Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

AI Rainbow
(130405321)

Created by: OakSpringCapital OakSpringCapital
Started: 08/2020
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following Short-term Reversal

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 $200.00 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.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
3.6%
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.

(6.8%)
Max Drawdown
1466
Num Trades
55.0%
Win Trades
1.1 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                 +2.7%(2.2%)+1.3%(0.9%)+2.8%+3.6%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 2,674 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
11/25/20 15:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 153.67 11/27 13:21 157.69 0.06%
Trade id #132464909
Max drawdown($115)
Time11/25/20 15:55
Quant open150
Worst price152.90
Drawdown as % of equity-0.06%
$600
Includes Typical Broker Commissions trade costs of $3.00
11/25/20 15:45 SCHW CHARLES SCHWAB LONG 375 49.78 11/27 13:21 49.70 0.06%
Trade id #132464888
Max drawdown($120)
Time11/27/20 9:33
Quant open375
Worst price49.46
Drawdown as % of equity-0.06%
($38)
Includes Typical Broker Commissions trade costs of $7.50
11/25/20 15:44 A AGILENT TECHNOLOGIES LONG 308 114.52 11/27 13:21 112.35 0.24%
Trade id #132464875
Max drawdown($486)
Time11/27/20 10:09
Quant open308
Worst price112.94
Drawdown as % of equity-0.24%
($674)
Includes Typical Broker Commissions trade costs of $6.16
11/25/20 15:44 EMR EMERSON ELECTRIC LONG 290 78.41 11/27 13:21 74.00 0.08%
Trade id #132464867
Max drawdown($165)
Time11/27/20 10:19
Quant open290
Worst price77.84
Drawdown as % of equity-0.08%
($1,285)
Includes Typical Broker Commissions trade costs of $5.80
11/25/20 15:44 LVS LAS VEGAS SANDS LONG 147 56.50 11/27 13:20 56.63 0.01%
Trade id #132464857
Max drawdown($10)
Time11/25/20 15:49
Quant open147
Worst price56.43
Drawdown as % of equity-0.01%
$16
Includes Typical Broker Commissions trade costs of $2.94
11/25/20 15:44 MNST MONSTER BEVERAGE LONG 123 84.21 11/27 13:20 82.60 0.02%
Trade id #132464852
Max drawdown($38)
Time11/27/20 9:43
Quant open123
Worst price83.90
Drawdown as % of equity-0.02%
($200)
Includes Typical Broker Commissions trade costs of $2.46
11/25/20 15:44 TGT TARGET LONG 23 180.15 11/27 13:20 179.98 0.01%
Trade id #132464850
Max drawdown($27)
Time11/27/20 12:14
Quant open23
Worst price178.95
Drawdown as % of equity-0.01%
($4)
Includes Typical Broker Commissions trade costs of $0.46
11/25/20 15:43 IDXX IDEXX LABORATORIES LONG 9 447.73 11/27 13:20 448.00 0.01%
Trade id #132464841
Max drawdown($18)
Time11/25/20 15:57
Quant open9
Worst price445.63
Drawdown as % of equity-0.01%
$2
Includes Typical Broker Commissions trade costs of $0.18
11/25/20 15:43 PNC PNC FINANCIAL SERVICES SHORT 133 140.31 11/27 13:20 143.91 0.03%
Trade id #132464831
Max drawdown($54)
Time11/25/20 15:59
Quant open133
Worst price140.72
Drawdown as % of equity-0.03%
($482)
Includes Typical Broker Commissions trade costs of $2.66
11/25/20 15:43 WDAY WORKDAY SHORT 154 215.27 11/27 13:20 223.80 0.71%
Trade id #132464824
Max drawdown($1,450)
Time11/27/20 12:58
Quant open154
Worst price224.69
Drawdown as % of equity-0.71%
($1,317)
Includes Typical Broker Commissions trade costs of $3.08
11/25/20 15:43 JCI JOHNSON CONTROLS SHORT 492 46.41 11/27 13:20 47.03 0.06%
Trade id #132464820
Max drawdown($127)
Time11/27/20 10:11
Quant open492
Worst price46.67
Drawdown as % of equity-0.06%
($315)
Includes Typical Broker Commissions trade costs of $9.84
11/24/20 15:51 SOXL DIREXION DAILY SEMICONDCT BULL LONG 75 379.97 11/25 10:00 381.02 0.23%
Trade id #132436295
Max drawdown($471)
Time11/25/20 0:00
Quant open75
Worst price373.68
Drawdown as % of equity-0.23%
$78
Includes Typical Broker Commissions trade costs of $1.50
11/24/20 15:37 GM GENERAL MOTORS LONG 374 46.49 11/25 10:00 44.98 0.34%
Trade id #132435953
Max drawdown($691)
Time11/25/20 0:00
Quant open374
Worst price44.64
Drawdown as % of equity-0.34%
($572)
Includes Typical Broker Commissions trade costs of $7.48
11/24/20 15:37 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 50 60.17 11/25 9:59 61.56 0.02%
Trade id #132435950
Max drawdown($32)
Time11/24/20 15:47
Quant open50
Worst price59.52
Drawdown as % of equity-0.02%
$69
Includes Typical Broker Commissions trade costs of $1.00
11/24/20 15:37 RSG REPUBLIC SERVICES LONG 31 97.65 11/25 9:59 97.44 0.01%
Trade id #132435948
Max drawdown($23)
Time11/25/20 0:00
Quant open31
Worst price96.89
Drawdown as % of equity-0.01%
($8)
Includes Typical Broker Commissions trade costs of $0.62
11/24/20 15:37 VEEV VEEVA SYSTEMS INC LONG 31 265.55 11/25 9:59 268.75 0%
Trade id #132435944
Max drawdown($8)
Time11/24/20 15:50
Quant open31
Worst price265.29
Drawdown as % of equity-0.00%
$98
Includes Typical Broker Commissions trade costs of $0.62
11/24/20 15:37 KLAC KLA CORP LONG 29 250.04 11/25 9:59 248.68 0.04%
Trade id #132435942
Max drawdown($84)
Time11/25/20 0:00
Quant open29
Worst price247.12
Drawdown as % of equity-0.04%
($40)
Includes Typical Broker Commissions trade costs of $0.58
11/24/20 15:37 CP CANADIAN PACIFIC RAILWAY LONG 28 326.41 11/25 9:59 322.67 0.05%
Trade id #132435936
Max drawdown($104)
Time11/25/20 9:59
Quant open28
Worst price322.67
Drawdown as % of equity-0.05%
($106)
Includes Typical Broker Commissions trade costs of $0.56
11/24/20 15:29 SGEN SEATTLE GENETICS LONG 25 165.61 11/25 9:59 166.95 0.01%
Trade id #132435785
Max drawdown($26)
Time11/24/20 15:59
Quant open25
Worst price164.54
Drawdown as % of equity-0.01%
$34
Includes Typical Broker Commissions trade costs of $0.50
11/24/20 15:29 MTCH MATCH GROUP LONG 22 138.66 11/25 9:59 138.71 0.02%
Trade id #132435783
Max drawdown($39)
Time11/25/20 0:00
Quant open22
Worst price136.87
Drawdown as % of equity-0.02%
$1
Includes Typical Broker Commissions trade costs of $0.44
11/24/20 15:29 TROW T. ROWE PRICE LONG 21 143.08 11/25 9:59 142.97 0.01%
Trade id #132435777
Max drawdown($19)
Time11/25/20 0:00
Quant open21
Worst price142.16
Drawdown as % of equity-0.01%
($2)
Includes Typical Broker Commissions trade costs of $0.42
11/24/20 15:29 W WAYFAIR INC LONG 17 242.04 11/25 9:59 248.70 0.01%
Trade id #132435772
Max drawdown($19)
Time11/24/20 15:39
Quant open17
Worst price240.91
Drawdown as % of equity-0.01%
$113
Includes Typical Broker Commissions trade costs of $0.34
11/24/20 15:29 CMG CHIPOTLE MEXICAN GRILL LONG 10 1266.25 11/25 9:59 1272.02 0.02%
Trade id #132435770
Max drawdown($50)
Time11/24/20 15:59
Quant open10
Worst price1261.23
Drawdown as % of equity-0.02%
$58
Includes Typical Broker Commissions trade costs of $0.20
11/24/20 15:28 HUBS HUBSPOT INC LONG 8 362.25 11/25 9:59 373.01 0%
Trade id #132435765
Max drawdown($2)
Time11/24/20 15:39
Quant open8
Worst price361.88
Drawdown as % of equity-0.00%
$86
Includes Typical Broker Commissions trade costs of $0.16
11/24/20 15:28 MELI MERCADOLIBRE LONG 2 1434.67 11/25 9:59 1467.36 0%
Trade id #132435762
Max drawdown($5)
Time11/24/20 15:31
Quant open2
Worst price1431.98
Drawdown as % of equity-0.00%
$65
Includes Typical Broker Commissions trade costs of $0.04
11/24/20 15:28 ICE INTERCONTINENTALEXCHANGE SHORT 89 103.15 11/25 9:59 102.89 0.04%
Trade id #132435758
Max drawdown($87)
Time11/25/20 0:00
Quant open89
Worst price104.13
Drawdown as % of equity-0.04%
$21
Includes Typical Broker Commissions trade costs of $1.78
11/24/20 15:28 WBA WALGREEN BOOTS ALLIANCE INC. SHORT 133 38.53 11/25 9:59 38.40 0.04%
Trade id #132435755
Max drawdown($86)
Time11/25/20 0:00
Quant open133
Worst price39.18
Drawdown as % of equity-0.04%
$14
Includes Typical Broker Commissions trade costs of $2.66
11/24/20 15:28 PEG PUBLIC SERVICE ENTERPRISE SHORT 223 59.65 11/25 9:59 59.70 0.04%
Trade id #132435752
Max drawdown($78)
Time11/25/20 0:00
Quant open223
Worst price60.00
Drawdown as % of equity-0.04%
($15)
Includes Typical Broker Commissions trade costs of $4.46
11/24/20 15:28 JCI JOHNSON CONTROLS SHORT 437 46.72 11/25 9:59 45.94 0.01%
Trade id #132435748
Max drawdown($13)
Time11/24/20 15:32
Quant open437
Worst price46.75
Drawdown as % of equity-0.01%
$332
Includes Typical Broker Commissions trade costs of $8.74
11/24/20 15:27 BCE BCE SHORT 444 43.84 11/25 9:59 43.60 0.03%
Trade id #132435746
Max drawdown($62)
Time11/25/20 9:30
Quant open444
Worst price43.98
Drawdown as % of equity-0.03%
$98
Includes Typical Broker Commissions trade costs of $8.88

Statistics

  • Strategy began
    8/2/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    124.41
  • Age
    124 days ago
  • What it trades
    Stocks
  • # Trades
    1466
  • # Profitable
    807
  • % Profitable
    55.00%
  • Avg trade duration
    1.3 days
  • Max peak-to-valley drawdown
    6.79%
  • drawdown period
    Sept 01, 2020 - Oct 06, 2020
  • Cumul. Return
    3.6%
  • Avg win
    $143.25
  • Avg loss
    $157.36
  • Model Account Values (Raw)
  • Cash
    $239,823
  • Margin Used
    $144,220
  • Buying Power
    $95,731
  • Ratios
  • W:L ratio
    1.12:1
  • Sharpe Ratio
    0.62
  • Sortino Ratio
    0.94
  • Calmar Ratio
    3.224
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -9.46%
  • Correlation to SP500
    0.11110
  • Return Percent SP500 (cumu) during strategy life
    13.08%
  • Return Statistics
  • Ann Return (w trading costs)
    10.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.76%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.036%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.0%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    695
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    303
  • Popularity (7 days, Percentile 1000 scale)
    408
  • 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
    $157
  • Avg Win
    $143
  • Sum Trade PL (losers)
    $103,700.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $115,601.000
  • # Winners
    807
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    -184
  • AUM
  • AUM (AutoTrader live capital)
    104226
  • Win / Loss
  • # Losers
    659
  • % Winners
    55.0%
  • Frequency
  • Avg Position Time (mins)
    1863.97
  • Avg Position Time (hrs)
    31.07
  • Avg Trade Length
    1.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.16
  • Daily leverage (max)
    1.65
  • Regression
  • Alpha
    0.02
  • Beta
    0.07
  • Treynor Index
    0.34
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.03
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    43.455
  • 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
    0.418
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.367
  • Hold-and-Hope Ratio
    0.024
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10363
  • SD
    0.09954
  • Sharpe ratio (Glass type estimate)
    1.04103
  • Sharpe ratio (Hedges UMVUE)
    0.75329
  • df
    3.00000
  • t
    0.60104
  • p
    0.29510
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52224
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45028
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.69456
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20114
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.22561
  • Upside Potential Ratio
    3.95766
  • Upside part of mean
    0.18427
  • Downside part of mean
    -0.08065
  • Upside SD
    0.07848
  • Downside SD
    0.04656
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.32355
  • Mean of criterion
    0.10363
  • SD of predictor
    0.25525
  • SD of criterion
    0.09954
  • Covariance
    0.02329
  • r
    0.91679
  • b (slope, estimate of beta)
    0.35754
  • a (intercept, estimate of alpha)
    -0.01205
  • Mean Square Error
    0.00237
  • DF error
    2.00000
  • t(b)
    3.24651
  • p(b)
    0.04160
  • t(a)
    -0.13167
  • p(a)
    0.54635
  • Lowerbound of 95% confidence interval for beta
    -0.11631
  • Upperbound of 95% confidence interval for beta
    0.83138
  • Lowerbound of 95% confidence interval for alpha
    -0.40596
  • Upperbound of 95% confidence interval for alpha
    0.38185
  • Treynor index (mean / b)
    0.28984
  • Jensen alpha (a)
    -0.01205
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09930
  • SD
    0.09863
  • Sharpe ratio (Glass type estimate)
    1.00683
  • Sharpe ratio (Hedges UMVUE)
    0.72854
  • df
    3.00000
  • t
    0.58129
  • p
    0.30092
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.54838
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.41242
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.71590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17298
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10885
  • Upside Potential Ratio
    3.84090
  • Upside part of mean
    0.18086
  • Downside part of mean
    -0.08156
  • Upside SD
    0.07681
  • Downside SD
    0.04709
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.29500
  • Mean of criterion
    0.09930
  • SD of predictor
    0.25183
  • SD of criterion
    0.09863
  • Covariance
    0.02288
  • r
    0.92127
  • b (slope, estimate of beta)
    0.36080
  • a (intercept, estimate of alpha)
    -0.00714
  • Mean Square Error
    0.00221
  • DF error
    2.00000
  • t(b)
    3.34998
  • p(b)
    0.03936
  • t(a)
    -0.08168
  • p(a)
    0.52883
  • Lowerbound of 95% confidence interval for beta
    -0.10261
  • Upperbound of 95% confidence interval for beta
    0.82422
  • Lowerbound of 95% confidence interval for alpha
    -0.38298
  • Upperbound of 95% confidence interval for alpha
    0.36871
  • Treynor index (mean / b)
    0.27522
  • Jensen alpha (a)
    -0.00714
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03782
  • Expected Shortfall on VaR
    0.04915
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00954
  • Expected Shortfall on VaR
    0.02103
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.97545
  • Quartile 1
    0.99820
  • Median
    1.01183
  • Quartile 3
    1.02460
  • Maximum
    1.04474
  • Mean of quarter 1
    0.97545
  • Mean of quarter 2
    1.00579
  • Mean of quarter 3
    1.01788
  • Mean of quarter 4
    1.04474
  • Inter Quartile Range
    0.02640
  • 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
    1.00000
  • Minimum
    0.02455
  • Quartile 1
    0.02455
  • Median
    0.02455
  • Quartile 3
    0.02455
  • Maximum
    0.02455
  • 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)
    0.12994
  • Compounded annual return (geometric extrapolation)
    0.13565
  • Calmar ratio (compounded annual return / max draw down)
    5.52468
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.76006
  • 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
    0.14378
  • SD
    0.11905
  • Sharpe ratio (Glass type estimate)
    1.20779
  • Sharpe ratio (Hedges UMVUE)
    1.19747
  • df
    88.00000
  • t
    0.70394
  • p
    0.24166
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.16314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.57197
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.17000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56494
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85186
  • Upside Potential Ratio
    10.33610
  • Upside part of mean
    0.80252
  • Downside part of mean
    -0.65873
  • Upside SD
    0.08980
  • Downside SD
    0.07764
  • N nonnegative terms
    43.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    89.00000
  • Mean of predictor
    0.33068
  • Mean of criterion
    0.14378
  • SD of predictor
    0.18738
  • SD of criterion
    0.11905
  • Covariance
    0.00309
  • r
    0.13848
  • b (slope, estimate of beta)
    0.08798
  • a (intercept, estimate of alpha)
    0.11500
  • Mean Square Error
    0.01406
  • DF error
    87.00000
  • t(b)
    1.30423
  • p(b)
    0.09780
  • t(a)
    0.56038
  • p(a)
    0.28833
  • Lowerbound of 95% confidence interval for beta
    -0.04610
  • Upperbound of 95% confidence interval for beta
    0.22205
  • Lowerbound of 95% confidence interval for alpha
    -0.29210
  • Upperbound of 95% confidence interval for alpha
    0.52148
  • Treynor index (mean / b)
    1.63432
  • Jensen alpha (a)
    0.11469
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13673
  • SD
    0.11891
  • Sharpe ratio (Glass type estimate)
    1.14986
  • Sharpe ratio (Hedges UMVUE)
    1.14004
  • df
    88.00000
  • t
    0.67018
  • p
    0.25225
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.22045
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.51377
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22700
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.50707
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.75164
  • Upside Potential Ratio
    10.22830
  • Upside part of mean
    0.79844
  • Downside part of mean
    -0.66170
  • Upside SD
    0.08922
  • Downside SD
    0.07806
  • N nonnegative terms
    43.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    89.00000
  • Mean of predictor
    0.31301
  • Mean of criterion
    0.13673
  • SD of predictor
    0.18807
  • SD of criterion
    0.11891
  • Covariance
    0.00311
  • r
    0.13920
  • b (slope, estimate of beta)
    0.08802
  • a (intercept, estimate of alpha)
    0.10919
  • Mean Square Error
    0.01403
  • DF error
    87.00000
  • t(b)
    1.31119
  • p(b)
    0.09662
  • t(a)
    0.53448
  • p(a)
    0.29719
  • Lowerbound of 95% confidence interval for beta
    -0.04541
  • Upperbound of 95% confidence interval for beta
    0.22145
  • Lowerbound of 95% confidence interval for alpha
    -0.29685
  • Upperbound of 95% confidence interval for alpha
    0.51522
  • Treynor index (mean / b)
    1.55348
  • Jensen alpha (a)
    0.10919
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01150
  • Expected Shortfall on VaR
    0.01452
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00595
  • Expected Shortfall on VaR
    0.01114
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    89.00000
  • Minimum
    0.98530
  • Quartile 1
    0.99671
  • Median
    1.00000
  • Quartile 3
    1.00474
  • Maximum
    1.02153
  • Mean of quarter 1
    0.99142
  • Mean of quarter 2
    0.99902
  • Mean of quarter 3
    1.00251
  • Mean of quarter 4
    1.01009
  • Inter Quartile Range
    0.00803
  • 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
    0.02247
  • Mean of outliers high
    1.01940
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.21759
  • VaR(95%) (moments method)
    0.00798
  • Expected Shortfall (moments method)
    0.00840
  • Extreme Value Index (regression method)
    -0.89041
  • VaR(95%) (regression method)
    0.00915
  • Expected Shortfall (regression method)
    0.01000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00076
  • Quartile 1
    0.00106
  • Median
    0.01568
  • Quartile 3
    0.02614
  • Maximum
    0.05552
  • Mean of quarter 1
    0.00080
  • Mean of quarter 2
    0.00848
  • Mean of quarter 3
    0.01749
  • Mean of quarter 4
    0.04515
  • Inter Quartile Range
    0.02508
  • 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)
    0.16933
  • Compounded annual return (geometric extrapolation)
    0.17897
  • Calmar ratio (compounded annual return / max draw down)
    3.22360
  • Compounded annual return / average of 25% largest draw downs
    3.96402
  • Compounded annual return / Expected Shortfall lognormal
    12.32440
  • 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)
    0.01100
  • 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
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -289207000
  • Max Equity Drawdown (num days)
    35

Strategy Description

Summary Statistics

Strategy began
2020-08-02
Suggested Minimum Capital
$35,000
# Trades
1466
# Profitable
807
% Profitable
55.0%
Net Dividends
Correlation S&P500
0.111
Sharpe Ratio
0.62
Sortino Ratio
0.94
Beta
0.07
Alpha
0.02
Leverage
1.16 Average
1.65 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.