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AllSeasons Profit
(124203503)

Created by: IvaViz IvaViz
Started: 06/2019
Stocks
Last trade: 19 days ago
Trading style: Equity Sector: Technology

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 $125.00 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
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
-28.5%
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.

(68.1%)
Max Drawdown
202
Num Trades
70.8%
Win Trades
0.9 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                   +0.1%+25.5%+21.6%+17.0%(5.4%)(47%)(27%)(34.5%)
2020+36.3%(19.9%)                                                            +9.1%

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 114 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/16/19 14:36 BDSI BIODELIVERY SCIENCES SHORT 590 5.03 1/30/20 11:43 5.31 3.47%
Trade id #125819788
Max drawdown($1,286)
Time12/26/19 0:00
Quant open590
Worst price7.21
Drawdown as % of equity-3.47%
($171)
Includes Typical Broker Commissions trade costs of $5.00
10/7/19 10:24 ABBV ABBVIE INC SHORT 40 74.17 1/30/20 11:41 81.64 1.75%
Trade id #125660105
Max drawdown($712)
Time12/20/19 0:00
Quant open40
Worst price91.99
Drawdown as % of equity-1.75%
($300)
Includes Typical Broker Commissions trade costs of $0.80
11/13/19 13:37 CVET COVETRUS INC. COMMON STOCK SHORT 220 13.59 1/30/20 10:25 13.22 1.26%
Trade id #126195273
Max drawdown($439)
Time1/22/20 0:00
Quant open220
Worst price15.59
Drawdown as % of equity-1.26%
$78
Includes Typical Broker Commissions trade costs of $4.40
10/31/19 12:33 EGOV NIC SHORT 130 23.52 1/30/20 10:22 19.04 0.1%
Trade id #126025029
Max drawdown($86)
Time10/31/19 14:37
Quant open130
Worst price24.18
Drawdown as % of equity-0.10%
$580
Includes Typical Broker Commissions trade costs of $2.60
10/2/19 11:57 AIMT AIMMUNE THERAPEUTICS INC. COMMON STOCK SHORT 250 23.83 1/27/20 10:43 31.91 9.11%
Trade id #125595624
Max drawdown($3,291)
Time1/16/20 0:00
Quant open250
Worst price37.00
Drawdown as % of equity-9.11%
($2,024)
Includes Typical Broker Commissions trade costs of $5.00
10/31/19 12:45 ATEC ALPHATEC HOLDINGS SHORT 440 6.72 1/27/20 10:43 6.15 1.42%
Trade id #126025337
Max drawdown($531)
Time1/15/20 0:00
Quant open440
Worst price7.93
Drawdown as % of equity-1.42%
$243
Includes Typical Broker Commissions trade costs of $8.80
10/4/19 15:32 INSW INTERNATIONAL SEAWAYS INC SHORT 140 20.70 1/24/20 11:16 25.11 3.75%
Trade id #125639150
Max drawdown($1,496)
Time1/8/20 0:00
Quant open140
Worst price31.39
Drawdown as % of equity-3.75%
($621)
Includes Typical Broker Commissions trade costs of $2.80
10/9/19 11:09 ARWR ARROWHEAD PHARMACEUTICALS INC. SHORT 90 31.72 1/24/20 11:16 45.57 7.75%
Trade id #125699665
Max drawdown($3,780)
Time11/29/19 0:00
Quant open90
Worst price73.72
Drawdown as % of equity-7.75%
($1,249)
Includes Typical Broker Commissions trade costs of $1.80
10/18/19 10:03 DERM DERMIRA INC. COMMON STOCK SHORT 430 6.90 1/23/20 13:50 18.77 13.72%
Trade id #125852377
Max drawdown($5,408)
Time1/10/20 0:00
Quant open430
Worst price19.48
Drawdown as % of equity-13.72%
($5,113)
Includes Typical Broker Commissions trade costs of $8.60
10/18/19 9:57 QTNT QUOTIENT LIMITED ORDINARY SHAR SHORT 340 8.85 1/23/20 11:24 8.18 0.83%
Trade id #125852250
Max drawdown($272)
Time1/2/20 0:00
Quant open340
Worst price9.65
Drawdown as % of equity-0.83%
$221
Includes Typical Broker Commissions trade costs of $6.80
10/4/19 15:28 DHT DHT HOLDINGS SHORT 860 7.01 1/23/20 10:49 6.89 4.43%
Trade id #125639050
Max drawdown($1,564)
Time1/3/20 0:00
Quant open860
Worst price8.83
Drawdown as % of equity-4.43%
$93
Includes Typical Broker Commissions trade costs of $11.10
9/9/19 13:31 HOV HOVNANIAN ENTERPRISES SHORT 200 15.24 1/2/20 11:25 21.58 3.64%
Trade id #125278366
Max drawdown($3,022)
Time10/25/19 0:00
Quant open200
Worst price30.35
Drawdown as % of equity-3.64%
($1,272)
Includes Typical Broker Commissions trade costs of $4.00
9/24/19 10:43 VNRX VOLITIONRX LIMITED COMMON STOC SHORT 580 5.19 12/18 15:20 4.36 1.15%
Trade id #125479330
Max drawdown($957)
Time9/26/19 0:00
Quant open580
Worst price6.84
Drawdown as % of equity-1.15%
$476
Includes Typical Broker Commissions trade costs of $5.00
10/31/19 10:12 JCS COMMUNICATIONS SYSTEMS SHORT 500 6.07 12/18 15:17 6.45 4.5%
Trade id #126020425
Max drawdown($1,916)
Time12/13/19 0:00
Quant open500
Worst price9.90
Drawdown as % of equity-4.50%
($201)
Includes Typical Broker Commissions trade costs of $10.00
11/12/19 14:15 AQST AQUESTIVE THERAPEUTICS INC. COMMON STOCK SHORT 520 5.78 12/13 10:28 5.31 4.89%
Trade id #126177025
Max drawdown($2,194)
Time12/2/19 0:00
Quant open520
Worst price10.00
Drawdown as % of equity-4.89%
$239
Includes Typical Broker Commissions trade costs of $5.00
11/18/19 13:13 KRTX KARUNA THERAPEUTICS INC SHORT 40 73.13 12/11 10:22 66.39 4.82%
Trade id #126256676
Max drawdown($3,154)
Time11/19/19 0:00
Quant open40
Worst price152.00
Drawdown as % of equity-4.82%
$268
Includes Typical Broker Commissions trade costs of $0.80
11/14/19 14:24 DTIL PRECISION BIOSCIENCES INC. COMMON STOCK SHORT 270 11.23 12/9 11:49 10.35 8.23%
Trade id #126216140
Max drawdown($3,359)
Time12/9/19 9:32
Quant open270
Worst price23.67
Drawdown as % of equity-8.23%
$233
Includes Typical Broker Commissions trade costs of $5.40
10/4/19 9:40 PGNX PROGENICS PHARMACEUTICALS SHORT 530 5.76 12/5 10:21 4.99 0.34%
Trade id #125630325
Max drawdown($243)
Time11/8/19 0:00
Quant open530
Worst price6.22
Drawdown as % of equity-0.34%
$402
Includes Typical Broker Commissions trade costs of $5.00
10/14/19 15:13 RVNC REVANCE THERAPEUTICS INC. COM SHORT 410 14.57 12/5 10:17 16.59 5.46%
Trade id #125772265
Max drawdown($2,447)
Time12/2/19 0:00
Quant open410
Worst price20.54
Drawdown as % of equity-5.46%
($837)
Includes Typical Broker Commissions trade costs of $8.20
10/8/19 9:39 DSSI DIAMOND S SHIPPING INC SHORT 210 14.49 11/21 11:22 13.97 0.54%
Trade id #125674609
Max drawdown($443)
Time10/28/19 0:00
Quant open210
Worst price16.60
Drawdown as % of equity-0.54%
$105
Includes Typical Broker Commissions trade costs of $4.20
11/12/19 10:30 JNCE JOUNCE THERAPEUTICS INC. COMMON STOCK SHORT 580 5.13 11/18 13:12 4.94 0.89%
Trade id #126169293
Max drawdown($614)
Time11/14/19 0:00
Quant open580
Worst price6.19
Drawdown as % of equity-0.89%
$108
Includes Typical Broker Commissions trade costs of $5.00
11/12/19 15:04 TORC RESTORBIO INC. COMMON STOCK SHORT 330 9.11 11/15 9:32 1.57 0.36%
Trade id #126178546
Max drawdown($254)
Time11/13/19 0:00
Quant open330
Worst price9.88
Drawdown as % of equity-0.36%
$2,479
Includes Typical Broker Commissions trade costs of $6.60
10/24/19 14:40 RCEL AVITA MEDICAL LTD ADS SHORT 320 9.40 11/14 14:17 8.12 0.19%
Trade id #125938824
Max drawdown($136)
Time11/8/19 0:00
Quant open320
Worst price9.82
Drawdown as % of equity-0.19%
$403
Includes Typical Broker Commissions trade costs of $6.40
10/31/19 9:44 XNET XUNLEI LTD ADR SHORT 510 5.76 11/14 14:16 4.84 0.9%
Trade id #126019495
Max drawdown($733)
Time11/6/19 0:00
Quant open510
Worst price7.20
Drawdown as % of equity-0.90%
$464
Includes Typical Broker Commissions trade costs of $5.00
10/18/19 10:57 MTEM MOLECULAR TEMPLATES INC SHORT 390 7.70 11/13 14:28 7.25 1.14%
Trade id #125853520
Max drawdown($806)
Time11/8/19 0:00
Quant open390
Worst price9.77
Drawdown as % of equity-1.14%
$170
Includes Typical Broker Commissions trade costs of $7.80
10/2/19 9:35 TSG THE STARS GROUP INC SHORT 150 19.50 11/12 14:45 21.73 0.48%
Trade id #125590257
Max drawdown($409)
Time11/1/19 0:00
Quant open150
Worst price22.23
Drawdown as % of equity-0.48%
($337)
Includes Typical Broker Commissions trade costs of $3.00
10/18/19 10:19 ENDP ENDO INTERNATIONAL PLC ORDINAR SHORT 590 5.05 11/12 14:40 4.13 0.04%
Trade id #125852743
Max drawdown($32)
Time10/18/19 10:24
Quant open590
Worst price5.11
Drawdown as % of equity-0.04%
$538
Includes Typical Broker Commissions trade costs of $5.00
8/16/19 9:58 SLDB SOLID BIOSCIENCES INC. COMMON STOCK SHORT 390 7.63 11/12 9:35 3.23 2.87%
Trade id #124964111
Max drawdown($2,320)
Time10/23/19 0:00
Quant open390
Worst price13.58
Drawdown as % of equity-2.87%
$1,708
Includes Typical Broker Commissions trade costs of $7.80
10/25/19 13:09 ALNA ALLENA PHARMACEUTICALS INC. COMMON STOCK SHORT 520 5.78 11/7 10:03 3.37 0.33%
Trade id #125954636
Max drawdown($268)
Time11/4/19 0:00
Quant open520
Worst price6.30
Drawdown as % of equity-0.33%
$1,250
Includes Typical Broker Commissions trade costs of $5.00
8/23/19 10:15 FSLY FASTLY INC SHORT 210 27.94 11/6 15:57 19.44 1.99%
Trade id #125058625
Max drawdown($1,535)
Time9/5/19 0:00
Quant open210
Worst price35.25
Drawdown as % of equity-1.99%
$1,779
Includes Typical Broker Commissions trade costs of $4.20

Statistics

  • Strategy began
    6/24/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    238.85
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    202
  • # Profitable
    143
  • % Profitable
    70.80%
  • Avg trade duration
    37.4 days
  • Max peak-to-valley drawdown
    68.11%
  • drawdown period
    Oct 03, 2019 - Jan 21, 2020
  • Cumul. Return
    -28.5%
  • Avg win
    $559.47
  • Avg loss
    $1,552
  • Model Account Values (Raw)
  • Cash
    $157,146
  • Margin Used
    $89,821
  • Buying Power
    $4,715
  • Ratios
  • W:L ratio
    0.87:1
  • Sharpe Ratio
    -0.52
  • Sortino Ratio
    -0.69
  • Calmar Ratio
    -0.539
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -43.30%
  • Correlation to SP500
    -0.28300
  • Return Percent SP500 (cumu) during strategy life
    14.76%
  • Return Statistics
  • Ann Return (w trading costs)
    -39.8%
  • Slump
  • Current Slump as Pcnt Equity
    1.61%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.285%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -34.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    40.00%
  • Chance of 20% account loss
    8.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    726
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    769
  • Popularity (7 days, Percentile 1000 scale)
    298
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,553
  • Avg Win
    $559
  • Sum Trade PL (losers)
    $91,599.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $80,004.000
  • # Winners
    143
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    -704
  • Win / Loss
  • # Losers
    59
  • % Winners
    70.8%
  • Frequency
  • Avg Position Time (mins)
    53862.10
  • Avg Position Time (hrs)
    897.70
  • Avg Trade Length
    37.4 days
  • Last Trade Ago
    19
  • Leverage
  • Daily leverage (average)
    1.68
  • Daily leverage (max)
    2.99
  • Regression
  • Alpha
    -0.03
  • Beta
    -1.35
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.41
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -11.704
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.862
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.523
  • Hold-and-Hope Ratio
    -0.057
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04544
  • SD
    0.81789
  • Sharpe ratio (Glass type estimate)
    0.05555
  • Sharpe ratio (Hedges UMVUE)
    0.04826
  • df
    6.00000
  • t
    0.04243
  • p
    0.48377
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.51301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61977
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.51808
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61460
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07482
  • Upside Potential Ratio
    1.80435
  • Upside part of mean
    1.09574
  • Downside part of mean
    -1.05030
  • Upside SD
    0.45251
  • Downside SD
    0.60727
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.14466
  • Mean of criterion
    0.04544
  • SD of predictor
    0.11810
  • SD of criterion
    0.81789
  • Covariance
    -0.03949
  • r
    -0.40888
  • b (slope, estimate of beta)
    -2.83159
  • a (intercept, estimate of alpha)
    0.45505
  • Mean Square Error
    0.66853
  • DF error
    5.00000
  • t(b)
    -1.00184
  • p(b)
    0.81880
  • t(a)
    0.39709
  • p(a)
    0.35384
  • Lowerbound of 95% confidence interval for beta
    -10.09730
  • Upperbound of 95% confidence interval for beta
    4.43414
  • Lowerbound of 95% confidence interval for alpha
    -2.49084
  • Upperbound of 95% confidence interval for alpha
    3.40094
  • Treynor index (mean / b)
    -0.01605
  • Jensen alpha (a)
    0.45505
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.29589
  • SD
    0.93646
  • Sharpe ratio (Glass type estimate)
    -0.31597
  • Sharpe ratio (Hedges UMVUE)
    -0.27446
  • df
    6.00000
  • t
    -0.24133
  • p
    0.59133
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.87542
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.84535
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29643
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38465
  • Upside Potential Ratio
    1.30505
  • Upside part of mean
    1.00391
  • Downside part of mean
    -1.29980
  • Upside SD
    0.40895
  • Downside SD
    0.76925
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.13746
  • Mean of criterion
    -0.29589
  • SD of predictor
    0.11926
  • SD of criterion
    0.93646
  • Covariance
    -0.04511
  • r
    -0.40389
  • b (slope, estimate of beta)
    -3.17146
  • a (intercept, estimate of alpha)
    0.14006
  • Mean Square Error
    0.88069
  • DF error
    5.00000
  • t(b)
    -0.98722
  • p(b)
    0.81556
  • t(a)
    0.10727
  • p(a)
    0.45937
  • Lowerbound of 95% confidence interval for beta
    -11.42980
  • Upperbound of 95% confidence interval for beta
    5.08693
  • Lowerbound of 95% confidence interval for alpha
    -3.21641
  • Upperbound of 95% confidence interval for alpha
    3.49653
  • Treynor index (mean / b)
    0.09330
  • Jensen alpha (a)
    0.14006
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.37457
  • Expected Shortfall on VaR
    0.43868
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13786
  • Expected Shortfall on VaR
    0.29451
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.57886
  • Quartile 1
    0.91167
  • Median
    1.10121
  • Quartile 3
    1.13237
  • Maximum
    1.27464
  • Mean of quarter 1
    0.69599
  • Mean of quarter 2
    1.05572
  • Mean of quarter 3
    1.10381
  • Mean of quarter 4
    1.21778
  • Inter Quartile Range
    0.22070
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.57886
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.52932
  • Quartile 1
    0.52932
  • Median
    0.52932
  • Quartile 3
    0.52932
  • Maximum
    0.52932
  • 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)
    -0.24809
  • Compounded annual return (geometric extrapolation)
    -0.23508
  • Calmar ratio (compounded annual return / max draw down)
    -0.44412
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.53588
  • 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
    -0.30154
  • SD
    0.58195
  • Sharpe ratio (Glass type estimate)
    -0.51815
  • Sharpe ratio (Hedges UMVUE)
    -0.51584
  • df
    168.00000
  • t
    -0.41615
  • p
    0.51604
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.95840
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92359
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.95683
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92515
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.70901
  • Upside Potential Ratio
    7.41567
  • Upside part of mean
    3.15386
  • Downside part of mean
    -3.45540
  • Upside SD
    0.39514
  • Downside SD
    0.42530
  • N nonnegative terms
    89.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    169.00000
  • Mean of predictor
    0.19307
  • Mean of criterion
    -0.30154
  • SD of predictor
    0.12191
  • SD of criterion
    0.58195
  • Covariance
    -0.02077
  • r
    -0.29277
  • b (slope, estimate of beta)
    -1.39759
  • a (intercept, estimate of alpha)
    -0.03200
  • Mean Square Error
    0.31149
  • DF error
    167.00000
  • t(b)
    -3.95682
  • p(b)
    0.68369
  • t(a)
    -0.04541
  • p(a)
    0.50224
  • Lowerbound of 95% confidence interval for beta
    -2.09492
  • Upperbound of 95% confidence interval for beta
    -0.70026
  • Lowerbound of 95% confidence interval for alpha
    -1.41025
  • Upperbound of 95% confidence interval for alpha
    1.34683
  • Treynor index (mean / b)
    0.21576
  • Jensen alpha (a)
    -0.03171
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.47119
  • SD
    0.58494
  • Sharpe ratio (Glass type estimate)
    -0.80553
  • Sharpe ratio (Hedges UMVUE)
    -0.80193
  • df
    168.00000
  • t
    -0.64696
  • p
    0.52493
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.24630
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63748
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.24380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63994
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.06492
  • Upside Potential Ratio
    6.95915
  • Upside part of mean
    3.07916
  • Downside part of mean
    -3.55035
  • Upside SD
    0.38106
  • Downside SD
    0.44246
  • N nonnegative terms
    89.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    169.00000
  • Mean of predictor
    0.18556
  • Mean of criterion
    -0.47119
  • SD of predictor
    0.12231
  • SD of criterion
    0.58494
  • Covariance
    -0.02085
  • r
    -0.29145
  • b (slope, estimate of beta)
    -1.39381
  • a (intercept, estimate of alpha)
    -0.21255
  • Mean Square Error
    0.31497
  • DF error
    167.00000
  • t(b)
    -3.93724
  • p(b)
    0.68288
  • t(a)
    -0.30284
  • p(a)
    0.51491
  • Lowerbound of 95% confidence interval for beta
    -2.09271
  • Upperbound of 95% confidence interval for beta
    -0.69490
  • Lowerbound of 95% confidence interval for alpha
    -1.59822
  • Upperbound of 95% confidence interval for alpha
    1.17311
  • Treynor index (mean / b)
    0.33806
  • Jensen alpha (a)
    -0.21255
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05940
  • Expected Shortfall on VaR
    0.07342
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02944
  • Expected Shortfall on VaR
    0.05723
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    169.00000
  • Minimum
    0.87821
  • Quartile 1
    0.98202
  • Median
    1.00123
  • Quartile 3
    1.01449
  • Maximum
    1.14061
  • Mean of quarter 1
    0.95642
  • Mean of quarter 2
    0.99187
  • Mean of quarter 3
    1.00742
  • Mean of quarter 4
    1.04113
  • Inter Quartile Range
    0.03247
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.04142
  • Mean of outliers low
    0.90317
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.02959
  • Mean of outliers high
    1.09671
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07705
  • VaR(95%) (moments method)
    0.04134
  • Expected Shortfall (moments method)
    0.05813
  • Extreme Value Index (regression method)
    0.05149
  • VaR(95%) (regression method)
    0.04335
  • Expected Shortfall (regression method)
    0.06054
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.02283
  • Quartile 1
    0.02551
  • Median
    0.03129
  • Quartile 3
    0.08086
  • Maximum
    0.66411
  • Mean of quarter 1
    0.02385
  • Mean of quarter 2
    0.02873
  • Mean of quarter 3
    0.07578
  • Mean of quarter 4
    0.37503
  • Inter Quartile Range
    0.05535
  • 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
    0.14286
  • Mean of outliers high
    0.66411
  • 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)
    -0.38554
  • Compounded annual return (geometric extrapolation)
    -0.35807
  • Calmar ratio (compounded annual return / max draw down)
    -0.53918
  • Compounded annual return / average of 25% largest draw downs
    -0.95479
  • Compounded annual return / Expected Shortfall lognormal
    -4.87731
  • 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
    -1.15879
  • SD
    0.61745
  • Sharpe ratio (Glass type estimate)
    -1.87674
  • Sharpe ratio (Hedges UMVUE)
    -1.86589
  • df
    130.00000
  • t
    -1.32706
  • p
    0.55780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.65441
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90795
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.64696
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91518
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.45470
  • Upside Potential Ratio
    6.23816
  • Upside part of mean
    2.94486
  • Downside part of mean
    -4.10366
  • Upside SD
    0.40076
  • Downside SD
    0.47207
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32108
  • Mean of criterion
    -1.15879
  • SD of predictor
    0.10861
  • SD of criterion
    0.61745
  • Covariance
    -0.01882
  • r
    -0.28058
  • b (slope, estimate of beta)
    -1.59508
  • a (intercept, estimate of alpha)
    -0.64665
  • Mean Square Error
    0.35395
  • DF error
    129.00000
  • t(b)
    -3.32012
  • p(b)
    0.67625
  • t(a)
    -0.75597
  • p(a)
    0.54225
  • Lowerbound of 95% confidence interval for beta
    -2.54561
  • Upperbound of 95% confidence interval for beta
    -0.64454
  • Lowerbound of 95% confidence interval for alpha
    -2.33908
  • Upperbound of 95% confidence interval for alpha
    1.04577
  • Treynor index (mean / b)
    0.72648
  • Jensen alpha (a)
    -0.64665
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.35236
  • SD
    0.62117
  • Sharpe ratio (Glass type estimate)
    -2.17711
  • Sharpe ratio (Hedges UMVUE)
    -2.16452
  • df
    130.00000
  • t
    -1.53945
  • p
    0.56690
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.95740
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.61142
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.94879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61974
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.75146
  • Upside Potential Ratio
    5.83596
  • Upside part of mean
    2.86842
  • Downside part of mean
    -4.22078
  • Upside SD
    0.38511
  • Downside SD
    0.49151
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31499
  • Mean of criterion
    -1.35236
  • SD of predictor
    0.10878
  • SD of criterion
    0.62117
  • Covariance
    -0.01886
  • r
    -0.27917
  • b (slope, estimate of beta)
    -1.59419
  • a (intercept, estimate of alpha)
    -0.85022
  • Mean Square Error
    0.35854
  • DF error
    129.00000
  • t(b)
    -3.30206
  • p(b)
    0.67539
  • t(a)
    -0.98821
  • p(a)
    0.55511
  • VAR (95 Confidence Intrvl)
    0.05900
  • Lowerbound of 95% confidence interval for beta
    -2.54939
  • Upperbound of 95% confidence interval for beta
    -0.63899
  • Lowerbound of 95% confidence interval for alpha
    -2.55245
  • Upperbound of 95% confidence interval for alpha
    0.85202
  • Treynor index (mean / b)
    0.84831
  • Jensen alpha (a)
    -0.85022
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06601
  • Expected Shortfall on VaR
    0.08077
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03721
  • Expected Shortfall on VaR
    0.06862
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87821
  • Quartile 1
    0.97602
  • Median
    0.99873
  • Quartile 3
    1.01226
  • Maximum
    1.14061
  • Mean of quarter 1
    0.95101
  • Mean of quarter 2
    0.98706
  • Mean of quarter 3
    1.00522
  • Mean of quarter 4
    1.03974
  • Inter Quartile Range
    0.03624
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.89840
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.10312
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25960
  • VaR(95%) (moments method)
    0.05267
  • Expected Shortfall (moments method)
    0.08238
  • Extreme Value Index (regression method)
    0.25825
  • VaR(95%) (regression method)
    0.04815
  • Expected Shortfall (regression method)
    0.07280
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02486
  • Quartile 1
    0.02584
  • Median
    0.05097
  • Quartile 3
    0.22286
  • Maximum
    0.66411
  • Mean of quarter 1
    0.02486
  • Mean of quarter 2
    0.02617
  • Mean of quarter 3
    0.07578
  • Mean of quarter 4
    0.66411
  • Inter Quartile Range
    0.19702
  • 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
    0.25000
  • Mean of outliers high
    0.66411
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -259653000
  • Max Equity Drawdown (num days)
    110
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.96860
  • Compounded annual return (geometric extrapolation)
    -0.73405
  • Calmar ratio (compounded annual return / max draw down)
    -1.10532
  • Compounded annual return / average of 25% largest draw downs
    -1.10532
  • Compounded annual return / Expected Shortfall lognormal
    -9.08808

Strategy Description

Our trading process is based on technical algorithmic rules as well as basic research and analysis of the last 2 years.
Our strategy is based upon these principles :
Trade stock short, stock positions are held for 2 to 40 days;
Wide diversification - the equity portfolio is divided into 25-35 positions;
-it significantly reduces the risk;
New stocks are selected daily according to a special algorithm. They replace several closed positions, if any.
This strategy is based on short selling stocks that have the greatest potential to make breakout to the bear side.

We recommend for the new subscraibers at their start to open all open positions.

Summary Statistics

Strategy began
2019-06-24
Suggested Minimum Capital
$35,000
Rank at C2 
#151
# Trades
202
# Profitable
143
% Profitable
70.8%
Net Dividends
Correlation S&P500
-0.283
Sharpe Ratio
-0.52
Sortino Ratio
-0.69
Beta
-1.35
Alpha
-0.03
Leverage
1.68 Average
2.99 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#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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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.