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This is an archived track record. This track record was archived on 7/30/18 11:49 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Five Squared
(118741423)

Created by: tradeLab tradeLab
Started: 07/2018
Stocks
Last trade: 1,475 days ago
Trading style: Equity 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 $139.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
42.5%
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.

(6.9%)
Max Drawdown
18
Num Trades
61.1%
Win Trades
1.4 : 1
Profit Factor
4.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                          +3.2%+0.1%  -    -    -    -  +3.3%
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -                          0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/23/18 9:34 CI CIGNA LONG 51 178.68 7/30 11:49 176.61 n/a ($107)
Includes Typical Broker Commissions trade costs of $1.02
7/20/18 15:36 QSII QUALITY SYSTEMS LONG 448 20.13 7/30 11:49 19.84 n/a ($139)
Includes Typical Broker Commissions trade costs of $8.96
7/20/18 15:12 HURN HURON CONSULTING GROUP LONG 202 44.60 7/30 11:49 43.90 n/a ($145)
Includes Typical Broker Commissions trade costs of $4.04
7/20/18 11:19 MGLN MAGELLAN HEALTH INC. COMMON S LONG 95 95.50 7/30 11:49 72.90 n/a ($2,149)
Includes Typical Broker Commissions trade costs of $1.90
7/20/18 11:15 SPY SPDR S&P 500 SHORT 81 279.95 7/30 11:49 280.34 n/a ($34)
Includes Typical Broker Commissions trade costs of $1.62
7/20/18 11:11 NCI NAVIGANT CONSULTING INC. LONG 425 21.33 7/30 11:49 21.41 n/a $26
Includes Typical Broker Commissions trade costs of $8.50
7/20/18 11:12 ESRX EXPRESS SCRIPTS LONG 118 76.92 7/23 9:32 77.37 0.01%
Trade id #119036303
Max drawdown($2)
Time7/20/18 11:14
Quant open118
Worst price76.89
Drawdown as % of equity-0.01%
$51
Includes Typical Broker Commissions trade costs of $2.36
7/17/18 11:50 UTHR UNITED THERAPEUTICS LONG 74 123.33 7/18 15:44 123.10 0.18%
Trade id #118976296
Max drawdown($70)
Time7/18/18 9:56
Quant open74
Worst price122.38
Drawdown as % of equity-0.18%
($18)
Includes Typical Broker Commissions trade costs of $1.48
7/16/18 15:42 OC OWENS-CORNING LONG 139 64.56 7/18 15:43 65.23 0.24%
Trade id #118962439
Max drawdown($90)
Time7/17/18 9:42
Quant open139
Worst price63.91
Drawdown as % of equity-0.24%
$90
Includes Typical Broker Commissions trade costs of $2.78
7/2/18 9:57 SPY SPDR S&P 500 SHORT 84 269.75 7/18 15:43 280.57 2.34%
Trade id #118742106
Max drawdown($909)
Time7/18/18 15:43
Quant open20
Worst price281.01
Drawdown as % of equity-2.34%
($911)
Includes Typical Broker Commissions trade costs of $1.68
7/2/18 9:59 MCK MCKESSON LONG 68 133.01 7/18 15:42 134.36 0.04%
Trade id #118742245
Max drawdown($15)
Time7/2/18 13:31
Quant open68
Worst price132.78
Drawdown as % of equity-0.04%
$91
Includes Typical Broker Commissions trade costs of $1.36
7/2/18 9:57 KLAC KLA CORP LONG 88 101.64 7/18 15:42 110.38 0.11%
Trade id #118742103
Max drawdown($39)
Time7/2/18 12:07
Quant open88
Worst price101.19
Drawdown as % of equity-0.11%
$767
Includes Typical Broker Commissions trade costs of $1.76
7/17/18 13:27 CNDT CONDUENT INC LONG 490 18.37 7/18 15:42 18.56 0.23%
Trade id #118979171
Max drawdown($88)
Time7/17/18 15:02
Quant open490
Worst price18.19
Drawdown as % of equity-0.23%
$83
Includes Typical Broker Commissions trade costs of $9.80
7/12/18 11:06 CAH CARDINAL HEALTH LONG 180 50.00 7/17 13:32 50.10 0.11%
Trade id #118895661
Max drawdown($43)
Time7/12/18 14:05
Quant open180
Worst price49.76
Drawdown as % of equity-0.11%
$14
Includes Typical Broker Commissions trade costs of $3.60
7/2/18 9:55 ORCL ORACLE CORP LONG 204 44.08 7/17 11:37 48.59 0.02%
Trade id #118742050
Max drawdown($6)
Time7/2/18 9:59
Quant open204
Worst price44.05
Drawdown as % of equity-0.02%
$916
Includes Typical Broker Commissions trade costs of $4.08
7/2/18 9:57 CA CA LONG 252 35.55 7/13 9:46 44.00 0.05%
Trade id #118742102
Max drawdown($17)
Time7/2/18 10:16
Quant open252
Worst price35.48
Drawdown as % of equity-0.05%
$2,124
Includes Typical Broker Commissions trade costs of $5.04
7/10/18 10:02 AYI ACUITY BRANDS LONG 70 129.09 7/12 11:05 132.26 0.27%
Trade id #118841897
Max drawdown($96)
Time7/10/18 11:00
Quant open70
Worst price127.71
Drawdown as % of equity-0.27%
$221
Includes Typical Broker Commissions trade costs of $1.40
7/2/18 9:58 WBA WALGREEN BOOTS ALLIANCE INC. LONG 150 60.11 7/10 9:52 62.96 0.02%
Trade id #118742170
Max drawdown($6)
Time7/2/18 10:01
Quant open150
Worst price60.07
Drawdown as % of equity-0.02%
$425
Includes Typical Broker Commissions trade costs of $3.00

Statistics

  • Strategy began
    7/2/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1502.54
  • Age
    50 months ago
  • What it trades
    Stocks
  • # Trades
    18
  • # Profitable
    11
  • % Profitable
    61.10%
  • Avg trade duration
    8.6 days
  • Max peak-to-valley drawdown
    6.92%
  • drawdown period
    July 20, 2018 - July 27, 2018
  • Cumul. Return
    3.1%
  • Avg win
    $441.00
  • Avg loss
    $497.43
  • Model Account Values (Raw)
  • Cash
    $36,408
  • Margin Used
    $0
  • Buying Power
    $36,408
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    -0.27
  • Sortino Ratio
    -0.38
  • Calmar Ratio
    0.697
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    0.03%
  • Correlation to SP500
    0.02850
  • Return Percent SP500 (cumu) during strategy life
    56.97%
  • Return Statistics
  • Ann Return (w trading costs)
    42.5%
  • Slump
  • Current Slump as Pcnt Equity
    6.80%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.031%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Short Options - Percent Covered
    100.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.0%
  • 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 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    15.38%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    870
  • Popularity (7 days, Percentile 1000 scale)
    673
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $441
  • Avg Loss
    $497
  • Sum Trade PL (losers)
    $3,482.000
  • # Winners
    11
  • Num Months Winners
    2
  • Age
  • Num Months filled monthly returns table
    50
  • Win / Loss
  • Sum Trade PL (winners)
    $4,851.000
  • Dividends
  • Dividends Received in Model Acct
    39
  • Win / Loss
  • # Losers
    7
  • % Winners
    61.1%
  • Frequency
  • Avg Position Time (mins)
    12317.80
  • Avg Position Time (hrs)
    205.30
  • Avg Trade Length
    8.6 days
  • Last Trade Ago
    1474
  • Regression
  • Alpha
    -0.00
  • Beta
    0.01
  • Treynor Index
    -0.59
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    11.76
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.356
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    44.76
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.084
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.058
  • Hold-and-Hope Ratio
    2.808
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.01600
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.00900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    7
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

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.

Summary Statistics

Strategy began
2018-07-02
Suggested Minimum Capital
$35,000
# Trades
18
# Profitable
11
% Profitable
61.1%
Net Dividends
Correlation S&P500
0.029
Sharpe Ratio
-0.27
Sortino Ratio
-0.38
Beta
0.01
Alpha
-0.00

Latest Activity

#PERSONNAME#
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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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.