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MachineLearner 01
(130685546)

Created by: MachineLearner MachineLearner
Started: 08/2020
Stocks
Last trade: 22 days ago
Trading style: Equity Hedged Equity Momentum

Subscriptions not available

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

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

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
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).
-17.4%
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.

(21.5%)
Max Drawdown
150
Num Trades
40.0%
Win Trades
0.7 : 1
Profit Factor
20.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                 +3.8%(14.8%)(5.7%)(1%)  -  (17.4%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/19/20 9:31 MITK MITEK SYSTEMS LONG 20 13.03 11/13 11:14 13.03 0.08%
Trade id #131764797
Max drawdown($17)
Time11/2/20 0:00
Quant open20
Worst price12.15
Drawdown as % of equity-0.08%
$0
Includes Typical Broker Commissions trade costs of $0.40
10/19/20 9:31 GEVO GEVO SHORT 252 1.22 11/13 11:14 1.00 n/a $52
Includes Typical Broker Commissions trade costs of $5.04
10/19/20 9:31 CCL CARNIVAL SHORT 17 14.21 11/13 11:14 15.73 0.46%
Trade id #131764765
Max drawdown($96)
Time11/9/20 0:00
Quant open17
Worst price19.86
Drawdown as % of equity-0.46%
($26)
Includes Typical Broker Commissions trade costs of $0.34
10/12/20 9:31 XSPA XPRESSPA GROUP INC. COMMON STOCK SHORT 371 2.27 11/13 11:14 1.89 n/a $133
Includes Typical Broker Commissions trade costs of $7.42
10/12/20 9:31 APM APTORUM GROUP LTD SHORT 292 2.79 11/13 11:14 2.06 0.1%
Trade id #131641784
Max drawdown($23)
Time10/13/20 0:00
Quant open194
Worst price2.95
Drawdown as % of equity-0.10%
$208
Includes Typical Broker Commissions trade costs of $5.84
10/5/20 9:31 GPMT GRANITE POINT MORTGAGE TRUST INC SHORT 139 7.27 11/13 11:14 7.56 0.51%
Trade id #131514393
Max drawdown($105)
Time11/10/20 0:00
Quant open73
Worst price8.71
Drawdown as % of equity-0.51%
($44)
Includes Typical Broker Commissions trade costs of $2.78
9/28/20 9:31 ATEN A10 NETWORKS INC LONG 138 6.56 11/13 11:14 7.40 0.14%
Trade id #131391116
Max drawdown($30)
Time10/2/20 0:00
Quant open70
Worst price6.13
Drawdown as % of equity-0.14%
$113
Includes Typical Broker Commissions trade costs of $2.76
9/28/20 9:31 BHR BRAEMAR HOTELS & RESORTS INC SHORT 365 2.55 11/13 11:14 2.77 1.33%
Trade id #131391094
Max drawdown($279)
Time11/9/20 0:00
Quant open180
Worst price4.10
Drawdown as % of equity-1.33%
($87)
Includes Typical Broker Commissions trade costs of $7.30
10/12/20 9:30 HUSA HOUSTON AMERICAN ENERGY SHORT 357 1.90 11/6 14:55 1.39 0.06%
Trade id #131641734
Max drawdown($14)
Time10/13/20 0:00
Quant open357
Worst price1.94
Drawdown as % of equity-0.06%
$175
Includes Typical Broker Commissions trade costs of $7.14
10/12/20 9:31 NOG NORTHERN OIL & GAS SHORT 105 5.88 11/6 14:55 3.48 0.01%
Trade id #131641769
Max drawdown($3)
Time10/12/20 9:45
Quant open105
Worst price5.91
Drawdown as % of equity-0.01%
$250
Includes Typical Broker Commissions trade costs of $2.10
10/12/20 9:31 NCLH NORWEGIAN CRUISE LINE HOLDINGS SHORT 47 17.82 11/6 14:55 17.17 0.01%
Trade id #131641770
Max drawdown($2)
Time10/12/20 10:34
Quant open32
Worst price18.61
Drawdown as % of equity-0.01%
$30
Includes Typical Broker Commissions trade costs of $0.94
10/12/20 9:31 SONN SONNET BIOTHERAPEUTICS HOLDINGS INC SHORT 199 2.97 11/6 14:55 2.52 n/a $86
Includes Typical Broker Commissions trade costs of $3.98
10/12/20 9:30 CPE CALLON PETROLEUM SHORT 162 4.98 11/6 14:55 5.35 0.55%
Trade id #131641723
Max drawdown($114)
Time11/3/20 0:00
Quant open108
Worst price6.04
Drawdown as % of equity-0.55%
($63)
Includes Typical Broker Commissions trade costs of $3.24
10/5/20 9:31 VVI VIAD SHORT 21 22.72 10/30 15:55 19.97 0.11%
Trade id #131514405
Max drawdown($24)
Time10/8/20 0:00
Quant open21
Worst price23.88
Drawdown as % of equity-0.11%
$58
Includes Typical Broker Commissions trade costs of $0.42
10/5/20 9:31 SGMO SANGAMO THERAPEUTICS INC. COMMON STOCK LONG 46 9.39 10/30 15:55 10.29 n/a $40
Includes Typical Broker Commissions trade costs of $0.92
10/12/20 9:31 SVMK SVMK INC. COMMON STOCK LONG 24 23.34 10/29 11:51 21.00 0.27%
Trade id #131641757
Max drawdown($56)
Time10/29/20 11:51
Quant open24
Worst price20.99
Drawdown as % of equity-0.27%
($56)
Includes Typical Broker Commissions trade costs of $0.48
10/5/20 9:31 PBYI PUMA BIOTECHNOLOGY LONG 126 9.97 10/29 9:33 9.01 0.59%
Trade id #131514411
Max drawdown($125)
Time10/29/20 9:33
Quant open126
Worst price8.98
Drawdown as % of equity-0.59%
($125)
Includes Typical Broker Commissions trade costs of $2.52
10/19/20 9:31 SESN SESEN BIO INC. COMMON STOCK LONG 211 1.12 10/29 9:30 1.00 0.12%
Trade id #131764771
Max drawdown($25)
Time10/29/20 9:30
Quant open211
Worst price1.00
Drawdown as % of equity-0.12%
($29)
Includes Typical Broker Commissions trade costs of $4.22
9/28/20 9:31 FLNT FLUENT INC. COMMON STOCK LONG 657 2.57 10/28 9:34 2.40 0.6%
Trade id #131391083
Max drawdown($127)
Time10/28/20 9:34
Quant open481
Worst price2.31
Drawdown as % of equity-0.60%
($129)
Includes Typical Broker Commissions trade costs of $13.14
9/28/20 9:31 SNCR SYNCHRONOSS LONG 325 3.18 10/26 11:16 2.96 0.33%
Trade id #131391115
Max drawdown($69)
Time10/22/20 0:00
Quant open325
Worst price2.97
Drawdown as % of equity-0.33%
($81)
Includes Typical Broker Commissions trade costs of $6.50
9/28/20 9:31 OCUL OCULAR THERAPEUTIX INC. COMMO LONG 57 7.96 10/23 15:55 10.14 0.12%
Trade id #131391073
Max drawdown($26)
Time9/30/20 0:00
Quant open57
Worst price7.50
Drawdown as % of equity-0.12%
$123
Includes Typical Broker Commissions trade costs of $1.14
9/28/20 9:31 LEAF LEAF GROUP LTD LONG 133 5.23 10/23 15:55 5.89 n/a $85
Includes Typical Broker Commissions trade costs of $2.66
9/28/20 9:31 RDI READING INTERNATIONAL SHORT 129 3.68 10/23 15:55 2.62 n/a $134
Includes Typical Broker Commissions trade costs of $2.58
9/28/20 9:32 HYMC HYCROFT MINING HOLDING CORP SHORT 41 11.00 10/23 15:55 8.49 0.07%
Trade id #131391121
Max drawdown($15)
Time9/28/20 11:58
Quant open41
Worst price11.38
Drawdown as % of equity-0.07%
$102
Includes Typical Broker Commissions trade costs of $0.82
9/28/20 9:31 QUMU QUMU CORPORATION COMMON STOCK LONG 99 4.62 10/23 15:55 4.96 0.18%
Trade id #131391104
Max drawdown($39)
Time10/16/20 0:00
Quant open99
Worst price4.22
Drawdown as % of equity-0.18%
$32
Includes Typical Broker Commissions trade costs of $1.98
9/28/20 9:31 LEU CENTRUS INC LONG 53 8.55 10/23 15:55 10.51 0.06%
Trade id #131391086
Max drawdown($12)
Time9/30/20 0:00
Quant open53
Worst price8.32
Drawdown as % of equity-0.06%
$103
Includes Typical Broker Commissions trade costs of $1.06
9/21/20 9:31 HDSN HUDSON TECHNOLOGY LONG 1,183 1.13 10/23 14:23 1.12 0.32%
Trade id #131267944
Max drawdown($70)
Time10/2/20 0:00
Quant open789
Worst price1.05
Drawdown as % of equity-0.32%
($38)
Includes Typical Broker Commissions trade costs of $18.23
10/5/20 9:31 AHT ASHFORD HOSPITALITY TRUST SHORT 564 1.69 10/22 11:47 1.86 0.49%
Trade id #131514376
Max drawdown($102)
Time10/22/20 11:47
Quant open564
Worst price1.87
Drawdown as % of equity-0.49%
($105)
Includes Typical Broker Commissions trade costs of $8.14
9/21/20 9:31 KRUS KURA SUSHI USA INC. CLASS A COMMON STOCK SHORT 97 13.95 10/22 9:48 15.08 0.42%
Trade id #131267885
Max drawdown($93)
Time10/5/20 0:00
Quant open64
Worst price15.13
Drawdown as % of equity-0.42%
($111)
Includes Typical Broker Commissions trade costs of $1.94
10/5/20 9:31 TOMZ TOMI ENVIRONMENTAL SOLUTIONS INC. COMMON STOCK LONG 140 8.56 10/21 15:17 7.61 0.63%
Trade id #131514426
Max drawdown($133)
Time10/21/20 15:17
Quant open140
Worst price7.61
Drawdown as % of equity-0.63%
($136)
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    8/19/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    107.6
  • Age
    108 days ago
  • What it trades
    Stocks
  • # Trades
    150
  • # Profitable
    60
  • % Profitable
    40.00%
  • Avg trade duration
    9.7 days
  • Max peak-to-valley drawdown
    21.52%
  • drawdown period
    Sept 01, 2020 - Nov 09, 2020
  • Cumul. Return
    -17.4%
  • Avg win
    $122.08
  • Avg loss
    $120.90
  • Model Account Values (Raw)
  • Cash
    $21,430
  • Margin Used
    $0
  • Buying Power
    $21,430
  • Ratios
  • W:L ratio
    0.67:1
  • Sharpe Ratio
    -3.05
  • Sortino Ratio
    -3.13
  • Calmar Ratio
    -2.255
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -27.04%
  • Correlation to SP500
    -0.08950
  • Return Percent SP500 (cumu) during strategy life
    9.61%
  • Return Statistics
  • Ann Return (w trading costs)
    -46.8%
  • Slump
  • Current Slump as Pcnt Equity
    26.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.174%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -40.5%
  • Automation
  • Percentage Signals Automated
    5933.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    719
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • 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
    $121
  • Avg Win
    $122
  • Sum Trade PL (losers)
    $10,881.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $7,325.000
  • # Winners
    60
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    -13
  • Win / Loss
  • # Losers
    90
  • % Winners
    40.0%
  • Frequency
  • Avg Position Time (mins)
    13975.30
  • Avg Position Time (hrs)
    232.92
  • Avg Trade Length
    9.7 days
  • Last Trade Ago
    22
  • Leverage
  • Daily leverage (average)
    0.82
  • Daily leverage (max)
    2.04
  • Regression
  • Alpha
    -0.17
  • Beta
    -0.08
  • Treynor Index
    2.23
  • 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)
    -0.86
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -3.429
  • 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
    0.378
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.489
  • Hold-and-Hope Ratio
    -0.290
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.61650
  • SD
    0.18887
  • Sharpe ratio (Glass type estimate)
    -3.26424
  • Sharpe ratio (Hedges UMVUE)
    -1.84165
  • df
    2.00000
  • t
    -1.63212
  • p
    0.87788
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.97464
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85332
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.15710
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47379
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.61802
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.61650
  • Upside SD
    0.00000
  • Downside SD
    0.23548
  • N nonnegative terms
    0.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.21661
  • Mean of criterion
    -0.61650
  • SD of predictor
    0.11049
  • SD of criterion
    0.18887
  • Covariance
    0.02021
  • r
    0.96833
  • b (slope, estimate of beta)
    1.65517
  • a (intercept, estimate of alpha)
    -0.97503
  • Mean Square Error
    0.00445
  • DF error
    1.00000
  • t(b)
    3.87856
  • p(b)
    0.08032
  • t(a)
    -6.00866
  • p(a)
    0.94751
  • Lowerbound of 95% confidence interval for beta
    -3.76718
  • Upperbound of 95% confidence interval for beta
    7.07753
  • Lowerbound of 95% confidence interval for alpha
    -3.03689
  • Upperbound of 95% confidence interval for alpha
    1.08682
  • Treynor index (mean / b)
    -0.37247
  • Jensen alpha (a)
    -0.97503
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.64480
  • SD
    0.20153
  • Sharpe ratio (Glass type estimate)
    -3.19956
  • Sharpe ratio (Hedges UMVUE)
    -1.80516
  • df
    2.00000
  • t
    -1.59978
  • p
    0.87461
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.87467
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88312
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.10577
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49545
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.59539
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.64480
  • Upside SD
    0.00000
  • Downside SD
    0.24844
  • N nonnegative terms
    0.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.21023
  • Mean of criterion
    -0.64480
  • SD of predictor
    0.10929
  • SD of criterion
    0.20153
  • Covariance
    0.02139
  • r
    0.97094
  • b (slope, estimate of beta)
    1.79041
  • a (intercept, estimate of alpha)
    -1.02120
  • Mean Square Error
    0.00465
  • DF error
    1.00000
  • t(b)
    4.05742
  • p(b)
    0.07692
  • t(a)
    -6.19059
  • p(a)
    0.94902
  • Lowerbound of 95% confidence interval for beta
    -3.81643
  • Upperbound of 95% confidence interval for beta
    7.39726
  • Lowerbound of 95% confidence interval for alpha
    -3.11722
  • Upperbound of 95% confidence interval for alpha
    1.07482
  • Treynor index (mean / b)
    -0.36014
  • Jensen alpha (a)
    -1.02120
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13880
  • Expected Shortfall on VaR
    0.15929
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.14140
  • Expected Shortfall on VaR
    0.17265
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.88931
  • Quartile 1
    0.93000
  • Median
    0.97070
  • Quartile 3
    0.98177
  • Maximum
    0.99285
  • Mean of quarter 1
    0.88931
  • Mean of quarter 2
    0.97070
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99285
  • Inter Quartile Range
    0.05177
  • 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
    0.14292
  • Quartile 1
    0.14292
  • Median
    0.14292
  • Quartile 3
    0.14292
  • Maximum
    0.14292
  • 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)
    -0.57168
  • Compounded annual return (geometric extrapolation)
    -0.46038
  • Calmar ratio (compounded annual return / max draw down)
    -3.22127
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -2.89030
  • 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
    -0.53712
  • SD
    0.17232
  • Sharpe ratio (Glass type estimate)
    -3.11690
  • Sharpe ratio (Hedges UMVUE)
    -3.08604
  • df
    76.00000
  • t
    -1.68973
  • p
    0.95241
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.75592
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.54211
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.73455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56246
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.25080
  • Upside Potential Ratio
    2.94103
  • Upside part of mean
    0.48594
  • Downside part of mean
    -1.02305
  • Upside SD
    0.05578
  • Downside SD
    0.16523
  • N nonnegative terms
    33.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.30401
  • Mean of criterion
    -0.53712
  • SD of predictor
    0.19857
  • SD of criterion
    0.17232
  • Covariance
    -0.00217
  • r
    -0.06330
  • b (slope, estimate of beta)
    -0.05494
  • a (intercept, estimate of alpha)
    -0.52000
  • Mean Square Error
    0.02997
  • DF error
    75.00000
  • t(b)
    -0.54933
  • p(b)
    0.70779
  • t(a)
    -1.62232
  • p(a)
    0.94553
  • Lowerbound of 95% confidence interval for beta
    -0.25416
  • Upperbound of 95% confidence interval for beta
    0.14429
  • Lowerbound of 95% confidence interval for alpha
    -1.15945
  • Upperbound of 95% confidence interval for alpha
    0.11862
  • Treynor index (mean / b)
    9.77698
  • Jensen alpha (a)
    -0.52041
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.55267
  • SD
    0.17571
  • Sharpe ratio (Glass type estimate)
    -3.14532
  • Sharpe ratio (Hedges UMVUE)
    -3.11418
  • df
    76.00000
  • t
    -1.70514
  • p
    0.95387
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.78496
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.51441
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.76329
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53493
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.27065
  • Upside Potential Ratio
    2.86626
  • Upside part of mean
    0.48434
  • Downside part of mean
    -1.03701
  • Upside SD
    0.05555
  • Downside SD
    0.16898
  • N nonnegative terms
    33.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.28426
  • Mean of criterion
    -0.55267
  • SD of predictor
    0.19932
  • SD of criterion
    0.17571
  • Covariance
    -0.00224
  • r
    -0.06410
  • b (slope, estimate of beta)
    -0.05651
  • a (intercept, estimate of alpha)
    -0.53661
  • Mean Square Error
    0.03116
  • DF error
    75.00000
  • t(b)
    -0.55626
  • p(b)
    0.71016
  • t(a)
    -1.64160
  • p(a)
    0.94757
  • Lowerbound of 95% confidence interval for beta
    -0.25887
  • Upperbound of 95% confidence interval for beta
    0.14586
  • Lowerbound of 95% confidence interval for alpha
    -1.18779
  • Upperbound of 95% confidence interval for alpha
    0.11457
  • Treynor index (mean / b)
    9.78070
  • Jensen alpha (a)
    -0.53661
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01977
  • Expected Shortfall on VaR
    0.02420
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00963
  • Expected Shortfall on VaR
    0.02034
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    77.00000
  • Minimum
    0.93668
  • Quartile 1
    0.99700
  • Median
    1.00000
  • Quartile 3
    1.00302
  • Maximum
    1.01156
  • Mean of quarter 1
    0.98579
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00134
  • Mean of quarter 4
    1.00636
  • Inter Quartile Range
    0.00602
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.10390
  • Mean of outliers low
    0.97457
  • 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)
    0.28174
  • VaR(95%) (moments method)
    0.01078
  • Expected Shortfall (moments method)
    0.01921
  • Extreme Value Index (regression method)
    0.36668
  • VaR(95%) (regression method)
    0.01764
  • Expected Shortfall (regression method)
    0.03644
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00238
  • Quartile 1
    0.04706
  • Median
    0.09173
  • Quartile 3
    0.13640
  • Maximum
    0.18108
  • Mean of quarter 1
    0.00238
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18108
  • Inter Quartile Range
    0.08935
  • 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)
    -0.48630
  • Compounded annual return (geometric extrapolation)
    -0.40830
  • Calmar ratio (compounded annual return / max draw down)
    -2.25485
  • Compounded annual return / average of 25% largest draw downs
    -2.25485
  • Compounded annual return / Expected Shortfall lognormal
    -16.87520
  • 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)
    0.02000
  • 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
    0.75%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -289161000
  • Max Equity Drawdown (num days)
    69

Strategy Description

The strategy buys the 10 highest expected return stocks and sells the 10 lowest expected return stocks in the cross-section using an artificial intelligence model.
The strategy exits all positions by the 4th Friday from the date of entry.
Results in backtests show that the strategy can be flat for as long as 6 months (losing weeks canceling winning weeks).
The largest drawdown in backtests was 30% and seeing as the biggest drawdown is in the future, we can expect drawdowns as large as 60% going forward.

The price starts at $0 in October 2020. The subscription price increases by $20 each month the strategy closes in the green and reduces by $20 each month it closes in the red.

Summary Statistics

Strategy began
2020-08-19
Suggested Minimum Capital
$35,000
# Trades
150
# Profitable
60
% Profitable
40.0%
Net Dividends
Correlation S&P500
-0.089
Sharpe Ratio
-3.05
Sortino Ratio
-3.13
Beta
-0.08
Alpha
-0.17
Leverage
0.82 Average
2.04 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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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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