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SuperSystemXL
(117987070)

Created by: SelfQuant SelfQuant
Started: 05/2018
Stocks
Last trade: 117 days ago
Trading style: Equity Non-hedged Equity

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 $199.00 per month.

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."
16.7%
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.

(5.9%)
Max Drawdown
56
Num Trades
60.7%
Win Trades
2.6 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +4.5%+5.1%+8.4%(2.2%)+0.2%  -    -    -  +16.7%

Model Account Details

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

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

Trading Record

This strategy has placed 29 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/14/18 15:57 JPM JPMORGAN CHASE LONG 1,102 114.66 8/21 12:38 116.06 0.22%
Trade id #119439583
Max drawdown($619)
Time8/15/18 14:33
Quant open358
Worst price112.97
Drawdown as % of equity-0.22%
$1,527
Includes Typical Broker Commissions trade costs of $13.52
8/9/18 15:57 INTC INTEL LONG 2,340 48.59 8/21 12:38 47.54 1.62%
Trade id #119367826
Max drawdown($4,633)
Time8/17/18 9:34
Quant open1,560
Worst price46.33
Drawdown as % of equity-1.62%
($2,478)
Includes Typical Broker Commissions trade costs of $12.50
8/15/18 15:57 BA BOEING LONG 117 331.71 8/21 12:38 352.29 0.01%
Trade id #119459336
Max drawdown($38)
Time8/15/18 16:00
Quant open117
Worst price331.38
Drawdown as % of equity-0.01%
$2,406
Includes Typical Broker Commissions trade costs of $2.34
8/14/18 15:57 BAC BANK OF AMERICA CORP LONG 1,300 30.81 8/21 12:38 31.20 0.3%
Trade id #119439585
Max drawdown($851)
Time8/15/18 14:03
Quant open1,300
Worst price30.16
Drawdown as % of equity-0.30%
$502
Includes Typical Broker Commissions trade costs of $5.00
8/16/18 15:58 T AT&T LONG 2,700 33.11 8/21 12:38 33.49 0.05%
Trade id #119477063
Max drawdown($143)
Time8/17/18 9:39
Quant open1,300
Worst price32.96
Drawdown as % of equity-0.05%
$1,015
Includes Typical Broker Commissions trade costs of $7.50
8/13/18 15:58 ORCL ORACLE CORP LONG 876 48.05 8/21 12:38 48.51 0.26%
Trade id #119418865
Max drawdown($735)
Time8/16/18 16:21
Quant open876
Worst price47.21
Drawdown as % of equity-0.26%
$398
Includes Typical Broker Commissions trade costs of $5.00
8/17/18 15:57 AAPL APPLE LONG 208 217.81 8/21 12:37 216.43 0.27%
Trade id #119496849
Max drawdown($787)
Time8/21/18 10:13
Quant open208
Worst price214.03
Drawdown as % of equity-0.27%
($291)
Includes Typical Broker Commissions trade costs of $4.16
8/2/18 15:57 BABA ALIBABA GROUP HOLDING LIMITED LONG 663 179.59 8/17 15:56 175.14 1.34%
Trade id #119256982
Max drawdown($3,899)
Time8/14/18 9:53
Quant open442
Worst price170.77
Drawdown as % of equity-1.34%
($2,963)
Includes Typical Broker Commissions trade costs of $13.26
8/7/18 15:57 AMD ADVANCED MICRO DEVICES INC. C LONG 4,420 19.61 8/16 15:56 19.50 1.17%
Trade id #119327781
Max drawdown($3,381)
Time8/10/18 14:29
Quant open4,420
Worst price18.85
Drawdown as % of equity-1.17%
($540)
Includes Typical Broker Commissions trade costs of $10.00
8/2/18 15:58 SBUX STARBUCKS LONG 1,560 51.63 8/16 15:56 52.26 0.23%
Trade id #119256984
Max drawdown($678)
Time8/10/18 9:41
Quant open1,560
Worst price51.20
Drawdown as % of equity-0.23%
$973
Includes Typical Broker Commissions trade costs of $10.00
8/3/18 15:57 BA BOEING LONG 351 348.74 8/15 15:56 336.39 1.54%
Trade id #119281275
Max drawdown($4,335)
Time8/15/18 15:56
Quant open234
Worst price331.70
Drawdown as % of equity-1.54%
($4,342)
Includes Typical Broker Commissions trade costs of $7.02
8/3/18 15:57 BAC BANK OF AMERICA CORP LONG 1,300 31.48 8/13 15:56 30.48 0.46%
Trade id #119281277
Max drawdown($1,339)
Time8/13/18 15:51
Quant open1,300
Worst price30.45
Drawdown as % of equity-0.46%
($1,305)
Includes Typical Broker Commissions trade costs of $5.00
8/1/18 15:57 VZ VERIZON COMMUNICATIONS SHORT 780 51.79 8/9 15:56 53.03 0.39%
Trade id #119235788
Max drawdown($1,154)
Time8/9/18 15:21
Quant open-780
Worst price53.27
Drawdown as % of equity-0.39%
($972)
Includes Typical Broker Commissions trade costs of $5.00
7/31/18 15:57 CVX CHEVRON LONG 312 126.26 8/8 15:56 123.92 0.31%
Trade id #119215528
Max drawdown($923)
Time8/2/18 11:01
Quant open312
Worst price123.30
Drawdown as % of equity-0.31%
($736)
Includes Typical Broker Commissions trade costs of $6.24
7/12/18 15:57 CELG CELGENE LONG 2,964 86.30 8/8 15:56 88.22 0.53%
Trade id #118903727
Max drawdown($1,511)
Time7/19/18 19:47
Quant open1,482
Worst price84.35
Drawdown as % of equity-0.53%
$5,642
Includes Typical Broker Commissions trade costs of $59.28
7/30/18 15:57 NFLX NETFLIX SHORT 98 334.34 8/7 15:56 351.75 0.76%
Trade id #119193058
Max drawdown($2,251)
Time8/7/18 9:38
Quant open-98
Worst price357.31
Drawdown as % of equity-0.76%
($1,708)
Includes Typical Broker Commissions trade costs of $1.96
7/25/18 15:57 C CITIGROUP LONG 1,144 71.97 8/7 15:56 72.08 0.37%
Trade id #119125046
Max drawdown($1,092)
Time8/2/18 9:37
Quant open1,144
Worst price71.02
Drawdown as % of equity-0.37%
$104
Includes Typical Broker Commissions trade costs of $10.00
7/27/18 15:57 WFC WELLS FARGO LONG 702 58.63 8/6 15:56 58.87 0.38%
Trade id #119169742
Max drawdown($1,144)
Time8/1/18 4:53
Quant open702
Worst price57.00
Drawdown as % of equity-0.38%
$163
Includes Typical Broker Commissions trade costs of $5.00
7/24/18 15:57 AMAT APPLIED MATERIALS LONG 1,716 46.54 8/3 15:56 48.43 0.23%
Trade id #119102033
Max drawdown($676)
Time7/25/18 11:14
Quant open858
Worst price45.13
Drawdown as % of equity-0.23%
$3,233
Includes Typical Broker Commissions trade costs of $10.00
7/19/18 15:57 BA BOEING LONG 234 355.61 8/2 15:56 355.36 0.6%
Trade id #119023950
Max drawdown($1,740)
Time7/25/18 7:31
Quant open117
Worst price340.80
Drawdown as % of equity-0.60%
($64)
Includes Typical Broker Commissions trade costs of $4.68
7/23/18 15:57 GE GENERAL ELECTRIC LONG 2,860 13.00 7/31 15:56 13.59 0.15%
Trade id #119078730
Max drawdown($429)
Time7/24/18 9:32
Quant open2,860
Worst price12.85
Drawdown as % of equity-0.15%
$1,682
Includes Typical Broker Commissions trade costs of $5.00
7/11/18 15:57 WMT WALMART INC LONG 1,347 87.63 7/30 15:56 88.17 0.05%
Trade id #118878700
Max drawdown($131)
Time7/12/18 14:06
Quant open437
Worst price86.22
Drawdown as % of equity-0.05%
$697
Includes Typical Broker Commissions trade costs of $26.94
7/17/18 15:57 CVX CHEVRON LONG 624 121.69 7/26 15:56 124.53 0.24%
Trade id #118983049
Max drawdown($689)
Time7/18/18 10:07
Quant open312
Worst price119.67
Drawdown as % of equity-0.24%
$1,763
Includes Typical Broker Commissions trade costs of $12.48
7/13/18 15:57 VZ VERIZON COMMUNICATIONS LONG 2,340 51.41 7/26 15:56 51.17 0.94%
Trade id #118924797
Max drawdown($2,659)
Time7/23/18 10:32
Quant open2,340
Worst price50.27
Drawdown as % of equity-0.94%
($577)
Includes Typical Broker Commissions trade costs of $15.00
6/18/18 15:57 MSFT MICROSOFT LONG 2,301 100.91 7/20 15:56 101.82 1.47%
Trade id #118493725
Max drawdown($4,026)
Time6/25/18 14:56
Quant open1,152
Worst price97.30
Drawdown as % of equity-1.47%
$2,049
Includes Typical Broker Commissions trade costs of $46.02
7/11/18 15:57 CSCO CISCO SYSTEMS SHORT 875 42.56 7/19 15:56 42.38 0.39%
Trade id #118878702
Max drawdown($1,128)
Time7/18/18 17:26
Quant open-875
Worst price43.85
Drawdown as % of equity-0.39%
$153
Includes Typical Broker Commissions trade costs of $5.00
7/9/18 15:57 AMAT APPLIED MATERIALS LONG 1,650 46.59 7/18 15:56 48.62 0.96%
Trade id #118832085
Max drawdown($2,664)
Time7/11/18 13:55
Quant open1,650
Worst price44.98
Drawdown as % of equity-0.96%
$3,323
Includes Typical Broker Commissions trade costs of $10.00
7/10/18 15:57 GE GENERAL ELECTRIC LONG 2,750 14.16 7/18 15:56 13.76 0.49%
Trade id #118852210
Max drawdown($1,402)
Time7/17/18 9:54
Quant open2,750
Worst price13.65
Drawdown as % of equity-0.49%
($1,105)
Includes Typical Broker Commissions trade costs of $5.00
7/9/18 15:57 WFC WELLS FARGO SHORT 675 56.73 7/18 9:30 56.26 0.12%
Trade id #118832081
Max drawdown($337)
Time7/16/18 15:39
Quant open-675
Worst price57.23
Drawdown as % of equity-0.12%
$312
Includes Typical Broker Commissions trade costs of $5.00
7/6/18 15:57 CVX CHEVRON LONG 300 123.97 7/16 15:56 122.94 0.22%
Trade id #118810340
Max drawdown($627)
Time7/16/18 10:57
Quant open300
Worst price121.88
Drawdown as % of equity-0.22%
($315)
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    5/17/2018
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    212.38
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    56
  • # Profitable
    34
  • % Profitable
    60.70%
  • Avg trade duration
    11.9 days
  • Max peak-to-valley drawdown
    5.91%
  • drawdown period
    Aug 01, 2018 - Aug 15, 2018
  • Cumul. Return
    16.7%
  • Avg win
    $2,050
  • Avg loss
    $1,340
  • Model Account Values (Raw)
  • Cash
    $293,131
  • Margin Used
    $0
  • Buying Power
    $293,131
  • Ratios
  • W:L ratio
    2.56:1
  • Sharpe Ratio
    2.812
  • Sortino Ratio
    5.387
  • Calmar Ratio
    6.784
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.19700
  • Return Statistics
  • Ann Return (w trading costs)
    29.9%
  • Ann Return (Compnd, No Fees)
    31.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    532
  • 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
    $1,341
  • Avg Win
    $2,050
  • # Winners
    34
  • # Losers
    22
  • % Winners
    60.7%
  • Frequency
  • Avg Position Time (mins)
    17169.50
  • Avg Position Time (hrs)
    286.16
  • Avg Trade Length
    11.9 days
  • Last Trade Ago
    117
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30512
  • SD
    0.16421
  • Sharpe ratio (Glass type estimate)
    1.85814
  • Sharpe ratio (Hedges UMVUE)
    1.56223
  • df
    5.00000
  • t
    1.31390
  • p
    0.12297
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77115
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37383
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.49828
  • Statistics related to Sortino ratio
  • Sortino ratio
    60.63860
  • Upside Potential Ratio
    63.02540
  • Upside part of mean
    0.31713
  • Downside part of mean
    -0.01201
  • Upside SD
    0.17379
  • Downside SD
    0.00503
  • 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
    -0.04613
  • Mean of criterion
    0.30512
  • SD of predictor
    0.09133
  • SD of criterion
    0.16421
  • Covariance
    0.00791
  • r
    0.52764
  • b (slope, estimate of beta)
    0.94872
  • a (intercept, estimate of alpha)
    0.34889
  • Mean Square Error
    0.02432
  • DF error
    4.00000
  • t(b)
    1.24228
  • p(b)
    0.14100
  • t(a)
    1.56207
  • p(a)
    0.09665
  • Lowerbound of 95% confidence interval for beta
    -1.17204
  • Upperbound of 95% confidence interval for beta
    3.06948
  • Lowerbound of 95% confidence interval for alpha
    -0.27135
  • Upperbound of 95% confidence interval for alpha
    0.96913
  • Treynor index (mean / b)
    0.32162
  • Jensen alpha (a)
    0.34889
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29042
  • SD
    0.15474
  • Sharpe ratio (Glass type estimate)
    1.87679
  • Sharpe ratio (Hedges UMVUE)
    1.57791
  • df
    5.00000
  • t
    1.32709
  • p
    0.12093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19402
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.79351
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36137
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.51718
  • Statistics related to Sortino ratio
  • Sortino ratio
    57.78870
  • Upside Potential Ratio
    60.17530
  • Upside part of mean
    0.30242
  • Downside part of mean
    -0.01199
  • Upside SD
    0.16419
  • Downside SD
    0.00503
  • 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
    -0.04964
  • Mean of criterion
    0.29042
  • SD of predictor
    0.09235
  • SD of criterion
    0.15474
  • Covariance
    0.00759
  • r
    0.53124
  • b (slope, estimate of beta)
    0.89017
  • a (intercept, estimate of alpha)
    0.33461
  • Mean Square Error
    0.02149
  • DF error
    4.00000
  • t(b)
    1.25409
  • p(b)
    0.13905
  • t(a)
    1.59138
  • p(a)
    0.09337
  • Lowerbound of 95% confidence interval for beta
    -1.08097
  • Upperbound of 95% confidence interval for beta
    2.86131
  • Lowerbound of 95% confidence interval for alpha
    -0.24929
  • Upperbound of 95% confidence interval for alpha
    0.91852
  • Treynor index (mean / b)
    0.32626
  • Jensen alpha (a)
    0.33461
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04808
  • Expected Shortfall on VaR
    0.06556
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00232
  • Expected Shortfall on VaR
    0.00344
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00024
  • Median
    1.01084
  • Quartile 3
    1.02223
  • Maximum
    1.12211
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00098
  • Mean of quarter 3
    1.02071
  • Mean of quarter 4
    1.07242
  • Inter Quartile Range
    0.02198
  • 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
    0.16667
  • Mean of outliers high
    1.12211
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.34506
  • Compounded annual return (geometric extrapolation)
    0.37483
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.71760
  • 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
    0.26011
  • SD
    0.09202
  • Sharpe ratio (Glass type estimate)
    2.82674
  • Sharpe ratio (Hedges UMVUE)
    2.81219
  • df
    146.00000
  • t
    2.11735
  • p
    0.41370
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18545
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.45860
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17577
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.44861
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.38657
  • Upside Potential Ratio
    11.18120
  • Upside part of mean
    0.53993
  • Downside part of mean
    -0.27982
  • Upside SD
    0.07960
  • Downside SD
    0.04829
  • N nonnegative terms
    44.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    147.00000
  • Mean of predictor
    -0.09749
  • Mean of criterion
    0.26011
  • SD of predictor
    0.14811
  • SD of criterion
    0.09202
  • Covariance
    0.00280
  • r
    0.20551
  • b (slope, estimate of beta)
    0.12768
  • a (intercept, estimate of alpha)
    0.27300
  • Mean Square Error
    0.00817
  • DF error
    145.00000
  • t(b)
    2.52863
  • p(b)
    0.37010
  • t(a)
    2.25742
  • p(a)
    0.38337
  • Lowerbound of 95% confidence interval for beta
    0.02788
  • Upperbound of 95% confidence interval for beta
    0.22748
  • Lowerbound of 95% confidence interval for alpha
    0.03392
  • Upperbound of 95% confidence interval for alpha
    0.51120
  • Treynor index (mean / b)
    2.03718
  • Jensen alpha (a)
    0.27256
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25578
  • SD
    0.09167
  • Sharpe ratio (Glass type estimate)
    2.79017
  • Sharpe ratio (Hedges UMVUE)
    2.77581
  • df
    146.00000
  • t
    2.08996
  • p
    0.41478
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14940
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.42163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.41173
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.26759
  • Upside Potential Ratio
    11.05390
  • Upside part of mean
    0.53674
  • Downside part of mean
    -0.28096
  • Upside SD
    0.07898
  • Downside SD
    0.04856
  • N nonnegative terms
    44.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    147.00000
  • Mean of predictor
    -0.10844
  • Mean of criterion
    0.25578
  • SD of predictor
    0.14861
  • SD of criterion
    0.09167
  • Covariance
    0.00280
  • r
    0.20534
  • b (slope, estimate of beta)
    0.12666
  • a (intercept, estimate of alpha)
    0.26951
  • Mean Square Error
    0.00810
  • DF error
    145.00000
  • t(b)
    2.52652
  • p(b)
    0.37020
  • t(a)
    2.24015
  • p(a)
    0.38422
  • Lowerbound of 95% confidence interval for beta
    0.02758
  • Upperbound of 95% confidence interval for beta
    0.22575
  • Lowerbound of 95% confidence interval for alpha
    0.03172
  • Upperbound of 95% confidence interval for alpha
    0.50730
  • Treynor index (mean / b)
    2.01930
  • Jensen alpha (a)
    0.26951
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00830
  • Expected Shortfall on VaR
    0.01065
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00299
  • Expected Shortfall on VaR
    0.00628
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    147.00000
  • Minimum
    0.98178
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00223
  • Maximum
    1.02366
  • Mean of quarter 1
    0.99605
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00021
  • Mean of quarter 4
    1.00811
  • Inter Quartile Range
    0.00223
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.12245
  • Mean of outliers low
    0.99249
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.01158
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.37587
  • VaR(95%) (moments method)
    0.00233
  • Expected Shortfall (moments method)
    0.00242
  • Extreme Value Index (regression method)
    -0.22987
  • VaR(95%) (regression method)
    0.00544
  • Expected Shortfall (regression method)
    0.00835
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00127
  • Median
    0.02326
  • Quartile 3
    0.04571
  • Maximum
    0.04835
  • Mean of quarter 1
    0.00002
  • Mean of quarter 2
    0.00168
  • Mean of quarter 3
    0.04483
  • Mean of quarter 4
    0.04835
  • Inter Quartile Range
    0.04444
  • 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)
    0.30751
  • Compounded annual return (geometric extrapolation)
    0.32801
  • Calmar ratio (compounded annual return / max draw down)
    6.78432
  • Compounded annual return / average of 25% largest draw downs
    6.78432
  • Compounded annual return / Expected Shortfall lognormal
    30.80950
  • 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
    0.04179
  • SD
    0.07631
  • Sharpe ratio (Glass type estimate)
    0.54768
  • Sharpe ratio (Hedges UMVUE)
    0.54452
  • df
    130.00000
  • t
    0.38727
  • p
    0.48303
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.22589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31932
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22808
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31711
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81799
  • Upside Potential Ratio
    6.88486
  • Upside part of mean
    0.35175
  • Downside part of mean
    -0.30996
  • Upside SD
    0.05634
  • Downside SD
    0.05109
  • N nonnegative terms
    31.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.14949
  • Mean of criterion
    0.04179
  • SD of predictor
    0.15257
  • SD of criterion
    0.07631
  • Covariance
    0.00187
  • r
    0.16079
  • b (slope, estimate of beta)
    0.08041
  • a (intercept, estimate of alpha)
    0.05381
  • Mean Square Error
    0.00572
  • DF error
    129.00000
  • t(b)
    1.85027
  • p(b)
    0.39808
  • t(a)
    0.50237
  • p(a)
    0.47188
  • Lowerbound of 95% confidence interval for beta
    -0.00557
  • Upperbound of 95% confidence interval for beta
    0.16640
  • Lowerbound of 95% confidence interval for alpha
    -0.15812
  • Upperbound of 95% confidence interval for alpha
    0.26575
  • Treynor index (mean / b)
    0.51969
  • Jensen alpha (a)
    0.05381
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03890
  • SD
    0.07626
  • Sharpe ratio (Glass type estimate)
    0.51007
  • Sharpe ratio (Hedges UMVUE)
    0.50713
  • df
    130.00000
  • t
    0.36068
  • p
    0.48419
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.26339
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.28161
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26536
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27962
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75715
  • Upside Potential Ratio
    6.81549
  • Upside part of mean
    0.35014
  • Downside part of mean
    -0.31124
  • Upside SD
    0.05601
  • Downside SD
    0.05137
  • N nonnegative terms
    31.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.16113
  • Mean of criterion
    0.03890
  • SD of predictor
    0.15312
  • SD of criterion
    0.07626
  • Covariance
    0.00188
  • r
    0.16065
  • b (slope, estimate of beta)
    0.08001
  • a (intercept, estimate of alpha)
    0.05179
  • Mean Square Error
    0.00571
  • DF error
    129.00000
  • t(b)
    1.84866
  • p(b)
    0.39817
  • t(a)
    0.48363
  • p(a)
    0.47292
  • Lowerbound of 95% confidence interval for beta
    -0.00562
  • Upperbound of 95% confidence interval for beta
    0.16563
  • Lowerbound of 95% confidence interval for alpha
    -0.16008
  • Upperbound of 95% confidence interval for alpha
    0.26366
  • Treynor index (mean / b)
    0.48618
  • Jensen alpha (a)
    0.05179
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00757
  • Expected Shortfall on VaR
    0.00952
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00350
  • Expected Shortfall on VaR
    0.00720
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98178
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01675
  • Mean of quarter 1
    0.99563
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00543
  • Inter Quartile Range
    0.00000
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.18321
  • Mean of outliers low
    0.99399
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.23664
  • Mean of outliers high
    1.00578
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.05288
  • VaR(95%) (moments method)
    0.00233
  • Expected Shortfall (moments method)
    0.00236
  • Extreme Value Index (regression method)
    -0.30776
  • VaR(95%) (regression method)
    0.00613
  • Expected Shortfall (regression method)
    0.00890
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04483
  • Quartile 1
    0.04571
  • Median
    0.04659
  • Quartile 3
    0.04747
  • Maximum
    0.04835
  • Mean of quarter 1
    0.04483
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04835
  • Inter Quartile Range
    0.00176
  • 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)
    0.06793
  • Compounded annual return (geometric extrapolation)
    0.06909
  • Calmar ratio (compounded annual return / max draw down)
    1.42892
  • Compounded annual return / average of 25% largest draw downs
    1.42892
  • Compounded annual return / Expected Shortfall lognormal
    7.25519

Strategy Description

SuperSystemXL is a cycle based stock trading strategy on highly liquid underlyings. The system tried to identify the most promising cycle for a stock and enters two long or short positions at the end of each trading day. These positions are held for six trading days and exited via a time stop. There are no other entry or exit signals. Because of the stock universe it trades (highly liquid US stocks) it has a lot of capacity. When it is perfectly in sync with the market it highly magnifies regular S&P returns (check the period from May 22 to June 7 2018). When it is out of sync (check the period from June 8 - June 24 2018) it slowly drains the trading account with typically very low draw down compared to the S&P. Since the system is still very new I send out a weekly survey to new system subscribers to evaluate their fills and overall comfort level. SuperSystemXL has a smaller brother (https://collective2.com/details/117809554) that trades signficantly smaller and fewer positions. Based on that the variance is higher.
If you have any questions please send me a message on C2 and I'll be happy to answer.

Summary Statistics

Strategy began
2018-05-17
Suggested Minimum Capital
$45,000
# Trades
56
# Profitable
34
% Profitable
60.7%
Net Dividends
Correlation S&P500
0.197
Sharpe Ratio
2.812

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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