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Featured Strategy Easiest Rank on Leaderboard #8 Hypothetical

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Micro Investor
(126993315)

Created by: Mr_Trader Mr_Trader
Started: 01/2020
Stocks
Last trade: 1,259 days ago
Trading style: Equity Non-hedged Equity Trend-following

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 $19.00 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."
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.
3.9%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(33.8%)
Max Drawdown
54
Num Trades
29.6%
Win Trades
1.6 : 1
Profit Factor
59.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020(4.4%)(13.6%)(2.9%)+4.9%+3.3%+0.4%+2.8%+6.6%(3.6%)(5.6%)+8.7%+4.5%(1%)
2021+0.4%(3.9%)+2.9%+5.2%+1.3%+2.8%+4.0%+3.6%(3.5%)+4.8%+0.5%+4.4%+24.3%
2022(12.7%)(0.9%)+4.7%(10.3%)(2.8%)(8.3%)+7.2%(4.4%)(7.7%)+6.2%+5.9%(3.9%)(26%)
2023+4.8%(3.5%)+0.9%+4.9%  -  +3.9%+4.8%(2.7%)(5.5%)(1.9%)+10.0%+5.8%+22.3%
2024+3.4%+2.6%+3.3%(3.5%)                                                +5.7%

Model Account Details

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

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

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/1/20 10:49 MRK MERCK LONG 28 82.19 11/2 13:45 77.26 0.34%
Trade id #128829783
Max drawdown($148)
Time10/30/20 0:00
Quant open18
Worst price73.94
Drawdown as % of equity-0.34%
 ($139)
Includes Typical Broker Commissions trade costs of $0.56
1/14/20 14:47 INTC INTEL LONG 162 59.87 11/2 13:43 55.11 1.23%
Trade id #126995063
Max drawdown($549)
Time7/31/20 0:00
Quant open42
Worst price46.97
Drawdown as % of equity-1.23%
 ($775)
Includes Typical Broker Commissions trade costs of $3.24
5/1/20 10:47 IBM INTERNATIONAL BUSINESS MACHINES LONG 6 123.00 11/2 13:42 118.10 0.09%
Trade id #128829743
Max drawdown($39)
Time9/24/20 0:00
Quant open6
Worst price116.48
Drawdown as % of equity-0.09%
 ($29)
Includes Typical Broker Commissions trade costs of $0.12
6/1/20 13:41 BA BOEING LONG 5 173.56 11/2 13:40 150.22 0.29%
Trade id #129292570
Max drawdown($127)
Time10/30/20 0:00
Quant open4
Worst price141.58
Drawdown as % of equity-0.29%
 ($117)
Includes Typical Broker Commissions trade costs of $0.10
6/1/20 13:40 AXP AMERICAN EXPRESS LONG 14 99.55 11/2 13:40 92.61 0.28%
Trade id #129292561
Max drawdown($125)
Time10/30/20 0:00
Quant open12
Worst price89.11
Drawdown as % of equity-0.28%
 ($97)
Includes Typical Broker Commissions trade costs of $0.28
5/1/20 10:45 CVX CHEVRON LONG 5 90.78 10/1 14:47 78.25 0.13%
Trade id #128829690
Max drawdown($61)
Time10/1/20 11:02
Quant open3
Worst price70.20
Drawdown as % of equity-0.13%
 ($63)
Includes Typical Broker Commissions trade costs of $0.10
5/1/20 10:44 CSCO CISCO SYSTEMS LONG 41 45.75 9/1 15:31 42.66 0.32%
Trade id #128829676
Max drawdown($150)
Time8/26/20 0:00
Quant open35
Worst price41.45
Drawdown as % of equity-0.32%
 ($128)
Includes Typical Broker Commissions trade costs of $0.82
5/1/20 10:55 XOM EXXON MOBIL LONG 7 45.46 8/4 13:21 43.25 0.07%
Trade id #128829923
Max drawdown($31)
Time7/31/20 0:00
Quant open7
Worst price40.91
Drawdown as % of equity-0.07%
 ($16)
Includes Typical Broker Commissions trade costs of $0.14
3/2/20 14:34 AGG ISHARES CORE US AGGREGATE BOND LONG 131 115.91 8/4 13:09 117.55 2.45%
Trade id #127810315
Max drawdown($913)
Time3/19/20 0:00
Quant open85
Worst price105.56
Drawdown as % of equity-2.45%
 $212
Includes Typical Broker Commissions trade costs of $2.62
5/1/20 10:53 VZ VERIZON COMMUNICATIONS LONG 10 57.15 7/1 10:08 55.08 0.1%
Trade id #128829896
Max drawdown($42)
Time6/26/20 0:00
Quant open10
Worst price52.85
Drawdown as % of equity-0.10%
 ($21)
Includes Typical Broker Commissions trade costs of $0.20
6/1/20 14:07 KO COCA-COLA LONG 6 47.09 7/1 10:04 45.33 0.05%
Trade id #129293044
Max drawdown($21)
Time6/26/20 0:00
Quant open6
Worst price43.51
Drawdown as % of equity-0.05%
 ($11)
Includes Typical Broker Commissions trade costs of $0.12
1/15/20 13:31 V VISA LONG 23 199.27 4/1 11:17 174.87 1.78%
Trade id #127025082
Max drawdown($653)
Time3/23/20 0:00
Quant open10
Worst price133.93
Drawdown as % of equity-1.78%
 ($561)
Includes Typical Broker Commissions trade costs of $0.46
1/15/20 13:30 UTX UNITED TECHNOLOGIES LONG 22 152.05 4/1 11:17 122.52 1.71%
Trade id #127025061
Max drawdown($664)
Time3/18/20 0:00
Quant open8
Worst price69.02
Drawdown as % of equity-1.71%
 ($650)
Includes Typical Broker Commissions trade costs of $0.44
1/14/20 14:49 MCD MCDONALD'S LONG 22 212.73 4/1 11:15 199.85 0.97%
Trade id #126995263
Max drawdown($406)
Time2/28/20 0:00
Quant open17
Worst price188.81
Drawdown as % of equity-0.97%
 ($283)
Includes Typical Broker Commissions trade costs of $0.44
1/14/20 14:49 KO COCA-COLA LONG 146 56.45 4/1 11:15 53.12 1.76%
Trade id #126995222
Max drawdown($645)
Time3/23/20 0:00
Quant open32
Worst price36.27
Drawdown as % of equity-1.76%
 ($488)
Includes Typical Broker Commissions trade costs of $2.92
1/14/20 14:48 JPM JPMORGAN CHASE LONG 49 139.48 4/1 11:15 123.49 1.51%
Trade id #126995155
Max drawdown($563)
Time3/19/20 0:00
Quant open9
Worst price76.91
Drawdown as % of equity-1.51%
 ($784)
Includes Typical Broker Commissions trade costs of $0.98
1/14/20 14:47 IBM INTERNATIONAL BUSINESS MACHINES LONG 12 136.26 4/1 11:14 132.70 0.14%
Trade id #126994988
Max drawdown($59)
Time2/28/20 0:00
Quant open6
Worst price126.36
Drawdown as % of equity-0.14%
 ($43)
Includes Typical Broker Commissions trade costs of $0.24
1/14/20 14:46 HD HOME DEPOT LONG 21 223.21 4/1 11:14 214.37 1.27%
Trade id #126994932
Max drawdown($495)
Time3/18/20 0:00
Quant open6
Worst price140.63
Drawdown as % of equity-1.27%
 ($186)
Includes Typical Broker Commissions trade costs of $0.42
1/14/20 14:46 GS GOLDMAN SACHS GROUP LONG 34 245.38 4/1 11:13 216.34 2.41%
Trade id #126994896
Max drawdown($1,010)
Time2/28/20 0:00
Quant open20
Worst price194.85
Drawdown as % of equity-2.41%
 ($988)
Includes Typical Broker Commissions trade costs of $0.68
1/14/20 14:45 DIS WALT DISNEY LONG 47 145.19 4/1 11:13 136.68 0.99%
Trade id #126994808
Max drawdown($486)
Time1/30/20 0:00
Quant open47
Worst price134.83
Drawdown as % of equity-0.99%
 ($401)
Includes Typical Broker Commissions trade costs of $0.94
1/14/20 14:43 CAT CATERPILLAR LONG 47 146.75 4/1 11:13 136.04 1.15%
Trade id #126994628
Max drawdown($473)
Time3/12/20 0:00
Quant open8
Worst price87.50
Drawdown as % of equity-1.15%
 ($505)
Includes Typical Broker Commissions trade costs of $0.94
1/14/20 14:42 AXP AMERICAN EXPRESS LONG 61 129.52 4/1 11:11 118.15 1.82%
Trade id #126994555
Max drawdown($765)
Time2/28/20 0:00
Quant open34
Worst price107.00
Drawdown as % of equity-1.82%
 ($694)
Includes Typical Broker Commissions trade costs of $1.22
1/15/20 13:34 XOM EXXON MOBIL LONG 9 69.02 3/2 14:21 59.68 0.16%
Trade id #127025142
Max drawdown($77)
Time2/3/20 0:00
Quant open9
Worst price60.37
Drawdown as % of equity-0.16%
 ($84)
Includes Typical Broker Commissions trade costs of $0.18
1/15/20 13:32 WBA WALGREEN BOOTS ALLIANCE INC. LONG 44 54.26 3/2 14:21 50.46 0.32%
Trade id #127025107
Max drawdown($158)
Time1/31/20 0:00
Quant open44
Worst price50.66
Drawdown as % of equity-0.32%
 ($168)
Includes Typical Broker Commissions trade costs of $0.88
1/15/20 13:32 VZ VERIZON COMMUNICATIONS LONG 58 58.93 3/2 14:20 57.98 0.22%
Trade id #127025089
Max drawdown($94)
Time2/28/20 0:00
Quant open14
Worst price52.18
Drawdown as % of equity-0.22%
 ($56)
Includes Typical Broker Commissions trade costs of $1.16
1/15/20 13:28 TRV TRAVELERS COMPANIES LONG 6 137.65 3/2 14:19 129.50 0.14%
Trade id #127025028
Max drawdown($60)
Time2/28/20 0:00
Quant open3
Worst price117.38
Drawdown as % of equity-0.14%
 ($49)
Includes Typical Broker Commissions trade costs of $0.12
1/14/20 14:57 PFE PFIZER LONG 34 39.98 3/2 14:16 36.69 0.23%
Trade id #126995998
Max drawdown($111)
Time1/30/20 0:00
Quant open34
Worst price36.69
Drawdown as % of equity-0.23%
 ($113)
Includes Typical Broker Commissions trade costs of $0.68
1/14/20 14:50 MRK MERCK LONG 83 89.52 3/2 14:15 85.27 1.64%
Trade id #126995358
Max drawdown($690)
Time2/28/20 0:00
Quant open45
Worst price74.18
Drawdown as % of equity-1.64%
 ($355)
Includes Typical Broker Commissions trade costs of $1.66
1/14/20 14:50 MMM 3M LONG 24 181.92 3/2 14:14 157.35 1.28%
Trade id #126995322
Max drawdown($612)
Time2/3/20 0:00
Quant open24
Worst price156.38
Drawdown as % of equity-1.28%
 ($590)
Includes Typical Broker Commissions trade costs of $0.48
1/14/20 14:44 CSCO CISCO SYSTEMS LONG 36 47.89 3/2 14:10 44.94 0.32%
Trade id #126994689
Max drawdown($133)
Time2/28/20 0:00
Quant open14
Worst price38.35
Drawdown as % of equity-0.32%
 ($107)
Includes Typical Broker Commissions trade costs of $0.72
Next

Statistics

  • Strategy began
    1/14/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1564.17
  • Age
    52 months ago
  • What it trades
    Stocks
  • # Trades
    54
  • # Profitable
    16
  • % Profitable
    29.60%
  • Avg trade duration
    652.7 days
  • Max peak-to-valley drawdown
    33.75%
  • drawdown period
    Jan 01, 2022 - Oct 03, 2022
  • Annual Return (Compounded)
    3.9%
  • Avg win
    $1,342
  • Avg loss
    $403.37
  • Model Account Values (Raw)
  • Cash
    $21,759
  • Margin Used
    $0
  • Buying Power
    $36,464
  • Ratios
  • W:L ratio
    1.62:1
  • Sharpe Ratio
    0.17
  • Sortino Ratio
    0.23
  • Calmar Ratio
    0.408
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -37.47%
  • Correlation to SP500
    0.72380
  • Return Percent SP500 (cumu) during strategy life
    55.34%
  • Return Statistics
  • Ann Return (w trading costs)
    3.9%
  • Slump
  • Current Slump as Pcnt Equity
    4.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.54%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.039%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.2%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $403
  • Avg Win
    $1,343
  • Sum Trade PL (losers)
    $15,328.000
  • Age
  • Num Months filled monthly returns table
    52
  • Win / Loss
  • Sum Trade PL (winners)
    $21,481.000
  • # Winners
    16
  • Num Months Winners
    31
  • Dividends
  • Dividends Received in Model Acct
    3396
  • Win / Loss
  • # Losers
    38
  • % Winners
    29.6%
  • Frequency
  • Avg Position Time (mins)
    939935.00
  • Avg Position Time (hrs)
    15665.60
  • Avg Trade Length
    652.7 days
  • Last Trade Ago
    1257
  • Leverage
  • Daily leverage (average)
    1.18
  • Daily leverage (max)
    2.00
  • Regression
  • Alpha
    -0.01
  • Beta
    0.55
  • 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)
    -5.25
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.676
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.395
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.220
  • Hold-and-Hope Ratio
    0.341
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02040
  • SD
    0.36179
  • Sharpe ratio (Glass type estimate)
    0.05639
  • Sharpe ratio (Hedges UMVUE)
    0.05351
  • df
    15.00000
  • t
    0.06511
  • p
    0.48930
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64201
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75299
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64398
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75100
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07259
  • Upside Potential Ratio
    1.45779
  • Upside part of mean
    0.40965
  • Downside part of mean
    -0.38925
  • Upside SD
    0.20924
  • Downside SD
    0.28101
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.24476
  • Mean of criterion
    0.02040
  • SD of predictor
    0.37674
  • SD of criterion
    0.36179
  • Covariance
    0.12445
  • r
    0.91309
  • b (slope, estimate of beta)
    0.87687
  • a (intercept, estimate of alpha)
    -0.19422
  • Mean Square Error
    0.02332
  • DF error
    14.00000
  • t(b)
    8.37883
  • p(b)
    0.04345
  • t(a)
    -1.44191
  • p(a)
    0.67980
  • Lowerbound of 95% confidence interval for beta
    0.65241
  • Upperbound of 95% confidence interval for beta
    1.10133
  • Lowerbound of 95% confidence interval for alpha
    -0.48312
  • Upperbound of 95% confidence interval for alpha
    0.09468
  • Treynor index (mean / b)
    0.02326
  • Jensen alpha (a)
    -0.19422
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04606
  • SD
    0.38514
  • Sharpe ratio (Glass type estimate)
    -0.11959
  • Sharpe ratio (Hedges UMVUE)
    -0.11349
  • df
    15.00000
  • t
    -0.13809
  • p
    0.52268
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81555
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58029
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58437
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.14491
  • Upside Potential Ratio
    1.22307
  • Upside part of mean
    0.38874
  • Downside part of mean
    -0.43480
  • Upside SD
    0.19548
  • Downside SD
    0.31784
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.16810
  • Mean of criterion
    -0.04606
  • SD of predictor
    0.41173
  • SD of criterion
    0.38514
  • Covariance
    0.14472
  • r
    0.91264
  • b (slope, estimate of beta)
    0.85369
  • a (intercept, estimate of alpha)
    -0.18957
  • Mean Square Error
    0.02656
  • DF error
    14.00000
  • t(b)
    8.35372
  • p(b)
    0.04368
  • t(a)
    -1.33338
  • p(a)
    0.66784
  • Lowerbound of 95% confidence interval for beta
    0.63451
  • Upperbound of 95% confidence interval for beta
    1.07287
  • Lowerbound of 95% confidence interval for alpha
    -0.49449
  • Upperbound of 95% confidence interval for alpha
    0.11536
  • Treynor index (mean / b)
    -0.05395
  • Jensen alpha (a)
    -0.18957
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17032
  • Expected Shortfall on VaR
    0.20732
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06012
  • Expected Shortfall on VaR
    0.13346
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.76486
  • Quartile 1
    0.98655
  • Median
    1.01427
  • Quartile 3
    1.06175
  • Maximum
    1.18885
  • Mean of quarter 1
    0.87752
  • Mean of quarter 2
    1.00052
  • Mean of quarter 3
    1.02912
  • Mean of quarter 4
    1.10895
  • Inter Quartile Range
    0.07520
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.77448
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.18885
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59082
  • VaR(95%) (moments method)
    0.07092
  • Expected Shortfall (moments method)
    0.22293
  • Extreme Value Index (regression method)
    -0.91294
  • VaR(95%) (regression method)
    0.12054
  • Expected Shortfall (regression method)
    0.13690
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.21590
  • Quartile 1
    0.22549
  • Median
    0.23508
  • Quartile 3
    0.24467
  • Maximum
    0.25426
  • Mean of quarter 1
    0.21590
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.25426
  • Inter Quartile Range
    0.01918
  • 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)
    -0.01793
  • Compounded annual return (geometric extrapolation)
    -0.01799
  • Calmar ratio (compounded annual return / max draw down)
    -0.07074
  • Compounded annual return / average of 25% largest draw downs
    -0.07074
  • Compounded annual return / Expected Shortfall lognormal
    -0.08676
  • 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
    0.13982
  • SD
    0.28698
  • Sharpe ratio (Glass type estimate)
    0.48720
  • Sharpe ratio (Hedges UMVUE)
    0.48619
  • df
    363.00000
  • t
    0.57426
  • p
    0.28307
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17631
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15011
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17701
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14940
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68477
  • Upside Potential Ratio
    7.72966
  • Upside part of mean
    1.57825
  • Downside part of mean
    -1.43843
  • Upside SD
    0.20129
  • Downside SD
    0.20418
  • N nonnegative terms
    198.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    364.00000
  • Mean of predictor
    0.35953
  • Mean of criterion
    0.13982
  • SD of predictor
    0.37428
  • SD of criterion
    0.28698
  • Covariance
    0.07649
  • r
    0.71215
  • b (slope, estimate of beta)
    0.54604
  • a (intercept, estimate of alpha)
    -0.05700
  • Mean Square Error
    0.04070
  • DF error
    362.00000
  • t(b)
    19.30060
  • p(b)
    0.00000
  • t(a)
    -0.32953
  • p(a)
    0.62903
  • Lowerbound of 95% confidence interval for beta
    0.49041
  • Upperbound of 95% confidence interval for beta
    0.60168
  • Lowerbound of 95% confidence interval for alpha
    -0.39369
  • Upperbound of 95% confidence interval for alpha
    0.28069
  • Treynor index (mean / b)
    0.25606
  • Jensen alpha (a)
    -0.05650
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09866
  • SD
    0.28732
  • Sharpe ratio (Glass type estimate)
    0.34337
  • Sharpe ratio (Hedges UMVUE)
    0.34266
  • df
    363.00000
  • t
    0.40473
  • p
    0.34296
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31986
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00617
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00568
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.47332
  • Upside Potential Ratio
    7.47637
  • Upside part of mean
    1.55836
  • Downside part of mean
    -1.45970
  • Upside SD
    0.19728
  • Downside SD
    0.20844
  • N nonnegative terms
    198.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    364.00000
  • Mean of predictor
    0.28911
  • Mean of criterion
    0.09866
  • SD of predictor
    0.37583
  • SD of criterion
    0.28732
  • Covariance
    0.07670
  • r
    0.71028
  • b (slope, estimate of beta)
    0.54301
  • a (intercept, estimate of alpha)
    -0.05833
  • Mean Square Error
    0.04102
  • DF error
    362.00000
  • t(b)
    19.19800
  • p(b)
    0.00000
  • t(a)
    -0.33908
  • p(a)
    0.63263
  • Lowerbound of 95% confidence interval for beta
    0.48739
  • Upperbound of 95% confidence interval for beta
    0.59864
  • Lowerbound of 95% confidence interval for alpha
    -0.39662
  • Upperbound of 95% confidence interval for alpha
    0.27996
  • Treynor index (mean / b)
    0.18169
  • Jensen alpha (a)
    -0.05833
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02841
  • Expected Shortfall on VaR
    0.03557
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01178
  • Expected Shortfall on VaR
    0.02458
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    364.00000
  • Minimum
    0.93281
  • Quartile 1
    0.99515
  • Median
    1.00081
  • Quartile 3
    1.00870
  • Maximum
    1.08166
  • Mean of quarter 1
    0.97977
  • Mean of quarter 2
    0.99854
  • Mean of quarter 3
    1.00391
  • Mean of quarter 4
    1.02034
  • Inter Quartile Range
    0.01355
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.96120
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.04670
  • Mean of outliers high
    1.04326
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31231
  • VaR(95%) (moments method)
    0.01681
  • Expected Shortfall (moments method)
    0.03060
  • Extreme Value Index (regression method)
    -0.10482
  • VaR(95%) (regression method)
    0.01996
  • Expected Shortfall (regression method)
    0.02777
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00357
  • Median
    0.00917
  • Quartile 3
    0.05438
  • Maximum
    0.33106
  • Mean of quarter 1
    0.00128
  • Mean of quarter 2
    0.00606
  • Mean of quarter 3
    0.02904
  • Mean of quarter 4
    0.22525
  • Inter Quartile Range
    0.05081
  • 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
    0.16667
  • Mean of outliers high
    0.30384
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -136.04300
  • VaR(95%) (moments method)
    0.17035
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.93814
  • VaR(95%) (regression method)
    0.53014
  • Expected Shortfall (regression method)
    0.53404
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13837
  • Compounded annual return (geometric extrapolation)
    0.13492
  • Calmar ratio (compounded annual return / max draw down)
    0.40755
  • Compounded annual return / average of 25% largest draw downs
    0.59900
  • Compounded annual return / Expected Shortfall lognormal
    3.79332
  • 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
    0.42170
  • SD
    0.40429
  • Sharpe ratio (Glass type estimate)
    1.04306
  • Sharpe ratio (Hedges UMVUE)
    1.03703
  • df
    130.00000
  • t
    0.73755
  • p
    0.46772
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73358
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81583
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73764
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.81170
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51843
  • Upside Potential Ratio
    9.43998
  • Upside part of mean
    2.62169
  • Downside part of mean
    -2.19999
  • Upside SD
    0.29284
  • Downside SD
    0.27772
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69719
  • Mean of criterion
    0.42170
  • SD of predictor
    0.39044
  • SD of criterion
    0.40429
  • Covariance
    0.14107
  • r
    0.89366
  • b (slope, estimate of beta)
    0.92536
  • a (intercept, estimate of alpha)
    -0.22345
  • Mean Square Error
    0.03317
  • DF error
    129.00000
  • t(b)
    22.61900
  • p(b)
    0.02048
  • t(a)
    -0.86227
  • p(a)
    0.54815
  • Lowerbound of 95% confidence interval for beta
    0.84441
  • Upperbound of 95% confidence interval for beta
    1.00630
  • Lowerbound of 95% confidence interval for alpha
    -0.73615
  • Upperbound of 95% confidence interval for alpha
    0.28926
  • Treynor index (mean / b)
    0.45572
  • Jensen alpha (a)
    -0.22345
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34031
  • SD
    0.40434
  • Sharpe ratio (Glass type estimate)
    0.84163
  • Sharpe ratio (Hedges UMVUE)
    0.83676
  • df
    130.00000
  • t
    0.59512
  • p
    0.47394
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93363
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61376
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.93691
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61044
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19793
  • Upside Potential Ratio
    9.08129
  • Upside part of mean
    2.57980
  • Downside part of mean
    -2.23949
  • Upside SD
    0.28633
  • Downside SD
    0.28408
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.62079
  • Mean of criterion
    0.34031
  • SD of predictor
    0.39007
  • SD of criterion
    0.40434
  • Covariance
    0.14091
  • r
    0.89337
  • b (slope, estimate of beta)
    0.92605
  • a (intercept, estimate of alpha)
    -0.23458
  • Mean Square Error
    0.03326
  • DF error
    129.00000
  • t(b)
    22.58240
  • p(b)
    0.02056
  • t(a)
    -0.90507
  • p(a)
    0.55052
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    0.84491
  • Upperbound of 95% confidence interval for beta
    1.00718
  • Lowerbound of 95% confidence interval for alpha
    -0.74737
  • Upperbound of 95% confidence interval for alpha
    0.27822
  • Treynor index (mean / b)
    0.36748
  • Jensen alpha (a)
    -0.23458
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03901
  • Expected Shortfall on VaR
    0.04895
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01850
  • Expected Shortfall on VaR
    0.03653
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93281
  • Quartile 1
    0.99079
  • Median
    1.00163
  • Quartile 3
    1.01677
  • Maximum
    1.08166
  • Mean of quarter 1
    0.96972
  • Mean of quarter 2
    0.99729
  • Mean of quarter 3
    1.00853
  • Mean of quarter 4
    1.03153
  • Inter Quartile Range
    0.02598
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.93899
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.07223
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.93822
  • VaR(95%) (moments method)
    0.02539
  • Expected Shortfall (moments method)
    0.02768
  • Extreme Value Index (regression method)
    -0.68046
  • VaR(95%) (regression method)
    0.02978
  • Expected Shortfall (regression method)
    0.03397
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00036
  • Quartile 1
    0.00374
  • Median
    0.00911
  • Quartile 3
    0.03894
  • Maximum
    0.33106
  • Mean of quarter 1
    0.00243
  • Mean of quarter 2
    0.00609
  • Mean of quarter 3
    0.01864
  • Mean of quarter 4
    0.14965
  • Inter Quartile Range
    0.03521
  • 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
    0.09091
  • Mean of outliers high
    0.33106
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.63088
  • VaR(95%) (moments method)
    0.15939
  • Expected Shortfall (moments method)
    0.49550
  • Extreme Value Index (regression method)
    2.85059
  • VaR(95%) (regression method)
    0.44155
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -353459000
  • Max Equity Drawdown (num days)
    275
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40429
  • Compounded annual return (geometric extrapolation)
    0.44515
  • Calmar ratio (compounded annual return / max draw down)
    1.34462
  • Compounded annual return / average of 25% largest draw downs
    2.97467
  • Compounded annual return / Expected Shortfall lognormal
    9.09454

Strategy Description

This is a medium-term strategy. The average retention of such trades is about 1 month. There are also fast trades. The goal of this project is not a large income, but a moderate return with acceptable risks. And also show a better result than the S & P500 index at any time interval.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-01-14
Suggested Minimum Capital
$15,000
# Trades
54
# Profitable
16
% Profitable
29.6%
Net Dividends
$3,395
Correlation S&P500
0.724
Sharpe Ratio
0.17
Sortino Ratio
0.23
Beta
0.55
Alpha
-0.01
Leverage
1.18 Average
2.00 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.