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

Conc Hedged Stocks Swing
(110033594)

Created by: HkaurHkaur HkaurHkaur
Started: 03/2017
Stocks
Last trade: 1,981 days ago

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 $35.00 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.

24.7%
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.

(79.1%)
Max Drawdown
587
Num Trades
58.3%
Win Trades
4.2 : 1
Profit Factor
59.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017              +4.5%+0.2%(8.2%)+1.7%(0.4%)+8.9%+10.8%(15.8%)+6.4%(0.4%)+4.7%
2018+5.1%(1.8%)(2.7%)+1.3%+1.2%+0.5%+0.8%(2%)+2.7%(9%)+1.6%(8.8%)(11.6%)
2019+4.1%+3.9%(0.1%)  -  +2.2%+0.7%(3.7%)(5.2%)+6.6%+1.8%+9.8%+23.1%
2020(6.8%)(1.7%)(9.3%)+11.3%+2.7%+8.8%+4.9%+3.4%+2.2%+2.5%+8.5%+11.0%+41.6%
2021+123.5%(2.4%)(11.1%)+9.2%(4.7%)+15.7%(1.8%)(1.3%)(4.2%)+2.9%(2.6%)(8.9%)+98.1%
2022(15.6%)+2.7%+2.9%(15.3%)(6.7%)(4.7%)+11.0%+2.6%(3.1%)+13.7%+18.5%(7%)(7.1%)
2023+10.7%+0.8%+6.1%+1.7%(6.6%)+1.3%(5.6%)+11.3%(7.8%)+3.9%+8.7%+9.8%+36.6%
2024(0.8%)+18.8%(1.2%)                                                      +16.4%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 83 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2544 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/19/18 11:37 MTBC CARECLOUD INC LONG 300 4.65 10/16 13:25 5.21 0.41%
Trade id #119017904
Max drawdown($120)
Time9/19/18 8:24
Quant open300
Worst price4.25
Drawdown as % of equity-0.41%
$161
Includes Typical Broker Commissions trade costs of $6.00
3/19/18 10:49 CDTX CIDARA THERAPEUTICS INC. COMMON STOCK LONG 150 5.82 10/10 9:34 4.26 0.94%
Trade id #117116477
Max drawdown($275)
Time4/16/18 14:15
Quant open100
Worst price3.70
Drawdown as % of equity-0.94%
($237)
Includes Typical Broker Commissions trade costs of $3.00
4/18/18 13:05 AKAO ACHAOGEN INC. COMMON STOCK LONG 100 13.15 7/23 12:43 11.30 1.01%
Trade id #117565411
Max drawdown($297)
Time5/2/18 17:41
Quant open70
Worst price8.90
Drawdown as % of equity-1.01%
($187)
Includes Typical Broker Commissions trade costs of $2.00
7/3/18 13:31 GLMD GALMED PHARMACEUTICALS LTD. OR LONG 80 11.66 7/19 11:38 14.54 0.31%
Trade id #118765191
Max drawdown($92)
Time7/11/18 12:55
Quant open80
Worst price10.51
Drawdown as % of equity-0.31%
$228
Includes Typical Broker Commissions trade costs of $1.60
1/29/18 13:31 MTBC CARECLOUD INC LONG 600 3.93 7/19 11:37 4.62 1.37%
Trade id #116156209
Max drawdown($408)
Time6/19/18 10:10
Quant open600
Worst price3.25
Drawdown as % of equity-1.37%
$406
Includes Typical Broker Commissions trade costs of $8.50
1/11/18 10:48 BDSI BIODELIVERY SCIENCES LONG 350 2.67 6/29 11:31 2.95 1.02%
Trade id #115830259
Max drawdown($300)
Time5/9/18 19:24
Quant open250
Worst price1.70
Drawdown as % of equity-1.02%
$91
Includes Typical Broker Commissions trade costs of $7.00
4/30/18 9:32 IONS IONIS PHARMACEUTICALS INC. LONG 13 45.05 5/30 12:25 46.14 0.3%
Trade id #117713667
Max drawdown($87)
Time5/8/18 9:24
Quant open13
Worst price38.30
Drawdown as % of equity-0.30%
$14
Includes Typical Broker Commissions trade costs of $0.26
3/16/18 15:09 CLF CLEVELAND-CLIFFS INC LONG 150 7.50 4/18 13:05 7.39 0.55%
Trade id #117101323
Max drawdown($165)
Time3/23/18 9:47
Quant open150
Worst price6.40
Drawdown as % of equity-0.55%
($20)
Includes Typical Broker Commissions trade costs of $3.00
4/3/18 11:42 AKAO ACHAOGEN INC. COMMON STOCK LONG 100 12.89 4/18 13:04 13.12 0.48%
Trade id #117348742
Max drawdown($139)
Time4/9/18 15:44
Quant open100
Worst price11.50
Drawdown as % of equity-0.48%
$21
Includes Typical Broker Commissions trade costs of $2.00
3/6/18 12:54 MRNS MARINUS PHARMACEUTICALS INC. LONG 300 4.49 4/12 14:42 4.79 1.22%
Trade id #116888182
Max drawdown($354)
Time3/28/18 10:49
Quant open300
Worst price3.31
Drawdown as % of equity-1.22%
$84
Includes Typical Broker Commissions trade costs of $6.00
1/30/18 12:56 AKAO ACHAOGEN INC. COMMON STOCK LONG 150 12.19 4/3 11:41 12.86 1.03%
Trade id #116181304
Max drawdown($303)
Time2/9/18 12:51
Quant open100
Worst price9.83
Drawdown as % of equity-1.03%
$97
Includes Typical Broker Commissions trade costs of $3.00
2/1/18 13:54 ANGO ANGIODYNAMICS LONG 60 17.65 4/3 11:41 18.55 0.5%
Trade id #116230295
Max drawdown($143)
Time3/29/18 9:55
Quant open60
Worst price15.26
Drawdown as % of equity-0.50%
$53
Includes Typical Broker Commissions trade costs of $1.20
3/12/18 13:12 PTLA PORTOLA PHARMACEUTICALS INC. LONG 45 36.20 3/12 14:16 37.26 0.01%
Trade id #116998743
Max drawdown($2)
Time3/12/18 13:25
Quant open45
Worst price36.15
Drawdown as % of equity-0.01%
$47
Includes Typical Broker Commissions trade costs of $0.90
3/9/18 11:52 OMER OMEROS LONG 150 11.07 3/12 9:37 11.78 0%
Trade id #116963684
Max drawdown($1)
Time3/9/18 11:54
Quant open150
Worst price11.06
Drawdown as % of equity-0.00%
$104
Includes Typical Broker Commissions trade costs of $3.00
1/29/18 13:49 VSTM VERASTEM LONG 300 3.84 3/9 9:30 3.59 1.36%
Trade id #116156553
Max drawdown($402)
Time2/20/18 18:20
Quant open300
Worst price2.50
Drawdown as % of equity-1.36%
($82)
Includes Typical Broker Commissions trade costs of $6.00
2/20/18 14:45 HTGM HTG MOLECULAR DIAGNOSTICS INC. LONG 320 5.02 3/9 9:30 5.39 1.08%
Trade id #116621834
Max drawdown($318)
Time3/2/18 9:32
Quant open320
Worst price4.03
Drawdown as % of equity-1.08%
$111
Includes Typical Broker Commissions trade costs of $6.40
1/30/18 12:59 TCON TRACON PHARMACEUTICALS INC. C LONG 700 2.68 3/2 12:55 2.42 1.48%
Trade id #116181357
Max drawdown($440)
Time2/23/18 10:26
Quant open700
Worst price2.05
Drawdown as % of equity-1.48%
($194)
Includes Typical Broker Commissions trade costs of $14.00
1/29/18 15:24 NTLA INTELLIA THERAPEUTICS INC. LONG 25 26.61 3/2 12:55 27.33 0.47%
Trade id #116158687
Max drawdown($139)
Time2/9/18 12:51
Quant open25
Worst price21.05
Drawdown as % of equity-0.47%
$18
Includes Typical Broker Commissions trade costs of $0.50
3/1/18 15:40 DVAX DYNAVAX TECHNOLOGIES CORPORATI LONG 80 16.05 3/2 12:55 16.55 0.07%
Trade id #116812076
Max drawdown($20)
Time3/2/18 9:31
Quant open80
Worst price15.80
Drawdown as % of equity-0.07%
$38
Includes Typical Broker Commissions trade costs of $1.60
2/20/18 14:45 FLXN FLEXION THERAPEUTICS INC. COM LONG 100 24.38 2/21 10:15 24.90 0.32%
Trade id #116621855
Max drawdown($95)
Time2/20/18 15:53
Quant open100
Worst price23.43
Drawdown as % of equity-0.32%
$50
Includes Typical Broker Commissions trade costs of $2.00
2/15/18 10:06 UNIT UNIT GROUP INC LONG 80 15.58 2/16 10:34 16.29 0%
Trade id #116530421
Max drawdown($0)
Time2/15/18 10:15
Quant open80
Worst price15.57
Drawdown as % of equity-0.00%
$55
Includes Typical Broker Commissions trade costs of $1.60
2/14/18 12:29 TTPH TETRAPHASE PHARMACEUTICALS IN LONG 300 2.17 2/15 10:06 2.22 0.07%
Trade id #116508550
Max drawdown($21)
Time2/15/18 9:35
Quant open300
Worst price2.10
Drawdown as % of equity-0.07%
$9
Includes Typical Broker Commissions trade costs of $6.00
2/14/18 14:23 ATRC ATRICURE LONG 60 16.32 2/15 9:49 17.05 0.01%
Trade id #116512233
Max drawdown($2)
Time2/14/18 14:28
Quant open60
Worst price16.28
Drawdown as % of equity-0.01%
$43
Includes Typical Broker Commissions trade costs of $1.20
2/14/18 14:22 PRTA PROTHENA CORPORATION PLC ORDIN LONG 40 31.00 2/15 9:30 32.98 0.07%
Trade id #116512222
Max drawdown($21)
Time2/14/18 15:36
Quant open40
Worst price30.47
Drawdown as % of equity-0.07%
$78
Includes Typical Broker Commissions trade costs of $0.80
1/31/18 13:55 OSTK OVERSTOCK.COM LONG 20 69.10 2/14 12:30 58.50 1.59%
Trade id #116205119
Max drawdown($462)
Time2/6/18 7:04
Quant open20
Worst price46.00
Drawdown as % of equity-1.59%
($212)
Includes Typical Broker Commissions trade costs of $0.40
2/12/18 10:15 ESNT ESSENT GROUP LTD LONG 30 44.75 2/14 11:57 46.36 0.1%
Trade id #116459926
Max drawdown($28)
Time2/12/18 12:38
Quant open30
Worst price43.79
Drawdown as % of equity-0.10%
$47
Includes Typical Broker Commissions trade costs of $0.60
1/30/18 14:48 CBAY CYMABAY THERAPEUTICS INC. COMM LONG 80 12.12 2/8 11:56 12.90 0.27%
Trade id #116184433
Max drawdown($77)
Time2/6/18 9:34
Quant open80
Worst price11.15
Drawdown as % of equity-0.27%
$60
Includes Typical Broker Commissions trade costs of $1.60
2/1/18 10:33 IOVA IOVANCE BIOTHERAPEUTICS INC. LONG 55 16.15 2/7 11:52 17.00 0.12%
Trade id #116223516
Max drawdown($35)
Time2/5/18 9:19
Quant open55
Worst price15.50
Drawdown as % of equity-0.12%
$46
Includes Typical Broker Commissions trade costs of $1.10
1/30/18 14:41 ANGO ANGIODYNAMICS LONG 80 17.23 2/1 13:53 17.63 0.05%
Trade id #116184225
Max drawdown($16)
Time2/1/18 10:07
Quant open80
Worst price17.03
Drawdown as % of equity-0.05%
$30
Includes Typical Broker Commissions trade costs of $1.60
1/31/18 13:05 IOVA IOVANCE BIOTHERAPEUTICS INC. LONG 50 15.45 2/1 10:33 16.10 0.02%
Trade id #116204195
Max drawdown($5)
Time1/31/18 15:27
Quant open50
Worst price15.35
Drawdown as % of equity-0.02%
$32
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    3/5/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2568.08
  • Age
    86 months ago
  • What it trades
    Stocks
  • # Trades
    587
  • # Profitable
    342
  • % Profitable
    58.30%
  • Avg trade duration
    53.4 days
  • Max peak-to-valley drawdown
    79.09%
  • drawdown period
    Feb 12, 2021 - July 14, 2022
  • Annual Return (Compounded)
    24.7%
  • Avg win
    $370.38
  • Avg loss
    $124.08
  • Model Account Values (Raw)
  • Cash
    $25,566
  • Margin Used
    $0
  • Buying Power
    $114,858
  • Ratios
  • W:L ratio
    4.17:1
  • Sharpe Ratio
    0.44
  • Sortino Ratio
    1.19
  • Calmar Ratio
    1.055
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    257.78%
  • Correlation to SP500
    0.22290
  • Return Percent SP500 (cumu) during strategy life
    116.08%
  • Return Statistics
  • Ann Return (w trading costs)
    24.7%
  • Slump
  • Current Slump as Pcnt Equity
    1.40%
  • Instruments
  • Percent Trades Futures
    0.04%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    0.247%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.96%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.00%
  • Chance of 20% account loss
    4.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $124
  • Avg Win
    $370
  • Sum Trade PL (losers)
    $30,400.000
  • Age
  • Num Months filled monthly returns table
    85
  • Win / Loss
  • Sum Trade PL (winners)
    $126,671.000
  • # Winners
    342
  • Num Months Winners
    50
  • Dividends
  • Dividends Received in Model Acct
    4
  • Win / Loss
  • # Losers
    245
  • % Winners
    58.3%
  • Frequency
  • Avg Position Time (mins)
    76923.50
  • Avg Position Time (hrs)
    1282.06
  • Avg Trade Length
    53.4 days
  • Last Trade Ago
    1978
  • Leverage
  • Daily leverage (average)
    0.79
  • Daily leverage (max)
    8.79
  • Regression
  • Alpha
    0.08
  • Beta
    0.95
  • Treynor Index
    0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.59
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    32.63
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.22
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.658
  • 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
    0.166
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.359
  • Hold-and-Hope Ratio
    1.681
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77446
  • SD
    1.02488
  • Sharpe ratio (Glass type estimate)
    0.75566
  • Sharpe ratio (Hedges UMVUE)
    0.73720
  • df
    31.00000
  • t
    1.23398
  • p
    0.11324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46500
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96449
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47697
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95138
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.05755
  • Upside Potential Ratio
    5.54077
  • Upside part of mean
    1.05756
  • Downside part of mean
    -0.28310
  • Upside SD
    1.01544
  • Downside SD
    0.19087
  • N nonnegative terms
    18.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.23559
  • Mean of criterion
    0.77446
  • SD of predictor
    0.18899
  • SD of criterion
    1.02488
  • Covariance
    0.08229
  • r
    0.42485
  • b (slope, estimate of beta)
    2.30398
  • a (intercept, estimate of alpha)
    0.23168
  • Mean Square Error
    0.88949
  • DF error
    30.00000
  • t(b)
    2.57054
  • p(b)
    0.00768
  • t(a)
    0.37675
  • p(a)
    0.35450
  • Lowerbound of 95% confidence interval for beta
    0.47349
  • Upperbound of 95% confidence interval for beta
    4.13446
  • Lowerbound of 95% confidence interval for alpha
    -1.02418
  • Upperbound of 95% confidence interval for alpha
    1.48754
  • Treynor index (mean / b)
    0.33614
  • Jensen alpha (a)
    0.23168
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47637
  • SD
    0.66841
  • Sharpe ratio (Glass type estimate)
    0.71269
  • Sharpe ratio (Hedges UMVUE)
    0.69528
  • df
    31.00000
  • t
    1.16382
  • p
    0.12669
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50603
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92029
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51736
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90792
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29257
  • Upside Potential Ratio
    3.74986
  • Upside part of mean
    0.77918
  • Downside part of mean
    -0.30281
  • Upside SD
    0.63918
  • Downside SD
    0.20779
  • N nonnegative terms
    18.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.21589
  • Mean of criterion
    0.47637
  • SD of predictor
    0.18766
  • SD of criterion
    0.66841
  • Covariance
    0.05473
  • r
    0.43630
  • b (slope, estimate of beta)
    1.55400
  • a (intercept, estimate of alpha)
    0.14088
  • Mean Square Error
    0.37379
  • DF error
    30.00000
  • t(b)
    2.65580
  • p(b)
    0.00627
  • t(a)
    0.35653
  • p(a)
    0.36197
  • Lowerbound of 95% confidence interval for beta
    0.35900
  • Upperbound of 95% confidence interval for beta
    2.74901
  • Lowerbound of 95% confidence interval for alpha
    -0.66609
  • Upperbound of 95% confidence interval for alpha
    0.94784
  • Treynor index (mean / b)
    0.30654
  • Jensen alpha (a)
    0.14088
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24246
  • Expected Shortfall on VaR
    0.29941
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04913
  • Expected Shortfall on VaR
    0.10383
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.81646
  • Quartile 1
    0.98156
  • Median
    1.01426
  • Quartile 3
    1.05543
  • Maximum
    2.58010
  • Mean of quarter 1
    0.91557
  • Mean of quarter 2
    0.99742
  • Mean of quarter 3
    1.02443
  • Mean of quarter 4
    1.33005
  • Inter Quartile Range
    0.07387
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.09375
  • Mean of outliers low
    0.83130
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09375
  • Mean of outliers high
    1.73150
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.81194
  • VaR(95%) (moments method)
    0.09175
  • Expected Shortfall (moments method)
    0.52074
  • Extreme Value Index (regression method)
    1.42047
  • VaR(95%) (regression method)
    0.05173
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.06654
  • Quartile 1
    0.11043
  • Median
    0.15432
  • Quartile 3
    0.23761
  • Maximum
    0.32090
  • Mean of quarter 1
    0.06654
  • Mean of quarter 2
    0.15432
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.32090
  • Inter Quartile Range
    0.12718
  • 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)
    1.06394
  • Compounded annual return (geometric extrapolation)
    0.65579
  • Calmar ratio (compounded annual return / max draw down)
    2.04356
  • Compounded annual return / average of 25% largest draw downs
    2.04356
  • Compounded annual return / Expected Shortfall lognormal
    2.19029
  • 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
    1.06022
  • SD
    1.19861
  • Sharpe ratio (Glass type estimate)
    0.88453
  • Sharpe ratio (Hedges UMVUE)
    0.88359
  • df
    704.00000
  • t
    1.45097
  • p
    0.07362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31145
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07994
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31212
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07931
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.56328
  • Upside Potential Ratio
    6.39154
  • Upside part of mean
    2.64365
  • Downside part of mean
    -1.58343
  • Upside SD
    1.12599
  • Downside SD
    0.41362
  • N nonnegative terms
    384.00000
  • N negative terms
    321.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    705.00000
  • Mean of predictor
    0.29402
  • Mean of criterion
    1.06022
  • SD of predictor
    0.26739
  • SD of criterion
    1.19861
  • Covariance
    0.06498
  • r
    0.20273
  • b (slope, estimate of beta)
    0.90876
  • a (intercept, estimate of alpha)
    0.79300
  • Mean Square Error
    1.37959
  • DF error
    703.00000
  • t(b)
    5.48920
  • p(b)
    0.00000
  • t(a)
    1.10498
  • p(a)
    0.13477
  • Lowerbound of 95% confidence interval for beta
    0.58372
  • Upperbound of 95% confidence interval for beta
    1.23379
  • Lowerbound of 95% confidence interval for alpha
    -0.61603
  • Upperbound of 95% confidence interval for alpha
    2.20208
  • Treynor index (mean / b)
    1.16667
  • Jensen alpha (a)
    0.79302
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56519
  • SD
    0.93912
  • Sharpe ratio (Glass type estimate)
    0.60183
  • Sharpe ratio (Hedges UMVUE)
    0.60119
  • df
    704.00000
  • t
    0.98723
  • p
    0.16193
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59405
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79643
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00173
  • Upside Potential Ratio
    4.03486
  • Upside part of mean
    2.27652
  • Downside part of mean
    -1.71133
  • Upside SD
    0.75072
  • Downside SD
    0.56421
  • N nonnegative terms
    384.00000
  • N negative terms
    321.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    705.00000
  • Mean of predictor
    0.25778
  • Mean of criterion
    0.56519
  • SD of predictor
    0.26959
  • SD of criterion
    0.93912
  • Covariance
    0.06257
  • r
    0.24714
  • b (slope, estimate of beta)
    0.86092
  • a (intercept, estimate of alpha)
    0.34326
  • Mean Square Error
    0.82926
  • DF error
    703.00000
  • t(b)
    6.76240
  • p(b)
    -0.00000
  • t(a)
    0.61726
  • p(a)
    0.26863
  • Lowerbound of 95% confidence interval for beta
    0.61097
  • Upperbound of 95% confidence interval for beta
    1.11087
  • Lowerbound of 95% confidence interval for alpha
    -0.74857
  • Upperbound of 95% confidence interval for alpha
    1.43509
  • Treynor index (mean / b)
    0.65650
  • Jensen alpha (a)
    0.34326
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08906
  • Expected Shortfall on VaR
    0.11067
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01243
  • Expected Shortfall on VaR
    0.02951
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    705.00000
  • Minimum
    0.43026
  • Quartile 1
    0.99509
  • Median
    1.00056
  • Quartile 3
    1.00562
  • Maximum
    2.43820
  • Mean of quarter 1
    0.97753
  • Mean of quarter 2
    0.99865
  • Mean of quarter 3
    1.00252
  • Mean of quarter 4
    1.03806
  • Inter Quartile Range
    0.01053
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.06383
  • Mean of outliers low
    0.94180
  • Number of outliers high
    61.00000
  • Percentage of outliers high
    0.08652
  • Mean of outliers high
    1.08911
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70276
  • VaR(95%) (moments method)
    0.02043
  • Expected Shortfall (moments method)
    0.07465
  • Extreme Value Index (regression method)
    0.59100
  • VaR(95%) (regression method)
    0.01610
  • Expected Shortfall (regression method)
    0.04242
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00053
  • Quartile 1
    0.00266
  • Median
    0.01372
  • Quartile 3
    0.08052
  • Maximum
    0.76744
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.00675
  • Mean of quarter 3
    0.03581
  • Mean of quarter 4
    0.30467
  • Inter Quartile Range
    0.07786
  • 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
    0.05882
  • Mean of outliers high
    0.76744
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.60616
  • VaR(95%) (moments method)
    0.28932
  • Expected Shortfall (moments method)
    0.81708
  • Extreme Value Index (regression method)
    1.15400
  • VaR(95%) (regression method)
    0.40961
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.46160
  • Compounded annual return (geometric extrapolation)
    0.80959
  • Calmar ratio (compounded annual return / max draw down)
    1.05491
  • Compounded annual return / average of 25% largest draw downs
    2.65722
  • Compounded annual return / Expected Shortfall lognormal
    7.31517
  • 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
    5.01824
  • SD
    2.74586
  • Sharpe ratio (Glass type estimate)
    1.82757
  • Sharpe ratio (Hedges UMVUE)
    1.81700
  • df
    130.00000
  • t
    1.29228
  • p
    0.44369
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95652
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.60487
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96359
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59759
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.42975
  • Upside Potential Ratio
    10.67990
  • Upside part of mean
    9.87050
  • Downside part of mean
    -4.85226
  • Upside SD
    2.59310
  • Downside SD
    0.92421
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.90740
  • Mean of criterion
    5.01824
  • SD of predictor
    0.43018
  • SD of criterion
    2.74586
  • Covariance
    0.26833
  • r
    0.22716
  • b (slope, estimate of beta)
    1.44998
  • a (intercept, estimate of alpha)
    3.70253
  • Mean Square Error
    7.20611
  • DF error
    129.00000
  • t(b)
    2.64933
  • p(b)
    0.35664
  • t(a)
    0.96705
  • p(a)
    0.44606
  • Lowerbound of 95% confidence interval for beta
    0.36713
  • Upperbound of 95% confidence interval for beta
    2.53282
  • Lowerbound of 95% confidence interval for alpha
    -3.87262
  • Upperbound of 95% confidence interval for alpha
    11.27770
  • Treynor index (mean / b)
    3.46091
  • Jensen alpha (a)
    3.70253
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.43640
  • SD
    2.14356
  • Sharpe ratio (Glass type estimate)
    1.13661
  • Sharpe ratio (Hedges UMVUE)
    1.13004
  • df
    130.00000
  • t
    0.80371
  • p
    0.46484
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64081
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.90969
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64516
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90525
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90004
  • Upside Potential Ratio
    6.19465
  • Upside part of mean
    7.94332
  • Downside part of mean
    -5.50692
  • Upside SD
    1.71411
  • Downside SD
    1.28229
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.81418
  • Mean of criterion
    2.43640
  • SD of predictor
    0.43009
  • SD of criterion
    2.14356
  • Covariance
    0.25973
  • r
    0.28173
  • b (slope, estimate of beta)
    1.40412
  • a (intercept, estimate of alpha)
    1.29319
  • Mean Square Error
    4.26294
  • DF error
    129.00000
  • t(b)
    3.33488
  • p(b)
    0.32305
  • t(a)
    0.43987
  • p(a)
    0.47537
  • VAR (95 Confidence Intrvl)
    0.08900
  • Lowerbound of 95% confidence interval for beta
    0.57108
  • Upperbound of 95% confidence interval for beta
    2.23717
  • Lowerbound of 95% confidence interval for alpha
    -4.52360
  • Upperbound of 95% confidence interval for alpha
    7.10999
  • Treynor index (mean / b)
    1.73517
  • Jensen alpha (a)
    1.29319
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18822
  • Expected Shortfall on VaR
    0.23101
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03978
  • Expected Shortfall on VaR
    0.08970
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.43026
  • Quartile 1
    0.97804
  • Median
    1.00148
  • Quartile 3
    1.03052
  • Maximum
    2.43820
  • Mean of quarter 1
    0.93399
  • Mean of quarter 2
    0.99281
  • Mean of quarter 3
    1.01517
  • Mean of quarter 4
    1.13494
  • Inter Quartile Range
    0.05248
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.64459
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.50974
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39873
  • VaR(95%) (moments method)
    0.06348
  • Expected Shortfall (moments method)
    0.12022
  • Extreme Value Index (regression method)
    0.29416
  • VaR(95%) (regression method)
    0.05827
  • Expected Shortfall (regression method)
    0.09683
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02895
  • Quartile 1
    0.21358
  • Median
    0.39820
  • Quartile 3
    0.58282
  • Maximum
    0.76744
  • Mean of quarter 1
    0.02895
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.76744
  • Inter Quartile Range
    0.36924
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -443194000
  • Max Equity Drawdown (num days)
    517
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.85720
  • Compounded annual return (geometric extrapolation)
    10.75530
  • Calmar ratio (compounded annual return / max draw down)
    14.01450
  • Compounded annual return / average of 25% largest draw downs
    14.01450
  • Compounded annual return / Expected Shortfall lognormal
    46.55700

Strategy Description

Special situations - Stock trades made based on strong Options action, relative volume, etc. Goal is to attain high risk adjusted return.

Summary Statistics

Strategy began
2017-03-05
Suggested Minimum Capital
$15,000
# Trades
587
# Profitable
342
% Profitable
58.3%
Net Dividends
Correlation S&P500
0.223
Sharpe Ratio
0.44
Sortino Ratio
1.19
Beta
0.95
Alpha
0.08
Leverage
0.79 Average
8.79 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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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.