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These are hypothetical performance results that have certain inherent limitations. Learn more

PvStocks
(132418560)

Created by: PvTrading PvTrading
Started: 11/2020
Stocks
Last trade: 699 days ago
Trading style: Equity Non-hedged Equity 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 $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
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."
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).
6.8%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(40.3%)
Max Drawdown
102
Num Trades
72.5%
Win Trades
1.2 : 1
Profit Factor
36.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +6.3%+14.3%+21.4%
2021+23.4%+25.3%(9.5%)(7.9%)+6.8%+14.5%(10.4%)+2.7%+2.5%(4.5%)(4.6%)(8%)+24.6%
2022(5.3%)(0.1%)+6.9%(8.2%)+8.6%(1.8%)(2.7%)+0.1%(1.2%)(2%)(1.1%)(1%)(8.5%)
2023(0.6%)(4%)(0.1%)(2.3%)(0.1%)+0.3%(0.1%)(1.3%)(0.6%)(1.7%)+1.6%+0.1%(8.6%)
2024(0.3%)+2.1%(3.2%)                                                      (1.5%)

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 21 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1085 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/8/21 10:35 BIOL BIOLASE LONG 1,000 0.92 4/29/22 9:30 4.30 1.75%
Trade id #135061970
Max drawdown($637)
Time4/26/22 0:00
Quant open1,000
Worst price0.28
Drawdown as % of equity-1.75%
$3,375
Includes Typical Broker Commissions trade costs of $5.00
2/4/21 9:33 CRVS CORVUS PHARMACEUTICALS INC. LONG 600 4.27 9/17 15:43 5.17 1.74%
Trade id #133845623
Max drawdown($723)
Time8/17/21 0:00
Quant open300
Worst price1.86
Drawdown as % of equity-1.74%
$535
Includes Typical Broker Commissions trade costs of $8.50
6/11/21 10:29 ATOS ATOSSA THERAPEUTICS INC LONG 500 4.26 6/24 10:41 7.01 0.15%
Trade id #136023229
Max drawdown($70)
Time6/11/21 11:16
Quant open500
Worst price4.12
Drawdown as % of equity-0.15%
$1,364
Includes Typical Broker Commissions trade costs of $10.00
3/3/21 11:36 KMPH KEMPHARM INC. COMMON STOCK LONG 250 13.27 6/11 15:16 14.71 3.41%
Trade id #134391780
Max drawdown($1,259)
Time4/19/21 0:00
Quant open250
Worst price8.23
Drawdown as % of equity-3.41%
$354
Includes Typical Broker Commissions trade costs of $5.00
4/8/21 9:30 BOXL BOXLIGHT CORPORATION CLASS A LONG 1,000 2.63 6/9 10:03 2.75 2.35%
Trade id #135058866
Max drawdown($865)
Time4/20/21 0:00
Quant open1,000
Worst price1.77
Drawdown as % of equity-2.35%
$115
Includes Typical Broker Commissions trade costs of $5.00
5/28/21 10:28 SPCE VIRGIN GALACTIC HOLDINGS INC LONG 100 32.06 6/9 10:03 37.05 0.94%
Trade id #135821135
Max drawdown($394)
Time6/1/21 0:00
Quant open100
Worst price28.12
Drawdown as % of equity-0.94%
$497
Includes Typical Broker Commissions trade costs of $2.00
6/3/21 9:30 ATOS ATOSSA THERAPEUTICS INC LONG 1,000 3.94 6/9 10:03 5.64 0.16%
Trade id #135887796
Max drawdown($70)
Time6/3/21 9:43
Quant open1,000
Worst price3.87
Drawdown as % of equity-0.16%
$1,695
Includes Typical Broker Commissions trade costs of $5.00
5/28/21 10:26 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 100 35.53 5/28 10:28 35.44 0.02%
Trade id #135821038
Max drawdown($9)
Time5/28/21 10:28
Quant open100
Worst price35.44
Drawdown as % of equity-0.02%
($11)
Includes Typical Broker Commissions trade costs of $2.00
4/8/21 9:57 OVID OVID THERAPEUTICS INC. COMMON STOCK LONG 500 3.79 5/18 11:22 3.80 0.72%
Trade id #135060967
Max drawdown($289)
Time5/11/21 0:00
Quant open500
Worst price3.21
Drawdown as % of equity-0.72%
($5)
Includes Typical Broker Commissions trade costs of $10.00
2/16/21 9:30 PRPO PRECIPIO INC. COMMON STOCK LONG 800 3.54 5/4 9:30 6.38 3.96%
Trade id #134079727
Max drawdown($1,456)
Time4/20/21 0:00
Quant open800
Worst price1.72
Drawdown as % of equity-3.96%
$2,267
Includes Typical Broker Commissions trade costs of $5.00
3/2/21 9:52 CLSN CELSION CORPORATION COMMON STO LONG 1,000 2.18 4/16 10:18 1.10 2.88%
Trade id #134362709
Max drawdown($1,090)
Time4/16/21 9:59
Quant open1,000
Worst price1.09
Drawdown as % of equity-2.88%
($1,085)
Includes Typical Broker Commissions trade costs of $5.00
2/10/21 11:13 BXRX BAUDAX BIO INC LONG 1,500 1.87 4/13 10:23 1.07 2.96%
Trade id #133970233
Max drawdown($1,232)
Time4/13/21 9:31
Quant open1,500
Worst price1.05
Drawdown as % of equity-2.96%
($1,205)
Includes Typical Broker Commissions trade costs of $5.00
3/17/21 9:30 OCX ONCOCYTE CORP LONG 500 5.20 4/8 10:20 5.28 1.16%
Trade id #134669295
Max drawdown($490)
Time3/30/21 0:00
Quant open500
Worst price4.22
Drawdown as % of equity-1.16%
$30
Includes Typical Broker Commissions trade costs of $10.00
2/9/21 13:42 RNVA RENNOVA HEALTH INC. COMMON STOCK LONG 100,000 0.02 4/8 10:20 0.00 3.89%
Trade id #133948273
Max drawdown($1,670)
Time4/7/21 0:00
Quant open100,000
Worst price0.00
Drawdown as % of equity-3.89%
($1,645)
Includes Typical Broker Commissions trade costs of $5.00
2/17/21 9:30 LIXT LIXTE BIOTECHNOLOGY HOLDINGS INC. LONG 700 3.90 4/8 10:20 4.90 0.78%
Trade id #134105830
Max drawdown($371)
Time2/23/21 0:00
Quant open700
Worst price3.37
Drawdown as % of equity-0.78%
$689
Includes Typical Broker Commissions trade costs of $9.50
3/3/21 15:07 HIHO HIGHWAY HOLDINGS LONG 500 3.72 4/8 10:20 3.62 0.9%
Trade id #134398975
Max drawdown($400)
Time3/4/21 0:00
Quant open500
Worst price2.92
Drawdown as % of equity-0.90%
($60)
Includes Typical Broker Commissions trade costs of $10.00
2/9/21 13:28 DSS DSS INC LONG 750 4.10 4/8 10:20 4.03 1.33%
Trade id #133947940
Max drawdown($540)
Time3/5/21 0:00
Quant open400
Worst price2.75
Drawdown as % of equity-1.33%
($59)
Includes Typical Broker Commissions trade costs of $10.00
3/22/21 10:43 NKLA NIKOLA CORP LONG 150 16.25 3/30 10:21 13.25 1.06%
Trade id #134765134
Max drawdown($461)
Time3/25/21 0:00
Quant open150
Worst price13.18
Drawdown as % of equity-1.06%
($453)
Includes Typical Broker Commissions trade costs of $3.00
2/17/21 10:15 KNOS KRONOS ADVANCED TECH LONG 10,000 0.20 3/30 10:21 0.08 3.21%
Trade id #134108879
Max drawdown($1,300)
Time3/5/21 0:00
Quant open10,000
Worst price0.07
Drawdown as % of equity-3.21%
($1,205)
Includes Typical Broker Commissions trade costs of $5.00
2/23/21 9:30 AMPE AMPIO PHARMACEUTICALS INC LONG 1,000 1.87 3/23 15:41 1.69 1.53%
Trade id #134220771
Max drawdown($620)
Time3/5/21 0:00
Quant open1,000
Worst price1.25
Drawdown as % of equity-1.53%
($185)
Includes Typical Broker Commissions trade costs of $5.00
3/15/21 14:17 OCGN OCUGEN INC LONG 250 10.12 3/23 15:41 8.03 1.13%
Trade id #134624661
Max drawdown($541)
Time3/23/21 15:24
Quant open250
Worst price7.96
Drawdown as % of equity-1.13%
($528)
Includes Typical Broker Commissions trade costs of $5.00
3/9/21 10:36 TNXP TONIX PHARMACEUTICALS HOLDING LONG 2,000 1.13 3/19 13:29 1.43 0.19%
Trade id #134512631
Max drawdown($80)
Time3/10/21 0:00
Quant open2,000
Worst price1.09
Drawdown as % of equity-0.19%
$593
Includes Typical Broker Commissions trade costs of $7.50
2/16/21 9:31 DXF DUNXIN FINANCIAL HOLDINGS LTD LONG 1,500 1.87 3/18 9:58 2.20 3.37%
Trade id #134080155
Max drawdown($1,365)
Time3/5/21 0:00
Quant open1,500
Worst price0.96
Drawdown as % of equity-3.37%
$488
Includes Typical Broker Commissions trade costs of $7.50
2/19/21 11:22 BCRX BIOCRYST PHARMACEUTICALS LONG 250 11.52 3/18 9:52 13.35 1.13%
Trade id #134161934
Max drawdown($457)
Time3/5/21 0:00
Quant open250
Worst price9.69
Drawdown as % of equity-1.13%
$452
Includes Typical Broker Commissions trade costs of $5.00
3/17/21 13:03 LIVX LIVEXLIVE MEDIA INC. COMMON STOCK LONG 500 4.46 3/18 9:44 4.97 0.05%
Trade id #134678536
Max drawdown($25)
Time3/18/21 0:00
Quant open500
Worst price4.41
Drawdown as % of equity-0.05%
$245
Includes Typical Broker Commissions trade costs of $10.00
3/17/21 10:03 MKGI MONAKER GROUP INC. COMMON STOCK LONG 500 3.38 3/17 15:04 3.98 0.1%
Trade id #134671562
Max drawdown($49)
Time3/17/21 11:05
Quant open500
Worst price3.28
Drawdown as % of equity-0.10%
$291
Includes Typical Broker Commissions trade costs of $10.00
3/11/21 10:11 PSWW PRINCIPAL SOLAR INC. LONG 15,250 0.12 3/16 10:09 0.24 0.07%
Trade id #134560998
Max drawdown($30)
Time3/11/21 10:17
Quant open15,000
Worst price0.12
Drawdown as % of equity-0.07%
$1,801
Includes Typical Broker Commissions trade costs of $15.00
2/23/21 9:30 CCRC CHINA CUSTOMER RELATIONS CENTERS INC. O LONG 420 4.60 3/12 10:48 5.83 0.08%
Trade id #134220999
Max drawdown($37)
Time2/23/21 9:50
Quant open420
Worst price4.51
Drawdown as % of equity-0.08%
$508
Includes Typical Broker Commissions trade costs of $8.40
2/23/21 10:20 AMC AMC ENTERTAINMENT HOLDINGS INC LONG 250 6.87 3/10 11:21 11.20 0.09%
Trade id #134226265
Max drawdown($45)
Time2/23/21 10:35
Quant open250
Worst price6.69
Drawdown as % of equity-0.09%
$1,078
Includes Typical Broker Commissions trade costs of $5.00
2/11/21 10:33 CRBP CORBUS PHARMACEUTICALS HOLDINGS INC. LONG 750 3.81 3/4 11:24 2.13 2.81%
Trade id #134008890
Max drawdown($1,335)
Time2/23/21 0:00
Quant open750
Worst price2.03
Drawdown as % of equity-2.81%
($1,265)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    11/24/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1218.63
  • Age
    41 months ago
  • What it trades
    Stocks
  • # Trades
    102
  • # Profitable
    74
  • % Profitable
    72.50%
  • Avg trade duration
    186.0 days
  • Max peak-to-valley drawdown
    40.34%
  • drawdown period
    March 18, 2021 - March 04, 2022
  • Annual Return (Compounded)
    6.8%
  • Avg win
    $636.93
  • Avg loss
    $1,391
  • Model Account Values (Raw)
  • Cash
    $41,195
  • Margin Used
    $0
  • Buying Power
    $15,319
  • Ratios
  • W:L ratio
    1.21:1
  • Sharpe Ratio
    0.28
  • Sortino Ratio
    0.42
  • Calmar Ratio
    0.698
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -18.43%
  • Correlation to SP500
    0.09260
  • Return Percent SP500 (cumu) during strategy life
    44.53%
  • Return Statistics
  • Ann Return (w trading costs)
    6.8%
  • Slump
  • Current Slump as Pcnt Equity
    62.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.068%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.50%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • 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
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,391
  • Avg Win
    $637
  • Sum Trade PL (losers)
    $38,955.000
  • Age
  • Num Months filled monthly returns table
    41
  • Win / Loss
  • Sum Trade PL (winners)
    $47,133.000
  • # Winners
    74
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    28
  • % Winners
    72.5%
  • Frequency
  • Avg Position Time (mins)
    267898.00
  • Avg Position Time (hrs)
    4464.96
  • Avg Trade Length
    186.0 days
  • Last Trade Ago
    1001
  • Leverage
  • Daily leverage (average)
    0.85
  • Daily leverage (max)
    1.33
  • Regression
  • Alpha
    0.02
  • Beta
    0.11
  • Treynor Index
    0.16
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.08
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    14.326
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.482
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.073
  • Hold-and-Hope Ratio
    0.095
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34257
  • SD
    0.50035
  • Sharpe ratio (Glass type estimate)
    0.68466
  • Sharpe ratio (Hedges UMVUE)
    0.64426
  • df
    13.00000
  • t
    0.73952
  • p
    0.37295
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16129
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50510
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18714
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47565
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.59488
  • Upside Potential Ratio
    3.88676
  • Upside part of mean
    0.83486
  • Downside part of mean
    -0.49228
  • Upside SD
    0.44284
  • Downside SD
    0.21480
  • N nonnegative terms
    6.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.16139
  • Mean of criterion
    0.34257
  • SD of predictor
    0.17717
  • SD of criterion
    0.50035
  • Covariance
    -0.00136
  • r
    -0.01529
  • b (slope, estimate of beta)
    -0.04317
  • a (intercept, estimate of alpha)
    0.34954
  • Mean Square Error
    0.27115
  • DF error
    12.00000
  • t(b)
    -0.05296
  • p(b)
    0.50764
  • t(a)
    0.69947
  • p(a)
    0.40104
  • Lowerbound of 95% confidence interval for beta
    -1.81930
  • Upperbound of 95% confidence interval for beta
    1.73295
  • Lowerbound of 95% confidence interval for alpha
    -0.73926
  • Upperbound of 95% confidence interval for alpha
    1.43834
  • Treynor index (mean / b)
    -7.93491
  • Jensen alpha (a)
    0.34954
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23490
  • SD
    0.46135
  • Sharpe ratio (Glass type estimate)
    0.50917
  • Sharpe ratio (Hedges UMVUE)
    0.47912
  • df
    13.00000
  • t
    0.54996
  • p
    0.40437
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32529
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32448
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34478
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30301
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03742
  • Upside Potential Ratio
    3.31558
  • Upside part of mean
    0.75075
  • Downside part of mean
    -0.51585
  • Upside SD
    0.38855
  • Downside SD
    0.22643
  • N nonnegative terms
    6.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.14547
  • Mean of criterion
    0.23490
  • SD of predictor
    0.17778
  • SD of criterion
    0.46135
  • Covariance
    -0.00029
  • r
    -0.00356
  • b (slope, estimate of beta)
    -0.00925
  • a (intercept, estimate of alpha)
    0.23625
  • Mean Square Error
    0.23058
  • DF error
    12.00000
  • t(b)
    -0.01235
  • p(b)
    0.50178
  • t(a)
    0.51614
  • p(a)
    0.42631
  • Lowerbound of 95% confidence interval for beta
    -1.64144
  • Upperbound of 95% confidence interval for beta
    1.62294
  • Lowerbound of 95% confidence interval for alpha
    -0.76105
  • Upperbound of 95% confidence interval for alpha
    1.23355
  • Treynor index (mean / b)
    -25.39650
  • Jensen alpha (a)
    0.23625
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18085
  • Expected Shortfall on VaR
    0.22426
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10201
  • Expected Shortfall on VaR
    0.15574
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.86843
  • Quartile 1
    0.91981
  • Median
    0.97849
  • Quartile 3
    1.11907
  • Maximum
    1.38006
  • Mean of quarter 1
    0.89443
  • Mean of quarter 2
    0.95679
  • Mean of quarter 3
    1.03873
  • Mean of quarter 4
    1.21699
  • Inter Quartile Range
    0.19926
  • 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)
    -0.23057
  • VaR(95%) (moments method)
    0.11633
  • Expected Shortfall (moments method)
    0.12811
  • Extreme Value Index (regression method)
    0.61960
  • VaR(95%) (regression method)
    0.12366
  • Expected Shortfall (regression method)
    0.20536
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.13393
  • Quartile 1
    0.17748
  • Median
    0.22103
  • Quartile 3
    0.26458
  • Maximum
    0.30813
  • Mean of quarter 1
    0.13393
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.30813
  • Inter Quartile Range
    0.08710
  • 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)
    0.30756
  • Compounded annual return (geometric extrapolation)
    0.30058
  • Calmar ratio (compounded annual return / max draw down)
    0.97549
  • Compounded annual return / average of 25% largest draw downs
    0.97549
  • Compounded annual return / Expected Shortfall lognormal
    1.34030
  • 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
    0.24575
  • SD
    0.33009
  • Sharpe ratio (Glass type estimate)
    0.74451
  • Sharpe ratio (Hedges UMVUE)
    0.74278
  • df
    324.00000
  • t
    0.82920
  • p
    0.20380
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01674
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50468
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01792
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50349
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20077
  • Upside Potential Ratio
    9.30208
  • Upside part of mean
    1.90379
  • Downside part of mean
    -1.65804
  • Upside SD
    0.25878
  • Downside SD
    0.20466
  • N nonnegative terms
    159.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    325.00000
  • Mean of predictor
    0.29552
  • Mean of criterion
    0.24575
  • SD of predictor
    0.26127
  • SD of criterion
    0.33009
  • Covariance
    0.00649
  • r
    0.07527
  • b (slope, estimate of beta)
    0.09509
  • a (intercept, estimate of alpha)
    0.21800
  • Mean Square Error
    0.10868
  • DF error
    323.00000
  • t(b)
    1.35663
  • p(b)
    0.08792
  • t(a)
    0.73354
  • p(a)
    0.23188
  • Lowerbound of 95% confidence interval for beta
    -0.04281
  • Upperbound of 95% confidence interval for beta
    0.23300
  • Lowerbound of 95% confidence interval for alpha
    -0.36608
  • Upperbound of 95% confidence interval for alpha
    0.80139
  • Treynor index (mean / b)
    2.58429
  • Jensen alpha (a)
    0.21765
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19196
  • SD
    0.32731
  • Sharpe ratio (Glass type estimate)
    0.58648
  • Sharpe ratio (Hedges UMVUE)
    0.58513
  • df
    324.00000
  • t
    0.65320
  • p
    0.25705
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17431
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34640
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17522
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34548
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91894
  • Upside Potential Ratio
    8.95835
  • Upside part of mean
    1.87134
  • Downside part of mean
    -1.67938
  • Upside SD
    0.25161
  • Downside SD
    0.20889
  • N nonnegative terms
    159.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    325.00000
  • Mean of predictor
    0.26120
  • Mean of criterion
    0.19196
  • SD of predictor
    0.26203
  • SD of criterion
    0.32731
  • Covariance
    0.00690
  • r
    0.08047
  • b (slope, estimate of beta)
    0.10051
  • a (intercept, estimate of alpha)
    0.16571
  • Mean Square Error
    0.10677
  • DF error
    323.00000
  • t(b)
    1.45088
  • p(b)
    0.07389
  • t(a)
    0.56376
  • p(a)
    0.28666
  • Lowerbound of 95% confidence interval for beta
    -0.03578
  • Upperbound of 95% confidence interval for beta
    0.23680
  • Lowerbound of 95% confidence interval for alpha
    -0.41256
  • Upperbound of 95% confidence interval for alpha
    0.74398
  • Treynor index (mean / b)
    1.90982
  • Jensen alpha (a)
    0.16571
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03200
  • Expected Shortfall on VaR
    0.04012
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01481
  • Expected Shortfall on VaR
    0.02852
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    325.00000
  • Minimum
    0.91656
  • Quartile 1
    0.99186
  • Median
    0.99988
  • Quartile 3
    1.00854
  • Maximum
    1.11562
  • Mean of quarter 1
    0.97920
  • Mean of quarter 2
    0.99589
  • Mean of quarter 3
    1.00397
  • Mean of quarter 4
    1.02539
  • Inter Quartile Range
    0.01669
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.04308
  • Mean of outliers low
    0.95651
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.05846
  • Mean of outliers high
    1.05208
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12334
  • VaR(95%) (moments method)
    0.01968
  • Expected Shortfall (moments method)
    0.02870
  • Extreme Value Index (regression method)
    0.09573
  • VaR(95%) (regression method)
    0.02079
  • Expected Shortfall (regression method)
    0.03014
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00224
  • Quartile 1
    0.00739
  • Median
    0.01191
  • Quartile 3
    0.04819
  • Maximum
    0.35220
  • Mean of quarter 1
    0.00463
  • Mean of quarter 2
    0.01064
  • Mean of quarter 3
    0.03007
  • Mean of quarter 4
    0.26267
  • Inter Quartile Range
    0.04080
  • 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
    0.22222
  • Mean of outliers high
    0.26267
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -8.45735
  • VaR(95%) (moments method)
    0.13623
  • Expected Shortfall (moments method)
    0.13623
  • Extreme Value Index (regression method)
    -0.48099
  • VaR(95%) (regression method)
    0.41292
  • Expected Shortfall (regression method)
    0.49955
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25277
  • Compounded annual return (geometric extrapolation)
    0.24591
  • Calmar ratio (compounded annual return / max draw down)
    0.69823
  • Compounded annual return / average of 25% largest draw downs
    0.93621
  • Compounded annual return / Expected Shortfall lognormal
    6.12903
  • 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
    -0.63252
  • SD
    0.31891
  • Sharpe ratio (Glass type estimate)
    -1.98336
  • Sharpe ratio (Hedges UMVUE)
    -1.97190
  • df
    130.00000
  • t
    -1.40245
  • p
    0.56104
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.76188
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80266
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.75405
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81025
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.05072
  • Upside Potential Ratio
    6.24211
  • Upside part of mean
    1.29420
  • Downside part of mean
    -1.92671
  • Upside SD
    0.24386
  • Downside SD
    0.20733
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32617
  • Mean of criterion
    -0.63252
  • SD of predictor
    0.38386
  • SD of criterion
    0.31891
  • Covariance
    0.00759
  • r
    0.06202
  • b (slope, estimate of beta)
    0.05153
  • a (intercept, estimate of alpha)
    -0.64932
  • Mean Square Error
    0.10210
  • DF error
    129.00000
  • t(b)
    0.70581
  • p(b)
    0.46054
  • t(a)
    -1.43494
  • p(a)
    0.57959
  • Lowerbound of 95% confidence interval for beta
    -0.09292
  • Upperbound of 95% confidence interval for beta
    0.19598
  • Lowerbound of 95% confidence interval for alpha
    -1.54462
  • Upperbound of 95% confidence interval for alpha
    0.24597
  • Treynor index (mean / b)
    -12.27480
  • Jensen alpha (a)
    -0.64932
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.68250
  • SD
    0.31303
  • Sharpe ratio (Glass type estimate)
    -2.18027
  • Sharpe ratio (Hedges UMVUE)
    -2.16767
  • df
    130.00000
  • t
    -1.54168
  • p
    0.56700
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.96060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.60830
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.95197
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61663
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.24492
  • Upside Potential Ratio
    6.01875
  • Upside part of mean
    1.26592
  • Downside part of mean
    -1.94841
  • Upside SD
    0.23406
  • Downside SD
    0.21033
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25258
  • Mean of criterion
    -0.68250
  • SD of predictor
    0.38513
  • SD of criterion
    0.31303
  • Covariance
    0.00828
  • r
    0.06871
  • b (slope, estimate of beta)
    0.05585
  • a (intercept, estimate of alpha)
    -0.69661
  • Mean Square Error
    0.09828
  • DF error
    129.00000
  • t(b)
    0.78221
  • p(b)
    0.45629
  • t(a)
    -1.56990
  • p(a)
    0.58689
  • VAR (95 Confidence Intrvl)
    0.03200
  • Lowerbound of 95% confidence interval for beta
    -0.08541
  • Upperbound of 95% confidence interval for beta
    0.19710
  • Lowerbound of 95% confidence interval for alpha
    -1.57453
  • Upperbound of 95% confidence interval for alpha
    0.18132
  • Treynor index (mean / b)
    -12.22130
  • Jensen alpha (a)
    -0.69661
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03383
  • Expected Shortfall on VaR
    0.04158
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01866
  • Expected Shortfall on VaR
    0.03237
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95505
  • Quartile 1
    0.98895
  • Median
    0.99835
  • Quartile 3
    1.00367
  • Maximum
    1.11562
  • Mean of quarter 1
    0.97709
  • Mean of quarter 2
    0.99418
  • Mean of quarter 3
    1.00099
  • Mean of quarter 4
    1.01861
  • Inter Quartile Range
    0.01472
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.96279
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.05465
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.48439
  • VaR(95%) (moments method)
    0.02335
  • Expected Shortfall (moments method)
    0.02681
  • Extreme Value Index (regression method)
    -0.51887
  • VaR(95%) (regression method)
    0.02510
  • Expected Shortfall (regression method)
    0.02877
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00107
  • Quartile 1
    0.07870
  • Median
    0.15633
  • Quartile 3
    0.23396
  • Maximum
    0.31160
  • Mean of quarter 1
    0.00107
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.31160
  • Inter Quartile Range
    0.15526
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -379828000
  • Max Equity Drawdown (num days)
    351
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.55826
  • Compounded annual return (geometric extrapolation)
    -0.48035
  • Calmar ratio (compounded annual return / max draw down)
    -1.54157
  • Compounded annual return / average of 25% largest draw downs
    -1.54157
  • Compounded annual return / Expected Shortfall lognormal
    -11.55190

Strategy Description

This strategy is only going long on stocks. So only buying them. No short selling, no options.
Most trades are swing trades, roughly between 2 and 15 days holding. Day trades might occur when the opportunity arises, but it's not the main focus. This makes entry timing less critical for people who prefer to trade this signal manually.
We do not trade the 'obvious' blue chip stocks, but mostly less known ones under 10$. Occasionally over 10.
The open value of each position is capped to approx 10% of equity.

Summary Statistics

Strategy began
2020-11-24
Suggested Minimum Capital
$15,000
# Trades
102
# Profitable
74
% Profitable
72.5%
Correlation S&P500
0.093
Sharpe Ratio
0.28
Sortino Ratio
0.42
Beta
0.11
Alpha
0.02
Leverage
0.85 Average
1.33 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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