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Alpha Capital Compound
(127924250)

Created by: AlphaCapital AlphaCapital
Started: 03/2020
Stocks
Last trade: Today
Trading style: Equity Sector Rotation Short-term Reversal

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
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
62.3%
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.

(12.0%)
Max Drawdown
150
Num Trades
70.7%
Win Trades
2.7 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              (3.4%)+15.6%+9.8%+15.4%+15.1%(0.3%)                        +62.3%

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 82 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/4/20 9:32 APD AIR PRODUCTS & CHEMICALS LONG 36 275.01 8/13 9:30 284.28 n/a $333
Includes Typical Broker Commissions trade costs of $0.72
7/31/20 9:30 AMGN AMGEN LONG 41 245.63 8/13 9:30 241.31 0.57%
Trade id #130386484
Max drawdown($462)
Time8/11/20 0:00
Quant open41
Worst price234.36
Drawdown as % of equity-0.57%
($178)
Includes Typical Broker Commissions trade costs of $0.82
8/5/20 9:30 CERN CERNER SHORT 145 69.47 8/7 9:30 69.52 0.11%
Trade id #130467136
Max drawdown($94)
Time8/6/20 0:00
Quant open145
Worst price70.12
Drawdown as % of equity-0.11%
($10)
Includes Typical Broker Commissions trade costs of $2.90
8/4/20 9:35 ALGN ALIGN TECHNOLOGY LONG 70 286.04 8/6 9:30 293.50 0.17%
Trade id #130443396
Max drawdown($139)
Time8/4/20 10:19
Quant open35
Worst price279.83
Drawdown as % of equity-0.17%
$521
Includes Typical Broker Commissions trade costs of $1.40
7/22/20 9:30 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 6 1711.70 8/6 9:30 1702.15 0.63%
Trade id #130213430
Max drawdown($516)
Time7/31/20 0:00
Quant open6
Worst price1625.61
Drawdown as % of equity-0.63%
($57)
Includes Typical Broker Commissions trade costs of $0.12
8/3/20 9:41 DLTR DOLLAR TREE STORES LONG 107 93.35 8/5 9:30 96.39 0.08%
Trade id #130418778
Max drawdown($65)
Time8/3/20 9:46
Quant open107
Worst price92.74
Drawdown as % of equity-0.08%
$323
Includes Typical Broker Commissions trade costs of $2.14
7/31/20 9:32 ADP AUTOMATIC DATA PROCESSING LONG 75 133.15 8/5 9:30 136.60 0.31%
Trade id #130386774
Max drawdown($248)
Time7/31/20 12:54
Quant open75
Worst price129.84
Drawdown as % of equity-0.31%
$258
Includes Typical Broker Commissions trade costs of $1.50
7/31/20 9:30 ASML ASML HOLDING LONG 28 361.95 8/5 9:30 370.67 0.39%
Trade id #130386467
Max drawdown($313)
Time7/31/20 12:17
Quant open28
Worst price350.74
Drawdown as % of equity-0.39%
$243
Includes Typical Broker Commissions trade costs of $0.56
7/28/20 9:30 FFIV F5 NETWORKS LONG 67 144.75 8/4 9:30 138.91 0.91%
Trade id #130315540
Max drawdown($751)
Time7/31/20 0:00
Quant open67
Worst price133.54
Drawdown as % of equity-0.91%
($392)
Includes Typical Broker Commissions trade costs of $1.34
7/23/20 9:34 FB FACEBOOK LONG 42 238.62 8/3 9:30 252.58 0.6%
Trade id #130236819
Max drawdown($492)
Time7/24/20 0:00
Quant open42
Worst price226.90
Drawdown as % of equity-0.60%
$585
Includes Typical Broker Commissions trade costs of $0.84
7/28/20 9:30 EXC EXELON LONG 266 37.48 7/30 9:30 38.05 n/a $147
Includes Typical Broker Commissions trade costs of $5.32
7/28/20 9:30 BIDU BAIDU LONG 86 115.75 7/30 9:30 118.19 0.1%
Trade id #130315571
Max drawdown($86)
Time7/28/20 9:38
Quant open86
Worst price114.75
Drawdown as % of equity-0.10%
$208
Includes Typical Broker Commissions trade costs of $1.72
7/22/20 9:30 WBA WALGREEN BOOTS ALLIANCE INC. LONG 247 40.41 7/30 9:30 40.33 0.36%
Trade id #130213385
Max drawdown($292)
Time7/27/20 0:00
Quant open247
Worst price39.23
Drawdown as % of equity-0.36%
($26)
Includes Typical Broker Commissions trade costs of $4.94
7/23/20 14:02 ETFC E*TRADE FINANCIAL CORP LONG 191 52.25 7/28 9:30 52.48 0.23%
Trade id #130244308
Max drawdown($183)
Time7/27/20 0:00
Quant open191
Worst price51.29
Drawdown as % of equity-0.23%
$40
Includes Typical Broker Commissions trade costs of $3.82
7/23/20 9:30 EBAY EBAY LONG 177 56.34 7/28 9:30 57.11 0.49%
Trade id #130236641
Max drawdown($407)
Time7/24/20 0:00
Quant open177
Worst price54.04
Drawdown as % of equity-0.49%
$132
Includes Typical Broker Commissions trade costs of $3.54
7/23/20 9:31 ALXN ALEXION PHARMACEUTICALS LONG 94 105.88 7/28 9:30 107.21 0.58%
Trade id #130236680
Max drawdown($474)
Time7/24/20 0:00
Quant open94
Worst price100.83
Drawdown as % of equity-0.58%
$123
Includes Typical Broker Commissions trade costs of $1.88
7/23/20 9:30 ADI ANALOG DEVICES LONG 88 113.84 7/28 9:30 114.77 0.36%
Trade id #130236588
Max drawdown($296)
Time7/23/20 14:17
Quant open88
Worst price110.47
Drawdown as % of equity-0.36%
$80
Includes Typical Broker Commissions trade costs of $1.76
7/16/20 9:30 BIDU BAIDU LONG 80 121.30 7/22 9:30 123.50 0.04%
Trade id #130113839
Max drawdown($28)
Time7/16/20 9:43
Quant open80
Worst price120.94
Drawdown as % of equity-0.04%
$174
Includes Typical Broker Commissions trade costs of $1.60
7/16/20 9:30 ADBE ADOBE INC LONG 23 428.43 7/21 9:30 456.07 0.3%
Trade id #130113840
Max drawdown($228)
Time7/16/20 11:24
Quant open23
Worst price418.50
Drawdown as % of equity-0.30%
$636
Includes Typical Broker Commissions trade costs of $0.46
7/17/20 11:47 BIG BIG LOTS LONG 280 36.23 7/21 9:30 39.21 0.13%
Trade id #130137749
Max drawdown($98)
Time7/20/20 0:00
Quant open280
Worst price35.88
Drawdown as % of equity-0.13%
$828
Includes Typical Broker Commissions trade costs of $5.60
7/15/20 11:59 MELI MERCADOLIBRE LONG 20 957.97 7/21 9:30 1059.99 0.43%
Trade id #130095814
Max drawdown($330)
Time7/17/20 0:00
Quant open20
Worst price941.44
Drawdown as % of equity-0.43%
$2,041
Includes Typical Broker Commissions trade costs of $0.40
7/15/20 9:35 VRSN VERISIGN LONG 50 198.65 7/21 9:30 208.10 0.08%
Trade id #130091599
Max drawdown($58)
Time7/16/20 0:00
Quant open50
Worst price197.48
Drawdown as % of equity-0.08%
$472
Includes Typical Broker Commissions trade costs of $1.00
7/15/20 9:32 INTU INTUIT LONG 35 285.37 7/21 9:30 299.42 0.19%
Trade id #130091467
Max drawdown($146)
Time7/16/20 0:00
Quant open35
Worst price281.19
Drawdown as % of equity-0.19%
$491
Includes Typical Broker Commissions trade costs of $0.70
7/13/20 9:59 PAYC PAYCOM SOFTWARE INC LONG 33 306.29 7/21 9:30 305.45 1.34%
Trade id #130046183
Max drawdown($980)
Time7/14/20 0:00
Quant open33
Worst price276.59
Drawdown as % of equity-1.34%
($29)
Includes Typical Broker Commissions trade costs of $0.66
7/13/20 9:34 INCY INCYTE LONG 196 102.10 7/21 9:30 109.67 0.82%
Trade id #130045318
Max drawdown($602)
Time7/14/20 0:00
Quant open97
Worst price97.83
Drawdown as % of equity-0.82%
$1,480
Includes Typical Broker Commissions trade costs of $3.92
7/8/20 13:23 MCK MCKESSON LONG 69 143.90 7/20 10:14 152.98 0.39%
Trade id #129973041
Max drawdown($285)
Time7/9/20 0:00
Quant open69
Worst price139.76
Drawdown as % of equity-0.39%
$626
Includes Typical Broker Commissions trade costs of $1.38
7/15/20 11:59 CSGP COSTAR GROUP LONG 15 679.99 7/20 9:30 702.27 0.16%
Trade id #130095824
Max drawdown($124)
Time7/16/20 0:00
Quant open15
Worst price671.71
Drawdown as % of equity-0.16%
$334
Includes Typical Broker Commissions trade costs of $0.30
7/14/20 9:30 PYPL PAYPAL HOLDINGS CORP LONG 58 169.00 7/20 9:30 174.83 0.37%
Trade id #130068868
Max drawdown($270)
Time7/14/20 10:13
Quant open58
Worst price164.33
Drawdown as % of equity-0.37%
$337
Includes Typical Broker Commissions trade costs of $1.16
7/13/20 15:34 LLY ELI LILLY LONG 62 162.14 7/16 9:30 164.93 0.09%
Trade id #130054849
Max drawdown($68)
Time7/13/20 15:50
Quant open62
Worst price161.04
Drawdown as % of equity-0.09%
$172
Includes Typical Broker Commissions trade costs of $1.24
7/9/20 11:42 ALXN ALEXION PHARMACEUTICALS LONG 94 106.33 7/16 9:30 111.13 0.08%
Trade id #129994533
Max drawdown($62)
Time7/14/20 0:00
Quant open94
Worst price105.67
Drawdown as % of equity-0.08%
$449
Includes Typical Broker Commissions trade costs of $1.88

Statistics

  • Strategy began
    3/9/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    157.32
  • Age
    157 days ago
  • What it trades
    Stocks
  • # Trades
    150
  • # Profitable
    106
  • % Profitable
    70.70%
  • Avg trade duration
    6.5 days
  • Max peak-to-valley drawdown
    12.02%
  • drawdown period
    June 10, 2020 - June 15, 2020
  • Cumul. Return
    62.3%
  • Avg win
    $487.68
  • Avg loss
    $449.36
  • Model Account Values (Raw)
  • Cash
    $37,478
  • Margin Used
    $0
  • Buying Power
    $32,723
  • Ratios
  • W:L ratio
    2.65:1
  • Sharpe Ratio
    2.99
  • Sortino Ratio
    5.35
  • Calmar Ratio
    26.54
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    39.51%
  • Correlation to SP500
    0.17550
  • Return Percent SP500 (cumu) during strategy life
    22.82%
  • Return Statistics
  • Ann Return (w trading costs)
    200.6%
  • Slump
  • Current Slump as Pcnt Equity
    3.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.13%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.623%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    215.4%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    937
  • Popularity (Last 6 weeks)
    982
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    961
  • Popularity (7 days, Percentile 1000 scale)
    967
  • 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
    $449
  • Avg Win
    $488
  • Sum Trade PL (losers)
    $19,772.000
  • AUM
  • AUM (AutoTrader num accounts)
    10
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $51,694.000
  • # Winners
    106
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    370
  • AUM
  • AUM (AutoTrader live capital)
    610268
  • Win / Loss
  • # Losers
    44
  • % Winners
    70.7%
  • Frequency
  • Avg Position Time (mins)
    9392.23
  • Avg Position Time (hrs)
    156.54
  • Avg Trade Length
    6.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.48
  • Daily leverage (max)
    2.94
  • Regression
  • Alpha
    0.30
  • Beta
    0.13
  • Treynor Index
    2.52
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    4.74
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.558
  • 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
    0.633
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.779
  • Hold-and-Hope Ratio
    0.395
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.31546
  • SD
    0.36317
  • Sharpe ratio (Glass type estimate)
    3.62216
  • Sharpe ratio (Hedges UMVUE)
    2.89006
  • df
    4.00000
  • t
    2.33809
  • p
    0.03977
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.38114
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74727
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.52740
  • Statistics related to Sortino ratio
  • Sortino ratio
    24.83380
  • Upside Potential Ratio
    26.38300
  • Upside part of mean
    1.39752
  • Downside part of mean
    -0.08206
  • Upside SD
    0.49690
  • Downside SD
    0.05297
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.46863
  • Mean of criterion
    1.31546
  • SD of predictor
    0.15575
  • SD of criterion
    0.36317
  • Covariance
    0.02774
  • r
    0.49042
  • b (slope, estimate of beta)
    1.14353
  • a (intercept, estimate of alpha)
    0.77956
  • Mean Square Error
    0.13356
  • DF error
    3.00000
  • t(b)
    0.97471
  • p(b)
    0.20080
  • t(a)
    0.98780
  • p(a)
    0.19804
  • Lowerbound of 95% confidence interval for beta
    -2.59014
  • Upperbound of 95% confidence interval for beta
    4.87720
  • Lowerbound of 95% confidence interval for alpha
    -1.73201
  • Upperbound of 95% confidence interval for alpha
    3.29113
  • Treynor index (mean / b)
    1.15035
  • Jensen alpha (a)
    0.77956
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.20269
  • SD
    0.32743
  • Sharpe ratio (Glass type estimate)
    3.67315
  • Sharpe ratio (Hedges UMVUE)
    2.93075
  • df
    4.00000
  • t
    2.37101
  • p
    0.03837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35449
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.45326
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72218
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.58368
  • Statistics related to Sortino ratio
  • Sortino ratio
    22.36740
  • Upside Potential Ratio
    23.91660
  • Upside part of mean
    1.28599
  • Downside part of mean
    -0.08330
  • Upside SD
    0.45102
  • Downside SD
    0.05377
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.44968
  • Mean of criterion
    1.20269
  • SD of predictor
    0.15008
  • SD of criterion
    0.32743
  • Covariance
    0.02467
  • r
    0.50207
  • b (slope, estimate of beta)
    1.09539
  • a (intercept, estimate of alpha)
    0.71012
  • Mean Square Error
    0.10691
  • DF error
    3.00000
  • t(b)
    1.00553
  • p(b)
    0.19436
  • t(a)
    1.00774
  • p(a)
    0.19391
  • Lowerbound of 95% confidence interval for beta
    -2.37145
  • Upperbound of 95% confidence interval for beta
    4.56223
  • Lowerbound of 95% confidence interval for alpha
    -1.53244
  • Upperbound of 95% confidence interval for alpha
    2.95268
  • Treynor index (mean / b)
    1.09796
  • Jensen alpha (a)
    0.71012
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05375
  • Expected Shortfall on VaR
    0.08984
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00777
  • Expected Shortfall on VaR
    0.01927
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.96814
  • Quartile 1
    1.09633
  • Median
    1.10393
  • Quartile 3
    1.12877
  • Maximum
    1.26258
  • Mean of quarter 1
    1.03223
  • Mean of quarter 2
    1.10393
  • Mean of quarter 3
    1.12877
  • Mean of quarter 4
    1.26258
  • Inter Quartile Range
    0.03244
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.96814
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.26258
  • 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
    1.00000
  • Minimum
    0.03186
  • Quartile 1
    0.03186
  • Median
    0.03186
  • Quartile 3
    0.03186
  • Maximum
    0.03186
  • 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)
    1.60770
  • Compounded annual return (geometric extrapolation)
    2.42328
  • Calmar ratio (compounded annual return / max draw down)
    76.05080
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    26.97260
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.18387
  • SD
    0.32922
  • Sharpe ratio (Glass type estimate)
    3.59592
  • Sharpe ratio (Hedges UMVUE)
    3.57179
  • df
    112.00000
  • t
    2.36156
  • p
    0.39110
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56693
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.60940
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55094
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.59263
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.68027
  • Upside Potential Ratio
    13.70050
  • Upside part of mean
    2.42798
  • Downside part of mean
    -1.24412
  • Upside SD
    0.28526
  • Downside SD
    0.17722
  • N nonnegative terms
    56.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    113.00000
  • Mean of predictor
    0.55253
  • Mean of criterion
    1.18387
  • SD of predictor
    0.45451
  • SD of criterion
    0.32922
  • Covariance
    0.02623
  • r
    0.17528
  • b (slope, estimate of beta)
    0.12696
  • a (intercept, estimate of alpha)
    1.11400
  • Mean Square Error
    0.10601
  • DF error
    111.00000
  • t(b)
    1.87570
  • p(b)
    0.38899
  • t(a)
    2.24010
  • p(a)
    0.36856
  • Lowerbound of 95% confidence interval for beta
    -0.00717
  • Upperbound of 95% confidence interval for beta
    0.26109
  • Lowerbound of 95% confidence interval for alpha
    0.12853
  • Upperbound of 95% confidence interval for alpha
    2.09890
  • Treynor index (mean / b)
    9.32452
  • Jensen alpha (a)
    1.11371
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.12805
  • SD
    0.32682
  • Sharpe ratio (Glass type estimate)
    3.45163
  • Sharpe ratio (Hedges UMVUE)
    3.42846
  • df
    112.00000
  • t
    2.26680
  • p
    0.39528
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42582
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.46258
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.44646
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.24561
  • Upside Potential Ratio
    13.22230
  • Upside part of mean
    2.38814
  • Downside part of mean
    -1.26009
  • Upside SD
    0.27946
  • Downside SD
    0.18061
  • N nonnegative terms
    56.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    113.00000
  • Mean of predictor
    0.44875
  • Mean of criterion
    1.12805
  • SD of predictor
    0.45774
  • SD of criterion
    0.32682
  • Covariance
    0.02654
  • r
    0.17741
  • b (slope, estimate of beta)
    0.12666
  • a (intercept, estimate of alpha)
    1.07121
  • Mean Square Error
    0.10438
  • DF error
    111.00000
  • t(b)
    1.89923
  • p(b)
    0.38765
  • t(a)
    2.17347
  • p(a)
    0.37226
  • Lowerbound of 95% confidence interval for beta
    -0.00549
  • Upperbound of 95% confidence interval for beta
    0.25882
  • Lowerbound of 95% confidence interval for alpha
    0.09458
  • Upperbound of 95% confidence interval for alpha
    2.04784
  • Treynor index (mean / b)
    8.90576
  • Jensen alpha (a)
    1.07121
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02849
  • Expected Shortfall on VaR
    0.03663
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01089
  • Expected Shortfall on VaR
    0.02243
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    113.00000
  • Minimum
    0.93663
  • Quartile 1
    0.99666
  • Median
    1.00000
  • Quartile 3
    1.01313
  • Maximum
    1.06007
  • Mean of quarter 1
    0.98245
  • Mean of quarter 2
    0.99923
  • Mean of quarter 3
    1.00536
  • Mean of quarter 4
    1.03226
  • Inter Quartile Range
    0.01647
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.04425
  • Mean of outliers low
    0.96048
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.07080
  • Mean of outliers high
    1.05037
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.74822
  • VaR(95%) (moments method)
    0.01081
  • Expected Shortfall (moments method)
    0.01112
  • Extreme Value Index (regression method)
    0.17150
  • VaR(95%) (regression method)
    0.01735
  • Expected Shortfall (regression method)
    0.02927
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00254
  • Quartile 1
    0.00801
  • Median
    0.01676
  • Quartile 3
    0.04483
  • Maximum
    0.08203
  • Mean of quarter 1
    0.00537
  • Mean of quarter 2
    0.01323
  • Mean of quarter 3
    0.03659
  • Mean of quarter 4
    0.07311
  • Inter Quartile Range
    0.03682
  • 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)
    -15.25400
  • VaR(95%) (moments method)
    0.06802
  • Expected Shortfall (moments method)
    0.06802
  • Extreme Value Index (regression method)
    -1.25284
  • VaR(95%) (regression method)
    0.07502
  • Expected Shortfall (regression method)
    0.07715
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.49862
  • Compounded annual return (geometric extrapolation)
    2.17707
  • Calmar ratio (compounded annual return / max draw down)
    26.54040
  • Compounded annual return / average of 25% largest draw downs
    29.77620
  • Compounded annual return / Expected Shortfall lognormal
    59.43930
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02800
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -261205000
  • Max Equity Drawdown (num days)
    5

Strategy Description

This system uses a very unique two stage filtration system. The first filter calculates, compares and then ranks the entire universe of stocks against one another to find the STRONGEST stocks in the Index using a distinct set of parameters. The second filter, is looking for a timing trigger to enter at just the right time to catch the explosive move up.

Average hold period is around 3 days.

I hope you like the results this system produces and the effort I put into it.

Summary Statistics

Strategy began
2020-03-09
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 3.9%
Rank # 
#25
# Trades
150
# Profitable
106
% Profitable
70.7%
Net Dividends
Correlation S&P500
0.175
Sharpe Ratio
2.99
Sortino Ratio
5.35
Beta
0.13
Alpha
0.30
Leverage
1.48 Average
2.94 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

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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