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

USA Stocks Rotation
(139711044)

Created by: Ronzy Ronzy
Started: 03/2022
Stocks
Last trade: Today
Trading style: Equity Non-hedged Equity Trend-following

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $99.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
15.3%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(43.7%)
Max Drawdown
41
Num Trades
41.5%
Win Trades
2.0 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022              +7.3%(7.4%)+13.9%(3.6%)+7.7%(1%)(2%)+1.1%            +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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/3/22 10:15 AMD ADVANCED MICRO DEVICES INC. C LONG 122 65.41 10/5 9:45 65.31 0%
Trade id #142011682
Max drawdown($1)
Time10/3/22 12:52
Quant open122
Worst price65.40
Drawdown as % of equity-0.00%
($14)
Includes Typical Broker Commissions trade costs of $2.44
9/26/22 10:30 AAPL APPLE LONG 52 153.60 9/28 9:45 145.76 0.78%
Trade id #141929414
Max drawdown($447)
Time9/28/22 9:42
Quant open52
Worst price145.00
Drawdown as % of equity-0.78%
($409)
Includes Typical Broker Commissions trade costs of $1.04
9/9/22 10:00 TSLA TESLA INC. LONG 30 296.46 9/22 10:30 292.97 0.31%
Trade id #141722939
Max drawdown($181)
Time9/13/22 0:00
Quant open30
Worst price290.40
Drawdown as % of equity-0.31%
($106)
Includes Typical Broker Commissions trade costs of $0.60
9/9/22 10:30 AAPL APPLE LONG 51 156.43 9/13 9:45 159.38 0.03%
Trade id #141723840
Max drawdown($17)
Time9/9/22 12:24
Quant open51
Worst price156.09
Drawdown as % of equity-0.03%
$149
Includes Typical Broker Commissions trade costs of $1.02
9/9/22 10:00 CDNS CADENCE DESIGN SYSTEMS LONG 46 174.54 9/13 9:45 169.12 0.45%
Trade id #141722942
Max drawdown($262)
Time9/13/22 9:30
Quant open46
Worst price168.83
Drawdown as % of equity-0.45%
($250)
Includes Typical Broker Commissions trade costs of $0.92
8/25/22 10:15 AMD ADVANCED MICRO DEVICES INC. C LONG 83 96.08 9/1 10:15 80.28 2.3%
Trade id #141536370
Max drawdown($1,330)
Time9/1/22 10:15
Quant open83
Worst price80.05
Drawdown as % of equity-2.30%
($1,313)
Includes Typical Broker Commissions trade costs of $1.66
7/29/22 9:45 AAPL APPLE LONG 49 162.37 8/22 9:45 169.10 0.23%
Trade id #141228804
Max drawdown($134)
Time8/2/22 0:00
Quant open49
Worst price159.63
Drawdown as % of equity-0.23%
$329
Includes Typical Broker Commissions trade costs of $0.98
7/18/22 9:45 TSLA TESLA INC. LONG 12 745.36 8/19 10:15 881.50 0.77%
Trade id #141090424
Max drawdown($413)
Time7/19/22 0:00
Quant open12
Worst price710.93
Drawdown as % of equity-0.77%
$1,634
Includes Typical Broker Commissions trade costs of $0.24
7/15/22 10:00 CTAS CINTAS LONG 21 392.85 8/19 10:00 436.11 0.57%
Trade id #141072375
Max drawdown($311)
Time7/18/22 0:00
Quant open21
Worst price378.00
Drawdown as % of equity-0.57%
$908
Includes Typical Broker Commissions trade costs of $0.42
7/19/22 10:00 CDNS CADENCE DESIGN SYSTEMS LONG 50 158.54 8/19 9:45 187.28 0.04%
Trade id #141103985
Max drawdown($23)
Time7/19/22 10:06
Quant open50
Worst price158.08
Drawdown as % of equity-0.04%
$1,436
Includes Typical Broker Commissions trade costs of $1.00
7/7/22 10:15 AAPL APPLE LONG 55 145.49 7/28 10:30 154.77 0.34%
Trade id #140988720
Max drawdown($185)
Time7/13/22 0:00
Quant open55
Worst price142.12
Drawdown as % of equity-0.34%
$509
Includes Typical Broker Commissions trade costs of $1.10
6/21/22 9:45 CDNS CADENCE DESIGN SYSTEMS LONG 54 149.13 7/13 9:45 149.54 0.4%
Trade id #140817802
Max drawdown($218)
Time6/22/22 0:00
Quant open54
Worst price145.09
Drawdown as % of equity-0.40%
$21
Includes Typical Broker Commissions trade costs of $1.08
7/7/22 10:00 TSLA TESLA INC. LONG 12 718.88 7/11 10:30 720.56 0.07%
Trade id #140988324
Max drawdown($40)
Time7/7/22 10:03
Quant open12
Worst price715.52
Drawdown as % of equity-0.07%
$20
Includes Typical Broker Commissions trade costs of $0.24
6/21/22 9:45 TSLA TESLA INC. LONG 13 692.15 6/30 10:30 659.40 0.79%
Trade id #140817804
Max drawdown($437)
Time6/30/22 10:30
Quant open13
Worst price658.50
Drawdown as % of equity-0.79%
($426)
Includes Typical Broker Commissions trade costs of $0.26
6/21/22 10:00 AAPL APPLE LONG 59 136.43 6/30 9:45 135.73 0.27%
Trade id #140818357
Max drawdown($148)
Time6/22/22 0:00
Quant open59
Worst price133.91
Drawdown as % of equity-0.27%
($42)
Includes Typical Broker Commissions trade costs of $1.18
6/8/22 10:00 TSLA TESLA INC. LONG 12 742.22 6/13 10:52 652.90 2.12%
Trade id #140707698
Max drawdown($1,176)
Time6/13/22 10:25
Quant open12
Worst price644.21
Drawdown as % of equity-2.12%
($1,072)
Includes Typical Broker Commissions trade costs of $0.24
5/25/22 10:15 PANW PALO ALTO NETWORKS LONG 16 498.75 6/9 9:45 515.24 0.1%
Trade id #140593450
Max drawdown($54)
Time5/31/22 0:00
Quant open16
Worst price495.34
Drawdown as % of equity-0.10%
$264
Includes Typical Broker Commissions trade costs of $0.32
5/27/22 10:01 AAPL APPLE LONG 54 147.12 6/3 9:45 145.85 0.13%
Trade id #140615416
Max drawdown($75)
Time6/3/22 9:45
Quant open54
Worst price145.72
Drawdown as % of equity-0.13%
($70)
Includes Typical Broker Commissions trade costs of $1.08
5/27/22 10:01 TSLA TESLA INC. LONG 12 740.98 6/3 9:45 720.58 0.51%
Trade id #140615414
Max drawdown($289)
Time6/3/22 9:45
Quant open12
Worst price716.87
Drawdown as % of equity-0.51%
($245)
Includes Typical Broker Commissions trade costs of $0.24
5/27/22 10:01 CDNS CADENCE DESIGN SYSTEMS LONG 52 6.04 5/31 10:15 152.50 n/a $7,615
Includes Typical Broker Commissions trade costs of $1.04
5/20/22 9:45 PANW PALO ALTO NETWORKS LONG 16 487.11 5/24 10:15 472.50 0.88%
Trade id #140543303
Max drawdown($426)
Time5/20/22 12:46
Quant open16
Worst price460.44
Drawdown as % of equity-0.88%
($234)
Includes Typical Broker Commissions trade costs of $0.32
5/19/22 9:45 CDNS CADENCE DESIGN SYSTEMS LONG 57 141.06 5/24 10:00 143.96 0.25%
Trade id #140530071
Max drawdown($119)
Time5/19/22 9:53
Quant open57
Worst price138.95
Drawdown as % of equity-0.25%
$165
Includes Typical Broker Commissions trade costs of $1.14
5/13/22 10:30 CDNS CADENCE DESIGN SYSTEMS LONG 56 142.52 5/18 9:45 139.95 0.46%
Trade id #140466730
Max drawdown($224)
Time5/18/22 9:30
Quant open56
Worst price138.52
Drawdown as % of equity-0.46%
($145)
Includes Typical Broker Commissions trade costs of $1.12
5/10/22 10:00 AAPL APPLE LONG 51 155.86 5/12 9:45 141.98 1.63%
Trade id #140425747
Max drawdown($798)
Time5/12/22 9:44
Quant open51
Worst price140.20
Drawdown as % of equity-1.63%
($709)
Includes Typical Broker Commissions trade costs of $1.02
4/12/22 9:45 PANW PALO ALTO NETWORKS LONG 13 620.73 5/3 10:30 558.42 1.75%
Trade id #140109230
Max drawdown($867)
Time5/2/22 0:00
Quant open13
Worst price553.99
Drawdown as % of equity-1.75%
($810)
Includes Typical Broker Commissions trade costs of $0.26
4/21/22 9:45 CDNS CADENCE DESIGN SYSTEMS LONG 50 160.45 4/29 10:30 155.52 1.33%
Trade id #140211284
Max drawdown($662)
Time4/25/22 0:00
Quant open50
Worst price147.21
Drawdown as % of equity-1.33%
($248)
Includes Typical Broker Commissions trade costs of $1.00
4/21/22 9:45 TSLA TESLA INC. LONG 8 1087.94 4/25 9:45 980.49 1.81%
Trade id #140211277
Max drawdown($901)
Time4/25/22 9:31
Quant open8
Worst price975.30
Drawdown as % of equity-1.81%
($860)
Includes Typical Broker Commissions trade costs of $0.16
4/12/22 10:00 AAPL APPLE LONG 47 169.35 4/25 9:45 159.28 0.97%
Trade id #140109809
Max drawdown($481)
Time4/25/22 9:34
Quant open47
Worst price159.10
Drawdown as % of equity-0.97%
($474)
Includes Typical Broker Commissions trade costs of $0.94
4/21/22 9:45 MSFT MICROSOFT LONG 27 292.68 4/21 9:53 292.98 0.01%
Trade id #140211288
Max drawdown($7)
Time4/21/22 9:49
Quant open27
Worst price292.41
Drawdown as % of equity-0.01%
$7
Includes Typical Broker Commissions trade costs of $0.54
4/12/22 10:00 CDNS CADENCE DESIGN SYSTEMS LONG 50 158.61 4/14 10:30 151.90 0.66%
Trade id #140109811
Max drawdown($347)
Time4/14/22 10:30
Quant open50
Worst price151.67
Drawdown as % of equity-0.66%
($337)
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    3/9/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    210.42
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    41
  • # Profitable
    17
  • % Profitable
    41.50%
  • Avg trade duration
    10.1 days
  • Max peak-to-valley drawdown
    43.71%
  • drawdown period
    July 29, 2022 - July 30, 2022
  • Cumul. Return
    15.2%
  • Avg win
    $1,024
  • Avg loss
    $369.79
  • Model Account Values (Raw)
  • Cash
    $49,989
  • Margin Used
    $0
  • Buying Power
    $50,605
  • Ratios
  • W:L ratio
    1.97:1
  • Sharpe Ratio
    0.63
  • Sortino Ratio
    1.06
  • Calmar Ratio
    3.115
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    26.81%
  • Correlation to SP500
    0.18180
  • Return Percent SP500 (cumu) during strategy life
    -11.95%
  • Return Statistics
  • Ann Return (w trading costs)
    27.4%
  • Slump
  • Current Slump as Pcnt Equity
    4.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.24%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.152%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    31.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    86.50%
  • Chance of 20% account loss
    83.00%
  • Chance of 30% account loss
    68.00%
  • Chance of 40% account loss
    51.00%
  • Chance of 60% account loss (Monte Carlo)
    19.50%
  • Chance of 70% account loss (Monte Carlo)
    7.00%
  • Chance of 80% account loss (Monte Carlo)
    0.50%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    39.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    756
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    897
  • Popularity (7 days, Percentile 1000 scale)
    307
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $370
  • Avg Win
    $1,024
  • Sum Trade PL (losers)
    $8,875.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $17,415.000
  • # Winners
    17
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    35
  • Win / Loss
  • # Losers
    24
  • % Winners
    41.5%
  • Frequency
  • Avg Position Time (mins)
    14522.80
  • Avg Position Time (hrs)
    242.05
  • Avg Trade Length
    10.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.36
  • Daily leverage (max)
    0.78
  • Regression
  • Alpha
    0.10
  • Beta
    0.29
  • Treynor Index
    0.28
  • 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)
    -0.36
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    16.086
  • 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
    0.266
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.165
  • Hold-and-Hope Ratio
    0.072
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30555
  • SD
    0.22468
  • Sharpe ratio (Glass type estimate)
    1.35990
  • Sharpe ratio (Hedges UMVUE)
    1.14333
  • df
    5.00000
  • t
    0.96159
  • p
    0.19021
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59078
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19013
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71762
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00429
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.67249
  • Upside Potential Ratio
    5.62338
  • Upside part of mean
    0.46786
  • Downside part of mean
    -0.16231
  • Upside SD
    0.20719
  • Downside SD
    0.08320
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.10382
  • Mean of criterion
    0.30555
  • SD of predictor
    0.24202
  • SD of criterion
    0.22468
  • Covariance
    0.03109
  • r
    0.57169
  • b (slope, estimate of beta)
    0.53074
  • a (intercept, estimate of alpha)
    0.36065
  • Mean Square Error
    0.04248
  • DF error
    4.00000
  • t(b)
    1.39358
  • p(b)
    0.11794
  • t(a)
    1.22609
  • p(a)
    0.14370
  • Lowerbound of 95% confidence interval for beta
    -0.52687
  • Upperbound of 95% confidence interval for beta
    1.58836
  • Lowerbound of 95% confidence interval for alpha
    -0.45619
  • Upperbound of 95% confidence interval for alpha
    1.17749
  • Treynor index (mean / b)
    0.57569
  • Jensen alpha (a)
    0.36065
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28126
  • SD
    0.21740
  • Sharpe ratio (Glass type estimate)
    1.29374
  • Sharpe ratio (Hedges UMVUE)
    1.08771
  • df
    5.00000
  • t
    0.91482
  • p
    0.20113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64344
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.11545
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76490
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.94033
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.29985
  • Upside Potential Ratio
    5.24156
  • Upside part of mean
    0.44677
  • Downside part of mean
    -0.16550
  • Upside SD
    0.19676
  • Downside SD
    0.08524
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.12883
  • Mean of criterion
    0.28126
  • SD of predictor
    0.24426
  • SD of criterion
    0.21740
  • Covariance
    0.03188
  • r
    0.60024
  • b (slope, estimate of beta)
    0.53424
  • a (intercept, estimate of alpha)
    0.35009
  • Mean Square Error
    0.03779
  • DF error
    4.00000
  • t(b)
    1.50095
  • p(b)
    0.10388
  • t(a)
    1.25602
  • p(a)
    0.13873
  • Lowerbound of 95% confidence interval for beta
    -0.45418
  • Upperbound of 95% confidence interval for beta
    1.52266
  • Lowerbound of 95% confidence interval for alpha
    -0.42394
  • Upperbound of 95% confidence interval for alpha
    1.12413
  • Treynor index (mean / b)
    0.52648
  • Jensen alpha (a)
    0.35009
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07669
  • Expected Shortfall on VaR
    0.10035
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03153
  • Expected Shortfall on VaR
    0.05659
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.94641
  • Quartile 1
    0.98830
  • Median
    1.01982
  • Quartile 3
    1.06344
  • Maximum
    1.12492
  • Mean of quarter 1
    0.96665
  • Mean of quarter 2
    0.99252
  • Mean of quarter 3
    1.04712
  • Mean of quarter 4
    1.09690
  • Inter Quartile Range
    0.07514
  • 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
    3.00000
  • Minimum
    0.00748
  • Quartile 1
    0.01029
  • Median
    0.01311
  • Quartile 3
    0.03335
  • Maximum
    0.05359
  • Mean of quarter 1
    0.00748
  • Mean of quarter 2
    0.01311
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05359
  • Inter Quartile Range
    0.02306
  • 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)
    0.33435
  • Compounded annual return (geometric extrapolation)
    0.36230
  • Calmar ratio (compounded annual return / max draw down)
    6.76076
  • Compounded annual return / average of 25% largest draw downs
    6.76076
  • Compounded annual return / Expected Shortfall lognormal
    3.61043
  • 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
    0.27775
  • SD
    0.26243
  • Sharpe ratio (Glass type estimate)
    1.05837
  • Sharpe ratio (Hedges UMVUE)
    1.05300
  • df
    148.00000
  • t
    0.79814
  • p
    0.46727
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.65846
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54876
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65476
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94621
  • Upside Potential Ratio
    8.02578
  • Upside part of mean
    1.14539
  • Downside part of mean
    -0.86764
  • Upside SD
    0.21985
  • Downside SD
    0.14271
  • N nonnegative terms
    60.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    -0.21262
  • Mean of criterion
    0.27775
  • SD of predictor
    0.25029
  • SD of criterion
    0.26243
  • Covariance
    0.01657
  • r
    0.25233
  • b (slope, estimate of beta)
    0.26457
  • a (intercept, estimate of alpha)
    0.33400
  • Mean Square Error
    0.06492
  • DF error
    147.00000
  • t(b)
    3.16162
  • p(b)
    0.34108
  • t(a)
    0.98716
  • p(a)
    0.44839
  • Lowerbound of 95% confidence interval for beta
    0.09920
  • Upperbound of 95% confidence interval for beta
    0.42995
  • Lowerbound of 95% confidence interval for alpha
    -0.33465
  • Upperbound of 95% confidence interval for alpha
    1.00266
  • Treynor index (mean / b)
    1.04981
  • Jensen alpha (a)
    0.33400
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24427
  • SD
    0.25746
  • Sharpe ratio (Glass type estimate)
    0.94879
  • Sharpe ratio (Hedges UMVUE)
    0.94398
  • df
    148.00000
  • t
    0.71551
  • p
    0.47064
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65404
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54844
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65724
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54519
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67345
  • Upside Potential Ratio
    7.68868
  • Upside part of mean
    1.12231
  • Downside part of mean
    -0.87804
  • Upside SD
    0.21157
  • Downside SD
    0.14597
  • N nonnegative terms
    60.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    -0.24395
  • Mean of criterion
    0.24427
  • SD of predictor
    0.25115
  • SD of criterion
    0.25746
  • Covariance
    0.01631
  • r
    0.25220
  • b (slope, estimate of beta)
    0.25853
  • a (intercept, estimate of alpha)
    0.30734
  • Mean Square Error
    0.06249
  • DF error
    147.00000
  • t(b)
    3.15985
  • p(b)
    0.34117
  • t(a)
    0.92549
  • p(a)
    0.45159
  • Lowerbound of 95% confidence interval for beta
    0.09684
  • Upperbound of 95% confidence interval for beta
    0.42021
  • Lowerbound of 95% confidence interval for alpha
    -0.34894
  • Upperbound of 95% confidence interval for alpha
    0.96362
  • Treynor index (mean / b)
    0.94487
  • Jensen alpha (a)
    0.30734
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02491
  • Expected Shortfall on VaR
    0.03136
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00839
  • Expected Shortfall on VaR
    0.01773
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    149.00000
  • Minimum
    0.93994
  • Quartile 1
    0.99664
  • Median
    0.99982
  • Quartile 3
    1.00306
  • Maximum
    1.11843
  • Mean of quarter 1
    0.98886
  • Mean of quarter 2
    0.99837
  • Mean of quarter 3
    1.00091
  • Mean of quarter 4
    1.01687
  • Inter Quartile Range
    0.00642
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.05369
  • Mean of outliers low
    0.96896
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.09396
  • Mean of outliers high
    1.03227
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71353
  • VaR(95%) (moments method)
    0.01186
  • Expected Shortfall (moments method)
    0.04294
  • Extreme Value Index (regression method)
    0.65916
  • VaR(95%) (regression method)
    0.00941
  • Expected Shortfall (regression method)
    0.02722
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00049
  • Quartile 1
    0.00910
  • Median
    0.01665
  • Quartile 3
    0.04780
  • Maximum
    0.10041
  • Mean of quarter 1
    0.00479
  • Mean of quarter 2
    0.01553
  • Mean of quarter 3
    0.04377
  • Mean of quarter 4
    0.09361
  • Inter Quartile Range
    0.03871
  • 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)
    -41.08120
  • VaR(95%) (moments method)
    0.08058
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.51901
  • VaR(95%) (regression method)
    0.13285
  • Expected Shortfall (regression method)
    0.13352
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29437
  • Compounded annual return (geometric extrapolation)
    0.31282
  • Calmar ratio (compounded annual return / max draw down)
    3.11544
  • Compounded annual return / average of 25% largest draw downs
    3.34188
  • Compounded annual return / Expected Shortfall lognormal
    9.97616
  • 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
    0.15628
  • SD
    0.27494
  • Sharpe ratio (Glass type estimate)
    0.56841
  • Sharpe ratio (Hedges UMVUE)
    0.56512
  • df
    130.00000
  • t
    0.40192
  • p
    0.48239
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20535
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33999
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.20754
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33778
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03477
  • Upside Potential Ratio
    7.21178
  • Upside part of mean
    1.08919
  • Downside part of mean
    -0.93291
  • Upside SD
    0.22869
  • Downside SD
    0.15103
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.37818
  • Mean of criterion
    0.15628
  • SD of predictor
    0.25657
  • SD of criterion
    0.27494
  • Covariance
    0.01668
  • r
    0.23651
  • b (slope, estimate of beta)
    0.25344
  • a (intercept, estimate of alpha)
    0.25213
  • Mean Square Error
    0.07192
  • DF error
    129.00000
  • t(b)
    2.76468
  • p(b)
    0.35085
  • t(a)
    0.66203
  • p(a)
    0.46298
  • Lowerbound of 95% confidence interval for beta
    0.07207
  • Upperbound of 95% confidence interval for beta
    0.43482
  • Lowerbound of 95% confidence interval for alpha
    -0.50138
  • Upperbound of 95% confidence interval for alpha
    1.00563
  • Treynor index (mean / b)
    0.61663
  • Jensen alpha (a)
    0.25213
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11972
  • SD
    0.26953
  • Sharpe ratio (Glass type estimate)
    0.44419
  • Sharpe ratio (Hedges UMVUE)
    0.44162
  • df
    130.00000
  • t
    0.31409
  • p
    0.48623
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.32899
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.21568
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.33070
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.21395
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77481
  • Upside Potential Ratio
    6.88776
  • Upside part of mean
    1.06429
  • Downside part of mean
    -0.94457
  • Upside SD
    0.21971
  • Downside SD
    0.15452
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.41128
  • Mean of criterion
    0.11972
  • SD of predictor
    0.25755
  • SD of criterion
    0.26953
  • Covariance
    0.01636
  • r
    0.23570
  • b (slope, estimate of beta)
    0.24667
  • a (intercept, estimate of alpha)
    0.22117
  • Mean Square Error
    0.06914
  • DF error
    129.00000
  • t(b)
    2.75470
  • p(b)
    0.35135
  • t(a)
    0.59187
  • p(a)
    0.46688
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.06950
  • Upperbound of 95% confidence interval for beta
    0.42384
  • Lowerbound of 95% confidence interval for alpha
    -0.51818
  • Upperbound of 95% confidence interval for alpha
    0.96052
  • Treynor index (mean / b)
    0.48536
  • Jensen alpha (a)
    0.22117
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02657
  • Expected Shortfall on VaR
    0.03330
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00938
  • Expected Shortfall on VaR
    0.01959
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93994
  • Quartile 1
    0.99649
  • Median
    0.99938
  • Quartile 3
    1.00207
  • Maximum
    1.11843
  • Mean of quarter 1
    0.98803
  • Mean of quarter 2
    0.99814
  • Mean of quarter 3
    1.00047
  • Mean of quarter 4
    1.01617
  • Inter Quartile Range
    0.00559
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97100
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.03277
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.74997
  • VaR(95%) (moments method)
    0.01274
  • Expected Shortfall (moments method)
    0.05242
  • Extreme Value Index (regression method)
    0.69612
  • VaR(95%) (regression method)
    0.01006
  • Expected Shortfall (regression method)
    0.03227
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00479
  • Quartile 1
    0.02074
  • Median
    0.04377
  • Quartile 3
    0.07705
  • Maximum
    0.10041
  • Mean of quarter 1
    0.00960
  • Mean of quarter 2
    0.03973
  • Mean of quarter 3
    0.04780
  • Mean of quarter 4
    0.09361
  • Inter Quartile Range
    0.05631
  • 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?
    -306306000
  • Max Equity Drawdown (num days)
    1
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15321
  • Compounded annual return (geometric extrapolation)
    0.15908
  • Calmar ratio (compounded annual return / max draw down)
    1.58434
  • Compounded annual return / average of 25% largest draw downs
    1.69949
  • Compounded annual return / Expected Shortfall lognormal
    4.77669

Strategy Description

The strategy opens up to 5 simultaneous positions.

Summary Statistics

Strategy began
2022-03-09
Suggested Minimum Capital
$15,000
Rank at C2 
#86
# Trades
41
# Profitable
17
% Profitable
41.5%
Net Dividends
Correlation S&P500
0.182
Sharpe Ratio
0.63
Sortino Ratio
1.06
Beta
0.29
Alpha
0.10
Leverage
0.36 Average
0.78 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.