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12mth QtrWrp
(125291739)

Created by: CodiceMea CodiceMea
Started: 09/2019
Stocks
Last trade: 198 days ago
Trading style: Equity Non-hedged 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 $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
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.
-20.3%
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.

(53.7%)
Max Drawdown
45
Num Trades
37.8%
Win Trades
1.1 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        +1.6%(2%)(7.4%)(5.3%)(12.7%)
2020+51.1%(13.3%)(32%)+7.2%+0.4%+1.8%(1.2%)+14.5%+7.2%                  +18.4%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/18/20 11:21 I LONG 8,000 3.51 3/12 10:49 2.02 30.9%
Trade id #127575258
Max drawdown($12,880)
Time3/12/20 9:51
Quant open8,000
Worst price1.90
Drawdown as % of equity-30.90%
($11,925)
Includes Typical Broker Commissions trade costs of $5.00
2/19/20 12:38 VIVE VIVEVE MEDICAL INC. COMMON STOCK LONG 10,000 1.86 2/27 10:42 1.07 13.05%
Trade id #127601362
Max drawdown($7,925)
Time2/27/20 9:36
Quant open10,000
Worst price1.07
Drawdown as % of equity-13.05%
($7,905)
Includes Typical Broker Commissions trade costs of $5.00
2/11/20 11:35 GPOR GULFPORT ENERGY CORP LONG 15,000 1.14 2/19 12:26 1.24 1.9%
Trade id #127458431
Max drawdown($1,200)
Time2/11/20 15:23
Quant open15,000
Worst price1.06
Drawdown as % of equity-1.90%
$1,495
Includes Typical Broker Commissions trade costs of $5.00
2/12/20 15:58 FTK FLOTEK INDUSTRIES LONG 500 1.91 2/18 11:19 1.80 0.1%
Trade id #127482957
Max drawdown($60)
Time2/18/20 9:31
Quant open500
Worst price1.79
Drawdown as % of equity-0.10%
($65)
Includes Typical Broker Commissions trade costs of $10.00
1/17/20 10:47 OCGN OCUGEN INC LONG 12,000 0.81 2/12 15:35 0.57 5.65%
Trade id #127065067
Max drawdown($3,660)
Time1/31/20 0:00
Quant open12,000
Worst price0.50
Drawdown as % of equity-5.65%
($2,860)
Includes Typical Broker Commissions trade costs of $5.00
2/3/20 15:59 ASLN ASLAN PHARMACEUTICALS LIMITED AMERICAN DEPOSITARY LONG 10,000 2.15 2/11 11:35 2.11 1.25%
Trade id #127342771
Max drawdown($800)
Time2/5/20 0:00
Quant open10,000
Worst price2.07
Drawdown as % of equity-1.25%
($405)
Includes Typical Broker Commissions trade costs of $5.00
12/23/19 12:39 TORC RESTORBIO INC. COMMON STOCK LONG 32,500 1.47 2/4/20 10:50 1.36 5.5%
Trade id #126727161
Max drawdown($3,668)
Time1/30/20 0:00
Quant open15,500
Worst price1.26
Drawdown as % of equity-5.50%
($3,443)
Includes Typical Broker Commissions trade costs of $12.50
1/22/20 9:30 NSPR INSPIREMD INC. LONG 10,000 1.38 2/3 15:59 1.00 5.85%
Trade id #127140821
Max drawdown($3,800)
Time2/3/20 15:33
Quant open10,000
Worst price1.00
Drawdown as % of equity-5.85%
($3,805)
Includes Typical Broker Commissions trade costs of $5.00
1/28/20 15:49 TRXC TRANSENTERIX INC. LONG 10,000 1.35 2/3 15:58 1.26 1.37%
Trade id #127257793
Max drawdown($900)
Time2/3/20 12:08
Quant open10,000
Worst price1.26
Drawdown as % of equity-1.37%
($905)
Includes Typical Broker Commissions trade costs of $5.00
1/16/20 14:36 ALNA ALLENA PHARMACEUTICALS INC. COMMON STOCK LONG 10,000 2.79 1/28 15:48 2.38 5.66%
Trade id #127049738
Max drawdown($3,950)
Time1/27/20 0:00
Quant open5,000
Worst price2.00
Drawdown as % of equity-5.66%
($4,058)
Includes Typical Broker Commissions trade costs of $7.50
12/18/19 11:58 TOPS TOP SHIPS INC. COMMON STOCK LONG 20,000 0.92 1/27/20 15:57 0.79 3.79%
Trade id #126672368
Max drawdown($2,647)
Time1/27/20 9:48
Quant open10,000
Worst price0.66
Drawdown as % of equity-3.79%
($2,698)
Includes Typical Broker Commissions trade costs of $10.00
1/3/20 15:18 AEMD AETHLON MEDICAL INC. COMMON STOCK LONG 20,000 1.15 1/16 14:36 2.98 6.2%
Trade id #126862171
Max drawdown($2,798)
Time1/6/20 0:00
Quant open20,000
Worst price1.01
Drawdown as % of equity-6.20%
$36,543
Includes Typical Broker Commissions trade costs of $7.50
12/23/19 12:39 RMBL RUMBLEON INC. CLASS B COMMON STOCK LONG 10,000 1.00 1/3/20 15:17 0.83 4.49%
Trade id #126727157
Max drawdown($1,968)
Time1/3/20 13:31
Quant open10,000
Worst price0.80
Drawdown as % of equity-4.49%
($1,655)
Includes Typical Broker Commissions trade costs of $5.00
11/22/19 12:25 MDR MCDERMOTT INTERNATIONAL LONG 20,000 0.84 1/3/20 15:16 0.65 10.07%
Trade id #126329778
Max drawdown($6,143)
Time12/30/19 0:00
Quant open20,000
Worst price0.53
Drawdown as % of equity-10.07%
($3,655)
Includes Typical Broker Commissions trade costs of $7.50
12/10/19 10:23 FTSI FTS INTERNATIONAL INC LONG 20,000 1.19 12/23 12:39 1.16 8.83%
Trade id #126560057
Max drawdown($4,192)
Time12/16/19 0:00
Quant open20,000
Worst price0.98
Drawdown as % of equity-8.83%
($605)
Includes Typical Broker Commissions trade costs of $5.00
12/4/19 14:42 CLXT CALYXT INC. COMMON STOCK LONG 2,000 4.61 12/10 10:22 5.56 0.17%
Trade id #126486426
Max drawdown($80)
Time12/4/19 15:01
Quant open2,000
Worst price4.57
Drawdown as % of equity-0.17%
$1,895
Includes Typical Broker Commissions trade costs of $5.00
11/29/19 13:09 SCOR COMSCORE INC. COMMON STOCK LONG 2,000 4.19 12/10 10:22 4.68 1.28%
Trade id #126422946
Max drawdown($600)
Time12/4/19 0:00
Quant open2,000
Worst price3.89
Drawdown as % of equity-1.28%
$975
Includes Typical Broker Commissions trade costs of $5.00
11/26/19 9:33 UNFI UNITED NATURAL FOODS LONG 1,500 8.95 12/10 10:22 9.81 0.81%
Trade id #126368016
Max drawdown($360)
Time11/26/19 15:32
Quant open1,500
Worst price8.71
Drawdown as % of equity-0.81%
$1,285
Includes Typical Broker Commissions trade costs of $5.00
9/12/19 9:30 CLUB TOWN SPORTS INTL HLDGS LONG 6,500 1.68 11/29 12:38 1.53 3.27%
Trade id #125325919
Max drawdown($1,515)
Time11/26/19 0:00
Quant open6,500
Worst price1.45
Drawdown as % of equity-3.27%
($1,015)
Includes Typical Broker Commissions trade costs of $20.00
11/13/19 15:19 SCOR COMSCORE INC. COMMON STOCK LONG 5,000 3.94 11/25 15:54 4.03 1.72%
Trade id #126198437
Max drawdown($825)
Time11/14/19 0:00
Quant open2,500
Worst price3.64
Drawdown as % of equity-1.72%
$468
Includes Typical Broker Commissions trade costs of $7.50
11/22/19 12:23 MARA MARATHON PATENT GROUP INC. CO LONG 7,500 1.09 11/25 15:21 1.32 1.36%
Trade id #126329681
Max drawdown($619)
Time11/25/19 10:05
Quant open7,500
Worst price1.01
Drawdown as % of equity-1.36%
$1,720
Includes Typical Broker Commissions trade costs of $5.00
11/13/19 15:20 DVAX DYNAVAX TECHNOLOGIES CORPORATI LONG 1,200 5.86 11/22 12:25 5.52 2.09%
Trade id #126198502
Max drawdown($942)
Time11/21/19 0:00
Quant open1,200
Worst price5.08
Drawdown as % of equity-2.09%
($413)
Includes Typical Broker Commissions trade costs of $5.00
11/7/19 10:27 TEN TENNECO LONG 500 15.65 11/22 12:25 11.43 4.88%
Trade id #126111718
Max drawdown($2,195)
Time11/22/19 11:04
Quant open500
Worst price11.26
Drawdown as % of equity-4.88%
($2,120)
Includes Typical Broker Commissions trade costs of $10.00
11/7/19 12:21 GT THE GOODYEAR TIRE & RUBBER COM LONG 300 17.12 11/22 12:23 16.02 0.99%
Trade id #126115794
Max drawdown($447)
Time11/21/19 0:00
Quant open300
Worst price15.63
Drawdown as % of equity-0.99%
($336)
Includes Typical Broker Commissions trade costs of $6.00
11/13/19 15:21 CENX CENTURY ALUMINUM LONG 600 7.33 11/22 12:22 6.98 0.59%
Trade id #126198525
Max drawdown($276)
Time11/18/19 0:00
Quant open600
Worst price6.87
Drawdown as % of equity-0.59%
($215)
Includes Typical Broker Commissions trade costs of $5.00
11/19/19 10:15 XYF X FINANCIAL LONG 2,000 2.01 11/22 12:22 1.72 1.6%
Trade id #126268868
Max drawdown($720)
Time11/21/19 0:00
Quant open2,000
Worst price1.65
Drawdown as % of equity-1.60%
($585)
Includes Typical Broker Commissions trade costs of $5.00
9/10/19 11:43 BCEI BONANZA CREEK ENERGY LONG 175 24.94 11/22 12:22 18.20 2.51%
Trade id #125291759
Max drawdown($1,291)
Time10/31/19 0:00
Quant open175
Worst price17.56
Drawdown as % of equity-2.51%
($1,183)
Includes Typical Broker Commissions trade costs of $3.50
9/10/19 11:48 X UNITED STATES STEEL LONG 300 12.49 11/22 12:22 13.56 1.6%
Trade id #125292276
Max drawdown($768)
Time10/9/19 0:00
Quant open300
Worst price9.93
Drawdown as % of equity-1.60%
$315
Includes Typical Broker Commissions trade costs of $6.00
11/13/19 15:33 QRTEA LIBERTY INTERACTIVE QVC GROUP SER A LONG 1,000 10.36 11/19 10:14 9.80 1.36%
Trade id #126198819
Max drawdown($630)
Time11/19/19 10:07
Quant open1,000
Worst price9.73
Drawdown as % of equity-1.36%
($565)
Includes Typical Broker Commissions trade costs of $5.00
11/7/19 12:20 ADS ALLIANCE DATA SYSTEMS LONG 100 106.29 11/19 10:13 103.38 0.73%
Trade id #126115774
Max drawdown($345)
Time11/15/19 0:00
Quant open100
Worst price102.84
Drawdown as % of equity-0.73%
($293)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    9/10/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    375.77
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    45
  • # Profitable
    17
  • % Profitable
    37.80%
  • Avg trade duration
    33.5 days
  • Max peak-to-valley drawdown
    53.68%
  • drawdown period
    Jan 16, 2020 - March 16, 2020
  • Cumul. Return
    -15.4%
  • Avg win
    $3,442
  • Avg loss
    $1,988
  • Model Account Values (Raw)
  • Cash
    $28,641
  • Margin Used
    $0
  • Buying Power
    $36,041
  • Ratios
  • W:L ratio
    1.06:1
  • Sharpe Ratio
    0.19
  • Sortino Ratio
    0.32
  • Calmar Ratio
    -0.46
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -17.77%
  • Correlation to SP500
    0.23210
  • Return Percent SP500 (cumu) during strategy life
    10.71%
  • Return Statistics
  • Ann Return (w trading costs)
    -20.3%
  • Slump
  • Current Slump as Pcnt Equity
    70.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.64%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.154%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    76.50%
  • Chance of 20% account loss
    6.50%
  • 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)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,988
  • Avg Win
    $3,442
  • Sum Trade PL (losers)
    $55,673.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $58,516.000
  • # Winners
    17
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    298
  • Win / Loss
  • # Losers
    28
  • % Winners
    37.8%
  • Frequency
  • Avg Position Time (mins)
    48268.60
  • Avg Position Time (hrs)
    804.48
  • Avg Trade Length
    33.5 days
  • Last Trade Ago
    192
  • Leverage
  • Daily leverage (average)
    1.09
  • Daily leverage (max)
    1.94
  • Regression
  • Alpha
    0.01
  • Beta
    0.48
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.59
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    22.252
  • 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
    0.31
  • Avg(MAE) / Avg(PL) - Winning trades
    0.272
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.206
  • Hold-and-Hope Ratio
    0.035
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14191
  • SD
    0.61857
  • Sharpe ratio (Glass type estimate)
    -0.22941
  • Sharpe ratio (Hedges UMVUE)
    -0.19288
  • df
    5.00000
  • t
    -0.16222
  • p
    0.56126
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.99364
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55691
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.96726
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58151
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.29495
  • Upside Potential Ratio
    1.38941
  • Upside part of mean
    0.66846
  • Downside part of mean
    -0.81036
  • Upside SD
    0.29844
  • Downside SD
    0.48111
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.07551
  • Mean of criterion
    -0.14191
  • SD of predictor
    0.26492
  • SD of criterion
    0.61857
  • Covariance
    0.15307
  • r
    0.93411
  • b (slope, estimate of beta)
    2.18106
  • a (intercept, estimate of alpha)
    0.02278
  • Mean Square Error
    0.06095
  • DF error
    4.00000
  • t(b)
    5.23324
  • p(b)
    0.00318
  • t(a)
    0.06499
  • p(a)
    0.47565
  • Lowerbound of 95% confidence interval for beta
    1.02369
  • Upperbound of 95% confidence interval for beta
    3.33842
  • Lowerbound of 95% confidence interval for alpha
    -0.95073
  • Upperbound of 95% confidence interval for alpha
    0.99630
  • Treynor index (mean / b)
    -0.06506
  • Jensen alpha (a)
    0.02278
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.33128
  • SD
    0.69980
  • Sharpe ratio (Glass type estimate)
    -0.47340
  • Sharpe ratio (Hedges UMVUE)
    -0.39801
  • df
    5.00000
  • t
    -0.33474
  • p
    0.62430
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.23723
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.18077
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38476
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.56819
  • Upside Potential Ratio
    1.07444
  • Upside part of mean
    0.62645
  • Downside part of mean
    -0.95774
  • Upside SD
    0.27804
  • Downside SD
    0.58305
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.10733
  • Mean of criterion
    -0.33128
  • SD of predictor
    0.28129
  • SD of criterion
    0.69980
  • Covariance
    0.18819
  • r
    0.95603
  • b (slope, estimate of beta)
    2.37843
  • a (intercept, estimate of alpha)
    -0.07600
  • Mean Square Error
    0.05265
  • DF error
    4.00000
  • t(b)
    6.51999
  • p(b)
    0.00143
  • t(a)
    -0.23253
  • p(a)
    0.58623
  • Lowerbound of 95% confidence interval for beta
    1.36541
  • Upperbound of 95% confidence interval for beta
    3.39145
  • Lowerbound of 95% confidence interval for alpha
    -0.98364
  • Upperbound of 95% confidence interval for alpha
    0.83164
  • Treynor index (mean / b)
    -0.13929
  • Jensen alpha (a)
    -0.07600
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.30225
  • Expected Shortfall on VaR
    0.35699
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.15552
  • Expected Shortfall on VaR
    0.30504
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.66570
  • Quartile 1
    0.96522
  • Median
    1.01194
  • Quartile 3
    1.10305
  • Maximum
    1.17037
  • Mean of quarter 1
    0.81404
  • Mean of quarter 2
    0.97372
  • Mean of quarter 3
    1.05017
  • Mean of quarter 4
    1.14552
  • Inter Quartile Range
    0.13783
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.66570
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • 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
    3.00000
  • Minimum
    0.02628
  • Quartile 1
    0.03195
  • Median
    0.03761
  • Quartile 3
    0.18596
  • Maximum
    0.33430
  • Mean of quarter 1
    0.02628
  • Mean of quarter 2
    0.03761
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.33430
  • Inter Quartile Range
    0.15401
  • 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)
    -0.28149
  • Compounded annual return (geometric extrapolation)
    -0.26168
  • Calmar ratio (compounded annual return / max draw down)
    -0.78277
  • Compounded annual return / average of 25% largest draw downs
    -0.78277
  • Compounded annual return / Expected Shortfall lognormal
    -0.73302
  • 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
    0.05165
  • SD
    0.88162
  • Sharpe ratio (Glass type estimate)
    0.05859
  • Sharpe ratio (Hedges UMVUE)
    0.05826
  • df
    133.00000
  • t
    0.04190
  • p
    0.49769
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68203
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79920
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79887
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.09961
  • Upside Potential Ratio
    6.45757
  • Upside part of mean
    3.34849
  • Downside part of mean
    -3.29684
  • Upside SD
    0.70893
  • Downside SD
    0.51854
  • N nonnegative terms
    66.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    134.00000
  • Mean of predictor
    0.10987
  • Mean of criterion
    0.05165
  • SD of predictor
    0.43064
  • SD of criterion
    0.88162
  • Covariance
    0.08560
  • r
    0.22547
  • b (slope, estimate of beta)
    0.46160
  • a (intercept, estimate of alpha)
    -0.05100
  • Mean Square Error
    0.74332
  • DF error
    132.00000
  • t(b)
    2.65895
  • p(b)
    0.38726
  • t(a)
    0.00078
  • p(a)
    0.49997
  • Lowerbound of 95% confidence interval for beta
    0.11820
  • Upperbound of 95% confidence interval for beta
    0.80500
  • Lowerbound of 95% confidence interval for alpha
    -2.38407
  • Upperbound of 95% confidence interval for alpha
    2.38594
  • Treynor index (mean / b)
    0.11190
  • Jensen alpha (a)
    0.00094
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.30922
  • SD
    0.84319
  • Sharpe ratio (Glass type estimate)
    -0.36673
  • Sharpe ratio (Hedges UMVUE)
    -0.36466
  • df
    133.00000
  • t
    -0.26227
  • p
    0.51447
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.10710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37482
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.10561
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37630
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.54138
  • Upside Potential Ratio
    5.49754
  • Upside part of mean
    3.14000
  • Downside part of mean
    -3.44922
  • Upside SD
    0.61628
  • Downside SD
    0.57117
  • N nonnegative terms
    66.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    134.00000
  • Mean of predictor
    0.01797
  • Mean of criterion
    -0.30922
  • SD of predictor
    0.43065
  • SD of criterion
    0.84319
  • Covariance
    0.08851
  • r
    0.24376
  • b (slope, estimate of beta)
    0.47726
  • a (intercept, estimate of alpha)
    -0.31779
  • Mean Square Error
    0.67379
  • DF error
    132.00000
  • t(b)
    2.88768
  • p(b)
    0.37812
  • t(a)
    -0.27688
  • p(a)
    0.51205
  • Lowerbound of 95% confidence interval for beta
    0.15033
  • Upperbound of 95% confidence interval for beta
    0.80419
  • Lowerbound of 95% confidence interval for alpha
    -2.58823
  • Upperbound of 95% confidence interval for alpha
    1.95264
  • Treynor index (mean / b)
    -0.64790
  • Jensen alpha (a)
    -0.31779
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08320
  • Expected Shortfall on VaR
    0.10277
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02873
  • Expected Shortfall on VaR
    0.06118
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    134.00000
  • Minimum
    0.74268
  • Quartile 1
    0.98761
  • Median
    0.99952
  • Quartile 3
    1.01346
  • Maximum
    1.42177
  • Mean of quarter 1
    0.95776
  • Mean of quarter 2
    0.99265
  • Mean of quarter 3
    1.00563
  • Mean of quarter 4
    1.04510
  • Inter Quartile Range
    0.02585
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03731
  • Mean of outliers low
    0.86748
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04478
  • Mean of outliers high
    1.15409
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43195
  • VaR(95%) (moments method)
    0.03952
  • Expected Shortfall (moments method)
    0.08092
  • Extreme Value Index (regression method)
    0.41600
  • VaR(95%) (regression method)
    0.03703
  • Expected Shortfall (regression method)
    0.07284
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00429
  • Quartile 1
    0.01034
  • Median
    0.08144
  • Quartile 3
    0.21542
  • Maximum
    0.50413
  • Mean of quarter 1
    0.00551
  • Mean of quarter 2
    0.04770
  • Mean of quarter 3
    0.16951
  • Mean of quarter 4
    0.38273
  • Inter Quartile Range
    0.20508
  • 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)
    -0.26201
  • Compounded annual return (geometric extrapolation)
    -0.24521
  • Calmar ratio (compounded annual return / max draw down)
    -0.48639
  • Compounded annual return / average of 25% largest draw downs
    -0.64067
  • Compounded annual return / Expected Shortfall lognormal
    -2.38592
  • 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
    0.02247
  • SD
    0.89137
  • Sharpe ratio (Glass type estimate)
    0.02521
  • Sharpe ratio (Hedges UMVUE)
    0.02506
  • df
    130.00000
  • t
    0.01782
  • p
    0.49922
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.74660
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79702
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.74675
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79687
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04285
  • Upside Potential Ratio
    6.44823
  • Upside part of mean
    3.38114
  • Downside part of mean
    -3.35867
  • Upside SD
    0.71662
  • Downside SD
    0.52435
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09426
  • Mean of criterion
    0.02247
  • SD of predictor
    0.43545
  • SD of criterion
    0.89137
  • Covariance
    0.08733
  • r
    0.22498
  • b (slope, estimate of beta)
    0.46053
  • a (intercept, estimate of alpha)
    -0.02094
  • Mean Square Error
    0.76018
  • DF error
    129.00000
  • t(b)
    2.62250
  • p(b)
    0.35799
  • t(a)
    -0.01698
  • p(a)
    0.50095
  • Lowerbound of 95% confidence interval for beta
    0.11309
  • Upperbound of 95% confidence interval for beta
    0.80797
  • Lowerbound of 95% confidence interval for alpha
    -2.46073
  • Upperbound of 95% confidence interval for alpha
    2.41886
  • Treynor index (mean / b)
    0.04879
  • Jensen alpha (a)
    -0.02094
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.34635
  • SD
    0.85244
  • Sharpe ratio (Glass type estimate)
    -0.40630
  • Sharpe ratio (Hedges UMVUE)
    -0.40395
  • df
    130.00000
  • t
    -0.28730
  • p
    0.51260
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.17782
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36667
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.17619
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36829
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.59964
  • Upside Potential Ratio
    5.48516
  • Upside part of mean
    3.16815
  • Downside part of mean
    -3.51450
  • Upside SD
    0.62286
  • Downside SD
    0.57759
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00031
  • Mean of criterion
    -0.34635
  • SD of predictor
    0.43546
  • SD of criterion
    0.85244
  • Covariance
    0.09027
  • r
    0.24319
  • b (slope, estimate of beta)
    0.47606
  • a (intercept, estimate of alpha)
    -0.34649
  • Mean Square Error
    0.68898
  • DF error
    129.00000
  • t(b)
    2.84759
  • p(b)
    0.34672
  • t(a)
    -0.29517
  • p(a)
    0.51654
  • VAR (95 Confidence Intrvl)
    0.08200
  • Lowerbound of 95% confidence interval for beta
    0.14529
  • Upperbound of 95% confidence interval for beta
    0.80683
  • Lowerbound of 95% confidence interval for alpha
    -2.66901
  • Upperbound of 95% confidence interval for alpha
    1.97602
  • Treynor index (mean / b)
    -0.72753
  • Jensen alpha (a)
    -0.34649
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08419
  • Expected Shortfall on VaR
    0.10395
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02944
  • Expected Shortfall on VaR
    0.06248
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.74268
  • Quartile 1
    0.98750
  • Median
    0.99940
  • Quartile 3
    1.01320
  • Maximum
    1.42177
  • Mean of quarter 1
    0.95686
  • Mean of quarter 2
    0.99248
  • Mean of quarter 3
    1.00558
  • Mean of quarter 4
    1.04601
  • Inter Quartile Range
    0.02570
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.86748
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.15409
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37776
  • VaR(95%) (moments method)
    0.03902
  • Expected Shortfall (moments method)
    0.07464
  • Extreme Value Index (regression method)
    0.38763
  • VaR(95%) (regression method)
    0.03792
  • Expected Shortfall (regression method)
    0.07247
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00429
  • Quartile 1
    0.03083
  • Median
    0.12547
  • Quartile 3
    0.23838
  • Maximum
    0.50413
  • Mean of quarter 1
    0.00913
  • Mean of quarter 2
    0.08144
  • Mean of quarter 3
    0.16951
  • Mean of quarter 4
    0.38273
  • Inter Quartile Range
    0.20755
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -246829000
  • Max Equity Drawdown (num days)
    60
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.29438
  • Compounded annual return (geometric extrapolation)
    -0.27272
  • Calmar ratio (compounded annual return / max draw down)
    -0.54096
  • Compounded annual return / average of 25% largest draw downs
    -0.71255
  • Compounded annual return / Expected Shortfall lognormal
    -2.62345

Strategy Description

I combine....
1) Value fundamentals: Buy at a great price. (Usually under $4)
2) Psychological effects ...react to emotional panic moves by the masses (mean reversion, pivots, etc)
3) Technical Analysis: I apply my nightly formulas that deliver a basket of low risk/potentially high reward equities.
4) Be patient
Most of these trades are in and out within a week. I rarely average down but if my longer term signals tell me to...i will.
I tweaked the system as of Jan 1 2020 and the results show the difference.
Thank you for looking

Summary Statistics

Strategy began
2019-09-10
Suggested Minimum Capital
$15,000
# Trades
45
# Profitable
17
% Profitable
37.8%
Net Dividends
Correlation S&P500
0.232
Sharpe Ratio
0.19
Sortino Ratio
0.32
Beta
0.48
Alpha
0.01
Leverage
1.09 Average
1.94 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

#PERSONNAME#
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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