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favour etf
(123007535)

Created by: Martin_lu Martin_lu
Started: 03/2019
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following Sector: Technology

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 $188.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

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

Sector: Technology

Focuses primarily on stocks of technology companies.
72.4%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(14.6%)
Max Drawdown
81
Num Trades
54.3%
Win Trades
4.9 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019              +3.5%+0.4%(0.3%)+9.5%(1.6%)(2.7%)+10.9%+17.0%+5.0%+5.2%+55.5%
2020+2.9%+7.7%                                                            +10.8%

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 77 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/18/20 9:41 FCX FREEPORT-MCMORAN INC LONG 1,100 12.08 2/19 10:05 12.05 0.32%
Trade id #127572211
Max drawdown($218)
Time2/18/20 12:01
Quant open1,100
Worst price11.88
Drawdown as % of equity-0.32%
($34)
Includes Typical Broker Commissions trade costs of $5.00
2/12/20 9:51 KR KROGER LONG 700 28.70 2/19 10:05 29.06 0.63%
Trade id #127474963
Max drawdown($430)
Time2/14/20 0:00
Quant open700
Worst price28.08
Drawdown as % of equity-0.63%
$249
Includes Typical Broker Commissions trade costs of $9.50
2/11/20 12:30 CSCO CISCO SYSTEMS LONG 399 49.37 2/12 9:38 49.87 0.3%
Trade id #127460563
Max drawdown($203)
Time2/11/20 14:05
Quant open399
Worst price48.86
Drawdown as % of equity-0.30%
$190
Includes Typical Broker Commissions trade costs of $7.98
2/11/20 9:44 IVZ INVESCO LONG 700 18.77 2/11 11:06 18.83 0.01%
Trade id #127455538
Max drawdown($7)
Time2/11/20 9:45
Quant open700
Worst price18.76
Drawdown as % of equity-0.01%
$38
Includes Typical Broker Commissions trade costs of $5.00
1/28/20 9:52 LABU DIREXION DAILY S&P BIOTECH BULL LONG 200 49.97 2/10 9:36 56.70 1.66%
Trade id #127248924
Max drawdown($1,063)
Time1/31/20 0:00
Quant open200
Worst price44.65
Drawdown as % of equity-1.66%
$1,342
Includes Typical Broker Commissions trade costs of $4.00
1/17/20 13:31 TEVA TEVA PHARMACEUTICAL LONG 1,900 10.25 2/10 9:36 12.29 2.08%
Trade id #127075564
Max drawdown($1,345)
Time1/27/20 0:00
Quant open1,900
Worst price9.54
Drawdown as % of equity-2.08%
$3,866
Includes Typical Broker Commissions trade costs of $5.00
2/3/20 9:55 TGNA TEGNA INC LONG 600 17.15 2/4 11:11 17.25 0.01%
Trade id #127334891
Max drawdown($7)
Time2/3/20 9:56
Quant open600
Worst price17.14
Drawdown as % of equity-0.01%
$54
Includes Typical Broker Commissions trade costs of $5.00
1/28/20 9:51 NUGT DIREXION DAILY GOLD MINERS BUL SHORT 500 33.00 1/28 9:51 32.94 n/a $20
Includes Typical Broker Commissions trade costs of $10.00
1/23/20 9:47 NUGT DIREXION DAILY GOLD MINERS BUL LONG 500 32.92 1/28 9:51 33.00 0.84%
Trade id #127172866
Max drawdown($539)
Time1/23/20 14:04
Quant open500
Worst price31.84
Drawdown as % of equity-0.84%
$30
Includes Typical Broker Commissions trade costs of $10.00
1/21/20 9:30 FHN FIRST HORIZON NATIONAL LONG 1,600 17.25 1/23 9:47 17.04 0.8%
Trade id #127113635
Max drawdown($512)
Time1/22/20 0:00
Quant open1,600
Worst price16.93
Drawdown as % of equity-0.80%
($336)
Includes Typical Broker Commissions trade costs of $5.00
1/21/20 13:42 NUGT DIREXION DAILY GOLD MINERS BUL LONG 700 32.53 1/22 9:45 32.97 0.48%
Trade id #127129451
Max drawdown($305)
Time1/22/20 0:00
Quant open700
Worst price32.09
Drawdown as % of equity-0.48%
$306
Includes Typical Broker Commissions trade costs of $5.00
1/21/20 9:50 SCHW CHARLES SCHWAB LONG 200 48.36 1/21 13:20 48.39 0.02%
Trade id #127114518
Max drawdown($12)
Time1/21/20 9:53
Quant open200
Worst price48.30
Drawdown as % of equity-0.02%
$2
Includes Typical Broker Commissions trade costs of $4.00
1/17/20 13:22 FLR FLUOR LONG 1,000 20.62 1/21 9:30 20.22 0.33%
Trade id #127074792
Max drawdown($215)
Time1/17/20 15:37
Quant open1,000
Worst price20.40
Drawdown as % of equity-0.33%
($404)
Includes Typical Broker Commissions trade costs of $5.00
1/17/20 11:06 MO ALTRIA LONG 600 51.16 1/17 13:25 51.14 0.01%
Trade id #127065666
Max drawdown($9)
Time1/17/20 13:25
Quant open600
Worst price51.14
Drawdown as % of equity-0.01%
($17)
Includes Typical Broker Commissions trade costs of $8.50
1/16/20 12:11 CTSH COGNIZANT TECH SOLUTION SHORT 400 62.19 1/17 11:38 62.78 0.46%
Trade id #127044921
Max drawdown($296)
Time1/17/20 0:00
Quant open400
Worst price62.93
Drawdown as % of equity-0.46%
($245)
Includes Typical Broker Commissions trade costs of $8.00
1/15/20 9:31 BA BOEING SHORT 130 331.59 1/17 11:08 329.75 0.2%
Trade id #127007974
Max drawdown($128)
Time1/17/20 9:30
Quant open130
Worst price332.58
Drawdown as % of equity-0.20%
$236
Includes Typical Broker Commissions trade costs of $2.60
1/15/20 9:30 LABU DIREXION DAILY S&P BIOTECH BULL LONG 300 58.87 1/17 9:31 60.67 0.19%
Trade id #127007873
Max drawdown($122)
Time1/15/20 9:31
Quant open200
Worst price57.50
Drawdown as % of equity-0.19%
$535
Includes Typical Broker Commissions trade costs of $6.00
1/15/20 9:32 TOL TOLL BROTHERS LONG 400 42.92 1/17 9:31 44.79 0.03%
Trade id #127007994
Max drawdown($20)
Time1/15/20 9:38
Quant open400
Worst price42.87
Drawdown as % of equity-0.03%
$740
Includes Typical Broker Commissions trade costs of $8.00
1/15/20 9:40 ZNGA ZYNGA LONG 2,300 6.84 1/16 12:16 6.81 0.17%
Trade id #127008347
Max drawdown($106)
Time1/15/20 9:50
Quant open2,300
Worst price6.79
Drawdown as % of equity-0.17%
($58)
Includes Typical Broker Commissions trade costs of $5.00
1/10/20 9:32 SNAP SNAP INC LONG 1,600 17.41 1/16 9:37 18.11 0.32%
Trade id #126944351
Max drawdown($200)
Time1/10/20 9:41
Quant open1,600
Worst price17.28
Drawdown as % of equity-0.32%
$1,119
Includes Typical Broker Commissions trade costs of $7.50
1/13/20 9:45 FCX FREEPORT-MCMORAN INC LONG 2,300 13.00 1/15 9:30 13.09 0.02%
Trade id #126968152
Max drawdown($9)
Time1/13/20 9:46
Quant open2,300
Worst price12.99
Drawdown as % of equity-0.02%
$204
Includes Typical Broker Commissions trade costs of $5.00
1/8/20 11:59 JBLU JETBLUE AIRWAYS LONG 3,000 18.69 1/14 9:36 18.65 1.06%
Trade id #126916061
Max drawdown($665)
Time1/8/20 15:58
Quant open3,000
Worst price18.47
Drawdown as % of equity-1.06%
($132)
Includes Typical Broker Commissions trade costs of $7.50
1/8/20 9:33 LEN LENNAR LONG 1,000 58.50 1/8 11:58 58.39 0.32%
Trade id #126911824
Max drawdown($203)
Time1/8/20 9:34
Quant open1,000
Worst price58.30
Drawdown as % of equity-0.32%
($122)
Includes Typical Broker Commissions trade costs of $5.00
1/6/20 9:30 HAL HALLIBURTON LONG 2,500 24.91 1/7 10:27 24.92 2.72%
Trade id #126879862
Max drawdown($1,739)
Time1/7/20 0:00
Quant open2,500
Worst price24.21
Drawdown as % of equity-2.72%
$8
Includes Typical Broker Commissions trade costs of $5.00
12/30/19 9:34 FCX FREEPORT-MCMORAN INC LONG 2,000 13.06 1/2/20 9:41 13.39 0.45%
Trade id #126788323
Max drawdown($281)
Time12/31/19 0:00
Quant open2,000
Worst price12.92
Drawdown as % of equity-0.45%
$657
Includes Typical Broker Commissions trade costs of $7.50
12/27/19 9:39 BA BOEING SHORT 150 329.73 12/30 9:31 330.28 0.94%
Trade id #126766241
Max drawdown($588)
Time12/27/19 10:13
Quant open150
Worst price333.65
Drawdown as % of equity-0.94%
($86)
Includes Typical Broker Commissions trade costs of $3.00
12/24/19 11:32 TEVA TEVA PHARMACEUTICAL LONG 3,800 10.06 12/26 15:32 10.07 0.74%
Trade id #126736676
Max drawdown($467)
Time12/26/19 9:30
Quant open3,800
Worst price9.94
Drawdown as % of equity-0.74%
$23
Includes Typical Broker Commissions trade costs of $5.00
12/16/19 9:39 FLEX FLEX LTD LONG 3,300 12.20 12/19 10:04 12.72 0.27%
Trade id #126637909
Max drawdown($165)
Time12/16/19 10:01
Quant open3,300
Worst price12.15
Drawdown as % of equity-0.27%
$1,728
Includes Typical Broker Commissions trade costs of $5.00
12/9/19 9:32 CCL CARNIVAL LONG 1,400 45.00 12/12 11:34 46.77 0.28%
Trade id #126540967
Max drawdown($168)
Time12/10/19 0:00
Quant open1,400
Worst price44.88
Drawdown as % of equity-0.28%
$2,473
Includes Typical Broker Commissions trade costs of $5.00
12/2/19 10:18 JD JD.COM INC LONG 1,100 32.03 12/3 9:35 31.12 2.18%
Trade id #126440886
Max drawdown($1,306)
Time12/3/19 0:00
Quant open1,100
Worst price30.84
Drawdown as % of equity-2.18%
($1,004)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/21/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    337.68
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    81
  • # Profitable
    44
  • % Profitable
    54.30%
  • Avg trade duration
    5.9 days
  • Max peak-to-valley drawdown
    14.64%
  • drawdown period
    Sept 27, 2019 - Oct 09, 2019
  • Cumul. Return
    72.4%
  • Avg win
    $931.68
  • Avg loss
    $228.81
  • Model Account Values (Raw)
  • Cash
    $55,234
  • Margin Used
    $195
  • Buying Power
    $53,916
  • Ratios
  • W:L ratio
    4.90:1
  • Sharpe Ratio
    2.48
  • Sortino Ratio
    4.51
  • Calmar Ratio
    8.831
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    55.48%
  • Correlation to SP500
    0.35650
  • Return Percent SP500 (cumu) during strategy life
    17.06%
  • Return Statistics
  • Ann Return (w trading costs)
    79.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.02%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.724%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    87.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    7.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    888
  • Popularity (Last 6 weeks)
    980
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    985
  • Popularity (7 days, Percentile 1000 scale)
    945
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $259
  • Avg Win
    $932
  • Sum Trade PL (losers)
    $9,598.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $40,994.000
  • # Winners
    44
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    257
  • AUM
  • AUM (AutoTrader live capital)
    284877
  • Win / Loss
  • # Losers
    37
  • % Winners
    54.3%
  • Frequency
  • Avg Position Time (mins)
    8474.17
  • Avg Position Time (hrs)
    141.24
  • Avg Trade Length
    5.9 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.17
  • Daily leverage (max)
    3.22
  • Regression
  • Alpha
    0.14
  • Beta
    0.55
  • Treynor Index
    0.30
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    55.58
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    12.45
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.93
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.961
  • 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
    0.424
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.450
  • Hold-and-Hope Ratio
    1.031
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.80597
  • SD
    0.24680
  • Sharpe ratio (Glass type estimate)
    3.26561
  • Sharpe ratio (Hedges UMVUE)
    2.94788
  • df
    8.00000
  • t
    2.82810
  • p
    0.01111
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44293
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.95503
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.63271
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.32940
  • Upside Potential Ratio
    13.66590
  • Upside part of mean
    0.89333
  • Downside part of mean
    -0.08736
  • Upside SD
    0.32249
  • Downside SD
    0.06537
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.18160
  • Mean of criterion
    0.80597
  • SD of predictor
    0.08864
  • SD of criterion
    0.24680
  • Covariance
    0.01835
  • r
    0.83866
  • b (slope, estimate of beta)
    2.33524
  • a (intercept, estimate of alpha)
    0.38189
  • Mean Square Error
    0.02065
  • DF error
    7.00000
  • t(b)
    4.07392
  • p(b)
    0.00236
  • t(a)
    1.94960
  • p(a)
    0.04611
  • Lowerbound of 95% confidence interval for beta
    0.97979
  • Upperbound of 95% confidence interval for beta
    3.69068
  • Lowerbound of 95% confidence interval for alpha
    -0.08130
  • Upperbound of 95% confidence interval for alpha
    0.84509
  • Treynor index (mean / b)
    0.34513
  • Jensen alpha (a)
    0.38189
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75438
  • SD
    0.23273
  • Sharpe ratio (Glass type estimate)
    3.24144
  • Sharpe ratio (Hedges UMVUE)
    2.92606
  • df
    8.00000
  • t
    2.80717
  • p
    0.01147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42558
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.92435
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24696
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.60515
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.24990
  • Upside Potential Ratio
    12.58260
  • Upside part of mean
    0.84374
  • Downside part of mean
    -0.08937
  • Upside SD
    0.30178
  • Downside SD
    0.06706
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.17643
  • Mean of criterion
    0.75438
  • SD of predictor
    0.08743
  • SD of criterion
    0.23273
  • Covariance
    0.01725
  • r
    0.84767
  • b (slope, estimate of beta)
    2.25640
  • a (intercept, estimate of alpha)
    0.35627
  • Mean Square Error
    0.01742
  • DF error
    7.00000
  • t(b)
    4.22736
  • p(b)
    0.00195
  • t(a)
    1.98858
  • p(a)
    0.04354
  • Lowerbound of 95% confidence interval for beta
    0.99425
  • Upperbound of 95% confidence interval for beta
    3.51856
  • Lowerbound of 95% confidence interval for alpha
    -0.06737
  • Upperbound of 95% confidence interval for alpha
    0.77992
  • Treynor index (mean / b)
    0.33433
  • Jensen alpha (a)
    0.35627
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04652
  • Expected Shortfall on VaR
    0.07263
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00882
  • Expected Shortfall on VaR
    0.02229
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.94656
  • Quartile 1
    1.04918
  • Median
    1.08796
  • Quartile 3
    1.10022
  • Maximum
    1.19193
  • Mean of quarter 1
    0.99611
  • Mean of quarter 2
    1.06920
  • Mean of quarter 3
    1.09621
  • Mean of quarter 4
    1.15314
  • Inter Quartile Range
    0.05103
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.94656
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.19193
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.29923
  • VaR(95%) (regression method)
    0.08401
  • Expected Shortfall (regression method)
    0.09214
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00743
  • Quartile 1
    0.01893
  • Median
    0.03043
  • Quartile 3
    0.04193
  • Maximum
    0.05344
  • Mean of quarter 1
    0.00743
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05344
  • Inter Quartile Range
    0.02300
  • 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)
    1.06409
  • Compounded annual return (geometric extrapolation)
    1.18646
  • Calmar ratio (compounded annual return / max draw down)
    22.20330
  • Compounded annual return / average of 25% largest draw downs
    22.20330
  • Compounded annual return / Expected Shortfall lognormal
    16.33480
  • 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
    0.73056
  • SD
    0.20770
  • Sharpe ratio (Glass type estimate)
    3.51743
  • Sharpe ratio (Hedges UMVUE)
    3.50461
  • df
    206.00000
  • t
    3.12651
  • p
    0.00101
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.28231
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.74429
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27377
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.73545
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.44500
  • Upside Potential Ratio
    12.95270
  • Upside part of mean
    1.46824
  • Downside part of mean
    -0.73767
  • Upside SD
    0.17922
  • Downside SD
    0.11335
  • N nonnegative terms
    113.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    207.00000
  • Mean of predictor
    0.17972
  • Mean of criterion
    0.73056
  • SD of predictor
    0.13941
  • SD of criterion
    0.20770
  • Covariance
    0.01030
  • r
    0.35580
  • b (slope, estimate of beta)
    0.53007
  • a (intercept, estimate of alpha)
    0.63500
  • Mean Square Error
    0.03786
  • DF error
    205.00000
  • t(b)
    5.45097
  • p(b)
    0.00000
  • t(a)
    2.89292
  • p(a)
    0.00211
  • Lowerbound of 95% confidence interval for beta
    0.33835
  • Upperbound of 95% confidence interval for beta
    0.72180
  • Lowerbound of 95% confidence interval for alpha
    0.20233
  • Upperbound of 95% confidence interval for alpha
    1.06827
  • Treynor index (mean / b)
    1.37823
  • Jensen alpha (a)
    0.63530
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70821
  • SD
    0.20655
  • Sharpe ratio (Glass type estimate)
    3.42883
  • Sharpe ratio (Hedges UMVUE)
    3.41633
  • df
    206.00000
  • t
    3.04775
  • p
    0.00130
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.19507
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.65448
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18676
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.64589
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.15551
  • Upside Potential Ratio
    12.62340
  • Upside part of mean
    1.45236
  • Downside part of mean
    -0.74415
  • Upside SD
    0.17644
  • Downside SD
    0.11505
  • N nonnegative terms
    113.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    207.00000
  • Mean of predictor
    0.16988
  • Mean of criterion
    0.70821
  • SD of predictor
    0.14042
  • SD of criterion
    0.20655
  • Covariance
    0.01036
  • r
    0.35723
  • b (slope, estimate of beta)
    0.52545
  • a (intercept, estimate of alpha)
    0.61894
  • Mean Square Error
    0.03740
  • DF error
    205.00000
  • t(b)
    5.47600
  • p(b)
    0.00000
  • t(a)
    2.83689
  • p(a)
    0.00251
  • Lowerbound of 95% confidence interval for beta
    0.33626
  • Upperbound of 95% confidence interval for beta
    0.71464
  • Lowerbound of 95% confidence interval for alpha
    0.18879
  • Upperbound of 95% confidence interval for alpha
    1.04910
  • Treynor index (mean / b)
    1.34781
  • Jensen alpha (a)
    0.61894
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01812
  • Expected Shortfall on VaR
    0.02333
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00598
  • Expected Shortfall on VaR
    0.01283
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    207.00000
  • Minimum
    0.95045
  • Quartile 1
    0.99739
  • Median
    1.00088
  • Quartile 3
    1.00740
  • Maximum
    1.05114
  • Mean of quarter 1
    0.98967
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.00389
  • Mean of quarter 4
    1.01862
  • Inter Quartile Range
    0.01001
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.03382
  • Mean of outliers low
    0.96987
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.06280
  • Mean of outliers high
    1.03569
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31057
  • VaR(95%) (moments method)
    0.00875
  • Expected Shortfall (moments method)
    0.01577
  • Extreme Value Index (regression method)
    0.25622
  • VaR(95%) (regression method)
    0.00930
  • Expected Shortfall (regression method)
    0.01606
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00287
  • Median
    0.01078
  • Quartile 3
    0.01965
  • Maximum
    0.12318
  • Mean of quarter 1
    0.00187
  • Mean of quarter 2
    0.00732
  • Mean of quarter 3
    0.01525
  • Mean of quarter 4
    0.05448
  • Inter Quartile Range
    0.01678
  • 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
    0.08399
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43458
  • VaR(95%) (moments method)
    0.06026
  • Expected Shortfall (moments method)
    0.12127
  • Extreme Value Index (regression method)
    0.99718
  • VaR(95%) (regression method)
    0.07059
  • Expected Shortfall (regression method)
    21.25070
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.99848
  • Compounded annual return (geometric extrapolation)
    1.08780
  • Calmar ratio (compounded annual return / max draw down)
    8.83089
  • Compounded annual return / average of 25% largest draw downs
    19.96650
  • Compounded annual return / Expected Shortfall lognormal
    46.62640
  • 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
    0.89335
  • SD
    0.23388
  • Sharpe ratio (Glass type estimate)
    3.81968
  • Sharpe ratio (Hedges UMVUE)
    3.79760
  • df
    130.00000
  • t
    2.70092
  • p
    0.38475
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.00228
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.62289
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98762
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.60758
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.83281
  • Upside Potential Ratio
    12.77950
  • Upside part of mean
    1.67085
  • Downside part of mean
    -0.77749
  • Upside SD
    0.20059
  • Downside SD
    0.13075
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19324
  • Mean of criterion
    0.89335
  • SD of predictor
    0.14194
  • SD of criterion
    0.23388
  • Covariance
    0.01078
  • r
    0.32464
  • b (slope, estimate of beta)
    0.53495
  • a (intercept, estimate of alpha)
    0.78998
  • Mean Square Error
    0.04931
  • DF error
    129.00000
  • t(b)
    3.89840
  • p(b)
    0.29701
  • t(a)
    2.50652
  • p(a)
    0.36388
  • Lowerbound of 95% confidence interval for beta
    0.26345
  • Upperbound of 95% confidence interval for beta
    0.80644
  • Lowerbound of 95% confidence interval for alpha
    0.16641
  • Upperbound of 95% confidence interval for alpha
    1.41356
  • Treynor index (mean / b)
    1.66998
  • Jensen alpha (a)
    0.78998
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.86485
  • SD
    0.23270
  • Sharpe ratio (Glass type estimate)
    3.71658
  • Sharpe ratio (Hedges UMVUE)
    3.69509
  • df
    130.00000
  • t
    2.62802
  • p
    0.38770
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.90135
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.51799
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88713
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.50305
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.50508
  • Upside Potential Ratio
    12.41820
  • Upside part of mean
    1.65099
  • Downside part of mean
    -0.78615
  • Upside SD
    0.19727
  • Downside SD
    0.13295
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18302
  • Mean of criterion
    0.86485
  • SD of predictor
    0.14341
  • SD of criterion
    0.23270
  • Covariance
    0.01094
  • r
    0.32770
  • b (slope, estimate of beta)
    0.53174
  • a (intercept, estimate of alpha)
    0.76753
  • Mean Square Error
    0.04871
  • DF error
    129.00000
  • t(b)
    3.93953
  • p(b)
    0.29517
  • t(a)
    2.45143
  • p(a)
    0.36669
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.26469
  • Upperbound of 95% confidence interval for beta
    0.79879
  • Lowerbound of 95% confidence interval for alpha
    0.14807
  • Upperbound of 95% confidence interval for alpha
    1.38699
  • Treynor index (mean / b)
    1.62644
  • Jensen alpha (a)
    0.76753
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02014
  • Expected Shortfall on VaR
    0.02600
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00584
  • Expected Shortfall on VaR
    0.01306
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95045
  • Quartile 1
    0.99801
  • Median
    1.00113
  • Quartile 3
    1.00787
  • Maximum
    1.05114
  • Mean of quarter 1
    0.98861
  • Mean of quarter 2
    1.00005
  • Mean of quarter 3
    1.00440
  • Mean of quarter 4
    1.02102
  • Inter Quartile Range
    0.00986
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.96987
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.03613
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61970
  • VaR(95%) (moments method)
    0.00999
  • Expected Shortfall (moments method)
    0.03013
  • Extreme Value Index (regression method)
    0.36676
  • VaR(95%) (regression method)
    0.01165
  • Expected Shortfall (regression method)
    0.02386
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00466
  • Median
    0.01063
  • Quartile 3
    0.01647
  • Maximum
    0.12318
  • Mean of quarter 1
    0.00185
  • Mean of quarter 2
    0.00895
  • Mean of quarter 3
    0.01486
  • Mean of quarter 4
    0.05518
  • Inter Quartile Range
    0.01181
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.08958
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.03135
  • VaR(95%) (moments method)
    0.04597
  • Expected Shortfall (moments method)
    0.06515
  • Extreme Value Index (regression method)
    0.79699
  • VaR(95%) (regression method)
    0.10518
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.57770
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -234651000
  • Max Equity Drawdown (num days)
    12
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.12528
  • Compounded annual return (geometric extrapolation)
    1.44184
  • Calmar ratio (compounded annual return / max draw down)
    11.70500
  • Compounded annual return / average of 25% largest draw downs
    26.12990
  • Compounded annual return / Expected Shortfall lognormal
    55.46610

Strategy Description

Among the 200 stocks with the highest trading volume, select one or two stocks with the best trend, follow the trend, use normal margin, when the profit reaches a certain level, it will move the stop loss line above cost price, then let the profit fly until it tet to target profit line or the trend go against.

Summary Statistics

Strategy began
2019-03-21
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 1.5%
Rank # 
#10
# Trades
81
# Profitable
44
% Profitable
54.3%
Net Dividends
Correlation S&P500
0.356
Sharpe Ratio
2.48
Sortino Ratio
4.51
Beta
0.55
Alpha
0.14
Leverage
1.17 Average
3.22 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.