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GardCap Tactical
(126454157)

Created by: GardCap GardCap
Started: 12/2019
Stocks
Last trade: 37 days ago
Trading style: Equity Trend-following Momentum

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-0.6%
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.

(14.0%)
Max Drawdown
33
Num Trades
48.5%
Win Trades
1.1 : 1
Profit Factor
54.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                             +2.2%+2.2%
2020+0.2%(3.3%)(4.9%)+1.0%+2.9%(0.6%)+4.0%+1.6%(2%)(1.3%)            (2.8%)

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 24 hours.

Trading Record

This strategy has placed 50 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/28/20 15:47 UUP INVESCO DB US DOLLAR INDEX LONG 1,000 25.33 8/13 9:56 25.12 0.12%
Trade id #130324269
Max drawdown($315)
Time8/5/20 0:00
Quant open1,000
Worst price25.01
Drawdown as % of equity-0.12%
($215)
Includes Typical Broker Commissions trade costs of $5.00
6/3/20 9:52 XBI SPDR S&P BIOTECH LONG 500 105.61 6/5 10:56 103.52 0.9%
Trade id #129331425
Max drawdown($2,184)
Time6/5/20 9:34
Quant open500
Worst price101.24
Drawdown as % of equity-0.90%
($1,053)
Includes Typical Broker Commissions trade costs of $10.00
5/29/20 9:30 SPY SPDR S&P 500 SHORT 160 302.46 6/3 9:52 310.62 0.55%
Trade id #129258689
Max drawdown($1,339)
Time6/3/20 9:35
Quant open160
Worst price310.83
Drawdown as % of equity-0.55%
($1,309)
Includes Typical Broker Commissions trade costs of $3.20
5/29/20 9:30 XLP SPDR CONSUMER STAPLES SELECT LONG 420 58.99 6/3 9:52 60.12 0.08%
Trade id #129258644
Max drawdown($197)
Time5/29/20 14:54
Quant open420
Worst price58.52
Drawdown as % of equity-0.08%
$465
Includes Typical Broker Commissions trade costs of $8.40
5/29/20 9:30 XLU UTILITIES SELECT SECTOR SPDR LONG 420 59.02 6/3 9:52 61.41 0.05%
Trade id #129258635
Max drawdown($116)
Time5/29/20 9:33
Quant open420
Worst price58.74
Drawdown as % of equity-0.05%
$998
Includes Typical Broker Commissions trade costs of $8.40
5/26/20 15:08 VBR VANGUARD SMALL CAP VALUE ETF LONG 500 105.83 5/29 9:30 105.38 0.18%
Trade id #129197817
Max drawdown($434)
Time5/26/20 15:56
Quant open500
Worst price104.96
Drawdown as % of equity-0.18%
($234)
Includes Typical Broker Commissions trade costs of $10.00
4/27/20 15:45 XBI SPDR S&P BIOTECH LONG 480 98.74 5/26 15:05 104.52 1.88%
Trade id #128758619
Max drawdown($4,459)
Time5/1/20 0:00
Quant open480
Worst price89.45
Drawdown as % of equity-1.88%
$2,764
Includes Typical Broker Commissions trade costs of $9.60
2/21/20 9:30 XLP SPDR CONSUMER STAPLES SELECT LONG 1,600 60.55 4/27 15:44 59.11 5.83%
Trade id #127635736
Max drawdown($13,193)
Time3/23/20 0:00
Quant open790
Worst price47.66
Drawdown as % of equity-5.83%
($2,313)
Includes Typical Broker Commissions trade costs of $7.50
3/5/20 15:54 SPY SPDR S&P 500 SHORT 140 277.71 4/27 15:43 288.10 0.6%
Trade id #127876765
Max drawdown($1,453)
Time4/27/20 15:43
Quant open-140
Worst price288.09
Drawdown as % of equity-0.60%
($1,458)
Includes Typical Broker Commissions trade costs of $2.80
2/21/20 9:30 XLU UTILITIES SELECT SECTOR SPDR LONG 730 70.36 4/6 15:17 55.72 8.69%
Trade id #127635706
Max drawdown($19,655)
Time3/23/20 0:00
Quant open730
Worst price43.44
Drawdown as % of equity-8.69%
($10,691)
Includes Typical Broker Commissions trade costs of $5.00
12/4/19 15:51 VXUS VANGUARD TOTAL INTL STOCK IDX LONG 1,150 54.02 3/18/20 14:08 44.33 4.3%
Trade id #126487885
Max drawdown($10,315)
Time3/16/20 0:00
Quant open610
Worst price37.11
Drawdown as % of equity-4.30%
($11,157)
Includes Typical Broker Commissions trade costs of $14.00
2/21/20 9:30 IEF ISHARES BARCLAYS 7-10 YEAR TRE LONG 880 114.08 3/4 15:38 118.07 0%
Trade id #127635747
Max drawdown($4)
Time2/21/20 9:31
Quant open880
Worst price114.08
Drawdown as % of equity-0.00%
$3,502
Includes Typical Broker Commissions trade costs of $5.00
2/12/20 15:52 SPY SPDR S&P 500 SHORT 150 337.50 2/25 11:50 319.46 0.09%
Trade id #127482763
Max drawdown($237)
Time2/19/20 0:00
Quant open150
Worst price339.08
Drawdown as % of equity-0.09%
$2,703
Includes Typical Broker Commissions trade costs of $3.00
2/12/20 15:49 BBH VAN ECK VECTORS BIOTECH ETF LONG 700 143.05 2/21 9:30 143.70 0.26%
Trade id #127482671
Max drawdown($668)
Time2/14/20 0:00
Quant open700
Worst price142.09
Drawdown as % of equity-0.26%
$453
Includes Typical Broker Commissions trade costs of $5.00
2/12/20 15:48 QQQ POWERSHARES QQQ LONG 430 234.16 2/21 9:30 233.68 0.38%
Trade id #127482641
Max drawdown($978)
Time2/20/20 0:00
Quant open430
Worst price231.88
Drawdown as % of equity-0.38%
($213)
Includes Typical Broker Commissions trade costs of $8.60
1/27/20 15:54 IEF ISHARES BARCLAYS 7-10 YEAR TRE LONG 880 113.19 2/12 15:47 112.91 0.22%
Trade id #127239386
Max drawdown($558)
Time2/6/20 0:00
Quant open880
Worst price112.56
Drawdown as % of equity-0.22%
($251)
Includes Typical Broker Commissions trade costs of $5.00
1/27/20 15:53 XLP SPDR CONSUMER STAPLES SELECT LONG 790 63.43 2/12 15:47 64.31 0.13%
Trade id #127239372
Max drawdown($342)
Time1/31/20 0:00
Quant open790
Worst price63.00
Drawdown as % of equity-0.13%
$683
Includes Typical Broker Commissions trade costs of $5.00
1/27/20 15:52 XLU UTILITIES SELECT SECTOR SPDR LONG 730 68.17 2/12 15:46 69.17 0.02%
Trade id #127239341
Max drawdown($58)
Time1/28/20 0:00
Quant open730
Worst price68.09
Drawdown as % of equity-0.02%
$729
Includes Typical Broker Commissions trade costs of $5.00
12/4/19 15:51 VTI VANGUARD TOTAL STOCK MARKET ET LONG 255 159.32 1/27/20 15:59 162.86 0.03%
Trade id #126487889
Max drawdown($71)
Time12/5/19 0:00
Quant open120
Worst price158.18
Drawdown as % of equity-0.03%
$900
Includes Typical Broker Commissions trade costs of $5.10
12/12/19 15:57 QQQ POWERSHARES QQQ LONG 180 206.65 1/27/20 15:51 217.93 0.05%
Trade id #126605070
Max drawdown($124)
Time12/13/19 0:00
Quant open180
Worst price205.96
Drawdown as % of equity-0.05%
$2,026
Includes Typical Broker Commissions trade costs of $3.60
12/12/19 15:57 BBH VAN ECK VECTORS BIOTECH ETF LONG 270 139.60 1/27/20 15:50 134.49 0.61%
Trade id #126605060
Max drawdown($1,571)
Time1/27/20 9:34
Quant open270
Worst price133.78
Drawdown as % of equity-0.61%
($1,385)
Includes Typical Broker Commissions trade costs of $5.40
12/9/19 15:58 XLU UTILITIES SELECT SECTOR SPDR LONG 690 62.98 12/12 15:56 62.88 0.1%
Trade id #126549532
Max drawdown($255)
Time12/12/19 14:53
Quant open690
Worst price62.61
Drawdown as % of equity-0.10%
($74)
Includes Typical Broker Commissions trade costs of $5.00
12/9/19 15:57 XLP SPDR CONSUMER STAPLES SELECT LONG 700 62.79 12/12 15:56 62.55 0.1%
Trade id #126549521
Max drawdown($255)
Time12/11/19 0:00
Quant open700
Worst price62.42
Drawdown as % of equity-0.10%
($173)
Includes Typical Broker Commissions trade costs of $5.00
12/5/19 15:51 QQQ POWERSHARES QQQ LONG 215 202.77 12/9 15:59 204.09 0.01%
Trade id #126506015
Max drawdown($32)
Time12/5/19 15:57
Quant open215
Worst price202.62
Drawdown as % of equity-0.01%
$280
Includes Typical Broker Commissions trade costs of $4.30
12/4/19 15:50 BBH VAN ECK VECTORS BIOTECH ETF LONG 310 140.84 12/9 15:59 139.29 0.37%
Trade id #126487809
Max drawdown($925)
Time12/5/19 0:00
Quant open310
Worst price137.85
Drawdown as % of equity-0.37%
($487)
Includes Typical Broker Commissions trade costs of $6.20
12/4/19 15:48 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 515 84.68 12/9 15:54 84.62 0.02%
Trade id #126487789
Max drawdown($46)
Time12/6/19 0:00
Quant open515
Worst price84.59
Drawdown as % of equity-0.02%
($36)
Includes Typical Broker Commissions trade costs of $5.00
12/4/19 15:50 EEM ISHARES MSCI EMERGING MARKETS LONG 1,020 42.65 12/5 15:50 42.84 0.01%
Trade id #126487870
Max drawdown($30)
Time12/4/19 15:55
Quant open1,020
Worst price42.62
Drawdown as % of equity-0.01%
$189
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    12/3/2019
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    332.1
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    33
  • # Profitable
    16
  • % Profitable
    48.50%
  • Avg trade duration
    46.3 days
  • Max peak-to-valley drawdown
    14.01%
  • drawdown period
    Feb 20, 2020 - March 23, 2020
  • Cumul. Return
    -0.6%
  • Avg win
    $1,839
  • Avg loss
    $1,967
  • Model Account Values (Raw)
  • Cash
    $140,912
  • Margin Used
    $0
  • Buying Power
    $152,208
  • Ratios
  • W:L ratio
    1.07:1
  • Sharpe Ratio
    -0.12
  • Sortino Ratio
    -0.15
  • Calmar Ratio
    0.018
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.64%
  • Correlation to SP500
    0.63160
  • Return Percent SP500 (cumu) during strategy life
    7.01%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.7%
  • Slump
  • Current Slump as Pcnt Equity
    4.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.006%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.4%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    464
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    741
  • 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
    $1,971
  • Avg Win
    $1,836
  • Sum Trade PL (losers)
    $33,507.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $29,377.000
  • # Winners
    16
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    3146
  • AUM
  • AUM (AutoTrader live capital)
    498438
  • Win / Loss
  • # Losers
    17
  • % Winners
    48.5%
  • Frequency
  • Avg Position Time (mins)
    66622.90
  • Avg Position Time (hrs)
    1110.38
  • Avg Trade Length
    46.3 days
  • Last Trade Ago
    37
  • Leverage
  • Daily leverage (average)
    0.73
  • Daily leverage (max)
    1.32
  • Regression
  • Alpha
    -0.01
  • Beta
    0.19
  • Treynor Index
    -0.02
  • 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)
    -2.18
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -17.911
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.255
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.790
  • Hold-and-Hope Ratio
    -0.061
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00356
  • SD
    0.09940
  • Sharpe ratio (Glass type estimate)
    0.03578
  • Sharpe ratio (Hedges UMVUE)
    0.03270
  • df
    9.00000
  • t
    0.03266
  • p
    0.48733
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11439
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17978
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04630
  • Upside Potential Ratio
    1.41658
  • Upside part of mean
    0.10881
  • Downside part of mean
    -0.10525
  • Upside SD
    0.05471
  • Downside SD
    0.07681
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.10218
  • Mean of criterion
    0.00356
  • SD of predictor
    0.25683
  • SD of criterion
    0.09940
  • Covariance
    0.01568
  • r
    0.61428
  • b (slope, estimate of beta)
    0.23774
  • a (intercept, estimate of alpha)
    -0.02074
  • Mean Square Error
    0.00692
  • DF error
    8.00000
  • t(b)
    2.20182
  • p(b)
    0.02941
  • t(a)
    -0.22589
  • p(a)
    0.58652
  • Lowerbound of 95% confidence interval for beta
    -0.01125
  • Upperbound of 95% confidence interval for beta
    0.48673
  • Lowerbound of 95% confidence interval for alpha
    -0.23243
  • Upperbound of 95% confidence interval for alpha
    0.19095
  • Treynor index (mean / b)
    0.01496
  • Jensen alpha (a)
    -0.02074
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00098
  • SD
    0.10094
  • Sharpe ratio (Glass type estimate)
    -0.00973
  • Sharpe ratio (Hedges UMVUE)
    -0.00889
  • df
    9.00000
  • t
    -0.00888
  • p
    0.50345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15652
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13756
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13814
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01239
  • Upside Potential Ratio
    1.35046
  • Upside part of mean
    0.10710
  • Downside part of mean
    -0.10808
  • Upside SD
    0.05368
  • Downside SD
    0.07930
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.07172
  • Mean of criterion
    -0.00098
  • SD of predictor
    0.25899
  • SD of criterion
    0.10094
  • Covariance
    0.01627
  • r
    0.62243
  • b (slope, estimate of beta)
    0.24259
  • a (intercept, estimate of alpha)
    -0.01838
  • Mean Square Error
    0.00702
  • DF error
    8.00000
  • t(b)
    2.24933
  • p(b)
    0.02731
  • t(a)
    -0.19954
  • p(a)
    0.57659
  • Lowerbound of 95% confidence interval for beta
    -0.00611
  • Upperbound of 95% confidence interval for beta
    0.49130
  • Lowerbound of 95% confidence interval for alpha
    -0.23081
  • Upperbound of 95% confidence interval for alpha
    0.19405
  • Treynor index (mean / b)
    -0.00405
  • Jensen alpha (a)
    -0.01838
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04688
  • Expected Shortfall on VaR
    0.05836
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01701
  • Expected Shortfall on VaR
    0.03746
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.93351
  • Quartile 1
    0.99811
  • Median
    1.00521
  • Quartile 3
    1.01196
  • Maximum
    1.04310
  • Mean of quarter 1
    0.97357
  • Mean of quarter 2
    1.00263
  • Mean of quarter 3
    1.00878
  • Mean of quarter 4
    1.02758
  • Inter Quartile Range
    0.01386
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.93351
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.04310
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00905
  • VaR(95%) (moments method)
    0.01151
  • Expected Shortfall (moments method)
    0.01767
  • Extreme Value Index (regression method)
    1.97983
  • VaR(95%) (regression method)
    0.09280
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.06828
  • Quartile 1
    0.06828
  • Median
    0.06828
  • Quartile 3
    0.06828
  • Maximum
    0.06828
  • 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)
    0.02723
  • Compounded annual return (geometric extrapolation)
    0.02729
  • Calmar ratio (compounded annual return / max draw down)
    0.39966
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.46764
  • 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
    -0.02008
  • SD
    0.10333
  • Sharpe ratio (Glass type estimate)
    -0.19435
  • Sharpe ratio (Hedges UMVUE)
    -0.19373
  • df
    235.00000
  • t
    -0.18446
  • p
    0.57309
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25933
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87103
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.25891
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87145
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24476
  • Upside Potential Ratio
    6.62632
  • Upside part of mean
    0.54364
  • Downside part of mean
    -0.56373
  • Upside SD
    0.06246
  • Downside SD
    0.08204
  • N nonnegative terms
    126.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    236.00000
  • Mean of predictor
    0.11220
  • Mean of criterion
    -0.02008
  • SD of predictor
    0.35919
  • SD of criterion
    0.10333
  • Covariance
    0.02278
  • r
    0.61370
  • b (slope, estimate of beta)
    0.17654
  • a (intercept, estimate of alpha)
    -0.04000
  • Mean Square Error
    0.00668
  • DF error
    234.00000
  • t(b)
    11.89020
  • p(b)
    0.00000
  • t(a)
    -0.46299
  • p(a)
    0.67810
  • Lowerbound of 95% confidence interval for beta
    0.14728
  • Upperbound of 95% confidence interval for beta
    0.20579
  • Lowerbound of 95% confidence interval for alpha
    -0.20963
  • Upperbound of 95% confidence interval for alpha
    0.12985
  • Treynor index (mean / b)
    -0.11375
  • Jensen alpha (a)
    -0.03989
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02543
  • SD
    0.10383
  • Sharpe ratio (Glass type estimate)
    -0.24492
  • Sharpe ratio (Hedges UMVUE)
    -0.24413
  • df
    235.00000
  • t
    -0.23245
  • p
    0.59180
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.30994
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82051
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30936
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82109
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.30667
  • Upside Potential Ratio
    6.53202
  • Upside part of mean
    0.54165
  • Downside part of mean
    -0.56708
  • Upside SD
    0.06214
  • Downside SD
    0.08292
  • N nonnegative terms
    126.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    236.00000
  • Mean of predictor
    0.04734
  • Mean of criterion
    -0.02543
  • SD of predictor
    0.36192
  • SD of criterion
    0.10383
  • Covariance
    0.02323
  • r
    0.61824
  • b (slope, estimate of beta)
    0.17736
  • a (intercept, estimate of alpha)
    -0.03383
  • Mean Square Error
    0.00669
  • DF error
    234.00000
  • t(b)
    12.03230
  • p(b)
    0.00000
  • t(a)
    -0.39252
  • p(a)
    0.65249
  • Lowerbound of 95% confidence interval for beta
    0.14832
  • Upperbound of 95% confidence interval for beta
    0.20640
  • Lowerbound of 95% confidence interval for alpha
    -0.20360
  • Upperbound of 95% confidence interval for alpha
    0.13595
  • Treynor index (mean / b)
    -0.14338
  • Jensen alpha (a)
    -0.03383
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01059
  • Expected Shortfall on VaR
    0.01324
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00467
  • Expected Shortfall on VaR
    0.00981
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    236.00000
  • Minimum
    0.95915
  • Quartile 1
    0.99785
  • Median
    1.00067
  • Quartile 3
    1.00295
  • Maximum
    1.01806
  • Mean of quarter 1
    0.99236
  • Mean of quarter 2
    0.99928
  • Mean of quarter 3
    1.00169
  • Mean of quarter 4
    1.00678
  • Inter Quartile Range
    0.00510
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.05508
  • Mean of outliers low
    0.98318
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.03814
  • Mean of outliers high
    1.01357
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31428
  • VaR(95%) (moments method)
    0.00680
  • Expected Shortfall (moments method)
    0.01218
  • Extreme Value Index (regression method)
    0.25259
  • VaR(95%) (regression method)
    0.00812
  • Expected Shortfall (regression method)
    0.01415
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00052
  • Median
    0.00208
  • Quartile 3
    0.00357
  • Maximum
    0.13595
  • Mean of quarter 1
    0.00048
  • Mean of quarter 2
    0.00196
  • Mean of quarter 3
    0.00306
  • Mean of quarter 4
    0.08799
  • Inter Quartile Range
    0.00304
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.08799
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -8.74306
  • VaR(95%) (moments method)
    0.01561
  • Expected Shortfall (moments method)
    0.01561
  • Extreme Value Index (regression method)
    0.39566
  • VaR(95%) (regression method)
    0.16554
  • Expected Shortfall (regression method)
    0.37435
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00248
  • Compounded annual return (geometric extrapolation)
    0.00248
  • Calmar ratio (compounded annual return / max draw down)
    0.01824
  • Compounded annual return / average of 25% largest draw downs
    0.02819
  • Compounded annual return / Expected Shortfall lognormal
    0.18738
  • 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
    0.07263
  • SD
    0.08002
  • Sharpe ratio (Glass type estimate)
    0.90764
  • Sharpe ratio (Hedges UMVUE)
    0.90239
  • df
    130.00000
  • t
    0.64180
  • p
    0.47190
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86806
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67995
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87158
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67637
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22805
  • Upside Potential Ratio
    8.87136
  • Upside part of mean
    0.52467
  • Downside part of mean
    -0.45204
  • Upside SD
    0.05363
  • Downside SD
    0.05914
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25032
  • Mean of criterion
    0.07263
  • SD of predictor
    0.21010
  • SD of criterion
    0.08002
  • Covariance
    0.00999
  • r
    0.59426
  • b (slope, estimate of beta)
    0.22633
  • a (intercept, estimate of alpha)
    0.01597
  • Mean Square Error
    0.00417
  • DF error
    129.00000
  • t(b)
    8.39200
  • p(b)
    0.14531
  • t(a)
    0.17435
  • p(a)
    0.49023
  • Lowerbound of 95% confidence interval for beta
    0.17297
  • Upperbound of 95% confidence interval for beta
    0.27969
  • Lowerbound of 95% confidence interval for alpha
    -0.16529
  • Upperbound of 95% confidence interval for alpha
    0.19724
  • Treynor index (mean / b)
    0.32090
  • Jensen alpha (a)
    0.01597
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06943
  • SD
    0.08015
  • Sharpe ratio (Glass type estimate)
    0.86628
  • Sharpe ratio (Hedges UMVUE)
    0.86127
  • df
    130.00000
  • t
    0.61255
  • p
    0.47318
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.90910
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63851
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63505
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16745
  • Upside Potential Ratio
    8.79738
  • Upside part of mean
    0.52318
  • Downside part of mean
    -0.45376
  • Upside SD
    0.05344
  • Downside SD
    0.05947
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22808
  • Mean of criterion
    0.06943
  • SD of predictor
    0.21162
  • SD of criterion
    0.08015
  • Covariance
    0.01008
  • r
    0.59451
  • b (slope, estimate of beta)
    0.22516
  • a (intercept, estimate of alpha)
    0.01807
  • Mean Square Error
    0.00419
  • DF error
    129.00000
  • t(b)
    8.39748
  • p(b)
    0.14518
  • t(a)
    0.19712
  • p(a)
    0.48895
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    0.17211
  • Upperbound of 95% confidence interval for beta
    0.27821
  • Lowerbound of 95% confidence interval for alpha
    -0.16335
  • Upperbound of 95% confidence interval for alpha
    0.19950
  • Treynor index (mean / b)
    0.30835
  • Jensen alpha (a)
    0.01807
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00785
  • Expected Shortfall on VaR
    0.00990
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00362
  • Expected Shortfall on VaR
    0.00735
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98014
  • Quartile 1
    0.99790
  • Median
    1.00109
  • Quartile 3
    1.00342
  • Maximum
    1.01212
  • Mean of quarter 1
    0.99404
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.00198
  • Mean of quarter 4
    1.00606
  • Inter Quartile Range
    0.00552
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98512
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01212
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25505
  • VaR(95%) (moments method)
    0.00578
  • Expected Shortfall (moments method)
    0.00953
  • Extreme Value Index (regression method)
    0.07416
  • VaR(95%) (regression method)
    0.00611
  • Expected Shortfall (regression method)
    0.00893
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00150
  • Median
    0.00401
  • Quartile 3
    0.01102
  • Maximum
    0.04634
  • Mean of quarter 1
    0.00082
  • Mean of quarter 2
    0.00213
  • Mean of quarter 3
    0.00797
  • Mean of quarter 4
    0.03023
  • Inter Quartile Range
    0.00951
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.04319
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.85484
  • VaR(95%) (moments method)
    0.03246
  • Expected Shortfall (moments method)
    0.03629
  • Extreme Value Index (regression method)
    -0.88550
  • VaR(95%) (regression method)
    0.04060
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.04467
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -331678000
  • Max Equity Drawdown (num days)
    32
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09974
  • Compounded annual return (geometric extrapolation)
    0.10223
  • Calmar ratio (compounded annual return / max draw down)
    2.20591
  • Compounded annual return / average of 25% largest draw downs
    3.38183
  • Compounded annual return / Expected Shortfall lognormal
    10.32900

Strategy Description

Automated, adaptive asset allocation system.
Holds highly liquid, low cost ETFs. No leveraged ETFs or volatility ETNs.
Diversified by asset type (equities (US and non-US), US bonds and gold).
Diversified by strategy (passive, trend following, momentum, relative strength and long/short).
Portfolio holdings and risk are adjusted regularly to changing market conditions.
Appropriate long term benchmark would be VT (global equities ETF). Goal is to beat target returns with significantly lower maximum drawdown.
This is how I manage my core retirement funds.
Approximately 100 trades/year on average.
Minimum recommended account size is $250,000 + margin.

Summary Statistics

Strategy began
2019-12-03
Suggested Minimum Capital
$45,000
# Trades
33
# Profitable
16
% Profitable
48.5%
Net Dividends
Correlation S&P500
0.632
Sharpe Ratio
-0.12
Sortino Ratio
-0.15
Beta
0.19
Alpha
-0.01
Leverage
0.73 Average
1.32 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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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.