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AgoraOpus US-EQ Next 10
(124653266)

Created by: AgoraOpus AgoraOpus
Started: 07/2019
Stocks
Last trade: 9 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 $89.00 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
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."
-31.9%
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.

(37.5%)
Max Drawdown
114
Num Trades
48.2%
Win Trades
0.4 : 1
Profit Factor
44.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                          (1.9%)+1.0%(2.6%)(2.4%)+3.4%+0.4%(2.2%)
2020+2.8%(7.9%)(26.3%)                                                      

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 120 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/9/20 10:39 MELI MERCADOLIBRE LONG 8 569.46 3/23 9:39 428.51 3.39%
Trade id #127920592
Max drawdown($1,177)
Time3/18/20 0:00
Quant open8
Worst price422.22
Drawdown as % of equity-3.39%
($1,128)
Includes Typical Broker Commissions trade costs of $0.16
2/24/20 9:39 LEN LENNAR LONG 99 63.21 3/23 9:39 31.31 10.77%
Trade id #127676992
Max drawdown($3,741)
Time3/18/20 0:00
Quant open99
Worst price25.42
Drawdown as % of equity-10.77%
($3,160)
Includes Typical Broker Commissions trade costs of $1.98
2/18/20 9:39 CCS CENTURY COMMUNITIES INC LONG 217 33.42 3/23 9:39 13.73 13.76%
Trade id #127572098
Max drawdown($4,777)
Time3/19/20 0:00
Quant open196
Worst price9.04
Drawdown as % of equity-13.76%
($4,276)
Includes Typical Broker Commissions trade costs of $4.34
1/21/20 9:39 GPN GLOBAL PAYMENTS LONG 31 197.55 3/23 9:39 124.32 7.55%
Trade id #127114174
Max drawdown($2,215)
Time3/23/20 9:39
Quant open26
Worst price112.34
Drawdown as % of equity-7.55%
($2,271)
Includes Typical Broker Commissions trade costs of $0.62
1/27/20 9:39 WDAY WORKDAY LONG 35 180.07 3/16 10:39 130.02 4.91%
Trade id #127231628
Max drawdown($1,918)
Time3/16/20 10:18
Quant open30
Worst price116.14
Drawdown as % of equity-4.91%
($1,753)
Includes Typical Broker Commissions trade costs of $0.70
3/2/20 9:39 BDX BECTON DICKINSON LONG 19 237.72 3/9 10:39 231.14 0.6%
Trade id #127802953
Max drawdown($279)
Time3/9/20 9:34
Quant open19
Worst price223.00
Drawdown as % of equity-0.60%
($125)
Includes Typical Broker Commissions trade costs of $0.38
2/24/20 9:39 KBH KB HOME LONG 134 39.45 3/2 9:39 32.76 2.23%
Trade id #127676989
Max drawdown($1,042)
Time2/28/20 0:00
Quant open134
Worst price31.67
Drawdown as % of equity-2.23%
($899)
Includes Typical Broker Commissions trade costs of $2.68
2/3/20 9:39 HLT HILTON WORLDWIDE HOLDINGS INC LONG 52 109.33 3/2 9:39 95.43 1.78%
Trade id #127334432
Max drawdown($831)
Time2/28/20 0:00
Quant open50
Worst price92.70
Drawdown as % of equity-1.78%
($724)
Includes Typical Broker Commissions trade costs of $1.04
2/10/20 9:39 MHO M/I HOMES LONG 138 42.76 2/24 9:39 39.99 0.35%
Trade id #127436224
Max drawdown($181)
Time2/12/20 0:00
Quant open120
Worst price41.20
Drawdown as % of equity-0.35%
($385)
Includes Typical Broker Commissions trade costs of $2.76
1/21/20 9:39 NVDA NVIDIA LONG 21 246.77 2/24 9:39 274.86 0.58%
Trade id #127114187
Max drawdown($298)
Time1/27/20 0:00
Quant open20
Worst price232.23
Drawdown as % of equity-0.58%
$590
Includes Typical Broker Commissions trade costs of $0.42
1/21/20 9:39 MELI MERCADOLIBRE LONG 7 662.01 2/18 9:39 729.00 0.72%
Trade id #127114181
Max drawdown($371)
Time2/11/20 0:00
Quant open7
Worst price608.87
Drawdown as % of equity-0.72%
$469
Includes Typical Broker Commissions trade costs of $0.14
1/6/20 9:39 INFO IHS MARKIT LTD. COMMON SHARES LONG 74 75.74 2/18 9:39 80.07 0.02%
Trade id #126880663
Max drawdown($7)
Time1/6/20 11:48
Quant open71
Worst price75.44
Drawdown as % of equity-0.02%
$320
Includes Typical Broker Commissions trade costs of $1.48
12/9/19 13:39 FBHS FORTUNE BRANDS HOME LONG 87 64.67 2/18/20 9:39 71.83 0.14%
Trade id #126546798
Max drawdown($65)
Time12/11/19 0:00
Quant open74
Worst price63.51
Drawdown as % of equity-0.14%
$621
Includes Typical Broker Commissions trade costs of $1.74
12/30/19 9:39 HCA HCA HEALTHCARE INC LONG 39 148.24 2/10/20 9:39 146.36 0.7%
Trade id #126788518
Max drawdown($358)
Time1/31/20 0:00
Quant open35
Worst price137.99
Drawdown as % of equity-0.70%
($74)
Includes Typical Broker Commissions trade costs of $0.78
1/27/20 9:39 UTX UNITED TECHNOLOGIES LONG 33 150.12 2/3 9:39 150.99 0.14%
Trade id #127231625
Max drawdown($68)
Time1/28/20 0:00
Quant open33
Worst price148.05
Drawdown as % of equity-0.14%
$28
Includes Typical Broker Commissions trade costs of $0.66
12/9/19 13:39 BDX BECTON DICKINSON LONG 22 260.75 2/3/20 9:39 277.58 0.11%
Trade id #126546792
Max drawdown($51)
Time12/10/19 0:00
Quant open18
Worst price255.68
Drawdown as % of equity-0.11%
$370
Includes Typical Broker Commissions trade costs of $0.44
1/21/20 9:39 TXN TEXAS INSTRUMENTS LONG 38 131.55 1/27 9:39 128.29 0.26%
Trade id #127114190
Max drawdown($131)
Time1/27/20 9:36
Quant open38
Worst price128.10
Drawdown as % of equity-0.26%
($125)
Includes Typical Broker Commissions trade costs of $0.76
1/21/20 9:39 NOW SERVICENOW LONG 16 312.91 1/27 9:39 305.54 0.46%
Trade id #127114184
Max drawdown($237)
Time1/27/20 9:31
Quant open16
Worst price298.05
Drawdown as % of equity-0.46%
($118)
Includes Typical Broker Commissions trade costs of $0.32
1/13/20 9:39 FAST FASTENAL LONG 141 36.48 1/27 9:39 34.76 0.51%
Trade id #126967914
Max drawdown($260)
Time1/27/20 9:36
Quant open141
Worst price34.63
Drawdown as % of equity-0.51%
($245)
Includes Typical Broker Commissions trade costs of $2.82
1/13/20 9:39 IBP INSTALLED BUILDING PRODUCTS LONG 71 70.14 1/21 9:39 74.97 0.02%
Trade id #126967921
Max drawdown($8)
Time1/13/20 10:23
Quant open71
Worst price70.02
Drawdown as % of equity-0.02%
$342
Includes Typical Broker Commissions trade costs of $1.42
1/6/20 9:39 TECD TECH DATA LONG 37 143.70 1/21 9:39 144.22 0%
Trade id #126880668
Max drawdown($1)
Time1/6/20 9:49
Quant open37
Worst price143.65
Drawdown as % of equity-0.00%
$18
Includes Typical Broker Commissions trade costs of $0.74
12/9/19 13:39 WDAY WORKDAY LONG 32 163.93 1/21/20 9:39 181.48 0.38%
Trade id #126546814
Max drawdown($183)
Time12/13/19 0:00
Quant open29
Worst price157.61
Drawdown as % of equity-0.38%
$560
Includes Typical Broker Commissions trade costs of $0.64
12/9/19 13:39 MSFT MICROSOFT LONG 34 152.32 1/21/20 9:39 166.42 0.09%
Trade id #126546804
Max drawdown($45)
Time12/11/19 0:00
Quant open31
Worst price150.33
Drawdown as % of equity-0.09%
$478
Includes Typical Broker Commissions trade costs of $0.68
12/2/19 9:39 ABT ABBOTT LABORATORIES LONG 71 85.70 1/21/20 9:39 88.39 0.3%
Trade id #126439537
Max drawdown($145)
Time12/3/19 0:00
Quant open62
Worst price83.27
Drawdown as % of equity-0.30%
$190
Includes Typical Broker Commissions trade costs of $1.42
12/23/19 9:39 MHO M/I HOMES LONG 135 40.53 1/13/20 9:39 42.89 0.41%
Trade id #126723615
Max drawdown($201)
Time12/30/19 0:00
Quant open134
Worst price39.04
Drawdown as % of equity-0.41%
$315
Includes Typical Broker Commissions trade costs of $2.70
12/30/19 9:39 IBP INSTALLED BUILDING PRODUCTS LONG 79 68.28 1/6/20 9:39 69.38 0.14%
Trade id #126788521
Max drawdown($67)
Time12/30/19 10:34
Quant open79
Worst price67.43
Drawdown as % of equity-0.14%
$85
Includes Typical Broker Commissions trade costs of $1.58
12/9/19 13:39 CCS CENTURY COMMUNITIES INC LONG 199 28.45 1/6/20 9:39 27.99 0.7%
Trade id #126546795
Max drawdown($342)
Time12/30/19 0:00
Quant open196
Worst price26.73
Drawdown as % of equity-0.70%
($96)
Includes Typical Broker Commissions trade costs of $3.98
12/23/19 9:39 HD HOME DEPOT LONG 24 220.95 12/30 9:39 218.85 0.11%
Trade id #126723612
Max drawdown($55)
Time12/30/19 9:37
Quant open24
Worst price218.62
Drawdown as % of equity-0.11%
($50)
Includes Typical Broker Commissions trade costs of $0.48
12/9/19 13:39 NVDA NVIDIA LONG 23 214.17 12/30 9:39 233.21 0.08%
Trade id #126546807
Max drawdown($38)
Time12/10/19 0:00
Quant open22
Worst price211.26
Drawdown as % of equity-0.08%
$438
Includes Typical Broker Commissions trade costs of $0.46
12/16/19 9:39 ISRG INTUITIVE SURGICAL LONG 8 582.78 12/23 9:39 590.15 0.01%
Trade id #126637877
Max drawdown($3)
Time12/16/19 9:41
Quant open8
Worst price582.35
Drawdown as % of equity-0.01%
$59
Includes Typical Broker Commissions trade costs of $0.16

Statistics

  • Strategy began
    7/29/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    245.22
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    114
  • # Profitable
    55
  • % Profitable
    48.20%
  • Avg trade duration
    20.6 days
  • Max peak-to-valley drawdown
    37.49%
  • drawdown period
    Feb 19, 2020 - March 30, 2020
  • Cumul. Return
    -31.9%
  • Avg win
    $225.71
  • Avg loss
    $493.44
  • Model Account Values (Raw)
  • Cash
    $18,501
  • Margin Used
    $0
  • Buying Power
    $15,522
  • Ratios
  • W:L ratio
    0.44:1
  • Sharpe Ratio
    -1.89
  • Sortino Ratio
    -2.05
  • Calmar Ratio
    -1.238
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -15.97%
  • Correlation to SP500
    0.63820
  • Return Percent SP500 (cumu) during strategy life
    -18.22%
  • Return Statistics
  • Ann Return (w trading costs)
    -43.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.319%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -40.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    26.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    811
  • Popularity (7 days, Percentile 1000 scale)
    0
  • 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
    $487
  • Avg Win
    $234
  • Sum Trade PL (losers)
    $28,229.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $13,089.000
  • # Winners
    56
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    169
  • Win / Loss
  • # Losers
    58
  • % Winners
    49.1%
  • Frequency
  • Avg Position Time (mins)
    29455.20
  • Avg Position Time (hrs)
    490.92
  • Avg Trade Length
    20.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.02
  • Daily leverage (max)
    1.82
  • Regression
  • Alpha
    -0.12
  • Beta
    0.50
  • Treynor Index
    -0.31
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.24
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -3.079
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    0.484
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.423
  • Hold-and-Hope Ratio
    -0.349
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.33998
  • SD
    0.35536
  • Sharpe ratio (Glass type estimate)
    -0.95671
  • Sharpe ratio (Hedges UMVUE)
    -0.83103
  • df
    6.00000
  • t
    -0.73070
  • p
    0.75375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.53974
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70065
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.43994
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77789
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.02292
  • Upside Potential Ratio
    0.58220
  • Upside part of mean
    0.19350
  • Downside part of mean
    -0.53347
  • Upside SD
    0.08608
  • Downside SD
    0.33236
  • N nonnegative terms
    3.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.26488
  • Mean of criterion
    -0.33998
  • SD of predictor
    0.36907
  • SD of criterion
    0.35536
  • Covariance
    0.12427
  • r
    0.94756
  • b (slope, estimate of beta)
    0.91236
  • a (intercept, estimate of alpha)
    -0.09831
  • Mean Square Error
    0.01548
  • DF error
    5.00000
  • t(b)
    6.63021
  • p(b)
    0.00059
  • t(a)
    -0.58903
  • p(a)
    0.70928
  • Lowerbound of 95% confidence interval for beta
    0.55861
  • Upperbound of 95% confidence interval for beta
    1.26610
  • Lowerbound of 95% confidence interval for alpha
    -0.52738
  • Upperbound of 95% confidence interval for alpha
    0.33075
  • Treynor index (mean / b)
    -0.37263
  • Jensen alpha (a)
    -0.09831
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.41000
  • SD
    0.40241
  • Sharpe ratio (Glass type estimate)
    -1.01884
  • Sharpe ratio (Hedges UMVUE)
    -0.88499
  • df
    6.00000
  • t
    -0.77815
  • p
    0.76698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.60676
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64783
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.49958
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72960
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.07419
  • Upside Potential Ratio
    0.49750
  • Upside part of mean
    0.18989
  • Downside part of mean
    -0.59988
  • Upside SD
    0.08445
  • Downside SD
    0.38168
  • N nonnegative terms
    3.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.33782
  • Mean of criterion
    -0.41000
  • SD of predictor
    0.41808
  • SD of criterion
    0.40241
  • Covariance
    0.16141
  • r
    0.95939
  • b (slope, estimate of beta)
    0.92345
  • a (intercept, estimate of alpha)
    -0.09804
  • Mean Square Error
    0.01546
  • DF error
    5.00000
  • t(b)
    7.60535
  • p(b)
    0.00031
  • t(a)
    -0.58392
  • p(a)
    0.70769
  • Lowerbound of 95% confidence interval for beta
    0.61132
  • Upperbound of 95% confidence interval for beta
    1.23559
  • Lowerbound of 95% confidence interval for alpha
    -0.52964
  • Upperbound of 95% confidence interval for alpha
    0.33356
  • Treynor index (mean / b)
    -0.44398
  • Jensen alpha (a)
    -0.09804
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20168
  • Expected Shortfall on VaR
    0.23881
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11087
  • Expected Shortfall on VaR
    0.21860
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.74910
  • Quartile 1
    0.97384
  • Median
    0.99204
  • Quartile 3
    1.03412
  • Maximum
    1.04463
  • Mean of quarter 1
    0.85895
  • Mean of quarter 2
    0.98546
  • Mean of quarter 3
    1.03306
  • Mean of quarter 4
    1.03991
  • Inter Quartile Range
    0.06028
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.74910
  • 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
    2.00000
  • Minimum
    0.05922
  • Quartile 1
    0.10714
  • Median
    0.15506
  • Quartile 3
    0.20298
  • Maximum
    0.25090
  • Mean of quarter 1
    0.05922
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.25090
  • Inter Quartile Range
    0.09584
  • 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)
    -0.36465
  • Compounded annual return (geometric extrapolation)
    -0.33635
  • Calmar ratio (compounded annual return / max draw down)
    -1.34055
  • Compounded annual return / average of 25% largest draw downs
    -1.34055
  • Compounded annual return / Expected Shortfall lognormal
    -1.40843
  • 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
    -0.56911
  • SD
    0.23478
  • Sharpe ratio (Glass type estimate)
    -2.42406
  • Sharpe ratio (Hedges UMVUE)
    -2.41231
  • df
    155.00000
  • t
    -1.87049
  • p
    0.59424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.97450
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.13402
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.96648
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14186
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.63642
  • Upside Potential Ratio
    4.07568
  • Upside part of mean
    0.87980
  • Downside part of mean
    -1.44891
  • Upside SD
    0.09698
  • Downside SD
    0.21587
  • N nonnegative terms
    79.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    156.00000
  • Mean of predictor
    -0.34260
  • Mean of criterion
    -0.56911
  • SD of predictor
    0.32319
  • SD of criterion
    0.23478
  • Covariance
    0.04950
  • r
    0.65231
  • b (slope, estimate of beta)
    0.47386
  • a (intercept, estimate of alpha)
    -0.40700
  • Mean Square Error
    0.03187
  • DF error
    154.00000
  • t(b)
    10.68010
  • p(b)
    0.17384
  • t(a)
    -1.75438
  • p(a)
    0.56999
  • Lowerbound of 95% confidence interval for beta
    0.38621
  • Upperbound of 95% confidence interval for beta
    0.56150
  • Lowerbound of 95% confidence interval for alpha
    -0.86480
  • Upperbound of 95% confidence interval for alpha
    0.05127
  • Treynor index (mean / b)
    -1.20102
  • Jensen alpha (a)
    -0.40677
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.59799
  • SD
    0.24013
  • Sharpe ratio (Glass type estimate)
    -2.49021
  • Sharpe ratio (Hedges UMVUE)
    -2.47814
  • df
    155.00000
  • t
    -1.92153
  • p
    0.59673
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.04133
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.06876
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.03309
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07681
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.69069
  • Upside Potential Ratio
    3.93777
  • Upside part of mean
    0.87514
  • Downside part of mean
    -1.47313
  • Upside SD
    0.09627
  • Downside SD
    0.22224
  • N nonnegative terms
    79.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    156.00000
  • Mean of predictor
    -0.39620
  • Mean of criterion
    -0.59799
  • SD of predictor
    0.33003
  • SD of criterion
    0.24013
  • Covariance
    0.05329
  • r
    0.67247
  • b (slope, estimate of beta)
    0.48930
  • a (intercept, estimate of alpha)
    -0.40413
  • Mean Square Error
    0.03179
  • DF error
    154.00000
  • t(b)
    11.27530
  • p(b)
    0.16376
  • t(a)
    -1.74407
  • p(a)
    0.56959
  • Lowerbound of 95% confidence interval for beta
    0.40357
  • Upperbound of 95% confidence interval for beta
    0.57503
  • Lowerbound of 95% confidence interval for alpha
    -0.86187
  • Upperbound of 95% confidence interval for alpha
    0.05362
  • Treynor index (mean / b)
    -1.22213
  • Jensen alpha (a)
    -0.40413
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02633
  • Expected Shortfall on VaR
    0.03233
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01245
  • Expected Shortfall on VaR
    0.02615
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    156.00000
  • Minimum
    0.91387
  • Quartile 1
    0.99365
  • Median
    1.00045
  • Quartile 3
    1.00539
  • Maximum
    1.02461
  • Mean of quarter 1
    0.98035
  • Mean of quarter 2
    0.99754
  • Mean of quarter 3
    1.00309
  • Mean of quarter 4
    1.01033
  • Inter Quartile Range
    0.01174
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.05128
  • Mean of outliers low
    0.95228
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00641
  • Mean of outliers high
    1.02461
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51679
  • VaR(95%) (moments method)
    0.02045
  • Expected Shortfall (moments method)
    0.04681
  • Extreme Value Index (regression method)
    0.37167
  • VaR(95%) (regression method)
    0.01699
  • Expected Shortfall (regression method)
    0.03059
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00224
  • Quartile 1
    0.00358
  • Median
    0.02398
  • Quartile 3
    0.07220
  • Maximum
    0.36367
  • Mean of quarter 1
    0.00241
  • Mean of quarter 2
    0.01428
  • Mean of quarter 3
    0.04983
  • Mean of quarter 4
    0.22912
  • Inter Quartile Range
    0.06862
  • 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
    0.36367
  • 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)
    -0.50311
  • Compounded annual return (geometric extrapolation)
    -0.45008
  • Calmar ratio (compounded annual return / max draw down)
    -1.23761
  • Compounded annual return / average of 25% largest draw downs
    -1.96442
  • Compounded annual return / Expected Shortfall lognormal
    -13.91960
  • 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
    -0.66968
  • SD
    0.24607
  • Sharpe ratio (Glass type estimate)
    -2.72148
  • Sharpe ratio (Hedges UMVUE)
    -2.70575
  • df
    130.00000
  • t
    -1.92438
  • p
    0.58321
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.50785
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.07510
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.49700
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08550
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.90318
  • Upside Potential Ratio
    3.69629
  • Upside part of mean
    0.85263
  • Downside part of mean
    -1.52231
  • Upside SD
    0.09269
  • Downside SD
    0.23067
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.34890
  • Mean of criterion
    -0.66968
  • SD of predictor
    0.34006
  • SD of criterion
    0.24607
  • Covariance
    0.05492
  • r
    0.65628
  • b (slope, estimate of beta)
    0.47489
  • a (intercept, estimate of alpha)
    -0.50399
  • Mean Square Error
    0.03474
  • DF error
    129.00000
  • t(b)
    9.87914
  • p(b)
    0.11451
  • t(a)
    -1.90820
  • p(a)
    0.60499
  • Lowerbound of 95% confidence interval for beta
    0.37979
  • Upperbound of 95% confidence interval for beta
    0.57000
  • Lowerbound of 95% confidence interval for alpha
    -1.02656
  • Upperbound of 95% confidence interval for alpha
    0.01857
  • Treynor index (mean / b)
    -1.41017
  • Jensen alpha (a)
    -0.50399
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.70163
  • SD
    0.25216
  • Sharpe ratio (Glass type estimate)
    -2.78248
  • Sharpe ratio (Hedges UMVUE)
    -2.76639
  • df
    130.00000
  • t
    -1.96751
  • p
    0.58502
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.56962
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.01512
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.55852
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02574
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.95165
  • Upside Potential Ratio
    3.56899
  • Upside part of mean
    0.84837
  • Downside part of mean
    -1.55000
  • Upside SD
    0.09205
  • Downside SD
    0.23771
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.40824
  • Mean of criterion
    -0.70163
  • SD of predictor
    0.34765
  • SD of criterion
    0.25216
  • Covariance
    0.05939
  • r
    0.67747
  • b (slope, estimate of beta)
    0.49138
  • a (intercept, estimate of alpha)
    -0.50103
  • Mean Square Error
    0.03467
  • DF error
    129.00000
  • t(b)
    10.46100
  • p(b)
    0.10446
  • t(a)
    -1.89772
  • p(a)
    0.60444
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    0.39844
  • Upperbound of 95% confidence interval for beta
    0.58432
  • Lowerbound of 95% confidence interval for alpha
    -1.02338
  • Upperbound of 95% confidence interval for alpha
    0.02133
  • Treynor index (mean / b)
    -1.42787
  • Jensen alpha (a)
    -0.50103
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02791
  • Expected Shortfall on VaR
    0.03420
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01284
  • Expected Shortfall on VaR
    0.02722
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91387
  • Quartile 1
    0.99379
  • Median
    1.00081
  • Quartile 3
    1.00524
  • Maximum
    1.02257
  • Mean of quarter 1
    0.97904
  • Mean of quarter 2
    0.99795
  • Mean of quarter 3
    1.00314
  • Mean of quarter 4
    1.00982
  • Inter Quartile Range
    0.01145
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.95228
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02250
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50865
  • VaR(95%) (moments method)
    0.02084
  • Expected Shortfall (moments method)
    0.04812
  • Extreme Value Index (regression method)
    0.24697
  • VaR(95%) (regression method)
    0.01947
  • Expected Shortfall (regression method)
    0.03270
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00224
  • Quartile 1
    0.00358
  • Median
    0.00667
  • Quartile 3
    0.05927
  • Maximum
    0.36367
  • Mean of quarter 1
    0.00241
  • Mean of quarter 2
    0.00563
  • Mean of quarter 3
    0.02398
  • Mean of quarter 4
    0.22912
  • Inter Quartile Range
    0.05569
  • 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
    0.36367
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -235484000
  • Max Equity Drawdown (num days)
    40
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.59177
  • Compounded annual return (geometric extrapolation)
    -0.50422
  • Calmar ratio (compounded annual return / max draw down)
    -1.38648
  • Compounded annual return / average of 25% largest draw downs
    -2.20072
  • Compounded annual return / Expected Shortfall lognormal
    -14.74470

Strategy Description

Using advanced statistical models, 10 companies are selected. Long only, rebalanced on Mondays.

If you want to learn more about the strategy, please take a look at the website on portfolio.construction.

Summary Statistics

Strategy began
2019-07-29
Suggested Minimum Capital
$15,000
Rank at C2 
#118
# Trades
114
# Profitable
55
% Profitable
48.2%
Net Dividends
Correlation S&P500
0.638
Sharpe Ratio
-1.89
Sortino Ratio
-2.05
Beta
0.50
Alpha
-0.12
Leverage
1.02 Average
1.82 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

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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