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History Lessons
(113220646)

Created by: JohnSnow2019 JohnSnow2019
Started: 08/2017
Stocks
Last trade: 35 days ago
Trading style: 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 $49.00 per month.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
16.3%
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.

(33.1%)
Max Drawdown
265
Num Trades
45.7%
Win Trades
1.3 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +9.8%+16.0%+8.6%+5.8%+8.5%+58.9%
2018(5.8%)+2.6%(21.6%)+0.7%+5.8%(2.8%)+0.8%+6.5%+0.1%(9%)(1%)(3.5%)(26.6%)
2019(0.5%)+2.0%+3.9%+10.9%(4.3%)                                          +12.1%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 845 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/29/19 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 410 57.08 4/22 9:52 63.49 0.05%
Trade id #123134262
Max drawdown($13)
Time3/29/19 16:00
Quant open337
Worst price56.59
Drawdown as % of equity-0.05%
$2,618
Includes Typical Broker Commissions trade costs of $8.20
4/9/19 14:15 SPY SPDR S&P 500 LONG 1 287.35 4/9 14:19 287.30 0%
Trade id #123257953
Max drawdown($0)
Time4/9/19 14:19
Quant open1
Worst price287.30
Drawdown as % of equity-0.00%
$0
Includes Typical Broker Commissions trade costs of $0.02
3/27/19 12:01 ZIV VELOCITYSHARES DAILY INVERSE V LONG 64 72.62 4/2 11:01 74.96 0.08%
Trade id #123100299
Max drawdown($22)
Time3/28/19 11:46
Quant open51
Worst price71.84
Drawdown as % of equity-0.08%
$149
Includes Typical Broker Commissions trade costs of $1.28
3/8/19 13:47 UPRO PROSHARES ULTRAPRO S&P500 LONG 155 44.60 3/29 15:55 47.74 0.06%
Trade id #122839609
Max drawdown($18)
Time3/8/19 14:05
Quant open103
Worst price44.08
Drawdown as % of equity-0.06%
$485
Includes Typical Broker Commissions trade costs of $3.10
3/22/19 9:45 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 139 20.86 3/29 15:55 21.63 n/a $105
Includes Typical Broker Commissions trade costs of $2.78
3/13/19 15:56 BIQI BIQI INTERNATIONAL HOLDING CORP LONG 513 2.10 3/27 9:35 1.50 1.03%
Trade id #122899615
Max drawdown($306)
Time3/27/19 9:35
Quant open0
Worst price1.50
Drawdown as % of equity-1.03%
($314)
Includes Typical Broker Commissions trade costs of $7.63
3/13/19 15:56 GURE GULF RESOURCES LONG 1,017 1.08 3/27 9:35 1.01 0.23%
Trade id #122899619
Max drawdown($68)
Time3/27/19 9:35
Quant open0
Worst price1.01
Drawdown as % of equity-0.23%
($76)
Includes Typical Broker Commissions trade costs of $7.77
3/25/19 9:30 NVFY NOVA LIFESTYLE INC. COMMON ST LONG 1,525 0.76 3/27 9:35 0.80 0.03%
Trade id #123056300
Max drawdown($7)
Time3/25/19 9:41
Quant open1,525
Worst price0.75
Drawdown as % of equity-0.03%
$59
Includes Typical Broker Commissions trade costs of $7.70
3/13/19 15:56 APWC ASIA PACIFIC WIRE & CABLE LONG 473 2.33 3/27 9:35 2.31 0.04%
Trade id #122899621
Max drawdown($12)
Time3/27/19 9:35
Quant open48
Worst price2.30
Drawdown as % of equity-0.04%
($21)
Includes Typical Broker Commissions trade costs of $9.46
3/25/19 9:31 PDSB PDS BIOTECHNOLOGY CORPORATION COMMON STOCK LONG 154 7.51 3/27 9:31 7.56 0.12%
Trade id #123056374
Max drawdown($33)
Time3/25/19 9:34
Quant open154
Worst price7.29
Drawdown as % of equity-0.12%
$4
Includes Typical Broker Commissions trade costs of $3.08
3/25/19 9:30 FEDU FOUR SEASONS EDUCATION INC LONG 603 1.90 3/27 9:30 1.89 0.1%
Trade id #123056287
Max drawdown($30)
Time3/25/19 10:14
Quant open603
Worst price1.85
Drawdown as % of equity-0.10%
($12)
Includes Typical Broker Commissions trade costs of $5.57
3/13/19 15:56 CGA CHINA GREEN AGRICULTURE LONG 2,034 0.54 3/27 9:30 0.52 0.19%
Trade id #122899603
Max drawdown($57)
Time3/27/19 9:30
Quant open0
Worst price0.52
Drawdown as % of equity-0.19%
($68)
Includes Typical Broker Commissions trade costs of $11.09
3/13/19 15:56 MN MANNING & NAPIER LONG 490 2.39 3/27 9:30 2.15 0.44%
Trade id #122899626
Max drawdown($131)
Time3/26/19 9:35
Quant open490
Worst price2.12
Drawdown as % of equity-0.44%
($129)
Includes Typical Broker Commissions trade costs of $9.80
3/13/19 15:56 KBSF KBS FASHION GROUP LIMITED COMM LONG 293 3.83 3/27 9:30 3.75 0.48%
Trade id #122899617
Max drawdown($140)
Time3/22/19 11:45
Quant open293
Worst price3.35
Drawdown as % of equity-0.48%
($30)
Includes Typical Broker Commissions trade costs of $5.86
3/13/19 15:56 TRIL TRILLIUM THERAPEUTICS INC. COM LONG 1,756 0.64 3/27 9:30 0.72 0.08%
Trade id #122899622
Max drawdown($23)
Time3/15/19 11:26
Quant open128
Worst price0.55
Drawdown as % of equity-0.08%
$131
Includes Typical Broker Commissions trade costs of $13.24
3/18/19 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 106 121.57 3/25 12:18 124.71 0.25%
Trade id #122950325
Max drawdown($72)
Time3/19/19 10:13
Quant open106
Worst price120.89
Drawdown as % of equity-0.25%
$330
Includes Typical Broker Commissions trade costs of $2.12
3/13/19 15:56 TNXP TONIX PHARMACEUTICALS HOLDING LONG 430 2.62 3/25 9:31 2.30 0.68%
Trade id #122899624
Max drawdown($200)
Time3/25/19 8:01
Quant open430
Worst price2.15
Drawdown as % of equity-0.68%
($145)
Includes Typical Broker Commissions trade costs of $8.60
3/18/19 9:30 TYHT SHINECO INC. COMMON STOCK LONG 1,243 0.68 3/25 9:30 1.10 0.17%
Trade id #122950347
Max drawdown($48)
Time3/18/19 13:17
Quant open1,243
Worst price0.64
Drawdown as % of equity-0.17%
$521
Includes Typical Broker Commissions trade costs of $8.13
3/18/19 9:30 LIFE ATYR PHARMA INC. COMMON STOCK LONG 2,241 0.48 3/25 9:30 0.56 0.12%
Trade id #122950240
Max drawdown($34)
Time3/18/19 9:55
Quant open1,799
Worst price0.45
Drawdown as % of equity-0.12%
$169
Includes Typical Broker Commissions trade costs of $9.42
3/8/19 13:47 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,366 19.38 3/15 12:20 19.37 0.85%
Trade id #122839605
Max drawdown($240)
Time3/11/19 13:03
Quant open958
Worst price19.12
Drawdown as % of equity-0.85%
($24)
Includes Typical Broker Commissions trade costs of $12.99
3/13/19 15:56 CRESY CRESUD LONG 7 12.07 3/14 10:39 12.22 0%
Trade id #122899600
Max drawdown($0)
Time3/14/19 9:31
Quant open7
Worst price11.98
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $0.14
3/13/19 15:47 OIBR.C OI SA ADS C LONG 1 2.14 3/14 10:20 2.16 0%
Trade id #122899351
Max drawdown($0)
Time3/13/19 16:00
Quant open1
Worst price2.12
Drawdown as % of equity-0.00%
$0
Includes Typical Broker Commissions trade costs of $0.02
2/27/19 15:00 UPRO PROSHARES ULTRAPRO S&P500 LONG 117 47.48 2/28 15:51 47.10 0.21%
Trade id #122721215
Max drawdown($58)
Time2/28/19 10:52
Quant open117
Worst price46.98
Drawdown as % of equity-0.21%
($46)
Includes Typical Broker Commissions trade costs of $2.34
2/27/19 15:00 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,195 18.76 2/28 15:51 18.59 1.36%
Trade id #122721218
Max drawdown($385)
Time2/28/19 15:23
Quant open1,195
Worst price18.44
Drawdown as % of equity-1.36%
($221)
Includes Typical Broker Commissions trade costs of $14.45
2/21/19 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 122 46.72 2/25 10:18 48.31 0.3%
Trade id #122618032
Max drawdown($85)
Time2/21/19 14:53
Quant open122
Worst price46.02
Drawdown as % of equity-0.30%
$193
Includes Typical Broker Commissions trade costs of $2.44
2/5/19 11:47 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,617 19.24 2/25 10:18 19.15 2.02%
Trade id #122370878
Max drawdown($571)
Time2/21/19 16:04
Quant open1,179
Worst price18.76
Drawdown as % of equity-2.02%
($175)
Includes Typical Broker Commissions trade costs of $16.32
2/15/19 15:34 ZIV VELOCITYSHARES DAILY INVERSE V LONG 195 72.42 2/21 9:30 73.10 0.02%
Trade id #122552654
Max drawdown($5)
Time2/15/19 15:59
Quant open65
Worst price71.99
Drawdown as % of equity-0.02%
$129
Includes Typical Broker Commissions trade costs of $3.90
2/19/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 107 43.70 2/20 11:57 44.55 0%
Trade id #122583559
Max drawdown($0)
Time2/19/19 9:32
Quant open107
Worst price43.70
Drawdown as % of equity-0.00%
$89
Includes Typical Broker Commissions trade costs of $2.14
2/15/19 15:34 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 94 50.16 2/20 11:49 50.83 0.17%
Trade id #122552661
Max drawdown($48)
Time2/19/19 9:32
Quant open94
Worst price49.64
Drawdown as % of equity-0.17%
$61
Includes Typical Broker Commissions trade costs of $1.88
2/15/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 203 22.65 2/19 9:30 22.60 0.25%
Trade id #122541620
Max drawdown($71)
Time2/15/19 17:53
Quant open203
Worst price22.30
Drawdown as % of equity-0.25%
($14)
Includes Typical Broker Commissions trade costs of $4.06

Statistics

  • Strategy began
    8/18/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    643.3
  • Age
    22 months ago
  • What it trades
    Stocks
  • # Trades
    265
  • # Profitable
    121
  • % Profitable
    45.70%
  • Avg trade duration
    7.5 days
  • Max peak-to-valley drawdown
    33.11%
  • drawdown period
    Jan 12, 2018 - Jan 28, 2019
  • Annual Return (Compounded)
    16.3%
  • Avg win
    $292.61
  • Avg loss
    $186.47
  • Model Account Values (Raw)
  • Cash
    $16,761
  • Margin Used
    $0
  • Buying Power
    $16,006
  • Ratios
  • W:L ratio
    1.34:1
  • Sharpe Ratio
    0.62
  • Sortino Ratio
    0.88
  • Calmar Ratio
    0.7
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.27820
  • Return Statistics
  • Ann Return (w trading costs)
    16.3%
  • Ann Return (Compnd, No Fees)
    20.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    40.50%
  • Chance of 20% account loss
    10.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    689
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $187
  • Avg Win
    $293
  • # Winners
    121
  • # Losers
    144
  • % Winners
    45.7%
  • Frequency
  • Avg Position Time (mins)
    10852.30
  • Avg Position Time (hrs)
    180.87
  • Avg Trade Length
    7.5 days
  • Last Trade Ago
    31
  • Leverage
  • Daily leverage (average)
    0.87
  • Daily leverage (max)
    1.55
  • Unknown
  • Alpha
    0.04
  • Beta
    0.42
  • Treynor Index
    0.11
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24137
  • SD
    0.32096
  • Sharpe ratio (Glass type estimate)
    0.75203
  • Sharpe ratio (Hedges UMVUE)
    0.72188
  • df
    19.00000
  • t
    0.97087
  • p
    0.36269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27908
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81355
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25731
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34212
  • Upside Potential Ratio
    2.81943
  • Upside part of mean
    0.50706
  • Downside part of mean
    -0.26569
  • Upside SD
    0.26528
  • Downside SD
    0.17984
  • N nonnegative terms
    11.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.10452
  • Mean of criterion
    0.24137
  • SD of predictor
    0.18226
  • SD of criterion
    0.32096
  • Covariance
    0.02815
  • r
    0.48127
  • b (slope, estimate of beta)
    0.84751
  • a (intercept, estimate of alpha)
    0.15279
  • Mean Square Error
    0.08355
  • DF error
    18.00000
  • t(b)
    2.32939
  • p(b)
    0.25936
  • t(a)
    0.67278
  • p(a)
    0.42169
  • Lowerbound of 95% confidence interval for beta
    0.08312
  • Upperbound of 95% confidence interval for beta
    1.61190
  • Lowerbound of 95% confidence interval for alpha
    -0.32434
  • Upperbound of 95% confidence interval for alpha
    0.62992
  • Treynor index (mean / b)
    0.28480
  • Jensen alpha (a)
    0.15279
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19116
  • SD
    0.31670
  • Sharpe ratio (Glass type estimate)
    0.60361
  • Sharpe ratio (Hedges UMVUE)
    0.57941
  • df
    19.00000
  • t
    0.77926
  • p
    0.38855
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93424
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12595
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10873
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97375
  • Upside Potential Ratio
    2.41636
  • Upside part of mean
    0.47437
  • Downside part of mean
    -0.28321
  • Upside SD
    0.24452
  • Downside SD
    0.19632
  • N nonnegative terms
    11.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.08812
  • Mean of criterion
    0.19116
  • SD of predictor
    0.18268
  • SD of criterion
    0.31670
  • Covariance
    0.02896
  • r
    0.50058
  • b (slope, estimate of beta)
    0.86784
  • a (intercept, estimate of alpha)
    0.11469
  • Mean Square Error
    0.07934
  • DF error
    18.00000
  • t(b)
    2.45330
  • p(b)
    0.24971
  • t(a)
    0.52036
  • p(a)
    0.43913
  • Lowerbound of 95% confidence interval for beta
    0.12465
  • Upperbound of 95% confidence interval for beta
    1.61102
  • Lowerbound of 95% confidence interval for alpha
    -0.34836
  • Upperbound of 95% confidence interval for alpha
    0.57773
  • Treynor index (mean / b)
    0.22028
  • Jensen alpha (a)
    0.11469
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12580
  • Expected Shortfall on VaR
    0.15809
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04698
  • Expected Shortfall on VaR
    0.09900
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.80470
  • Quartile 1
    0.98503
  • Median
    1.01031
  • Quartile 3
    1.05750
  • Maximum
    1.22720
  • Mean of quarter 1
    0.92160
  • Mean of quarter 2
    0.99558
  • Mean of quarter 3
    1.03162
  • Mean of quarter 4
    1.14097
  • Inter Quartile Range
    0.07248
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.80470
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05000
  • Mean of outliers high
    1.22720
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47279
  • VaR(95%) (moments method)
    0.06530
  • Expected Shortfall (moments method)
    0.15426
  • Extreme Value Index (regression method)
    1.15585
  • VaR(95%) (regression method)
    0.08747
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01761
  • Quartile 1
    0.08363
  • Median
    0.14965
  • Quartile 3
    0.21567
  • Maximum
    0.28169
  • Mean of quarter 1
    0.01761
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.28169
  • Inter Quartile Range
    0.13204
  • 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)
    0.26441
  • Compounded annual return (geometric extrapolation)
    0.24492
  • Calmar ratio (compounded annual return / max draw down)
    0.86945
  • Compounded annual return / average of 25% largest draw downs
    0.86945
  • Compounded annual return / Expected Shortfall lognormal
    1.54924
  • 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
    0.18438
  • SD
    0.20770
  • Sharpe ratio (Glass type estimate)
    0.88772
  • Sharpe ratio (Hedges UMVUE)
    0.88626
  • df
    454.00000
  • t
    1.16986
  • p
    0.12134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60116
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60214
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37465
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25354
  • Upside Potential Ratio
    7.03464
  • Upside part of mean
    1.03470
  • Downside part of mean
    -0.85032
  • Upside SD
    0.14676
  • Downside SD
    0.14709
  • N nonnegative terms
    229.00000
  • N negative terms
    226.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    455.00000
  • Mean of predictor
    0.06990
  • Mean of criterion
    0.18438
  • SD of predictor
    0.14533
  • SD of criterion
    0.20770
  • Covariance
    0.00899
  • r
    0.29785
  • b (slope, estimate of beta)
    0.42568
  • a (intercept, estimate of alpha)
    0.15500
  • Mean Square Error
    0.03940
  • DF error
    453.00000
  • t(b)
    6.64083
  • p(b)
    0.00000
  • t(a)
    1.02614
  • p(a)
    0.15269
  • Lowerbound of 95% confidence interval for beta
    0.29971
  • Upperbound of 95% confidence interval for beta
    0.55165
  • Lowerbound of 95% confidence interval for alpha
    -0.14151
  • Upperbound of 95% confidence interval for alpha
    0.45076
  • Treynor index (mean / b)
    0.43314
  • Jensen alpha (a)
    0.15463
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16269
  • SD
    0.20844
  • Sharpe ratio (Glass type estimate)
    0.78051
  • Sharpe ratio (Hedges UMVUE)
    0.77922
  • df
    454.00000
  • t
    1.02857
  • p
    0.15211
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26824
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70892
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26737
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07844
  • Upside Potential Ratio
    6.78871
  • Upside part of mean
    1.02411
  • Downside part of mean
    -0.86142
  • Upside SD
    0.14386
  • Downside SD
    0.15085
  • N nonnegative terms
    229.00000
  • N negative terms
    226.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    455.00000
  • Mean of predictor
    0.05931
  • Mean of criterion
    0.16269
  • SD of predictor
    0.14564
  • SD of criterion
    0.20844
  • Covariance
    0.00899
  • r
    0.29626
  • b (slope, estimate of beta)
    0.42400
  • a (intercept, estimate of alpha)
    0.13754
  • Mean Square Error
    0.03972
  • DF error
    453.00000
  • t(b)
    6.60189
  • p(b)
    0.00000
  • t(a)
    0.90915
  • p(a)
    0.18188
  • Lowerbound of 95% confidence interval for beta
    0.29778
  • Upperbound of 95% confidence interval for beta
    0.55021
  • Lowerbound of 95% confidence interval for alpha
    -0.15976
  • Upperbound of 95% confidence interval for alpha
    0.43484
  • Treynor index (mean / b)
    0.38370
  • Jensen alpha (a)
    0.13754
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02035
  • Expected Shortfall on VaR
    0.02560
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00725
  • Expected Shortfall on VaR
    0.01590
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    455.00000
  • Minimum
    0.90720
  • Quartile 1
    0.99758
  • Median
    1.00016
  • Quartile 3
    1.00465
  • Maximum
    1.09163
  • Mean of quarter 1
    0.98793
  • Mean of quarter 2
    0.99933
  • Mean of quarter 3
    1.00231
  • Mean of quarter 4
    1.01368
  • Inter Quartile Range
    0.00707
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.06154
  • Mean of outliers low
    0.97080
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.06813
  • Mean of outliers high
    1.02780
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44888
  • VaR(95%) (moments method)
    0.00961
  • Expected Shortfall (moments method)
    0.02100
  • Extreme Value Index (regression method)
    0.36820
  • VaR(95%) (regression method)
    0.01051
  • Expected Shortfall (regression method)
    0.02101
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00167
  • Median
    0.00568
  • Quartile 3
    0.02153
  • Maximum
    0.30015
  • Mean of quarter 1
    0.00112
  • Mean of quarter 2
    0.00301
  • Mean of quarter 3
    0.00932
  • Mean of quarter 4
    0.12609
  • Inter Quartile Range
    0.01986
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.18750
  • Mean of outliers high
    0.15430
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.22869
  • VaR(95%) (moments method)
    0.11115
  • Expected Shortfall (moments method)
    0.19038
  • Extreme Value Index (regression method)
    1.10597
  • VaR(95%) (regression method)
    0.21041
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22593
  • Compounded annual return (geometric extrapolation)
    0.20997
  • Calmar ratio (compounded annual return / max draw down)
    0.69954
  • Compounded annual return / average of 25% largest draw downs
    1.66528
  • Compounded annual return / Expected Shortfall lognormal
    8.20305
  • 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
    0.18001
  • SD
    0.08666
  • Sharpe ratio (Glass type estimate)
    2.07714
  • Sharpe ratio (Hedges UMVUE)
    2.06513
  • df
    130.00000
  • t
    1.46876
  • p
    0.43612
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71002
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85654
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71802
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.84828
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.70809
  • Upside Potential Ratio
    11.42130
  • Upside part of mean
    0.55444
  • Downside part of mean
    -0.37443
  • Upside SD
    0.07225
  • Downside SD
    0.04854
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08208
  • Mean of criterion
    0.18001
  • SD of predictor
    0.17131
  • SD of criterion
    0.08666
  • Covariance
    0.00390
  • r
    0.26301
  • b (slope, estimate of beta)
    0.13306
  • a (intercept, estimate of alpha)
    0.16909
  • Mean Square Error
    0.00704
  • DF error
    129.00000
  • t(b)
    3.09629
  • p(b)
    0.33451
  • t(a)
    1.42385
  • p(a)
    0.42102
  • Lowerbound of 95% confidence interval for beta
    0.04803
  • Upperbound of 95% confidence interval for beta
    0.21808
  • Lowerbound of 95% confidence interval for alpha
    -0.06587
  • Upperbound of 95% confidence interval for alpha
    0.40404
  • Treynor index (mean / b)
    1.35287
  • Jensen alpha (a)
    0.16909
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17622
  • SD
    0.08640
  • Sharpe ratio (Glass type estimate)
    2.03962
  • Sharpe ratio (Hedges UMVUE)
    2.02783
  • df
    130.00000
  • t
    1.44223
  • p
    0.43725
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.81862
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75491
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81058
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.61539
  • Upside Potential Ratio
    11.32100
  • Upside part of mean
    0.55179
  • Downside part of mean
    -0.37558
  • Upside SD
    0.07177
  • Downside SD
    0.04874
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06753
  • Mean of criterion
    0.17622
  • SD of predictor
    0.17108
  • SD of criterion
    0.08640
  • Covariance
    0.00393
  • r
    0.26600
  • b (slope, estimate of beta)
    0.13433
  • a (intercept, estimate of alpha)
    0.16714
  • Mean Square Error
    0.00699
  • DF error
    129.00000
  • t(b)
    3.13411
  • p(b)
    0.33268
  • t(a)
    1.41322
  • p(a)
    0.42159
  • Lowerbound of 95% confidence interval for beta
    0.04953
  • Upperbound of 95% confidence interval for beta
    0.21913
  • Lowerbound of 95% confidence interval for alpha
    -0.06686
  • Upperbound of 95% confidence interval for alpha
    0.40115
  • Treynor index (mean / b)
    1.31182
  • Jensen alpha (a)
    0.16714
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00807
  • Expected Shortfall on VaR
    0.01028
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00357
  • Expected Shortfall on VaR
    0.00695
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98572
  • Quartile 1
    0.99869
  • Median
    1.00000
  • Quartile 3
    1.00317
  • Maximum
    1.02169
  • Mean of quarter 1
    0.99492
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00104
  • Mean of quarter 4
    1.00758
  • Inter Quartile Range
    0.00448
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.99038
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01443
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24274
  • VaR(95%) (moments method)
    0.00412
  • Expected Shortfall (moments method)
    0.00523
  • Extreme Value Index (regression method)
    -0.14017
  • VaR(95%) (regression method)
    0.00479
  • Expected Shortfall (regression method)
    0.00640
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00068
  • Quartile 1
    0.00111
  • Median
    0.00559
  • Quartile 3
    0.00960
  • Maximum
    0.03858
  • Mean of quarter 1
    0.00090
  • Mean of quarter 2
    0.00275
  • Mean of quarter 3
    0.00775
  • Mean of quarter 4
    0.02991
  • Inter Quartile Range
    0.00848
  • 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
    0.03828
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -9209.64000
  • VaR(95%) (moments method)
    0.02722
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -6.36546
  • VaR(95%) (regression method)
    0.11613
  • Expected Shortfall (regression method)
    0.11614
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21490
  • Compounded annual return (geometric extrapolation)
    0.22645
  • Calmar ratio (compounded annual return / max draw down)
    5.86944
  • Compounded annual return / average of 25% largest draw downs
    7.57087
  • Compounded annual return / Expected Shortfall lognormal
    22.02350

Strategy Description

Summary Statistics

Strategy began
2017-08-18
Suggested Minimum Capital
$15,000
# Trades
265
# Profitable
121
% Profitable
45.7%
Net Dividends
Correlation S&P500
0.278
Sharpe Ratio
0.62
Sortino Ratio
0.88
Beta
0.42
Alpha
0.04
Leverage
0.87 Average
1.55 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 nominal 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.