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StocksStratQP
(130251694)

Created by: AndrewKamal AndrewKamal
Started: 07/2020
Stocks
Last trade: 14 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. Subscriptions to this system cost $49.00 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
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).
12.0%
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.

(35.4%)
Max Drawdown
47
Num Trades
70.2%
Win Trades
1.5 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          +1.2%+12.1%(10.4%)+16.0%            +17.9%

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
9/24/20 13:52 MARK REMARK HOLDINGS INC LONG 25 1.16 10/16 13:14 1.21 0.01%
Trade id #131347507
Max drawdown($1)
Time9/24/20 15:48
Quant open25
Worst price1.11
Drawdown as % of equity-0.01%
$1
Includes Typical Broker Commissions trade costs of $0.50
9/18/20 14:47 CURI CURIOSITYSTREAM INC LONG 500 9.98 10/16 13:14 10.90 1.07%
Trade id #131248586
Max drawdown($285)
Time10/9/20 0:00
Quant open500
Worst price9.41
Drawdown as % of equity-1.07%
$450
Includes Typical Broker Commissions trade costs of $10.00
8/19/20 13:30 JMIA JUMIA TECHNOLOGIES AG LONG 1,085 9.96 10/14 12:20 12.80 15.3%
Trade id #130692468
Max drawdown($3,193)
Time9/24/20 0:00
Quant open1,050
Worst price7.00
Drawdown as % of equity-15.30%
$3,068
Includes Typical Broker Commissions trade costs of $13.35
9/24/20 13:51 HUSN HUDSON CAPITAL INC LONG 5,000 0.34 9/25 10:59 0.39 0%
Trade id #131347482
Max drawdown($1)
Time9/24/20 13:55
Quant open5,000
Worst price0.34
Drawdown as % of equity-0.00%
$203
Includes Typical Broker Commissions trade costs of $5.00
9/24/20 13:51 SXTC CHINA SXT PHARMACEUTICALS INC. ORDINARY SHARES LONG 6,000 0.24 9/25 10:59 0.26 0.05%
Trade id #131347474
Max drawdown($10)
Time9/24/20 14:19
Quant open6,000
Worst price0.24
Drawdown as % of equity-0.05%
$90
Includes Typical Broker Commissions trade costs of $5.00
9/18/20 14:47 SAIIU SOFTWARE ACQUISITION GROUP INC. II UNIT LONG 400 10.06 9/24 15:15 9.98 0.14%
Trade id #131248577
Max drawdown($32)
Time9/23/20 0:00
Quant open400
Worst price9.98
Drawdown as % of equity-0.14%
($40)
Includes Typical Broker Commissions trade costs of $8.00
9/18/20 14:47 NWGI NEWGIOCO GROUP INC LONG 1,000 1.92 9/24 15:15 1.84 0.9%
Trade id #131248566
Max drawdown($210)
Time9/21/20 0:00
Quant open1,000
Worst price1.71
Drawdown as % of equity-0.90%
($85)
Includes Typical Broker Commissions trade costs of $5.00
9/18/20 15:21 EBAY EBAY LONG 15 48.49 9/24 13:49 52.06 0.05%
Trade id #131249525
Max drawdown($11)
Time9/21/20 0:00
Quant open15
Worst price47.73
Drawdown as % of equity-0.05%
$54
Includes Typical Broker Commissions trade costs of $0.30
8/7/20 15:09 MVIS MICROVISION LONG 5,455 1.43 8/31 10:46 1.64 4.46%
Trade id #130517482
Max drawdown($947)
Time8/24/20 0:00
Quant open3,455
Worst price1.25
Drawdown as % of equity-4.46%
$1,097
Includes Typical Broker Commissions trade costs of $23.05
8/13/20 15:07 VAPO VAPOTHERM INC LONG 150 29.48 8/25 13:35 29.79 0.45%
Trade id #130608604
Max drawdown($98)
Time8/14/20 0:00
Quant open75
Worst price28.28
Drawdown as % of equity-0.45%
$43
Includes Typical Broker Commissions trade costs of $3.00
7/31/20 11:41 BBI BRICKELL BIOTECH INC LONG 545 0.84 8/25 13:35 0.91 0.16%
Trade id #130390446
Max drawdown($34)
Time8/24/20 0:00
Quant open545
Worst price0.78
Drawdown as % of equity-0.16%
$28
Includes Typical Broker Commissions trade costs of $7.95
8/7/20 15:10 CBL CBL & ASSOCIATES PPTYS LONG 7,000 0.20 8/19 10:33 0.30 0.45%
Trade id #130517494
Max drawdown($96)
Time8/19/20 9:42
Quant open7,000
Worst price0.19
Drawdown as % of equity-0.45%
$624
Includes Typical Broker Commissions trade costs of $17.50
8/13/20 15:05 ADOM ADOMANI INC. COMMON STOCK LONG 1,250 0.20 8/18 13:46 0.22 0.14%
Trade id #130608581
Max drawdown($30)
Time8/14/20 0:00
Quant open1,000
Worst price0.17
Drawdown as % of equity-0.14%
$12
Includes Typical Broker Commissions trade costs of $7.50
8/7/20 15:09 VAPO VAPOTHERM INC LONG 230 29.75 8/12 12:31 29.80 1.12%
Trade id #130517476
Max drawdown($238)
Time8/11/20 0:00
Quant open200
Worst price28.62
Drawdown as % of equity-1.12%
$7
Includes Typical Broker Commissions trade costs of $4.60
7/31/20 11:41 SAVA CASSAVA SCIENCES INC LONG 275 3.15 8/12 12:31 3.43 0.32%
Trade id #130390438
Max drawdown($70)
Time8/7/20 0:00
Quant open200
Worst price2.87
Drawdown as % of equity-0.32%
$71
Includes Typical Broker Commissions trade costs of $5.50
8/11/20 9:31 CAPR CAPRICOR THERAPEUTICS INC. CO LONG 195 5.82 8/11 14:18 6.89 0.18%
Trade id #130557313
Max drawdown($37)
Time8/11/20 11:36
Quant open125
Worst price5.60
Drawdown as % of equity-0.18%
$204
Includes Typical Broker Commissions trade costs of $3.90
8/7/20 15:10 CWH CAMPING WORLD HOLDINGS INC LONG 50 31.80 8/11 14:18 32.75 0.07%
Trade id #130517484
Max drawdown($14)
Time8/10/20 0:00
Quant open50
Worst price31.51
Drawdown as % of equity-0.07%
$47
Includes Typical Broker Commissions trade costs of $1.00
8/5/20 15:14 CBL CBL & ASSOCIATES PPTYS LONG 5,000 0.19 8/6 11:31 0.29 0.07%
Trade id #130475407
Max drawdown($14)
Time8/5/20 16:00
Quant open5,000
Worst price0.18
Drawdown as % of equity-0.07%
$518
Includes Typical Broker Commissions trade costs of $5.00
8/5/20 15:14 VAPO VAPOTHERM INC LONG 200 31.68 8/6 11:31 33.57 0.36%
Trade id #130475394
Max drawdown($76)
Time8/6/20 0:00
Quant open200
Worst price31.30
Drawdown as % of equity-0.36%
$374
Includes Typical Broker Commissions trade costs of $4.00
8/3/20 13:33 BB BLACKBERRY LIMITED COMMON STOC LONG 50 4.74 8/5 12:58 4.82 0.02%
Trade id #130427442
Max drawdown($4)
Time8/4/20 0:00
Quant open50
Worst price4.66
Drawdown as % of equity-0.02%
$3
Includes Typical Broker Commissions trade costs of $1.00
8/4/20 13:48 CBL CBL & ASSOCIATES PPTYS LONG 11,000 0.17 8/5 12:58 0.18 n/a $115
Includes Typical Broker Commissions trade costs of $5.00
8/3/20 11:05 SPPI SPECTRUM PHARMACEUTICALS LONG 700 3.02 8/4 13:45 3.29 0.07%
Trade id #130422423
Max drawdown($14)
Time8/3/20 11:11
Quant open700
Worst price3.00
Drawdown as % of equity-0.07%
$184
Includes Typical Broker Commissions trade costs of $5.00
7/24/20 9:30 MBIO MUSTANG BIO INC. COMMON STOCK LONG 125 3.28 8/3 13:33 3.34 0.21%
Trade id #130259768
Max drawdown($42)
Time7/31/20 0:00
Quant open125
Worst price2.94
Drawdown as % of equity-0.21%
$6
Includes Typical Broker Commissions trade costs of $2.50
7/29/20 14:29 GSK GLAXOSMITHKLINE LONG 100 40.55 8/3 11:04 41.34 0.46%
Trade id #130344960
Max drawdown($93)
Time7/30/20 0:00
Quant open100
Worst price39.62
Drawdown as % of equity-0.46%
$77
Includes Typical Broker Commissions trade costs of $2.00
7/30/20 14:41 DPW DPW HOLDINGS INC LONG 200 2.67 7/31 11:40 3.11 0.13%
Trade id #130371179
Max drawdown($26)
Time7/31/20 0:00
Quant open200
Worst price2.54
Drawdown as % of equity-0.13%
$84
Includes Typical Broker Commissions trade costs of $4.00
7/24/20 9:30 IDEX IDEANOMICS INC LONG 150 1.29 7/30 14:38 1.45 0.05%
Trade id #130259711
Max drawdown($10)
Time7/28/20 0:00
Quant open150
Worst price1.22
Drawdown as % of equity-0.05%
$21
Includes Typical Broker Commissions trade costs of $3.00
7/24/20 9:30 BBI BRICKELL BIOTECH INC LONG 450 0.92 7/30 14:38 0.94 0.09%
Trade id #130259635
Max drawdown($18)
Time7/24/20 9:43
Quant open450
Worst price0.88
Drawdown as % of equity-0.09%
$0
Includes Typical Broker Commissions trade costs of $9.00
7/24/20 9:52 ADOM ADOMANI INC. COMMON STOCK LONG 2,000 0.25 7/30 14:38 0.26 0.48%
Trade id #130260557
Max drawdown($97)
Time7/28/20 0:00
Quant open2,000
Worst price0.20
Drawdown as % of equity-0.48%
$15
Includes Typical Broker Commissions trade costs of $5.00
7/24/20 9:30 SAVA CASSAVA SCIENCES INC LONG 100 3.27 7/29 14:28 3.32 0.04%
Trade id #130259703
Max drawdown($7)
Time7/24/20 9:38
Quant open100
Worst price3.20
Drawdown as % of equity-0.04%
$3
Includes Typical Broker Commissions trade costs of $2.00
7/24/20 15:58 GDEN GOLDEN ENTERTAINMENT INC LONG 50 8.80 7/29 14:28 8.93 0.19%
Trade id #130268734
Max drawdown($39)
Time7/27/20 0:00
Quant open50
Worst price8.02
Drawdown as % of equity-0.19%
$6
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    7/23/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    98.52
  • Age
    99 days ago
  • What it trades
    Stocks
  • # Trades
    47
  • # Profitable
    33
  • % Profitable
    70.20%
  • Avg trade duration
    20.2 days
  • Max peak-to-valley drawdown
    35.37%
  • drawdown period
    Sept 14, 2020 - Sept 22, 2020
  • Cumul. Return
    12.0%
  • Avg win
    $244.88
  • Avg loss
    $377.79
  • Model Account Values (Raw)
  • Cash
    $98
  • Margin Used
    $0
  • Buying Power
    ($4,660)
  • Ratios
  • W:L ratio
    1.53:1
  • Sharpe Ratio
    1.35
  • Sortino Ratio
    2.03
  • Calmar Ratio
    3.357
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    11.43%
  • Correlation to SP500
    0.11260
  • Return Percent SP500 (cumu) during strategy life
    2.30%
  • Return Statistics
  • Ann Return (w trading costs)
    50.3%
  • Slump
  • Current Slump as Pcnt Equity
    24.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.46%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.120%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    65.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    588
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    891
  • Popularity (7 days, Percentile 1000 scale)
    340
  • 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
    $369
  • Avg Win
    $246
  • Sum Trade PL (losers)
    $5,169.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $8,114.000
  • # Winners
    33
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    14
  • % Winners
    70.2%
  • Frequency
  • Avg Position Time (mins)
    29139.80
  • Avg Position Time (hrs)
    485.66
  • Avg Trade Length
    20.2 days
  • Last Trade Ago
    14
  • Leverage
  • Daily leverage (average)
    0.85
  • Daily leverage (max)
    1.98
  • Regression
  • Alpha
    0.27
  • Beta
    0.39
  • Treynor Index
    0.73
  • 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)
    0.80
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.842
  • 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
    0.815
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.059
  • Hold-and-Hope Ratio
    0.248
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.14559
  • SD
    0.32056
  • Sharpe ratio (Glass type estimate)
    3.57369
  • Sharpe ratio (Hedges UMVUE)
    2.01624
  • df
    2.00000
  • t
    1.78684
  • p
    0.10794
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.46010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37351
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.40599
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.14559
  • Downside part of mean
    0.00000
  • Upside SD
    0.42175
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.26965
  • Mean of criterion
    1.14559
  • SD of predictor
    0.24496
  • SD of criterion
    0.32056
  • Covariance
    0.06117
  • r
    0.77905
  • b (slope, estimate of beta)
    1.01951
  • a (intercept, estimate of alpha)
    0.87069
  • Mean Square Error
    0.08079
  • DF error
    1.00000
  • t(b)
    1.24258
  • p(b)
    0.21570
  • t(a)
    1.42737
  • p(a)
    0.19453
  • Lowerbound of 95% confidence interval for beta
    -9.40567
  • Upperbound of 95% confidence interval for beta
    11.44470
  • Lowerbound of 95% confidence interval for alpha
    -6.88004
  • Upperbound of 95% confidence interval for alpha
    8.62141
  • Treynor index (mean / b)
    1.12367
  • Jensen alpha (a)
    0.87069
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.06379
  • SD
    0.28828
  • Sharpe ratio (Glass type estimate)
    3.69016
  • Sharpe ratio (Hedges UMVUE)
    2.08195
  • df
    2.00000
  • t
    1.84508
  • p
    0.10316
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66321
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.64580
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.33716
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.50106
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.06379
  • Downside part of mean
    0.00000
  • Upside SD
    0.38692
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.24646
  • Mean of criterion
    1.06379
  • SD of predictor
    0.24408
  • SD of criterion
    0.28828
  • Covariance
    0.05548
  • r
    0.78843
  • b (slope, estimate of beta)
    0.93119
  • a (intercept, estimate of alpha)
    0.83428
  • Mean Square Error
    0.06289
  • DF error
    1.00000
  • t(b)
    1.28175
  • p(b)
    0.21089
  • t(a)
    1.56657
  • p(a)
    0.18084
  • Lowerbound of 95% confidence interval for beta
    -8.29987
  • Upperbound of 95% confidence interval for beta
    10.16230
  • Lowerbound of 95% confidence interval for alpha
    -5.93246
  • Upperbound of 95% confidence interval for alpha
    7.60103
  • Treynor index (mean / b)
    1.14239
  • Jensen alpha (a)
    0.83428
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04709
  • Expected Shortfall on VaR
    0.07922
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.01956
  • Quartile 1
    1.04672
  • Median
    1.07388
  • Quartile 3
    1.13691
  • Maximum
    1.19994
  • Mean of quarter 1
    1.01956
  • Mean of quarter 2
    1.07388
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.19994
  • Inter Quartile Range
    0.09019
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    1.25520
  • Compounded annual return (geometric extrapolation)
    1.97932
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    24.98470
  • 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
    0.83741
  • SD
    0.59292
  • Sharpe ratio (Glass type estimate)
    1.41235
  • Sharpe ratio (Hedges UMVUE)
    1.39717
  • df
    70.00000
  • t
    0.73523
  • p
    0.23233
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.36485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.17964
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37498
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.16931
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19572
  • Upside Potential Ratio
    9.57843
  • Upside part of mean
    3.65304
  • Downside part of mean
    -2.81563
  • Upside SD
    0.45147
  • Downside SD
    0.38138
  • N nonnegative terms
    39.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.01166
  • Mean of criterion
    0.83741
  • SD of predictor
    0.19160
  • SD of criterion
    0.59292
  • Covariance
    0.02030
  • r
    0.17872
  • b (slope, estimate of beta)
    0.55307
  • a (intercept, estimate of alpha)
    0.83100
  • Mean Square Error
    0.34525
  • DF error
    69.00000
  • t(b)
    1.50886
  • p(b)
    0.06795
  • t(a)
    0.73618
  • p(a)
    0.23206
  • Lowerbound of 95% confidence interval for beta
    -0.17818
  • Upperbound of 95% confidence interval for beta
    1.28432
  • Lowerbound of 95% confidence interval for alpha
    -1.42082
  • Upperbound of 95% confidence interval for alpha
    3.08273
  • Treynor index (mean / b)
    1.51410
  • Jensen alpha (a)
    0.83096
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66329
  • SD
    0.59270
  • Sharpe ratio (Glass type estimate)
    1.11911
  • Sharpe ratio (Hedges UMVUE)
    1.10707
  • df
    70.00000
  • t
    0.58257
  • p
    0.28103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.65440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.88481
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.66243
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.87657
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66047
  • Upside Potential Ratio
    8.90193
  • Upside part of mean
    3.55595
  • Downside part of mean
    -2.89266
  • Upside SD
    0.43411
  • Downside SD
    0.39946
  • N nonnegative terms
    39.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    -0.00656
  • Mean of criterion
    0.66329
  • SD of predictor
    0.19263
  • SD of criterion
    0.59270
  • Covariance
    0.02021
  • r
    0.17700
  • b (slope, estimate of beta)
    0.54462
  • a (intercept, estimate of alpha)
    0.66686
  • Mean Square Error
    0.34521
  • DF error
    69.00000
  • t(b)
    1.49391
  • p(b)
    0.06988
  • t(a)
    0.59084
  • p(a)
    0.27828
  • Lowerbound of 95% confidence interval for beta
    -0.18266
  • Upperbound of 95% confidence interval for beta
    1.27189
  • Lowerbound of 95% confidence interval for alpha
    -1.58477
  • Upperbound of 95% confidence interval for alpha
    2.91850
  • Treynor index (mean / b)
    1.21790
  • Jensen alpha (a)
    0.66686
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05606
  • Expected Shortfall on VaR
    0.07031
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02299
  • Expected Shortfall on VaR
    0.04716
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    71.00000
  • Minimum
    0.86465
  • Quartile 1
    0.98618
  • Median
    1.00200
  • Quartile 3
    1.01956
  • Maximum
    1.13412
  • Mean of quarter 1
    0.96331
  • Mean of quarter 2
    0.99476
  • Mean of quarter 3
    1.00854
  • Mean of quarter 4
    1.04689
  • Inter Quartile Range
    0.03338
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02817
  • Mean of outliers low
    0.89658
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05634
  • Mean of outliers high
    1.09091
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15438
  • VaR(95%) (moments method)
    0.03470
  • Expected Shortfall (moments method)
    0.05204
  • Extreme Value Index (regression method)
    0.49924
  • VaR(95%) (regression method)
    0.03874
  • Expected Shortfall (regression method)
    0.08287
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00296
  • Quartile 1
    0.00857
  • Median
    0.02577
  • Quartile 3
    0.06409
  • Maximum
    0.29674
  • Mean of quarter 1
    0.00497
  • Mean of quarter 2
    0.01334
  • Mean of quarter 3
    0.03821
  • Mean of quarter 4
    0.18473
  • Inter Quartile Range
    0.05552
  • 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
    0.16667
  • Mean of outliers high
    0.29674
  • 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)
    0.76017
  • Compounded annual return (geometric extrapolation)
    0.99610
  • Calmar ratio (compounded annual return / max draw down)
    3.35686
  • Compounded annual return / average of 25% largest draw downs
    5.39231
  • Compounded annual return / Expected Shortfall lognormal
    14.16680
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.05600
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -302832000
  • Max Equity Drawdown (num days)
    8

Strategy Description

Summary Statistics

Strategy began
2020-07-23
Suggested Minimum Capital
$15,000
Rank at C2 
#73
# Trades
47
# Profitable
33
% Profitable
70.2%
Correlation S&P500
0.113
Sharpe Ratio
1.35
Sortino Ratio
2.03
Beta
0.39
Alpha
0.27
Leverage
0.85 Average
1.98 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.