Collective2 Collective2
For your consideration Long Horizon Followed by live capital $189,000 Hypothetical

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Five Squared

By tradeLab

Equity · Stocks · Started Jul 2018

hypothetical · Annual Return (Compounded)
42.5%
Max Drawdown
6.9%
Trades
18
Win Trades
61.1%
Profit Factor
1.40
Win Months
2.0%

About this strategy

Precise (14 Rule) Stock Screener Applied to U.S. Based NYSE/Nasdaq Stocks.
Very Low Margin Used - Rarely Above 2x Leverage.

Strategy Trades all NYSE/Nasdaq Stocks (Excluding Financial Sector).
Combines Fundamentals with Precise Technical Timing Method.
Top 'Five' Ranking Stocks are Bought (Holding Period Between 2-4 Weeks).
Trades U.S. Based Liquid Companies Only (No OTC's, Pink Sheets etc).
During Bear Markets, Portfolio is 50% Hedged Using S&P500 ETF (Symbol: SPY).

Note: The Five Squared strategy is completely independent from our other strategies (namely 'Cash Flow Matrix' and 'SPX Liquid Portfolio'). For instance, the strategy trades all U.S. listed (NYSE/Nasdaq) stocks (excluding financial stocks). The strategy also follows it's own specified screening rules, timing indicators, and holding periods.

Hedged Equity

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20183.20.10.00.00.00.03.3
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began7/2/2018
Suggested Minimum Capital$35,000
Age101 months
What it tradesStocks
# Trades18
# Profitable11
% Profitable61.1%
Avg trade duration8.6 days
Max peak-to-valley drawdown6.9%
drawdown periodJuly 20, 2018 - July 27, 2018
Cumul. Return3.1%
Avg win$441
Avg loss$497

Ratios

W:L ratio1.40
Sharpe Ratio-0.51
Sortino Ratio-0.72
Calmar Ratio0.43

CORRELATION STATISTICS

Correlation to SP5000.02
Return Percent SP500 (cumu) during strategy life186.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)0.0%

Return Statistics

Ann Return (w trading costs)42.5%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.5%

Slump

Current Slump as Pcnt Equity6.8%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss0.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated15.4%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)870
Popularity (7 days, Percentile 1000 scale)673

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$497
Avg Win$441
# Winners11
Sum Trade PL (losers)$3,482
Sum Trade PL (winners)$4,851
Num Months Winners2
# Losers7
% Winners61.1%

Dividends

Dividends Received in Model Acct39

Age

Num Months filled monthly returns table100

Frequency

Avg Position Time (mins)12317.85
Avg Position Time (hrs)205.30
Avg Trade Length8.60
Last Trade Ago2989

Regression

Alpha0
Beta0
Treynor Index-1.23

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades0.36
MAE:PL (avg, all trades)-0.01
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats44.76
MAE:PL - Winning Trades - this strat Percentile of All Strats11.76
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.08
Avg(MAE) / Avg(PL) - Losing trades-1.06
Hold-and-Hope Ratio2.81

RATIO STATISTICS

a (intercept, estimate of alpha)-0.00
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)7
Last 4 Months - Pcnt Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
CI long51Jul 23, 2018Jul 30, 2018($107)
QSII long448Jul 20, 2018Jul 30, 2018($139)
HURN long202Jul 20, 2018Jul 30, 2018($145)
MGLN long95Jul 20, 2018Jul 30, 2018($2,149)
SPY short81Jul 20, 2018Jul 30, 2018($34)
NCI long425Jul 20, 2018Jul 30, 2018$26
ESRX long118Jul 20, 2018Jul 23, 2018$51
UTHR long74Jul 17, 2018Jul 18, 2018($18)
OC long139Jul 16, 2018Jul 18, 2018$90
SPY short84Jul 2, 2018Jul 18, 2018($911)
MCK long68Jul 2, 2018Jul 18, 2018$91
KLAC long88Jul 2, 2018Jul 18, 2018$767
CNDT long490Jul 17, 2018Jul 18, 2018$83
CAH long180Jul 12, 2018Jul 17, 2018$14
ORCL long204Jul 2, 2018Jul 17, 2018$916
CA long252Jul 2, 2018Jul 13, 2018$2,124
AYI long70Jul 10, 2018Jul 12, 2018$221
WBA long150Jul 2, 2018Jul 10, 2018$425

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.