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This is an archived track record. This track record was archived on 12/6/21 22:20 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

All Weather SP Track v2
(132701903)

Created by: FDominguez FDominguez
Started: 12/2020
Stocks
Last trade: 843 days ago

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.

-7.0%
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.

(18.7%)
Max Drawdown
279
Num Trades
53.8%
Win Trades
0.9 : 1
Profit Factor
17.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                             +1.4%+1.4%
2021+3.6%(0.8%)(2.7%)+0.2%  -  +2.3%+1.5%+1.4%(5.5%)+1.4%(7.2%)(2.3%)(8.3%)
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/6/21 15:59 VT VANGUARD TOTAL WORLD STOCK IND LONG 21 104.91 12/6 22:20 104.93 n/a $0
Includes Typical Broker Commissions trade costs of $0.42
12/6/21 15:59 USMV ISHARES EDGE MSCI MIN VOL USA LONG 119 77.21 12/6 22:20 77.25 n/a $3
Includes Typical Broker Commissions trade costs of $2.38
12/6/21 15:59 TEAM ATLASSIAN CORPORATION PLC CLASS A LONG 14 353.54 12/6 22:20 353.44 n/a ($1)
Includes Typical Broker Commissions trade costs of $0.28
12/6/21 15:59 SPLK SPLUNK INC LONG 10 113.58 12/6 22:20 113.54 n/a $0
Includes Typical Broker Commissions trade costs of $0.20
12/6/21 15:59 SH PROSHARES SHORT S&P500 LONG 132 14.19 12/6 22:20 14.19 n/a ($3)
Includes Typical Broker Commissions trade costs of $2.64
12/6/21 15:59 QQQ POWERSHARES QQQ LONG 35 386.24 12/6 22:20 386.20 n/a ($2)
Includes Typical Broker Commissions trade costs of $0.70
12/6/21 15:59 PYPL PAYPAL HOLDINGS CORP LONG 46 184.85 12/6 22:20 184.86 n/a ($1)
Includes Typical Broker Commissions trade costs of $0.92
12/6/21 15:59 NOW SERVICENOW LONG 3 617.12 12/6 22:20 616.54 n/a ($2)
Includes Typical Broker Commissions trade costs of $0.06
12/6/21 15:59 MSFT MICROSOFT LONG 3 326.23 12/6 22:20 326.19 n/a $0
Includes Typical Broker Commissions trade costs of $0.06
12/6/21 15:59 INTU INTUIT LONG 8 645.62 12/6 22:20 645.34 n/a ($2)
Includes Typical Broker Commissions trade costs of $0.16
12/6/21 15:59 DGII DIGI INTERNATIONAL LONG 75 22.84 12/6 22:20 22.76 n/a ($8)
Includes Typical Broker Commissions trade costs of $1.50
12/6/21 15:59 CDNS CADENCE DESIGN SYSTEMS LONG 11 177.20 12/6 22:20 177.21 n/a $0
Includes Typical Broker Commissions trade costs of $0.22
5/11/21 13:54 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 10 44.13 12/6 22:20 38.40 0.39%
Trade id #135562818
Max drawdown($201)
Time6/22/21 0:00
Quant open10
Worst price24.00
Drawdown as % of equity-0.39%
($57)
Includes Typical Broker Commissions trade costs of $0.20
12/2/21 15:59 SH PROSHARES SHORT S&P500 LONG 131 14.24 12/3 15:59 14.34 0.03%
Trade id #138436871
Max drawdown($13)
Time12/3/21 0:00
Quant open131
Worst price14.14
Drawdown as % of equity-0.03%
$10
Includes Typical Broker Commissions trade costs of $2.62
12/2/21 15:59 VT VANGUARD TOTAL WORLD STOCK IND LONG 26 104.73 12/3 15:59 103.79 0.1%
Trade id #138436903
Max drawdown($46)
Time12/3/21 15:00
Quant open26
Worst price102.92
Drawdown as % of equity-0.10%
($25)
Includes Typical Broker Commissions trade costs of $0.52
12/2/21 15:59 USMV ISHARES EDGE MSCI MIN VOL USA LONG 167 76.66 12/3 15:59 76.62 0.22%
Trade id #138436899
Max drawdown($106)
Time12/3/21 11:05
Quant open167
Worst price76.02
Drawdown as % of equity-0.22%
($10)
Includes Typical Broker Commissions trade costs of $3.34
12/2/21 15:59 SPLK SPLUNK INC LONG 10 117.00 12/3 15:59 114.21 0.19%
Trade id #138436878
Max drawdown($89)
Time12/3/21 12:11
Quant open10
Worst price108.08
Drawdown as % of equity-0.19%
($28)
Includes Typical Broker Commissions trade costs of $0.20
12/2/21 15:59 NOW SERVICENOW LONG 3 623.38 12/3 15:59 613.78 0.19%
Trade id #138436849
Max drawdown($90)
Time12/3/21 12:13
Quant open3
Worst price593.16
Drawdown as % of equity-0.19%
($29)
Includes Typical Broker Commissions trade costs of $0.06
12/2/21 15:59 MSFT MICROSOFT LONG 3 329.51 12/3 15:59 323.26 0.07%
Trade id #138436844
Max drawdown($34)
Time12/3/21 14:01
Quant open3
Worst price318.03
Drawdown as % of equity-0.07%
($19)
Includes Typical Broker Commissions trade costs of $0.06
12/2/21 15:59 INTU INTUIT LONG 1 672.05 12/3 15:59 648.81 0.08%
Trade id #138436837
Max drawdown($37)
Time12/3/21 14:20
Quant open1
Worst price634.98
Drawdown as % of equity-0.08%
($23)
Includes Typical Broker Commissions trade costs of $0.02
12/2/21 15:59 CDNS CADENCE DESIGN SYSTEMS LONG 11 184.71 12/3 15:59 178.08 0.22%
Trade id #138436821
Max drawdown($103)
Time12/3/21 15:46
Quant open11
Worst price175.34
Drawdown as % of equity-0.22%
($73)
Includes Typical Broker Commissions trade costs of $0.22
12/2/21 15:59 TEAM ATLASSIAN CORPORATION PLC CLASS A LONG 7 368.62 12/3 15:59 349.76 0.42%
Trade id #138436889
Max drawdown($200)
Time12/3/21 12:03
Quant open7
Worst price339.97
Drawdown as % of equity-0.42%
($132)
Includes Typical Broker Commissions trade costs of $0.14
12/2/21 15:59 SQ BLOCK INC LONG 16 192.22 12/3 15:59 181.30 0.6%
Trade id #138436882
Max drawdown($286)
Time12/3/21 12:04
Quant open16
Worst price174.34
Drawdown as % of equity-0.60%
($175)
Includes Typical Broker Commissions trade costs of $0.32
12/2/21 15:59 QQQ POWERSHARES QQQ LONG 28 389.82 12/3 15:59 383.32 0.64%
Trade id #138436861
Max drawdown($305)
Time12/3/21 15:01
Quant open28
Worst price378.90
Drawdown as % of equity-0.64%
($183)
Includes Typical Broker Commissions trade costs of $0.56
12/2/21 15:59 PYPL PAYPAL HOLDINGS CORP LONG 41 187.36 12/3 15:59 184.02 0.7%
Trade id #138436856
Max drawdown($330)
Time12/3/21 11:59
Quant open41
Worst price179.29
Drawdown as % of equity-0.70%
($138)
Includes Typical Broker Commissions trade costs of $0.82
12/2/21 15:59 DGII DIGI INTERNATIONAL LONG 188 22.35 12/3 15:59 22.25 0.19%
Trade id #138436830
Max drawdown($88)
Time12/3/21 9:55
Quant open188
Worst price21.88
Drawdown as % of equity-0.19%
($23)
Includes Typical Broker Commissions trade costs of $3.76
11/29/21 15:59 QQQ POWERSHARES QQQ LONG 9 399.87 11/30 15:59 393.60 0.15%
Trade id #138382955
Max drawdown($73)
Time11/30/21 12:11
Quant open9
Worst price391.75
Drawdown as % of equity-0.15%
($56)
Includes Typical Broker Commissions trade costs of $0.18
11/29/21 15:59 NOW SERVICENOW LONG 2 673.47 11/30 15:59 647.10 0.13%
Trade id #138382944
Max drawdown($61)
Time11/30/21 15:40
Quant open2
Worst price642.64
Drawdown as % of equity-0.13%
($53)
Includes Typical Broker Commissions trade costs of $0.04
11/29/21 15:59 MSFT MICROSOFT LONG 10 336.82 11/30 15:59 331.43 0.16%
Trade id #138382922
Max drawdown($78)
Time11/30/21 11:50
Quant open10
Worst price328.99
Drawdown as % of equity-0.16%
($54)
Includes Typical Broker Commissions trade costs of $0.20
11/29/21 15:59 VT VANGUARD TOTAL WORLD STOCK IND LONG 21 105.87 11/30 15:59 104.26 0.09%
Trade id #138382984
Max drawdown($42)
Time11/30/21 12:11
Quant open21
Worst price103.85
Drawdown as % of equity-0.09%
($34)
Includes Typical Broker Commissions trade costs of $0.42

Statistics

  • Strategy began
    12/8/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1204.82
  • Age
    40 months ago
  • What it trades
    Stocks
  • # Trades
    279
  • # Profitable
    150
  • % Profitable
    53.80%
  • Avg trade duration
    14.9 days
  • Max peak-to-valley drawdown
    18.72%
  • drawdown period
    Sept 21, 2021 - Dec 03, 2021
  • Cumul. Return
    -7.0%
  • Avg win
    $101.39
  • Avg loss
    $126.43
  • Model Account Values (Raw)
  • Cash
    $49,077
  • Margin Used
    $0
  • Buying Power
    $49,077
  • Ratios
  • W:L ratio
    0.94:1
  • Sharpe Ratio
    -0.46
  • Sortino Ratio
    -0.64
  • Calmar Ratio
    -0.13
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -31.06%
  • Correlation to SP500
    0.14570
  • Return Percent SP500 (cumu) during strategy life
    41.76%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -7.0%
  • Slump
  • Current Slump as Pcnt Equity
    22.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.76%
  • 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)
    -0.070%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    64.50%
  • Chance of 20% account loss
    19.00%
  • Chance of 30% account loss
    1.00%
  • 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
    95.76%
  • 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
    $126
  • Avg Win
    $101
  • Sum Trade PL (losers)
    $16,310.000
  • Age
  • Num Months filled monthly returns table
    40
  • Win / Loss
  • Sum Trade PL (winners)
    $15,209.000
  • # Winners
    150
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    181
  • Win / Loss
  • # Losers
    129
  • % Winners
    53.8%
  • Frequency
  • Avg Position Time (mins)
    21433.80
  • Avg Position Time (hrs)
    357.23
  • Avg Trade Length
    14.9 days
  • Last Trade Ago
    842
  • Leverage
  • Daily leverage (average)
    0.77
  • Daily leverage (max)
    2.16
  • Regression
  • Alpha
    -0.01
  • Beta
    0.06
  • Treynor Index
    -0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.16
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -13.559
  • 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
    0.606
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.346
  • Hold-and-Hope Ratio
    -0.074
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02931
  • SD
    0.13569
  • Sharpe ratio (Glass type estimate)
    0.21600
  • Sharpe ratio (Hedges UMVUE)
    0.19932
  • df
    10.00000
  • t
    0.20681
  • p
    0.42016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83853
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.84966
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24829
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33076
  • Upside Potential Ratio
    2.23647
  • Upside part of mean
    0.19819
  • Downside part of mean
    -0.16888
  • Upside SD
    0.09464
  • Downside SD
    0.08862
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.23405
  • Mean of criterion
    0.02931
  • SD of predictor
    0.08088
  • SD of criterion
    0.13569
  • Covariance
    0.00618
  • r
    0.56271
  • b (slope, estimate of beta)
    0.94410
  • a (intercept, estimate of alpha)
    -0.19166
  • Mean Square Error
    0.01398
  • DF error
    9.00000
  • t(b)
    2.04210
  • p(b)
    0.03576
  • t(a)
    -1.16727
  • p(a)
    0.86345
  • Lowerbound of 95% confidence interval for beta
    -0.10174
  • Upperbound of 95% confidence interval for beta
    1.98994
  • Lowerbound of 95% confidence interval for alpha
    -0.56310
  • Upperbound of 95% confidence interval for alpha
    0.17978
  • Treynor index (mean / b)
    0.03105
  • Jensen alpha (a)
    -0.19166
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02090
  • SD
    0.13528
  • Sharpe ratio (Glass type estimate)
    0.15449
  • Sharpe ratio (Hedges UMVUE)
    0.14255
  • df
    10.00000
  • t
    0.14791
  • p
    0.44268
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89752
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19895
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.90552
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19062
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23034
  • Upside Potential Ratio
    2.13194
  • Upside part of mean
    0.19343
  • Downside part of mean
    -0.17253
  • Upside SD
    0.09188
  • Downside SD
    0.09073
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.22841
  • Mean of criterion
    0.02090
  • SD of predictor
    0.07939
  • SD of criterion
    0.13528
  • Covariance
    0.00612
  • r
    0.57009
  • b (slope, estimate of beta)
    0.97145
  • a (intercept, estimate of alpha)
    -0.20099
  • Mean Square Error
    0.01372
  • DF error
    9.00000
  • t(b)
    2.08169
  • p(b)
    0.03354
  • t(a)
    -1.23854
  • p(a)
    0.87658
  • Lowerbound of 95% confidence interval for beta
    -0.08422
  • Upperbound of 95% confidence interval for beta
    2.02711
  • Lowerbound of 95% confidence interval for alpha
    -0.56809
  • Upperbound of 95% confidence interval for alpha
    0.16611
  • Treynor index (mean / b)
    0.02151
  • Jensen alpha (a)
    -0.20099
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06058
  • Expected Shortfall on VaR
    0.07569
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02686
  • Expected Shortfall on VaR
    0.05153
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.94237
  • Quartile 1
    0.97846
  • Median
    1.01342
  • Quartile 3
    1.01903
  • Maximum
    1.06818
  • Mean of quarter 1
    0.95499
  • Mean of quarter 2
    1.00264
  • Mean of quarter 3
    1.01710
  • Mean of quarter 4
    1.04846
  • Inter Quartile Range
    0.04057
  • 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)
    -5.23243
  • VaR(95%) (moments method)
    0.04981
  • Expected Shortfall (moments method)
    0.04982
  • Extreme Value Index (regression method)
    -0.92177
  • VaR(95%) (regression method)
    0.06228
  • Expected Shortfall (regression method)
    0.06645
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04274
  • Quartile 1
    0.05333
  • Median
    0.06392
  • Quartile 3
    0.07451
  • Maximum
    0.08509
  • Mean of quarter 1
    0.04274
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08509
  • Inter Quartile Range
    0.02118
  • 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)
    0.04991
  • Compounded annual return (geometric extrapolation)
    0.05002
  • Calmar ratio (compounded annual return / max draw down)
    0.58777
  • Compounded annual return / average of 25% largest draw downs
    0.58777
  • Compounded annual return / Expected Shortfall lognormal
    0.66082
  • 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
    -0.04187
  • SD
    0.09886
  • Sharpe ratio (Glass type estimate)
    -0.42353
  • Sharpe ratio (Hedges UMVUE)
    -0.42228
  • df
    254.00000
  • t
    -0.41784
  • p
    0.66179
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.41018
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56387
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.40930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56474
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.59161
  • Upside Potential Ratio
    7.03457
  • Upside part of mean
    0.49787
  • Downside part of mean
    -0.53975
  • Upside SD
    0.06880
  • Downside SD
    0.07078
  • N nonnegative terms
    122.00000
  • N negative terms
    133.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    255.00000
  • Mean of predictor
    0.20118
  • Mean of criterion
    -0.04187
  • SD of predictor
    0.12492
  • SD of criterion
    0.09886
  • Covariance
    0.00527
  • r
    0.42660
  • b (slope, estimate of beta)
    0.33761
  • a (intercept, estimate of alpha)
    -0.05400
  • Mean Square Error
    0.00803
  • DF error
    253.00000
  • t(b)
    7.50237
  • p(b)
    -0.00000
  • t(a)
    -1.20302
  • p(a)
    0.88495
  • Lowerbound of 95% confidence interval for beta
    0.24899
  • Upperbound of 95% confidence interval for beta
    0.42623
  • Lowerbound of 95% confidence interval for alpha
    -0.28953
  • Upperbound of 95% confidence interval for alpha
    0.06994
  • Treynor index (mean / b)
    -0.12402
  • Jensen alpha (a)
    -0.10979
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04674
  • SD
    0.09882
  • Sharpe ratio (Glass type estimate)
    -0.47293
  • Sharpe ratio (Hedges UMVUE)
    -0.47153
  • df
    254.00000
  • t
    -0.46657
  • p
    0.67939
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45960
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45863
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51558
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.65593
  • Upside Potential Ratio
    6.95399
  • Upside part of mean
    0.49548
  • Downside part of mean
    -0.54221
  • Upside SD
    0.06826
  • Downside SD
    0.07125
  • N nonnegative terms
    122.00000
  • N negative terms
    133.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    255.00000
  • Mean of predictor
    0.19331
  • Mean of criterion
    -0.04674
  • SD of predictor
    0.12504
  • SD of criterion
    0.09882
  • Covariance
    0.00527
  • r
    0.42671
  • b (slope, estimate of beta)
    0.33723
  • a (intercept, estimate of alpha)
    -0.11192
  • Mean Square Error
    0.00802
  • DF error
    253.00000
  • t(b)
    7.50472
  • p(b)
    -0.00000
  • t(a)
    -1.22743
  • p(a)
    0.88960
  • Lowerbound of 95% confidence interval for beta
    0.24873
  • Upperbound of 95% confidence interval for beta
    0.42572
  • Lowerbound of 95% confidence interval for alpha
    -0.29150
  • Upperbound of 95% confidence interval for alpha
    0.06766
  • Treynor index (mean / b)
    -0.13859
  • Jensen alpha (a)
    -0.11192
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01017
  • Expected Shortfall on VaR
    0.01269
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00486
  • Expected Shortfall on VaR
    0.00962
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    255.00000
  • Minimum
    0.97527
  • Quartile 1
    0.99754
  • Median
    1.00000
  • Quartile 3
    1.00233
  • Maximum
    1.03000
  • Mean of quarter 1
    0.99291
  • Mean of quarter 2
    0.99910
  • Mean of quarter 3
    1.00104
  • Mean of quarter 4
    1.00675
  • Inter Quartile Range
    0.00479
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.06275
  • Mean of outliers low
    0.98557
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.04706
  • Mean of outliers high
    1.01598
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28377
  • VaR(95%) (moments method)
    0.00686
  • Expected Shortfall (moments method)
    0.01163
  • Extreme Value Index (regression method)
    0.04871
  • VaR(95%) (regression method)
    0.00656
  • Expected Shortfall (regression method)
    0.00934
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00081
  • Quartile 1
    0.00211
  • Median
    0.00608
  • Quartile 3
    0.01286
  • Maximum
    0.11317
  • Mean of quarter 1
    0.00123
  • Mean of quarter 2
    0.00409
  • Mean of quarter 3
    0.00844
  • Mean of quarter 4
    0.07406
  • Inter Quartile Range
    0.01075
  • 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
    0.16667
  • Mean of outliers high
    0.10155
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -102.99100
  • VaR(95%) (moments method)
    0.05115
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.60922
  • VaR(95%) (regression method)
    0.17265
  • Expected Shortfall (regression method)
    0.17474
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01866
  • Compounded annual return (geometric extrapolation)
    -0.01865
  • Calmar ratio (compounded annual return / max draw down)
    -0.16482
  • Compounded annual return / average of 25% largest draw downs
    -0.25186
  • Compounded annual return / Expected Shortfall lognormal
    -1.47009
  • 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
    -0.13660
  • SD
    0.09546
  • Sharpe ratio (Glass type estimate)
    -1.43107
  • Sharpe ratio (Hedges UMVUE)
    -1.42280
  • df
    130.00000
  • t
    -1.01192
  • p
    0.54420
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.20567
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34885
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.20000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35440
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.84519
  • Upside Potential Ratio
    6.10888
  • Upside part of mean
    0.45225
  • Downside part of mean
    -0.58886
  • Upside SD
    0.06027
  • Downside SD
    0.07403
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15281
  • Mean of criterion
    -0.13660
  • SD of predictor
    0.11172
  • SD of criterion
    0.09546
  • Covariance
    0.00559
  • r
    0.52433
  • b (slope, estimate of beta)
    0.44798
  • a (intercept, estimate of alpha)
    -0.20506
  • Mean Square Error
    0.00666
  • DF error
    129.00000
  • t(b)
    6.99377
  • p(b)
    0.18220
  • t(a)
    -1.77069
  • p(a)
    0.59768
  • Lowerbound of 95% confidence interval for beta
    0.32125
  • Upperbound of 95% confidence interval for beta
    0.57471
  • Lowerbound of 95% confidence interval for alpha
    -0.43419
  • Upperbound of 95% confidence interval for alpha
    0.02407
  • Treynor index (mean / b)
    -0.30493
  • Jensen alpha (a)
    -0.20506
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14116
  • SD
    0.09561
  • Sharpe ratio (Glass type estimate)
    -1.47636
  • Sharpe ratio (Hedges UMVUE)
    -1.46782
  • df
    130.00000
  • t
    -1.04394
  • p
    0.54559
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.25118
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30404
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.24536
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30972
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.89306
  • Upside Potential Ratio
    6.04041
  • Upside part of mean
    0.45040
  • Downside part of mean
    -0.59156
  • Upside SD
    0.05990
  • Downside SD
    0.07457
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14655
  • Mean of criterion
    -0.14116
  • SD of predictor
    0.11191
  • SD of criterion
    0.09561
  • Covariance
    0.00562
  • r
    0.52510
  • b (slope, estimate of beta)
    0.44864
  • a (intercept, estimate of alpha)
    -0.20690
  • Mean Square Error
    0.00667
  • DF error
    129.00000
  • t(b)
    7.00792
  • p(b)
    0.18178
  • t(a)
    -1.78522
  • p(a)
    0.59845
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    0.32198
  • Upperbound of 95% confidence interval for beta
    0.57530
  • Lowerbound of 95% confidence interval for alpha
    -0.43621
  • Upperbound of 95% confidence interval for alpha
    0.02240
  • Treynor index (mean / b)
    -0.31463
  • Jensen alpha (a)
    -0.20690
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01020
  • Expected Shortfall on VaR
    0.01264
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00554
  • Expected Shortfall on VaR
    0.01065
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97527
  • Quartile 1
    0.99729
  • Median
    0.99974
  • Quartile 3
    1.00224
  • Maximum
    1.01836
  • Mean of quarter 1
    0.99268
  • Mean of quarter 2
    0.99865
  • Mean of quarter 3
    1.00095
  • Mean of quarter 4
    1.00610
  • Inter Quartile Range
    0.00495
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98419
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01516
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19892
  • VaR(95%) (moments method)
    0.00700
  • Expected Shortfall (moments method)
    0.01090
  • Extreme Value Index (regression method)
    0.26628
  • VaR(95%) (regression method)
    0.00741
  • Expected Shortfall (regression method)
    0.01227
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00160
  • Median
    0.00426
  • Quartile 3
    0.01070
  • Maximum
    0.11317
  • Mean of quarter 1
    0.00079
  • Mean of quarter 2
    0.00327
  • Mean of quarter 3
    0.00566
  • Mean of quarter 4
    0.04807
  • Inter Quartile Range
    0.00910
  • 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
    0.10000
  • Mean of outliers high
    0.11317
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.69700
  • VaR(95%) (moments method)
    0.04991
  • Expected Shortfall (moments method)
    0.19074
  • Extreme Value Index (regression method)
    2.73083
  • VaR(95%) (regression method)
    0.18659
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -295868000
  • Max Equity Drawdown (num days)
    73
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.11010
  • Compounded annual return (geometric extrapolation)
    -0.10707
  • Calmar ratio (compounded annual return / max draw down)
    -0.94614
  • Compounded annual return / average of 25% largest draw downs
    -2.22726
  • Compounded annual return / Expected Shortfall lognormal
    -8.47088

Strategy Description

Any detailed description will be summited for followers and subscribers upon request.

Summary Statistics

Strategy began
2020-12-08
Suggested Minimum Capital
$15,000
# Trades
279
# Profitable
150
% Profitable
53.8%
Net Dividends
Correlation S&P500
0.146
Sharpe Ratio
-0.46
Sortino Ratio
-0.64
Beta
0.06
Alpha
-0.01
Leverage
0.77 Average
2.16 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.