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AT Stock Trading
(123689650)

Created by: Andr3as Andr3as
Started: 05/2019
Stocks
Last trade: Today
Trading style: Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $125.00 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.
5.1%
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.

(21.0%)
Max Drawdown
51
Num Trades
31.4%
Win Trades
1.4 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                            (0.5%)+3.6%+1.7%(1.1%)(0.5%)+0.4%+2.5%+6.3%+12.7%
2020+4.9%(12.4%)                                                            (8.2%)

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 1 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/28/20 9:30 RSG REPUBLIC SERVICES LONG 185 90.10 2/28 10:29 87.25 n/a ($531)
Includes Typical Broker Commissions trade costs of $3.70
2/28/20 9:30 ETR ENTERGY LONG 133 119.75 2/28 9:46 115.22 n/a ($605)
Includes Typical Broker Commissions trade costs of $2.66
9/27/19 14:26 COO COOPER LONG 29 292.86 2/28/20 9:32 342.94 0.71%
Trade id #125538023
Max drawdown($365)
Time10/24/19 0:00
Quant open29
Worst price280.24
Drawdown as % of equity-0.71%
$1,453
Includes Typical Broker Commissions trade costs of $0.49
2/27/20 15:57 MDLZ MONDELEZ INTERNATIONAL LONG 62 54.50 2/28 9:30 52.66 0.01%
Trade id #127750347
Max drawdown($4)
Time2/27/20 16:00
Quant open62
Worst price54.42
Drawdown as % of equity-0.01%
($115)
Includes Typical Broker Commissions trade costs of $1.24
2/27/20 15:50 KO COCA-COLA LONG 343 55.25 2/28 9:30 53.49 0.23%
Trade id #127750170
Max drawdown($126)
Time2/27/20 16:00
Quant open343
Worst price54.88
Drawdown as % of equity-0.23%
($611)
Includes Typical Broker Commissions trade costs of $6.86
2/27/20 13:59 AEP AMERICAN ELECTRIC POWER LONG 200 94.50 2/28 9:30 90.03 0.98%
Trade id #127748121
Max drawdown($542)
Time2/27/20 15:58
Quant open200
Worst price91.79
Drawdown as % of equity-0.98%
($898)
Includes Typical Broker Commissions trade costs of $4.00
11/21/19 9:30 AMAT APPLIED MATERIALS LONG 143 56.00 2/28/20 9:30 59.06 0.29%
Trade id #126302371
Max drawdown($150)
Time12/3/19 0:00
Quant open143
Worst price54.95
Drawdown as % of equity-0.29%
$436
Includes Typical Broker Commissions trade costs of $1.91
12/12/19 12:04 O REALTY INCOME LONG 200 73.00 2/27/20 15:59 76.15 0.57%
Trade id #126600050
Max drawdown($311)
Time12/17/19 0:00
Quant open200
Worst price71.44
Drawdown as % of equity-0.57%
$626
Includes Typical Broker Commissions trade costs of $4.00
11/5/19 15:29 SYK STRYKER LONG 63 198.25 2/27/20 9:30 206.52 0.13%
Trade id #126082171
Max drawdown($68)
Time12/11/19 0:00
Quant open63
Worst price197.16
Drawdown as % of equity-0.13%
$520
Includes Typical Broker Commissions trade costs of $1.26
2/24/20 13:16 CTXS CITRIX SYSTEMS LONG 100 112.00 2/26 13:35 107.00 0.85%
Trade id #127682266
Max drawdown($496)
Time2/26/20 13:35
Quant open100
Worst price107.04
Drawdown as % of equity-0.85%
($502)
Includes Typical Broker Commissions trade costs of $2.00
1/31/20 13:20 EOG EOG RESOURCES LONG 69 72.75 2/26 12:02 65.50 0.82%
Trade id #127313842
Max drawdown($496)
Time2/25/20 0:00
Quant open69
Worst price65.55
Drawdown as % of equity-0.82%
($501)
Includes Typical Broker Commissions trade costs of $1.38
2/24/20 9:30 DIS WALT DISNEY LONG 80 132.53 2/26 9:30 126.12 0.88%
Trade id #127676241
Max drawdown($511)
Time2/26/20 9:30
Quant open80
Worst price126.14
Drawdown as % of equity-0.88%
($515)
Includes Typical Broker Commissions trade costs of $1.60
2/20/20 11:32 PPG PPG INDUSTRIES LONG 71 118.48 2/25 15:50 110.00 1.01%
Trade id #127620294
Max drawdown($592)
Time2/25/20 15:40
Quant open71
Worst price110.13
Drawdown as % of equity-1.01%
($603)
Includes Typical Broker Commissions trade costs of $1.42
10/3/19 9:30 AXP AMERICAN EXPRESS LONG 91 112.20 2/25/20 14:06 128.99 0.2%
Trade id #125610392
Max drawdown($103)
Time10/3/19 10:13
Quant open91
Worst price111.06
Drawdown as % of equity-0.20%
$1,526
Includes Typical Broker Commissions trade costs of $1.82
1/29/20 15:43 FANG DIAMONDBACK ENERGY INC LONG 71 77.74 2/24 13:02 70.72 0.8%
Trade id #127275363
Max drawdown($489)
Time2/24/20 13:02
Quant open71
Worst price70.85
Drawdown as % of equity-0.80%
($499)
Includes Typical Broker Commissions trade costs of $1.42
11/26/19 9:32 DLTR DOLLAR TREE STORES LONG 63 95.25 1/27/20 9:30 86.90 0.95%
Trade id #126368008
Max drawdown($570)
Time1/27/20 9:31
Quant open63
Worst price86.19
Drawdown as % of equity-0.95%
($527)
Includes Typical Broker Commissions trade costs of $1.26
10/3/19 9:39 GS GOLDMAN SACHS GROUP LONG 50 197.00 1/14/20 11:17 237.15 0.29%
Trade id #125611112
Max drawdown($150)
Time10/3/19 10:09
Quant open50
Worst price193.99
Drawdown as % of equity-0.29%
$2,007
Includes Typical Broker Commissions trade costs of $1.00
5/29/19 11:42 HLT HILTON WORLDWIDE HOLDINGS INC LONG 87 88.10 12/19 12:40 104.98 0.03%
Trade id #123861737
Max drawdown($16)
Time6/3/19 0:00
Quant open87
Worst price87.91
Drawdown as % of equity-0.03%
$1,466
Includes Typical Broker Commissions trade costs of $1.74
6/3/19 12:34 MCO MOODY'S LONG 36 181.70 12/19 11:37 222.56 0.14%
Trade id #123916076
Max drawdown($69)
Time6/3/19 15:33
Quant open36
Worst price179.76
Drawdown as % of equity-0.14%
$1,470
Includes Typical Broker Commissions trade costs of $0.72
9/18/19 14:00 FITB FIFTH THIRD BANCORP SHORT 175 28.16 12/12 10:01 31.00 0.93%
Trade id #125404738
Max drawdown($488)
Time12/12/19 10:00
Quant open175
Worst price30.95
Drawdown as % of equity-0.93%
($501)
Includes Typical Broker Commissions trade costs of $3.50
11/15/19 9:30 CNP CENTERPOINT ENERGY LONG 333 26.00 11/20 13:15 24.50 0.95%
Trade id #126224879
Max drawdown($496)
Time11/20/19 13:15
Quant open333
Worst price24.51
Drawdown as % of equity-0.95%
($507)
Includes Typical Broker Commissions trade costs of $6.66
10/22/19 13:57 AES AES SHORT 400 16.90 11/13 10:38 18.15 0.96%
Trade id #125901488
Max drawdown($496)
Time11/12/19 0:00
Quant open400
Worst price18.14
Drawdown as % of equity-0.96%
($508)
Includes Typical Broker Commissions trade costs of $8.00
10/24/19 9:57 MCD MCDONALD'S LONG 71 198.00 11/4 9:30 190.16 1.08%
Trade id #125933645
Max drawdown($557)
Time11/4/19 9:30
Quant open71
Worst price190.15
Drawdown as % of equity-1.08%
($558)
Includes Typical Broker Commissions trade costs of $1.42
10/10/19 9:48 MO ALTRIA SHORT 167 43.00 10/22 11:19 46.00 0.95%
Trade id #125717837
Max drawdown($496)
Time10/22/19 11:19
Quant open167
Worst price45.98
Drawdown as % of equity-0.95%
($504)
Includes Typical Broker Commissions trade costs of $3.34
10/7/19 11:53 PKG PACKAGING CORP OF AMERICA SHORT 78 104.25 10/10 11:20 106.16 0.29%
Trade id #125662252
Max drawdown($148)
Time10/10/19 11:20
Quant open78
Worst price106.15
Drawdown as % of equity-0.29%
($151)
Includes Typical Broker Commissions trade costs of $1.56
9/20/19 12:18 AAP ADVANCE AUTO PARTS SHORT 50 156.00 10/1 9:31 166.05 0.97%
Trade id #125438179
Max drawdown($498)
Time9/30/19 0:00
Quant open50
Worst price165.97
Drawdown as % of equity-0.97%
($504)
Includes Typical Broker Commissions trade costs of $1.00
5/16/19 10:20 ABBV ABBVIE INC SHORT 54 80.30 9/18 9:31 70.38 0.16%
Trade id #123695043
Max drawdown($78)
Time5/22/19 0:00
Quant open54
Worst price81.75
Drawdown as % of equity-0.16%
$535
Includes Typical Broker Commissions trade costs of $1.08
7/11/19 12:51 HFC HOLLYFRONTIER SHORT 50 47.50 8/1 10:32 52.51 0.48%
Trade id #124422310
Max drawdown($251)
Time8/1/19 10:32
Quant open50
Worst price52.51
Drawdown as % of equity-0.48%
($252)
Includes Typical Broker Commissions trade costs of $1.00
5/20/19 14:54 DRE DUKE REALTY LONG 238 30.29 7/19 10:15 33.51 0.29%
Trade id #123741988
Max drawdown($145)
Time5/20/19 14:54
Quant open238
Worst price29.68
Drawdown as % of equity-0.29%
$761
Includes Typical Broker Commissions trade costs of $4.76
5/29/19 9:30 MAA MID-AMERICA LONG 115 112.10 7/19 10:15 120.88 0.03%
Trade id #123858282
Max drawdown($14)
Time5/29/19 9:30
Quant open115
Worst price111.97
Drawdown as % of equity-0.03%
$1,008
Includes Typical Broker Commissions trade costs of $2.30

Statistics

  • Strategy began
    5/16/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    288.58
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    51
  • # Profitable
    16
  • % Profitable
    31.40%
  • Avg trade duration
    44.5 days
  • Max peak-to-valley drawdown
    20.96%
  • drawdown period
    Feb 20, 2020 - Feb 28, 2020
  • Cumul. Return
    5.1%
  • Avg win
    $959.19
  • Avg loss
    $347.09
  • Model Account Values (Raw)
  • Cash
    $17,898
  • Margin Used
    $20,928
  • Buying Power
    ($674)
  • Ratios
  • W:L ratio
    1.35:1
  • Sharpe Ratio
    0.67
  • Sortino Ratio
    0.84
  • Calmar Ratio
    0.831
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    2.70%
  • Correlation to SP500
    0.55180
  • Return Percent SP500 (cumu) during strategy life
    2.36%
  • Return Statistics
  • Ann Return (w trading costs)
    6.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.27%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.051%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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)
    565
  • Popularity (Last 6 weeks)
    957
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    237
  • Popularity (7 days, Percentile 1000 scale)
    896
  • 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
    $347
  • Avg Win
    $1,019
  • Sum Trade PL (losers)
    $12,488.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $15,282.000
  • # Winners
    15
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    300
  • Win / Loss
  • # Losers
    36
  • % Winners
    29.4%
  • Frequency
  • Avg Position Time (mins)
    64111.20
  • Avg Position Time (hrs)
    1068.52
  • Avg Trade Length
    44.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.99
  • Daily leverage (max)
    1.87
  • Regression
  • Alpha
    0.02
  • Beta
    0.46
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    13.84
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    22.11
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.01
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.823
  • 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
    0.140
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.977
  • Hold-and-Hope Ratio
    0.388
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33566
  • SD
    0.13891
  • Sharpe ratio (Glass type estimate)
    2.41647
  • Sharpe ratio (Hedges UMVUE)
    2.14632
  • df
    7.00000
  • t
    1.97304
  • p
    0.04455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.05290
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50438
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.79702
  • Statistics related to Sortino ratio
  • Sortino ratio
    215.15200
  • Upside Potential Ratio
    216.37600
  • Upside part of mean
    0.33757
  • Downside part of mean
    -0.00191
  • Upside SD
    0.16208
  • Downside SD
    0.00156
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.21983
  • Mean of criterion
    0.33566
  • SD of predictor
    0.09053
  • SD of criterion
    0.13891
  • Covariance
    0.00666
  • r
    0.52927
  • b (slope, estimate of beta)
    0.81206
  • a (intercept, estimate of alpha)
    0.15715
  • Mean Square Error
    0.01620
  • DF error
    6.00000
  • t(b)
    1.52799
  • p(b)
    0.08869
  • t(a)
    0.80661
  • p(a)
    0.22534
  • Lowerbound of 95% confidence interval for beta
    -0.48838
  • Upperbound of 95% confidence interval for beta
    2.11249
  • Lowerbound of 95% confidence interval for alpha
    -0.31957
  • Upperbound of 95% confidence interval for alpha
    0.63387
  • Treynor index (mean / b)
    0.41335
  • Jensen alpha (a)
    0.15715
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32259
  • SD
    0.13165
  • Sharpe ratio (Glass type estimate)
    2.45026
  • Sharpe ratio (Hedges UMVUE)
    2.17633
  • df
    7.00000
  • t
    2.00063
  • p
    0.04277
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32670
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09427
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48108
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.83373
  • Statistics related to Sortino ratio
  • Sortino ratio
    207.12300
  • Upside Potential Ratio
    208.34800
  • Upside part of mean
    0.32450
  • Downside part of mean
    -0.00191
  • Upside SD
    0.15439
  • Downside SD
    0.00156
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.21390
  • Mean of criterion
    0.32259
  • SD of predictor
    0.08872
  • SD of criterion
    0.13165
  • Covariance
    0.00622
  • r
    0.53220
  • b (slope, estimate of beta)
    0.78976
  • a (intercept, estimate of alpha)
    0.15366
  • Mean Square Error
    0.01449
  • DF error
    6.00000
  • t(b)
    1.53978
  • p(b)
    0.08727
  • t(a)
    0.83609
  • p(a)
    0.21756
  • Lowerbound of 95% confidence interval for beta
    -0.46529
  • Upperbound of 95% confidence interval for beta
    2.04481
  • Lowerbound of 95% confidence interval for alpha
    -0.29605
  • Upperbound of 95% confidence interval for alpha
    0.60338
  • Treynor index (mean / b)
    0.40846
  • Jensen alpha (a)
    0.15366
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03500
  • Expected Shortfall on VaR
    0.05011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00010
  • Expected Shortfall on VaR
    0.00034
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    1.00105
  • Quartile 1
    1.00469
  • Median
    1.01030
  • Quartile 3
    1.04155
  • Maximum
    1.11610
  • Mean of quarter 1
    1.00282
  • Mean of quarter 2
    1.00595
  • Mean of quarter 3
    1.02442
  • Mean of quarter 4
    1.08801
  • Inter Quartile Range
    0.03686
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.11610
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39483
  • Compounded annual return (geometric extrapolation)
    0.41977
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.37636
  • 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
    0.10722
  • SD
    0.12584
  • Sharpe ratio (Glass type estimate)
    0.85206
  • Sharpe ratio (Hedges UMVUE)
    0.84862
  • df
    186.00000
  • t
    0.71984
  • p
    0.47365
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17252
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47293
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17016
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04814
  • Upside Potential Ratio
    6.59651
  • Upside part of mean
    0.67480
  • Downside part of mean
    -0.56758
  • Upside SD
    0.07301
  • Downside SD
    0.10230
  • N nonnegative terms
    108.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    187.00000
  • Mean of predictor
    -0.00478
  • Mean of criterion
    0.10722
  • SD of predictor
    0.14985
  • SD of criterion
    0.12584
  • Covariance
    0.01161
  • r
    0.61592
  • b (slope, estimate of beta)
    0.51722
  • a (intercept, estimate of alpha)
    0.11000
  • Mean Square Error
    0.00988
  • DF error
    185.00000
  • t(b)
    10.63370
  • p(b)
    0.13433
  • t(a)
    0.93229
  • p(a)
    0.45650
  • Lowerbound of 95% confidence interval for beta
    0.42126
  • Upperbound of 95% confidence interval for beta
    0.61318
  • Lowerbound of 95% confidence interval for alpha
    -0.12244
  • Upperbound of 95% confidence interval for alpha
    0.34183
  • Treynor index (mean / b)
    0.20730
  • Jensen alpha (a)
    0.10970
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09922
  • SD
    0.12701
  • Sharpe ratio (Glass type estimate)
    0.78119
  • Sharpe ratio (Hedges UMVUE)
    0.77804
  • df
    186.00000
  • t
    0.65998
  • p
    0.47583
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54113
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10148
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54325
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09933
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95434
  • Upside Potential Ratio
    6.46448
  • Upside part of mean
    0.67209
  • Downside part of mean
    -0.57287
  • Upside SD
    0.07262
  • Downside SD
    0.10397
  • N nonnegative terms
    108.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    187.00000
  • Mean of predictor
    -0.01602
  • Mean of criterion
    0.09922
  • SD of predictor
    0.15061
  • SD of criterion
    0.12701
  • Covariance
    0.01184
  • r
    0.61870
  • b (slope, estimate of beta)
    0.52174
  • a (intercept, estimate of alpha)
    0.10758
  • Mean Square Error
    0.01001
  • DF error
    185.00000
  • t(b)
    10.71150
  • p(b)
    0.13294
  • t(a)
    0.90837
  • p(a)
    0.45761
  • Lowerbound of 95% confidence interval for beta
    0.42564
  • Upperbound of 95% confidence interval for beta
    0.61784
  • Lowerbound of 95% confidence interval for alpha
    -0.12607
  • Upperbound of 95% confidence interval for alpha
    0.34123
  • Treynor index (mean / b)
    0.19017
  • Jensen alpha (a)
    0.10758
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01245
  • Expected Shortfall on VaR
    0.01568
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00431
  • Expected Shortfall on VaR
    0.00977
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    187.00000
  • Minimum
    0.95061
  • Quartile 1
    0.99862
  • Median
    1.00095
  • Quartile 3
    1.00400
  • Maximum
    1.01753
  • Mean of quarter 1
    0.99195
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00223
  • Mean of quarter 4
    1.00812
  • Inter Quartile Range
    0.00538
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.97845
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.03743
  • Mean of outliers high
    1.01464
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54497
  • VaR(95%) (moments method)
    0.00623
  • Expected Shortfall (moments method)
    0.01616
  • Extreme Value Index (regression method)
    0.53275
  • VaR(95%) (regression method)
    0.00701
  • Expected Shortfall (regression method)
    0.01808
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00148
  • Median
    0.01002
  • Quartile 3
    0.01309
  • Maximum
    0.16314
  • Mean of quarter 1
    0.00067
  • Mean of quarter 2
    0.00630
  • Mean of quarter 3
    0.01086
  • Mean of quarter 4
    0.05886
  • Inter Quartile Range
    0.01161
  • 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
    0.11765
  • Mean of outliers high
    0.09929
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.89041
  • VaR(95%) (moments method)
    0.05850
  • Expected Shortfall (moments method)
    0.55160
  • Extreme Value Index (regression method)
    2.01312
  • VaR(95%) (regression method)
    0.08956
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13307
  • Compounded annual return (geometric extrapolation)
    0.13556
  • Calmar ratio (compounded annual return / max draw down)
    0.83092
  • Compounded annual return / average of 25% largest draw downs
    2.30296
  • Compounded annual return / Expected Shortfall lognormal
    8.64635
  • 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
    0.07723
  • SD
    0.14466
  • Sharpe ratio (Glass type estimate)
    0.53390
  • Sharpe ratio (Hedges UMVUE)
    0.53081
  • df
    130.00000
  • t
    0.37752
  • p
    0.48345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.23964
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30550
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24175
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30337
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64645
  • Upside Potential Ratio
    6.34304
  • Upside part of mean
    0.75784
  • Downside part of mean
    -0.68060
  • Upside SD
    0.08072
  • Downside SD
    0.11947
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00372
  • Mean of criterion
    0.07723
  • SD of predictor
    0.15842
  • SD of criterion
    0.14466
  • Covariance
    0.01541
  • r
    0.67235
  • b (slope, estimate of beta)
    0.61396
  • a (intercept, estimate of alpha)
    0.07952
  • Mean Square Error
    0.01156
  • DF error
    129.00000
  • t(b)
    10.31610
  • p(b)
    0.10687
  • t(a)
    0.52304
  • p(a)
    0.47072
  • Lowerbound of 95% confidence interval for beta
    0.49621
  • Upperbound of 95% confidence interval for beta
    0.73171
  • Lowerbound of 95% confidence interval for alpha
    -0.22127
  • Upperbound of 95% confidence interval for alpha
    0.38031
  • Treynor index (mean / b)
    0.12580
  • Jensen alpha (a)
    0.07952
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06670
  • SD
    0.14612
  • Sharpe ratio (Glass type estimate)
    0.45645
  • Sharpe ratio (Hedges UMVUE)
    0.45381
  • df
    130.00000
  • t
    0.32276
  • p
    0.48585
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31676
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22797
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31855
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22616
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54895
  • Upside Potential Ratio
    6.21026
  • Upside part of mean
    0.75452
  • Downside part of mean
    -0.68783
  • Upside SD
    0.08027
  • Downside SD
    0.12150
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01626
  • Mean of criterion
    0.06670
  • SD of predictor
    0.15933
  • SD of criterion
    0.14612
  • Covariance
    0.01572
  • r
    0.67517
  • b (slope, estimate of beta)
    0.61919
  • a (intercept, estimate of alpha)
    0.07676
  • Mean Square Error
    0.01171
  • DF error
    129.00000
  • t(b)
    10.39550
  • p(b)
    0.10554
  • t(a)
    0.50165
  • p(a)
    0.47192
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    0.50135
  • Upperbound of 95% confidence interval for beta
    0.73704
  • Lowerbound of 95% confidence interval for alpha
    -0.22600
  • Upperbound of 95% confidence interval for alpha
    0.37953
  • Treynor index (mean / b)
    0.10771
  • Jensen alpha (a)
    0.07676
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01449
  • Expected Shortfall on VaR
    0.01819
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00502
  • Expected Shortfall on VaR
    0.01139
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95061
  • Quartile 1
    0.99871
  • Median
    1.00107
  • Quartile 3
    1.00454
  • Maximum
    1.01753
  • Mean of quarter 1
    0.99028
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00256
  • Mean of quarter 4
    1.00902
  • Inter Quartile Range
    0.00583
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97728
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01553
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44565
  • VaR(95%) (moments method)
    0.00620
  • Expected Shortfall (moments method)
    0.01391
  • Extreme Value Index (regression method)
    0.48670
  • VaR(95%) (regression method)
    0.00962
  • Expected Shortfall (regression method)
    0.02409
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00335
  • Median
    0.00984
  • Quartile 3
    0.01649
  • Maximum
    0.16314
  • Mean of quarter 1
    0.00099
  • Mean of quarter 2
    0.00670
  • Mean of quarter 3
    0.01210
  • Mean of quarter 4
    0.07364
  • Inter Quartile Range
    0.01315
  • 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
    0.08333
  • Mean of outliers high
    0.16314
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43828
  • VaR(95%) (moments method)
    0.06572
  • Expected Shortfall (moments method)
    0.14827
  • Extreme Value Index (regression method)
    2.28628
  • VaR(95%) (regression method)
    0.16738
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -293251000
  • Max Equity Drawdown (num days)
    8
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09688
  • Compounded annual return (geometric extrapolation)
    0.09922
  • Calmar ratio (compounded annual return / max draw down)
    0.60818
  • Compounded annual return / average of 25% largest draw downs
    1.34746
  • Compounded annual return / Expected Shortfall lognormal
    5.45388

Strategy Description

Trading the S&P500, NDX and DJI constituents based on multi time frame trend analysis.

Please beware that this is a long term trading strategy. You will receive trade signals weeks, even months ahead of time. I do not send out "At Market" trades where the strategy entered a trade and send out a signal afterwards.

That means you have plenty of time to even trade this manually.

Summary Statistics

Strategy began
2019-05-16
Suggested Minimum Capital
$15,000
# Trades
51
# Profitable
16
% Profitable
31.4%
Net Dividends
Correlation S&P500
0.552
Sharpe Ratio
0.67
Sortino Ratio
0.84
Beta
0.46
Alpha
0.02
Leverage
0.99 Average
1.87 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.