    -0.44403
  • Upside SD
    0.07478
  • Downside SD
    0.07100
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22195
  • Mean of criterion
    0.02623
  • SD of predictor
    0.18377
  • SD of criterion
    0.10350
  • Covariance
    0.00529
  • r
    0.27812
  • b (slope, estimate of beta)
    0.15665
  • a (intercept, estimate of alpha)
    -0.00854
  • Mean Square Error
    0.00996
  • DF error
    129.00000
  • t(b)
    3.28860
  • p(b)
    0.32525
  • t(a)
    -0.06032
  • p(a)
    0.50338
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.06240
  • Upperbound of 95% confidence interval for beta
    0.25089
  • Lowerbound of 95% confidence interval for alpha
    -0.28858
  • Upperbound of 95% confidence interval for alpha
    0.27150
  • Treynor index (mean / b)
    0.16745
  • Jensen alpha (a)
    -0.00854
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01036
  • Expected Shortfall on VaR
    0.01300
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00427
  • Expected Shortfall on VaR
    0.00893
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96131
  • Quartile 1
    0.99815
  • Median
    1.00000
  • Quartile 3
    1.00195
  • Maximum
    1.03884
  • Mean of quarter 1
    0.99429
  • Mean of quarter 2
    0.99926
  • Mean of quarter 3
    1.00072
  • Mean of quarter 4
    1.00665
  • Inter Quartile Range
    0.00380
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98447
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.01260
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24944
  • VaR(95%) (moments method)
    0.00514
  • Expected Shortfall (moments method)
    0.00845
  • Extreme Value Index (regression method)
    0.30041
  • VaR(95%) (regression method)
    0.00526
  • Expected Shortfall (regression method)
    0.00906
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00188
  • Quartile 1
    0.00388
  • Median
    0.00690
  • Quartile 3
    0.03957
  • Maximum
    0.04258
  • Mean of quarter 1
    0.00221
  • Mean of quarter 2
    0.00606
  • Mean of quarter 3
    0.03756
  • Mean of quarter 4
    0.04207
  • Inter Quartile Range
    0.03568
  • 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?
    -336046000
  • Max Equity Drawdown (num days)
    306
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05488
  • Compounded annual return (geometric extrapolation)
    0.05563
  • Calmar ratio (compounded annual return / max draw down)
    1.30636
  • Compounded annual return / average of 25% largest draw downs
    1.32214
  • Compounded annual return / Expected Shortfall lognormal
    4.27852

Strategy Description

This portfolio will hold a maximum of 15 stocks that are drawn from a total universe of 114 'reliable' companies, all of which have been in business since 2002 or earlier. The 114 companies were chosen based upon how accurately their stock behavior can be 'modeled' with Neural Networks (AI) and Expert Systems. If drawdown over design limits is occurring, or if most of the 114 Models go to a Cash or Short state, then the Portfolio will reduce its market exposure so as to maintain active control of the drawdown, and the newly available Cash will be used to purchase the necessary number of shares of SH (a 1x S&P Inverse ETF) to provide active hedging.

Trading frequency is also a primary design criterion, and this Grail System Portfolio has been developed to require as low a trading frequency as is compatible with the targeted annualized gain.

All trades will be made with Market orders at the Open.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-04-07
Suggested Minimum Capital
$15,000
# Trades
1001
# Profitable
445
% Profitable
44.5%
Net Dividends
$7,146
Correlation S&P500
0.328
Sharpe Ratio
0.60
Sortino Ratio
0.86
Beta
0.20
Alpha
0.02
Leverage
0.91 Average
1.55 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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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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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.