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Featured Strategy Easiest Followed by live capital $447,000 Hypothetical

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MachineLearner 03
(131255329)

Created by: MachineLearner MachineLearner
Started: 09/2020
Stocks
Last trade: 1,259 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).
-0.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(8.9%)
Max Drawdown
189
Num Trades
38.1%
Win Trades
0.9 : 1
Profit Factor
2.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        +2.8%(3.3%)(1.9%)  -  (2.5%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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 9:32 SIGA SIGA TECHNOLOGIES INC. COMMON STOCK LONG 26 6.87 11/13 11:24 7.50 0.03%
Trade id #131764972
Max drawdown($15)
Time10/29/20 0:00
Quant open26
Worst price6.28
Drawdown as % of equity-0.03%
 $15
Includes Typical Broker Commissions trade costs of $0.52
10/19/20 9:32 MITK MITEK SYSTEMS LONG 13 13.03 11/13 11:24 13.10 0.02%
Trade id #131764962
Max drawdown($11)
Time11/2/20 0:00
Quant open13
Worst price12.15
Drawdown as % of equity-0.02%
 $1
Includes Typical Broker Commissions trade costs of $0.26
10/19/20 9:32 HCHC HC2 HOLDINGS INC LONG 74 2.28 11/13 11:24 2.30 0.03%
Trade id #131764957
Max drawdown($16)
Time11/10/20 0:00
Quant open74
Worst price2.06
Drawdown as % of equity-0.03%
 $0
Includes Typical Broker Commissions trade costs of $1.48
10/19/20 9:32 SPCE VIRGIN GALACTIC HOLDINGS INC SHORT 8 23.00 11/13 11:24 21.67 0.02%
Trade id #131764943
Max drawdown($10)
Time10/20/20 0:00
Quant open8
Worst price24.37
Drawdown as % of equity-0.02%
 $11
Includes Typical Broker Commissions trade costs of $0.16
10/19/20 9:32 PENN PENN ENTERTAINMENT INC SHORT 2 70.95 11/13 11:24 66.84 0.02%
Trade id #131764938
Max drawdown($9)
Time11/9/20 0:00
Quant open2
Worst price75.75
Drawdown as % of equity-0.02%
 $8
Includes Typical Broker Commissions trade costs of $0.04
10/19/20 9:32 NNDM NANO DIMENSION LTD. ADS SHORT 59 5.15 11/13 11:24 3.73 0.02%
Trade id #131764937
Max drawdown($8)
Time10/19/20 9:35
Quant open59
Worst price5.29
Drawdown as % of equity-0.02%
 $83
Includes Typical Broker Commissions trade costs of $1.18
10/19/20 9:32 HTZ HERTZ GLOBAL HOLDINGS INC COMMON STOCK SHORT 166 2.62 11/13 11:24 1.78 0.12%
Trade id #131764934
Max drawdown($59)
Time10/19/20 10:10
Quant open166
Worst price2.98
Drawdown as % of equity-0.12%
 $136
Includes Typical Broker Commissions trade costs of $3.32
10/19/20 9:32 GEVO GEVO SHORT 167 1.22 11/13 11:24 1.00 n/a $34
Includes Typical Broker Commissions trade costs of $3.34
10/12/20 9:32 XSPA XPRESSPA GROUP INC. COMMON STOCK SHORT 408 2.29 11/13 11:24 1.90 n/a $153
Includes Typical Broker Commissions trade costs of $8.16
10/12/20 9:32 MOBL MOBILEIRON INC. COMMON STOCK LONG 128 7.05 11/13 11:24 7.02 0.02%
Trade id #131641944
Max drawdown($8)
Time10/28/20 0:00
Quant open128
Worst price6.98
Drawdown as % of equity-0.02%
 ($7)
Includes Typical Broker Commissions trade costs of $2.56
10/12/20 9:31 MTDR MATADOR RESOURCES SHORT 103 8.96 11/13 11:24 6.83 0.06%
Trade id #131641904
Max drawdown($30)
Time10/14/20 0:00
Quant open83
Worst price9.40
Drawdown as % of equity-0.06%
 $217
Includes Typical Broker Commissions trade costs of $2.06
10/12/20 9:31 WWR WESTWATER RESOURCES INC. COMMON STOCK SHORT 112 7.49 11/13 11:24 3.98 0.02%
Trade id #131641902
Max drawdown($8)
Time10/12/20 10:05
Quant open88
Worst price8.10
Drawdown as % of equity-0.02%
 $391
Includes Typical Broker Commissions trade costs of $2.24
10/12/20 9:31 APM APTORUM GROUP LTD SHORT 325 2.81 11/13 11:23 2.06 0.06%
Trade id #131641901
Max drawdown($31)
Time10/13/20 0:00
Quant open260
Worst price2.95
Drawdown as % of equity-0.06%
 $238
Includes Typical Broker Commissions trade costs of $6.50
10/12/20 9:31 NOG NORTHERN OIL & GAS SHORT 173 5.75 11/13 11:23 3.63 0.01%
Trade id #131641882
Max drawdown($4)
Time10/12/20 9:45
Quant open140
Worst price5.91
Drawdown as % of equity-0.01%
 $364
Includes Typical Broker Commissions trade costs of $3.46
10/5/20 9:32 ADMA ADMA BIOLOGICS CMN SHORT 234 2.48 11/13 11:23 1.96 0.04%
Trade id #131514482
Max drawdown($22)
Time10/5/20 9:48
Quant open160
Worst price2.70
Drawdown as % of equity-0.04%
 $119
Includes Typical Broker Commissions trade costs of $4.68
9/28/20 9:35 GV VISIONARY EDUCATION TECH HOLDINGS GROUP INC. LONG 164 4.32 11/13 11:23 4.43 0.05%
Trade id #131391531
Max drawdown($25)
Time11/12/20 0:00
Quant open82
Worst price4.01
Drawdown as % of equity-0.05%
 $15
Includes Typical Broker Commissions trade costs of $3.28
9/28/20 9:32 OCUL OCULAR THERAPEUTIX INC. COMMO LONG 87 8.08 11/13 11:23 11.82 0.04%
Trade id #131391329
Max drawdown($19)
Time9/30/20 0:00
Quant open43
Worst price7.50
Drawdown as % of equity-0.04%
 $323
Includes Typical Broker Commissions trade costs of $1.74
9/28/20 9:32 HBIO HARVARD BIOSCIENCE LONG 283 3.07 11/13 11:23 3.61 0.06%
Trade id #131391317
Max drawdown($31)
Time10/22/20 0:00
Quant open283
Worst price2.96
Drawdown as % of equity-0.06%
 $147
Includes Typical Broker Commissions trade costs of $5.66
9/28/20 9:32 ARKR ARK RESTAURANTS SHORT 58 11.85 11/13 11:23 11.22 0.06%
Trade id #131391286
Max drawdown($31)
Time10/9/20 0:00
Quant open58
Worst price12.39
Drawdown as % of equity-0.06%
 $36
Includes Typical Broker Commissions trade costs of $1.16
9/28/20 9:32 ALSK ALASKA COMM SYS LONG 442 1.98 11/13 11:23 2.63 0.07%
Trade id #131391282
Max drawdown($35)
Time10/29/20 0:00
Quant open265
Worst price1.85
Drawdown as % of equity-0.07%
 $276
Includes Typical Broker Commissions trade costs of $8.84
9/28/20 9:32 LPTH LIGHTPATH TECHNOLOGIES LONG 225 2.34 11/13 11:23 2.43 0.01%
Trade id #131391269
Max drawdown($6)
Time11/6/20 0:00
Quant open73
Worst price2.25
Drawdown as % of equity-0.01%
 $17
Includes Typical Broker Commissions trade costs of $4.50
9/28/20 9:32 FSI FLEXIBLE SOLUTIONS LONG 331 2.05 11/13 11:22 2.76 0.04%
Trade id #131391265
Max drawdown($21)
Time10/2/20 0:00
Quant open167
Worst price1.92
Drawdown as % of equity-0.04%
 $227
Includes Typical Broker Commissions trade costs of $6.62
9/28/20 9:32 CXDO CREXENDO COMMON STOCK LONG 120 5.65 11/13 11:22 6.45 0.09%
Trade id #131391259
Max drawdown($45)
Time10/16/20 0:00
Quant open120
Worst price5.27
Drawdown as % of equity-0.09%
 $94
Includes Typical Broker Commissions trade costs of $2.40
9/28/20 9:32 HYMC HYCROFT MINING HOLDING CORP SHORT 127 8.35 11/13 11:22 8.01 0.02%
Trade id #131391261
Max drawdown($11)
Time9/28/20 11:58
Quant open31
Worst price11.38
Drawdown as % of equity-0.02%
 $41
Includes Typical Broker Commissions trade costs of $2.54
9/28/20 9:32 ATEN A10 NETWORKS INC LONG 218 6.89 11/13 11:22 7.53 0.04%
Trade id #131391244
Max drawdown($22)
Time10/2/20 0:00
Quant open52
Worst price6.13
Drawdown as % of equity-0.04%
 $134
Includes Typical Broker Commissions trade costs of $4.36
9/21/20 9:33 YEXT YEXT INC LONG 91 15.87 11/13 11:22 17.86 0.03%
Trade id #131268277
Max drawdown($12)
Time9/24/20 0:00
Quant open22
Worst price14.38
Drawdown as % of equity-0.03%
 $179
Includes Typical Broker Commissions trade costs of $1.82
9/21/20 9:33 ISDR ISSUER DIRECT CORPORATION LONG 38 17.68 11/13 11:22 22.10 0.03%
Trade id #131268265
Max drawdown($17)
Time9/21/20 11:27
Quant open21
Worst price15.11
Drawdown as % of equity-0.03%
 $167
Includes Typical Broker Commissions trade costs of $0.76
9/21/20 9:32 EMKR EMCORE LONG 208 3.24 11/13 11:22 3.51 0.05%
Trade id #131268240
Max drawdown($28)
Time10/7/20 0:00
Quant open208
Worst price3.10
Drawdown as % of equity-0.05%
 $54
Includes Typical Broker Commissions trade costs of $4.16
9/21/20 9:32 PVAC PENN VIRGINIA CORPORATION COMMON STOCK SHORT 175 9.87 11/13 11:22 9.48 0.18%
Trade id #131268234
Max drawdown($91)
Time10/9/20 0:00
Quant open103
Worst price10.66
Drawdown as % of equity-0.18%
 $66
Includes Typical Broker Commissions trade costs of $3.50
9/21/20 9:32 LQDT LIQUIDITY SERVICE LONG 96 6.93 11/13 11:22 9.35 0.04%
Trade id #131268227
Max drawdown($20)
Time9/24/20 0:00
Quant open46
Worst price6.63
Drawdown as % of equity-0.04%
 $230
Includes Typical Broker Commissions trade costs of $1.92
Next

Statistics

  • Strategy began
    9/19/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1308.22
  • Age
    44 months ago
  • What it trades
    Stocks
  • # Trades
    189
  • # Profitable
    72
  • % Profitable
    38.10%
  • Avg trade duration
    22.0 days
  • Max peak-to-valley drawdown
    8.9%
  • drawdown period
    Oct 13, 2020 - Nov 11, 2020
  • Annual Return (Compounded)
    -0.7%
  • Avg win
    $103.19
  • Avg loss
    $68.31
  • Model Account Values (Raw)
  • Cash
    $49,420
  • Margin Used
    $0
  • Buying Power
    $49,420
  • Ratios
  • W:L ratio
    0.93:1
  • Sharpe Ratio
    -0.8
  • Sortino Ratio
    -0.97
  • Calmar Ratio
    -0.246
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -52.13%
  • Correlation to SP500
    -0.01680
  • Return Percent SP500 (cumu) during strategy life
    52.78%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.7%
  • Slump
  • Current Slump as Pcnt Equity
    9.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.007%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.3%
  • Automation
  • Percentage Signals Automated
    94.08%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $68
  • Avg Win
    $103
  • Sum Trade PL (losers)
    $7,992.000
  • Age
  • Num Months filled monthly returns table
    44
  • Win / Loss
  • Sum Trade PL (winners)
    $7,430.000
  • # Winners
    72
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    -22
  • Win / Loss
  • # Losers
    117
  • % Winners
    38.1%
  • Frequency
  • Avg Position Time (mins)
    31653.70
  • Avg Position Time (hrs)
    527.56
  • Avg Trade Length
    22.0 days
  • Last Trade Ago
    1253
  • Leverage
  • Daily leverage (average)
    0.82
  • Daily leverage (max)
    1.67
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    2.65
  • 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)
    -0.58
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -6.284
  • 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
    0.189
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.144
  • Hold-and-Hope Ratio
    -0.159
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04584
  • SD
    0.03881
  • Sharpe ratio (Glass type estimate)
    -1.18118
  • Sharpe ratio (Hedges UMVUE)
    -1.07945
  • df
    9.00000
  • t
    -1.07826
  • p
    0.84552
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.36418
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.06247
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.28363
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12473
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.25831
  • Upside Potential Ratio
    0.42894
  • Upside part of mean
    0.01563
  • Downside part of mean
    -0.06147
  • Upside SD
    0.01427
  • Downside SD
    0.03643
  • N nonnegative terms
    1.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.57031
  • Mean of criterion
    -0.04584
  • SD of predictor
    0.26771
  • SD of criterion
    0.03881
  • Covariance
    0.00052
  • r
    0.05029
  • b (slope, estimate of beta)
    0.00729
  • a (intercept, estimate of alpha)
    -0.05000
  • Mean Square Error
    0.00169
  • DF error
    8.00000
  • t(b)
    0.14242
  • p(b)
    0.44513
  • t(a)
    -0.93160
  • p(a)
    0.81060
  • Lowerbound of 95% confidence interval for beta
    -0.11076
  • Upperbound of 95% confidence interval for beta
    0.12534
  • Lowerbound of 95% confidence interval for alpha
    -0.17378
  • Upperbound of 95% confidence interval for alpha
    0.07377
  • Treynor index (mean / b)
    -6.28784
  • Jensen alpha (a)
    -0.05000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04651
  • SD
    0.03921
  • Sharpe ratio (Glass type estimate)
    -1.18629
  • Sharpe ratio (Hedges UMVUE)
    -1.08412
  • df
    9.00000
  • t
    -1.08293
  • p
    0.84650
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.36978
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05803
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.28880
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12055
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.25945
  • Upside Potential Ratio
    0.41945
  • Upside part of mean
    0.01549
  • Downside part of mean
    -0.06200
  • Upside SD
    0.01414
  • Downside SD
    0.03693
  • N nonnegative terms
    1.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.52602
  • Mean of criterion
    -0.04651
  • SD of predictor
    0.25921
  • SD of criterion
    0.03921
  • Covariance
    0.00046
  • r
    0.04516
  • b (slope, estimate of beta)
    0.00683
  • a (intercept, estimate of alpha)
    -0.05011
  • Mean Square Error
    0.00173
  • DF error
    8.00000
  • t(b)
    0.12786
  • p(b)
    0.45071
  • t(a)
    -0.93679
  • p(a)
    0.81186
  • Lowerbound of 95% confidence interval for beta
    -0.11637
  • Upperbound of 95% confidence interval for beta
    0.13003
  • Lowerbound of 95% confidence interval for alpha
    -0.17345
  • Upperbound of 95% confidence interval for alpha
    0.07324
  • Treynor index (mean / b)
    -6.80912
  • Jensen alpha (a)
    -0.05011
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02224
  • Expected Shortfall on VaR
    0.02685
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01664
  • Expected Shortfall on VaR
    0.03050
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.96973
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01535
  • Mean of quarter 1
    0.98991
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00512
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.96973
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.01535
  • 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
    0.03027
  • Quartile 1
    0.03027
  • Median
    0.03027
  • Quartile 3
    0.03027
  • Maximum
    0.03027
  • 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)
    -0.01846
  • Compounded annual return (geometric extrapolation)
    -0.01843
  • Calmar ratio (compounded annual return / max draw down)
    -0.60895
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.68664
  • 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
    -0.04501
  • SD
    0.05217
  • Sharpe ratio (Glass type estimate)
    -0.86277
  • Sharpe ratio (Hedges UMVUE)
    -0.85981
  • df
    219.00000
  • t
    -0.79060
  • p
    0.78498
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.00225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27857
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.00021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28058
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.06499
  • Upside Potential Ratio
    2.95201
  • Upside part of mean
    0.12477
  • Downside part of mean
    -0.16978
  • Upside SD
    0.03051
  • Downside SD
    0.04227
  • N nonnegative terms
    23.00000
  • N negative terms
    197.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    220.00000
  • Mean of predictor
    0.51669
  • Mean of criterion
    -0.04501
  • SD of predictor
    0.31686
  • SD of criterion
    0.05217
  • Covariance
    -0.00012
  • r
    -0.00747
  • b (slope, estimate of beta)
    -0.00123
  • a (intercept, estimate of alpha)
    -0.04400
  • Mean Square Error
    0.00273
  • DF error
    218.00000
  • t(b)
    -0.11025
  • p(b)
    0.54385
  • t(a)
    -0.77375
  • p(a)
    0.78004
  • Lowerbound of 95% confidence interval for beta
    -0.02321
  • Upperbound of 95% confidence interval for beta
    0.02075
  • Lowerbound of 95% confidence interval for alpha
    -0.15742
  • Upperbound of 95% confidence interval for alpha
    0.06866
  • Treynor index (mean / b)
    36.61030
  • Jensen alpha (a)
    -0.04438
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04637
  • SD
    0.05235
  • Sharpe ratio (Glass type estimate)
    -0.88586
  • Sharpe ratio (Hedges UMVUE)
    -0.88283
  • df
    219.00000
  • t
    -0.81176
  • p
    0.79109
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.02535
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.02331
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25765
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.08886
  • Upside Potential Ratio
    2.91847
  • Upside part of mean
    0.12429
  • Downside part of mean
    -0.17067
  • Upside SD
    0.03037
  • Downside SD
    0.04259
  • N nonnegative terms
    23.00000
  • N negative terms
    197.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    220.00000
  • Mean of predictor
    0.46596
  • Mean of criterion
    -0.04637
  • SD of predictor
    0.31819
  • SD of criterion
    0.05235
  • Covariance
    -0.00013
  • r
    -0.00787
  • b (slope, estimate of beta)
    -0.00130
  • a (intercept, estimate of alpha)
    -0.04577
  • Mean Square Error
    0.00275
  • DF error
    218.00000
  • t(b)
    -0.11627
  • p(b)
    0.54623
  • t(a)
    -0.79612
  • p(a)
    0.78659
  • Lowerbound of 95% confidence interval for beta
    -0.02326
  • Upperbound of 95% confidence interval for beta
    0.02066
  • Lowerbound of 95% confidence interval for alpha
    -0.15908
  • Upperbound of 95% confidence interval for alpha
    0.06754
  • Treynor index (mean / b)
    35.79630
  • Jensen alpha (a)
    -0.04577
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00548
  • Expected Shortfall on VaR
    0.00682
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00211
  • Expected Shortfall on VaR
    0.00460
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    220.00000
  • Minimum
    0.97984
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01422
  • Mean of quarter 1
    0.99779
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00195
  • Inter Quartile Range
    0.00000
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.07727
  • Mean of outliers low
    0.99285
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.10454
  • Mean of outliers high
    1.00466
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.89863
  • VaR(95%) (moments method)
    0.00182
  • Expected Shortfall (moments method)
    0.00242
  • Extreme Value Index (regression method)
    -0.50275
  • VaR(95%) (regression method)
    0.00284
  • Expected Shortfall (regression method)
    0.00727
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00092
  • Quartile 1
    0.00228
  • Median
    0.00364
  • Quartile 3
    0.03903
  • Maximum
    0.07442
  • Mean of quarter 1
    0.00092
  • Mean of quarter 2
    0.00364
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07442
  • Inter Quartile Range
    0.03675
  • 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)
    -0.01832
  • Compounded annual return (geometric extrapolation)
    -0.01830
  • Calmar ratio (compounded annual return / max draw down)
    -0.24584
  • Compounded annual return / average of 25% largest draw downs
    -0.24584
  • Compounded annual return / Expected Shortfall lognormal
    -2.68124
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.53899
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38251
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.46544
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38433
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6847320000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00500
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    135932000000000001033247261720576.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • 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
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -364816000
  • Max Equity Drawdown (num days)
    29
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • 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
    0.00000

Strategy Description

The strategy buys the 30 highest expected return stocks and sells the 30 lowest expected return stocks in the cross-section using an artificial intelligence model.
The strategy exits all positions by the 4th Friday from the week entries were made.
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 20% and seeing as the biggest drawdown is in the future, we can expect drawdowns as large as 40% going forward.
We employ a 10% stop loss on all positions.
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.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-09-19
Suggested Minimum Capital
$15,000
# Trades
189
# Profitable
72
% Profitable
38.1%
Net Dividends
($21)
Correlation S&P500
-0.017
Sharpe Ratio
-0.80
Sortino Ratio
-0.97
Beta
-0.00
Alpha
-0.01
Leverage
0.82 Average
1.67 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.

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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.