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This is an archived track record. This track record was archived on 3/25/21 10:55 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Stocks Opportunity Pool
(130292471)

Created by: Goldenlad Goldenlad
Started: 07/2020
Stocks
Last trade: 16 days ago
Trading style: Equity Trend-following Momentum

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 $80.00 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.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
80.1%
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.

(34.9%)
Max Drawdown
576
Num Trades
55.6%
Win Trades
1.3 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          +0.9%+5.5%+31.9%(10.6%)+40.1%+16.0%+103.9%
2021+36.5%(19.2%)(23.1%)  -                                                  (15.2%)

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 668 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 23 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/25/21 10:24 RAIL FREIGHTCAR AMERICA LONG 360 4.89 3/25 10:55 4.54 n/a ($133)
Includes Typical Broker Commissions trade costs of $7.20
3/25/21 10:08 NBIX NEUROCRINE BIOSCIENCES LONG 50 94.77 3/25 10:55 94.66 n/a ($7)
Includes Typical Broker Commissions trade costs of $1.00
3/24/21 10:04 STWD STARWOOD PROPERTY LONG 160 24.95 3/25 10:55 23.95 0.21%
Trade id #134832952
Max drawdown($97)
Time3/24/21 15:43
Quant open160
Worst price24.34
Drawdown as % of equity-0.21%
($163)
Includes Typical Broker Commissions trade costs of $3.20
3/23/21 11:59 SNOW SNOWFLAKE INC LONG 100 219.06 3/25 10:55 207.31 1.37%
Trade id #134812714
Max drawdown($684)
Time3/24/21 0:00
Quant open50
Worst price208.60
Drawdown as % of equity-1.37%
($1,177)
Includes Typical Broker Commissions trade costs of $2.00
3/23/21 11:34 EQS EQUUS TOTAL RETURN LONG 800 2.14 3/25 10:55 1.93 0.39%
Trade id #134811519
Max drawdown($192)
Time3/24/21 0:00
Quant open800
Worst price1.90
Drawdown as % of equity-0.39%
($173)
Includes Typical Broker Commissions trade costs of $5.00
3/22/21 9:37 QS QUANTUMSCAPE CORP LONG 75 61.83 3/25 10:55 47.76 2.22%
Trade id #134762284
Max drawdown($1,104)
Time3/24/21 0:00
Quant open75
Worst price47.11
Drawdown as % of equity-2.22%
($1,057)
Includes Typical Broker Commissions trade costs of $1.50
3/19/21 10:44 CLPS CLPS INCORPORATION COMMON STOCK LONG 400 6.24 3/25 10:55 4.60 1.01%
Trade id #134733393
Max drawdown($504)
Time3/24/21 0:00
Quant open400
Worst price4.98
Drawdown as % of equity-1.01%
($664)
Includes Typical Broker Commissions trade costs of $8.00
3/17/21 15:03 NGA NORTHERN GENESIS ACQUISITION CORP LONG 100 19.25 3/25 10:55 16.92 0.48%
Trade id #134682367
Max drawdown($254)
Time3/19/21 0:00
Quant open100
Worst price16.71
Drawdown as % of equity-0.48%
($235)
Includes Typical Broker Commissions trade costs of $2.00
3/15/21 10:54 WISH CONTEXTLOGIC INC. CLASS A COMMON STOCK LONG 1,000 17.38 3/25 10:55 15.68 2.11%
Trade id #134619471
Max drawdown($1,048)
Time3/24/21 0:00
Quant open400
Worst price16.03
Drawdown as % of equity-2.11%
($1,717)
Includes Typical Broker Commissions trade costs of $12.50
3/15/21 10:17 EQOS DIGINEX LTD LONG 120 13.55 3/25 10:55 11.25 0.51%
Trade id #134617563
Max drawdown($270)
Time3/23/21 0:00
Quant open120
Worst price11.30
Drawdown as % of equity-0.51%
($278)
Includes Typical Broker Commissions trade costs of $2.40
3/11/21 11:35 AEI ALSET EHOME INTERNATIONAL INC LONG 200 11.73 3/25 10:55 9.76 0.62%
Trade id #134564206
Max drawdown($331)
Time3/17/21 0:00
Quant open160
Worst price9.72
Drawdown as % of equity-0.62%
($398)
Includes Typical Broker Commissions trade costs of $4.00
2/24/21 9:57 IVR INVESCO MORTGAGE CAPITAL LONG 5,800 4.04 3/25 10:55 3.80 0.73%
Trade id #134252330
Max drawdown($384)
Time3/5/21 0:00
Quant open800
Worst price3.55
Drawdown as % of equity-0.73%
($1,454)
Includes Typical Broker Commissions trade costs of $28.50
3/18/21 15:26 BAOS BAOSHENG MEDIA GROUP HOLDINGS LIMITED ORDINARY SHA LONG 400 6.77 3/25 9:30 5.00 0.98%
Trade id #134715840
Max drawdown($488)
Time3/24/21 0:00
Quant open400
Worst price5.55
Drawdown as % of equity-0.98%
($716)
Includes Typical Broker Commissions trade costs of $8.00
3/8/21 13:44 BQ BOQII HOLDING LIMITED LONG 500 5.74 3/24 14:48 5.24 0.72%
Trade id #134491778
Max drawdown($368)
Time3/9/21 0:00
Quant open500
Worst price5.00
Drawdown as % of equity-0.72%
($257)
Includes Typical Broker Commissions trade costs of $10.00
3/19/21 10:44 SPY2126O380 SPY Mar26'21 380 put LONG 2 1.46 3/24 14:48 0.20 0.55%
Trade id #134733377
Max drawdown($268)
Time3/24/21 10:55
Quant open2
Worst price0.12
Drawdown as % of equity-0.55%
($255)
Includes Typical Broker Commissions trade costs of $2.80
3/5/21 13:41 SOLO ELECTRAMECCANICA VEHICLES CORP LONG 1,800 5.26 3/24 14:48 5.15 0.76%
Trade id #134455152
Max drawdown($353)
Time3/24/21 13:13
Quant open500
Worst price4.55
Drawdown as % of equity-0.76%
($220)
Includes Typical Broker Commissions trade costs of $36.00
3/23/21 11:57 BABA ALIBABA GROUP HOLDING LIMITED LONG 50 240.75 3/24 11:28 233.72 0.82%
Trade id #134812659
Max drawdown($396)
Time3/24/21 10:20
Quant open50
Worst price232.82
Drawdown as % of equity-0.82%
($353)
Includes Typical Broker Commissions trade costs of $1.00
2/9/21 9:47 PED PEDEVCO CORP. LONG 1,600 1.84 3/23 12:13 1.84 0.39%
Trade id #133940033
Max drawdown($203)
Time3/5/21 0:00
Quant open400
Worst price1.33
Drawdown as % of equity-0.39%
($15)
Includes Typical Broker Commissions trade costs of $21.00
3/19/21 10:45 FB2121E330 FB May21'21 330 call LONG 1 5.40 3/23 11:38 5.30 0.24%
Trade id #134733418
Max drawdown($127)
Time3/22/21 0:00
Quant open1
Worst price4.13
Drawdown as % of equity-0.24%
($12)
Includes Typical Broker Commissions trade costs of $2.00
3/18/21 15:27 XLK2116P120 XLK Apr16'21 120 put LONG 4 1.28 3/23 11:37 0.45 0.63%
Trade id #134715933
Max drawdown($332)
Time3/23/21 11:35
Quant open4
Worst price0.45
Drawdown as % of equity-0.63%
($338)
Includes Typical Broker Commissions trade costs of $5.60
3/16/21 10:05 INTC2118F70 INTC Jun18'21 70 call LONG 3 2.84 3/23 11:37 2.00 0.5%
Trade id #134646767
Max drawdown($266)
Time3/23/21 11:37
Quant open3
Worst price1.95
Drawdown as % of equity-0.50%
($256)
Includes Typical Broker Commissions trade costs of $4.50
3/15/21 10:16 LVS2118F70 LVS Jun18'21 70 call LONG 1 3.85 3/23 11:37 1.60 0.43%
Trade id #134617516
Max drawdown($225)
Time3/23/21 10:38
Quant open1
Worst price1.60
Drawdown as % of equity-0.43%
($227)
Includes Typical Broker Commissions trade costs of $2.00
3/12/21 14:47 COST2118F380 COST Jun18'21 380 call LONG 2 3.36 3/23 11:37 2.96 0.47%
Trade id #134593010
Max drawdown($248)
Time3/17/21 0:00
Quant open2
Worst price2.12
Drawdown as % of equity-0.47%
($83)
Includes Typical Broker Commissions trade costs of $2.80
3/11/21 11:34 BA2121E350 BA May21'21 350 call LONG 2 2.93 3/23 11:37 2.48 0.31%
Trade id #134564178
Max drawdown($162)
Time3/23/21 11:36
Quant open1
Worst price1.31
Drawdown as % of equity-0.31%
($92)
Includes Typical Broker Commissions trade costs of $3.40
3/10/21 15:33 DKNG2120H100 DKNG Aug20'21 100 call LONG 2 4.97 3/23 11:36 3.95 0.78%
Trade id #134546371
Max drawdown($415)
Time3/17/21 0:00
Quant open2
Worst price2.90
Drawdown as % of equity-0.78%
($208)
Includes Typical Broker Commissions trade costs of $3.40
3/9/21 12:46 XPEV2221A50 XPEV Jan21'22 50 call LONG 2 6.00 3/23 11:36 6.83 0.1%
Trade id #134517171
Max drawdown($55)
Time3/9/21 15:47
Quant open1
Worst price4.65
Drawdown as % of equity-0.10%
$161
Includes Typical Broker Commissions trade costs of $4.00
3/9/21 9:36 PTON2118F150 PTON Jun18'21 150 call LONG 1 5.25 3/23 11:36 3.80 0.44%
Trade id #134509783
Max drawdown($240)
Time3/18/21 0:00
Quant open1
Worst price2.85
Drawdown as % of equity-0.44%
($147)
Includes Typical Broker Commissions trade costs of $2.00
3/8/21 13:45 TAN2116D115 TAN Apr16'21 115 call LONG 4 1.31 3/23 11:36 1.43 0.38%
Trade id #134491874
Max drawdown($198)
Time3/23/21 10:44
Quant open2
Worst price0.32
Drawdown as % of equity-0.38%
$42
Includes Typical Broker Commissions trade costs of $5.60
3/5/21 13:39 TDOC2221A400 TDOC Jan21'22 400 call LONG 1 4.90 3/23 11:36 3.80 0.3%
Trade id #134455041
Max drawdown($160)
Time3/10/21 0:00
Quant open1
Worst price3.30
Drawdown as % of equity-0.30%
($112)
Includes Typical Broker Commissions trade costs of $2.00
3/3/21 13:08 XOM2221A80 XOM Jan21'22 80 call LONG 4 1.67 3/23 11:36 1.47 0.31%
Trade id #134395015
Max drawdown($163)
Time3/23/21 9:32
Quant open2
Worst price0.85
Drawdown as % of equity-0.31%
($84)
Includes Typical Broker Commissions trade costs of $6.20

Statistics

  • Strategy began
    7/27/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    252.39
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    576
  • # Profitable
    320
  • % Profitable
    55.60%
  • Avg trade duration
    3.8 days
  • Max peak-to-valley drawdown
    34.88%
  • drawdown period
    Feb 09, 2021 - March 24, 2021
  • Cumul. Return
    80.1%
  • Avg win
    $309.56
  • Avg loss
    $298.34
  • Model Account Values (Raw)
  • Cash
    $47,674
  • Margin Used
    $0
  • Buying Power
    $47,674
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    1.41
  • Sortino Ratio
    2.48
  • Calmar Ratio
    4.608
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    60.07%
  • Correlation to SP500
    0.19500
  • Return Percent SP500 (cumu) during strategy life
    27.46%
  • Return Statistics
  • Ann Return (w trading costs)
    141.5%
  • Slump
  • Current Slump as Pcnt Equity
    63.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.20%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.801%
  • Instruments
  • Percent Trades Options
    0.11%
  • Percent Trades Stocks
    0.89%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    149.4%
  • Automation
  • Percentage Signals Automated
    0.47%
  • Popularity
  • Popularity (Today)
    423
  • Popularity (Last 6 weeks)
    957
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    657
  • 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
    $298
  • Avg Win
    $310
  • Sum Trade PL (losers)
    $76,374.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $99,060.000
  • # Winners
    320
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    256
  • % Winners
    55.6%
  • Frequency
  • Avg Position Time (mins)
    5426.43
  • Avg Position Time (hrs)
    90.44
  • Avg Trade Length
    3.8 days
  • Last Trade Ago
    11
  • Leverage
  • Daily leverage (average)
    1.78
  • Daily leverage (max)
    10.62
  • Regression
  • Alpha
    0.21
  • Beta
    0.67
  • Treynor Index
    0.39
  • 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)
    -0.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -3.434
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.953
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.116
  • Hold-and-Hope Ratio
    -0.291
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.76639
  • SD
    0.68830
  • Sharpe ratio (Glass type estimate)
    2.56633
  • Sharpe ratio (Hedges UMVUE)
    2.22918
  • df
    6.00000
  • t
    1.96006
  • p
    0.04884
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44451
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.42016
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08857
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.91384
  • Upside Potential Ratio
    10.30090
  • Upside part of mean
    2.04126
  • Downside part of mean
    -0.27486
  • Upside SD
    0.79172
  • Downside SD
    0.19816
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.26298
  • Mean of criterion
    1.76639
  • SD of predictor
    0.14569
  • SD of criterion
    0.68830
  • Covariance
    -0.03976
  • r
    -0.39647
  • b (slope, estimate of beta)
    -1.87311
  • a (intercept, estimate of alpha)
    2.25898
  • Mean Square Error
    0.47914
  • DF error
    5.00000
  • t(b)
    -0.96566
  • p(b)
    0.81072
  • t(a)
    2.17211
  • p(a)
    0.04096
  • Lowerbound of 95% confidence interval for beta
    -6.85950
  • Upperbound of 95% confidence interval for beta
    3.11328
  • Lowerbound of 95% confidence interval for alpha
    -0.41452
  • Upperbound of 95% confidence interval for alpha
    4.93248
  • Treynor index (mean / b)
    -0.94303
  • Jensen alpha (a)
    2.25898
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.48419
  • SD
    0.61801
  • Sharpe ratio (Glass type estimate)
    2.40157
  • Sharpe ratio (Hedges UMVUE)
    2.08607
  • df
    6.00000
  • t
    1.83423
  • p
    0.05815
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56368
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.21508
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73854
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.91068
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.92788
  • Upside Potential Ratio
    8.30944
  • Upside part of mean
    1.78016
  • Downside part of mean
    -0.29598
  • Upside SD
    0.68194
  • Downside SD
    0.21423
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.25073
  • Mean of criterion
    1.48419
  • SD of predictor
    0.14392
  • SD of criterion
    0.61801
  • Covariance
    -0.03272
  • r
    -0.36785
  • b (slope, estimate of beta)
    -1.57962
  • a (intercept, estimate of alpha)
    1.88025
  • Mean Square Error
    0.39630
  • DF error
    5.00000
  • t(b)
    -0.88456
  • p(b)
    0.79155
  • t(a)
    2.00452
  • p(a)
    0.05068
  • Lowerbound of 95% confidence interval for beta
    -6.17024
  • Upperbound of 95% confidence interval for beta
    3.01101
  • Lowerbound of 95% confidence interval for alpha
    -0.53107
  • Upperbound of 95% confidence interval for alpha
    4.29157
  • Treynor index (mean / b)
    -0.93959
  • Jensen alpha (a)
    1.88025
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15614
  • Expected Shortfall on VaR
    0.21509
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03453
  • Expected Shortfall on VaR
    0.08089
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.85126
  • Quartile 1
    1.01809
  • Median
    1.16897
  • Quartile 3
    1.30281
  • Maximum
    1.38466
  • Mean of quarter 1
    0.92216
  • Mean of quarter 2
    1.10605
  • Mean of quarter 3
    1.23406
  • Mean of quarter 4
    1.37811
  • Inter Quartile Range
    0.28472
  • 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 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
    2.00000
  • Minimum
    0.00694
  • Quartile 1
    0.04239
  • Median
    0.07784
  • Quartile 3
    0.11329
  • Maximum
    0.14874
  • Mean of quarter 1
    0.00694
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14874
  • Inter Quartile Range
    0.07090
  • 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)
    2.42719
  • Compounded annual return (geometric extrapolation)
    3.53622
  • Calmar ratio (compounded annual return / max draw down)
    23.77500
  • Compounded annual return / average of 25% largest draw downs
    23.77500
  • Compounded annual return / Expected Shortfall lognormal
    16.44080
  • 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
    1.17231
  • SD
    0.54986
  • Sharpe ratio (Glass type estimate)
    2.13203
  • Sharpe ratio (Hedges UMVUE)
    2.12267
  • df
    171.00000
  • t
    1.72746
  • p
    0.41686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55851
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30676
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.55210
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.88855
  • Upside Potential Ratio
    11.93210
  • Upside part of mean
    3.59727
  • Downside part of mean
    -2.42496
  • Upside SD
    0.46362
  • Downside SD
    0.30148
  • N nonnegative terms
    90.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.26459
  • Mean of criterion
    1.17231
  • SD of predictor
    0.16694
  • SD of criterion
    0.54986
  • Covariance
    0.01816
  • r
    0.19789
  • b (slope, estimate of beta)
    0.65181
  • a (intercept, estimate of alpha)
    0.89600
  • Mean Square Error
    0.29221
  • DF error
    170.00000
  • t(b)
    2.63223
  • p(b)
    0.40105
  • t(a)
    1.49147
  • p(a)
    0.44317
  • Lowerbound of 95% confidence interval for beta
    0.16299
  • Upperbound of 95% confidence interval for beta
    1.14063
  • Lowerbound of 95% confidence interval for alpha
    -0.32349
  • Upperbound of 95% confidence interval for alpha
    2.32318
  • Treynor index (mean / b)
    1.79854
  • Jensen alpha (a)
    0.99985
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.02430
  • SD
    0.53749
  • Sharpe ratio (Glass type estimate)
    1.90572
  • Sharpe ratio (Hedges UMVUE)
    1.89735
  • df
    171.00000
  • t
    1.54409
  • p
    0.42552
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52436
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52999
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32468
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.30997
  • Upside Potential Ratio
    11.29730
  • Upside part of mean
    3.49605
  • Downside part of mean
    -2.47175
  • Upside SD
    0.44210
  • Downside SD
    0.30946
  • N nonnegative terms
    90.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.25054
  • Mean of criterion
    1.02430
  • SD of predictor
    0.16737
  • SD of criterion
    0.53749
  • Covariance
    0.01816
  • r
    0.20184
  • b (slope, estimate of beta)
    0.64818
  • a (intercept, estimate of alpha)
    0.86191
  • Mean Square Error
    0.27875
  • DF error
    170.00000
  • t(b)
    2.68704
  • p(b)
    0.39908
  • t(a)
    1.31705
  • p(a)
    0.44975
  • Lowerbound of 95% confidence interval for beta
    0.17200
  • Upperbound of 95% confidence interval for beta
    1.12437
  • Lowerbound of 95% confidence interval for alpha
    -0.42993
  • Upperbound of 95% confidence interval for alpha
    2.15374
  • Treynor index (mean / b)
    1.58026
  • Jensen alpha (a)
    0.86191
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04945
  • Expected Shortfall on VaR
    0.06247
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02073
  • Expected Shortfall on VaR
    0.04048
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.91738
  • Quartile 1
    0.98776
  • Median
    1.00246
  • Quartile 3
    1.01885
  • Maximum
    1.17498
  • Mean of quarter 1
    0.96835
  • Mean of quarter 2
    0.99494
  • Mean of quarter 3
    1.01003
  • Mean of quarter 4
    1.04500
  • Inter Quartile Range
    0.03110
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.02907
  • Mean of outliers low
    0.92986
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.04070
  • Mean of outliers high
    1.11166
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12301
  • VaR(95%) (moments method)
    0.02994
  • Expected Shortfall (moments method)
    0.04383
  • Extreme Value Index (regression method)
    -0.10105
  • VaR(95%) (regression method)
    0.02909
  • Expected Shortfall (regression method)
    0.03780
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00009
  • Quartile 1
    0.01854
  • Median
    0.04700
  • Quartile 3
    0.08476
  • Maximum
    0.32299
  • Mean of quarter 1
    0.00568
  • Mean of quarter 2
    0.02833
  • Mean of quarter 3
    0.06557
  • Mean of quarter 4
    0.19925
  • Inter Quartile Range
    0.06622
  • 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
    0.12500
  • Mean of outliers high
    0.26885
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.35489
  • VaR(95%) (moments method)
    0.21858
  • Expected Shortfall (moments method)
    0.23128
  • Extreme Value Index (regression method)
    -0.16097
  • VaR(95%) (regression method)
    0.29646
  • Expected Shortfall (regression method)
    0.38860
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.51600
  • Compounded annual return (geometric extrapolation)
    1.86397
  • Calmar ratio (compounded annual return / max draw down)
    5.77100
  • Compounded annual return / average of 25% largest draw downs
    9.35504
  • Compounded annual return / Expected Shortfall lognormal
    29.83650
  • 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
    1.14038
  • SD
    0.52909
  • Sharpe ratio (Glass type estimate)
    2.15535
  • Sharpe ratio (Hedges UMVUE)
    2.14289
  • df
    130.00000
  • t
    1.52406
  • p
    0.43376
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63281
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.93539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64112
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.92691
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.89110
  • Upside Potential Ratio
    11.82610
  • Upside part of mean
    3.46590
  • Downside part of mean
    -2.32553
  • Upside SD
    0.44370
  • Downside SD
    0.29307
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30488
  • Mean of criterion
    1.14038
  • SD of predictor
    0.16464
  • SD of criterion
    0.52909
  • Covariance
    0.01954
  • r
    0.22435
  • b (slope, estimate of beta)
    0.72100
  • a (intercept, estimate of alpha)
    0.92056
  • Mean Square Error
    0.26791
  • DF error
    129.00000
  • t(b)
    2.61481
  • p(b)
    0.35838
  • t(a)
    1.24939
  • p(a)
    0.43053
  • Lowerbound of 95% confidence interval for beta
    0.17545
  • Upperbound of 95% confidence interval for beta
    1.26655
  • Lowerbound of 95% confidence interval for alpha
    -0.53723
  • Upperbound of 95% confidence interval for alpha
    2.37834
  • Treynor index (mean / b)
    1.58166
  • Jensen alpha (a)
    0.92056
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.00347
  • SD
    0.51733
  • Sharpe ratio (Glass type estimate)
    1.93972
  • Sharpe ratio (Hedges UMVUE)
    1.92851
  • df
    130.00000
  • t
    1.37159
  • p
    0.44028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.71790
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.71021
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33499
  • Upside Potential Ratio
    11.21080
  • Upside part of mean
    3.37323
  • Downside part of mean
    -2.36976
  • Upside SD
    0.42296
  • Downside SD
    0.30089
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29121
  • Mean of criterion
    1.00347
  • SD of predictor
    0.16487
  • SD of criterion
    0.51733
  • Covariance
    0.01958
  • r
    0.22961
  • b (slope, estimate of beta)
    0.72046
  • a (intercept, estimate of alpha)
    0.79366
  • Mean Square Error
    0.25548
  • DF error
    129.00000
  • t(b)
    2.67951
  • p(b)
    0.35512
  • t(a)
    1.10370
  • p(a)
    0.43852
  • VAR (95 Confidence Intrvl)
    0.05000
  • Lowerbound of 95% confidence interval for beta
    0.18848
  • Upperbound of 95% confidence interval for beta
    1.25245
  • Lowerbound of 95% confidence interval for alpha
    -0.62908
  • Upperbound of 95% confidence interval for alpha
    2.21641
  • Treynor index (mean / b)
    1.39281
  • Jensen alpha (a)
    0.79366
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04757
  • Expected Shortfall on VaR
    0.06014
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02016
  • Expected Shortfall on VaR
    0.03951
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91738
  • Quartile 1
    0.98796
  • Median
    1.00129
  • Quartile 3
    1.02022
  • Maximum
    1.17498
  • Mean of quarter 1
    0.96969
  • Mean of quarter 2
    0.99533
  • Mean of quarter 3
    1.01005
  • Mean of quarter 4
    1.04293
  • Inter Quartile Range
    0.03226
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.92645
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.13303
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22001
  • VaR(95%) (moments method)
    0.03009
  • Expected Shortfall (moments method)
    0.04736
  • Extreme Value Index (regression method)
    0.04249
  • VaR(95%) (regression method)
    0.02823
  • Expected Shortfall (regression method)
    0.03909
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00009
  • Quartile 1
    0.01059
  • Median
    0.02685
  • Quartile 3
    0.10353
  • Maximum
    0.32299
  • Mean of quarter 1
    0.00351
  • Mean of quarter 2
    0.01990
  • Mean of quarter 3
    0.04700
  • Mean of quarter 4
    0.22956
  • Inter Quartile Range
    0.09294
  • 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
    0.09091
  • Mean of outliers high
    0.32299
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.65798
  • VaR(95%) (moments method)
    0.26283
  • Expected Shortfall (moments method)
    0.26555
  • Extreme Value Index (regression method)
    -0.23589
  • VaR(95%) (regression method)
    0.33885
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.41651
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -295666000
  • Max Equity Drawdown (num days)
    43
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.34958
  • Compounded annual return (geometric extrapolation)
    1.80493
  • Calmar ratio (compounded annual return / max draw down)
    5.58822
  • Compounded annual return / average of 25% largest draw downs
    7.86267
  • Compounded annual return / Expected Shortfall lognormal
    30.01160

Strategy Description

This strategy is only based on technical patterns. This is 10 years of charting and sweat in action !
My intial position on a stock or option has a stop loss equivalent to 500$ if the trade fail. If the trade goes well, I double the position and the new stop loss is equivalent to 1000$. So adjust your position accordingly. lets say you cant loose more than 100$ per position, make sure to only follow with 10% of my position, if you can't loose more than 500$, follow with 50% of my position. Do not hesitate to ask me questions.

Summary Statistics

Strategy began
2020-07-27
Suggested Minimum Capital
$45,000
# Trades
576
# Profitable
320
% Profitable
55.6%
Correlation S&P500
0.195
Sharpe Ratio
1.41
Sortino Ratio
2.48
Beta
0.67
Alpha
0.21
Leverage
1.78 Average
10.62 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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