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Data Miner AI 2b
(132385285)

Created by: JamesScheibel JamesScheibel
Started: 11/2020
Stocks
Last trade: 9 days ago
Trading style: Equity Non-hedged Equity

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 $125.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
29.9%
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.

(16.2%)
Max Drawdown
795
Num Trades
76.2%
Win Trades
1.5 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +1.3%+8.4%+9.8%
2021+6.0%(0.8%)+2.7%+3.3%+6.7%+3.8%(2.9%)+2.7%(4.9%)+1.0%            +18.3%

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 178 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
9/20/21 9:30 EXPR EXPRESS LONG 369 5.22 10/7 9:30 4.45 0.41%
Trade id #137439245
Max drawdown($313)
Time10/6/21 0:00
Quant open369
Worst price4.37
Drawdown as % of equity-0.41%
($290)
Includes Typical Broker Commissions trade costs of $7.38
9/22/21 9:30 SONO SONOS INC. COMMON STOCK LONG 53 36.99 10/6 9:30 31.17 0.41%
Trade id #137474868
Max drawdown($314)
Time10/6/21 9:30
Quant open53
Worst price31.06
Drawdown as % of equity-0.41%
($309)
Includes Typical Broker Commissions trade costs of $1.06
8/27/21 9:30 SIEN SIENTRA INC. COMMON STOCK LONG 312 6.29 10/5 9:30 5.46 0.42%
Trade id #137147162
Max drawdown($330)
Time9/29/21 0:00
Quant open312
Worst price5.23
Drawdown as % of equity-0.42%
($265)
Includes Typical Broker Commissions trade costs of $6.24
7/16/21 9:30 UIS UNISYS LONG 87 22.92 10/5 9:30 25.79 0.28%
Trade id #136525592
Max drawdown($207)
Time7/19/21 0:00
Quant open87
Worst price20.54
Drawdown as % of equity-0.28%
$248
Includes Typical Broker Commissions trade costs of $1.74
9/21/21 9:34 OAS OASIS PETROLEUM INC. COMMON STOCK LONG 21 92.08 10/4 9:47 102.52 0.05%
Trade id #137459008
Max drawdown($39)
Time9/21/21 9:38
Quant open21
Worst price90.21
Drawdown as % of equity-0.05%
$219
Includes Typical Broker Commissions trade costs of $0.42
9/8/21 9:30 CLMT CALUMET SPECIALTY LONG 284 6.98 10/4 9:30 8.19 0.33%
Trade id #137285642
Max drawdown($264)
Time9/13/21 0:00
Quant open284
Worst price6.05
Drawdown as % of equity-0.33%
$338
Includes Typical Broker Commissions trade costs of $5.68
9/8/21 9:30 BBBY BED BATH & BEYOND LONG 78 25.19 10/1 10:04 16.57 0.95%
Trade id #137285662
Max drawdown($740)
Time9/30/21 0:00
Quant open78
Worst price15.70
Drawdown as % of equity-0.95%
($674)
Includes Typical Broker Commissions trade costs of $1.56
8/18/21 9:30 VRTV VERITIV CORP LONG 24 79.67 9/29 13:30 90.40 0.09%
Trade id #137015110
Max drawdown($66)
Time8/19/21 0:00
Quant open24
Worst price76.90
Drawdown as % of equity-0.09%
$258
Includes Typical Broker Commissions trade costs of $0.48
9/20/21 9:30 HYRE HYRECAR INC. COMMON STOCK LONG 208 9.11 9/29 12:28 8.10 0.32%
Trade id #137439160
Max drawdown($260)
Time9/28/21 0:00
Quant open208
Worst price7.86
Drawdown as % of equity-0.32%
($214)
Includes Typical Broker Commissions trade costs of $4.16
9/17/21 9:30 SCHN SCHNITZER STEEL LONG 46 42.32 9/29 12:28 42.32 0.23%
Trade id #137413316
Max drawdown($180)
Time9/21/21 0:00
Quant open46
Worst price38.40
Drawdown as % of equity-0.23%
($1)
Includes Typical Broker Commissions trade costs of $0.92
9/22/21 9:31 CNTY CENTURY CASINOS LONG 158 12.59 9/27 10:51 14.06 n/a $229
Includes Typical Broker Commissions trade costs of $3.16
8/25/21 9:30 NBR NABORS INDUSTRIES LONG 26 75.83 9/27 9:36 95.24 0.05%
Trade id #137113804
Max drawdown($35)
Time8/26/21 0:00
Quant open26
Worst price74.45
Drawdown as % of equity-0.05%
$504
Includes Typical Broker Commissions trade costs of $0.52
8/25/21 9:30 EQT EQT LONG 119 16.52 9/27 9:30 20.85 0.03%
Trade id #137113790
Max drawdown($19)
Time8/25/21 9:34
Quant open119
Worst price16.36
Drawdown as % of equity-0.03%
$513
Includes Typical Broker Commissions trade costs of $2.38
9/1/21 9:30 CPE CALLON PETROLEUM LONG 57 33.80 9/24 14:57 43.06 0.14%
Trade id #137207195
Max drawdown($116)
Time9/9/21 0:00
Quant open57
Worst price31.75
Drawdown as % of equity-0.14%
$527
Includes Typical Broker Commissions trade costs of $1.14
7/6/21 9:30 DDS DILLARDS LONG 8 182.89 9/23 9:30 212.75 0.24%
Trade id #136340228
Max drawdown($179)
Time7/19/21 0:00
Quant open8
Worst price160.51
Drawdown as % of equity-0.24%
$239
Includes Typical Broker Commissions trade costs of $0.16
7/20/21 9:30 ZDGE ZEDGE INC LONG 121 16.25 9/20 9:30 13.00 0.54%
Trade id #136586064
Max drawdown($424)
Time9/15/21 0:00
Quant open121
Worst price12.74
Drawdown as % of equity-0.54%
($395)
Includes Typical Broker Commissions trade costs of $2.42
7/13/21 9:30 CAL CALERES INC LONG 130 26.11 9/20 9:30 21.42 0.8%
Trade id #136465661
Max drawdown($634)
Time9/20/21 9:30
Quant open130
Worst price21.23
Drawdown as % of equity-0.80%
($613)
Includes Typical Broker Commissions trade costs of $2.60
7/7/21 10:54 SIG SIGNET JEWELERS LONG 19 75.00 9/17 9:30 82.40 0.37%
Trade id #136361845
Max drawdown($276)
Time8/5/21 0:00
Quant open19
Worst price60.47
Drawdown as % of equity-0.37%
$141
Includes Typical Broker Commissions trade costs of $0.38
7/20/21 9:30 VTNR VERTEX ENERGY LONG 229 8.70 9/15 9:30 6.45 0.69%
Trade id #136586063
Max drawdown($542)
Time9/14/21 0:00
Quant open229
Worst price6.33
Drawdown as % of equity-0.69%
($520)
Includes Typical Broker Commissions trade costs of $4.58
7/14/21 9:33 JILL J.JILL INC LONG 575 21.72 9/15 9:30 15.75 4.36%
Trade id #136486588
Max drawdown($3,432)
Time9/15/21 9:30
Quant open575
Worst price15.75
Drawdown as % of equity-4.36%
($3,438)
Includes Typical Broker Commissions trade costs of $5.00
7/2/21 9:30 EGLE EAGLE BULK SHIPPING INC. COMMO LONG 33 45.11 9/14 9:30 54.46 0.4%
Trade id #136303901
Max drawdown($294)
Time7/19/21 0:00
Quant open33
Worst price36.18
Drawdown as % of equity-0.40%
$308
Includes Typical Broker Commissions trade costs of $0.66
9/8/21 9:30 LOVE THE LOVESAC COMPANY COMMON STOCK LONG 36 54.22 9/10 9:32 67.33 0.18%
Trade id #137285616
Max drawdown($147)
Time9/8/21 15:52
Quant open36
Worst price50.11
Drawdown as % of equity-0.18%
$471
Includes Typical Broker Commissions trade costs of $0.72
8/12/21 9:30 LPI LAREDO PETROLEUM HOLDINGS INC LONG 41 47.24 9/10 9:30 65.17 0.6%
Trade id #136934813
Max drawdown($450)
Time8/19/21 0:00
Quant open41
Worst price36.25
Drawdown as % of equity-0.60%
$734
Includes Typical Broker Commissions trade costs of $0.82
8/20/21 9:30 AXTI AXT LONG 233 8.48 9/8 9:30 9.60 n/a $256
Includes Typical Broker Commissions trade costs of $4.66
7/8/21 9:30 UUUU ENERGY FUELS INC. LONG 540 5.32 9/8 9:30 6.70 0.74%
Trade id #136377138
Max drawdown($540)
Time8/20/21 0:00
Quant open540
Worst price4.32
Drawdown as % of equity-0.74%
$740
Includes Typical Broker Commissions trade costs of $5.00
7/20/21 9:30 AR ANTERO RESOURCES CORP LONG 157 12.54 9/3 13:17 16.19 0.34%
Trade id #136586080
Max drawdown($255)
Time8/19/21 0:00
Quant open157
Worst price10.91
Drawdown as % of equity-0.34%
$571
Includes Typical Broker Commissions trade costs of $3.14
8/30/21 9:30 LEU CENTRUS INC LONG 79 25.00 9/2 9:30 29.74 n/a $372
Includes Typical Broker Commissions trade costs of $1.58
7/13/21 9:30 BGFV BIG 5 SPORTING GOODS LONG 139 24.60 9/1 15:38 30.72 0.87%
Trade id #136465773
Max drawdown($650)
Time7/19/21 0:00
Quant open139
Worst price19.92
Drawdown as % of equity-0.87%
$848
Includes Typical Broker Commissions trade costs of $2.78
8/26/21 9:30 RHE REGIONAL HEALTH PROPERTIES INC LONG 238 8.26 8/31 9:30 10.40 0.41%
Trade id #137132119
Max drawdown($316)
Time8/27/21 0:00
Quant open238
Worst price6.93
Drawdown as % of equity-0.41%
$504
Includes Typical Broker Commissions trade costs of $4.76
8/16/21 9:30 LEDS SEMILEDS LONG 262 7.49 8/31 9:30 9.36 0.17%
Trade id #136978613
Max drawdown($128)
Time8/17/21 0:00
Quant open262
Worst price7.00
Drawdown as % of equity-0.17%
$485
Includes Typical Broker Commissions trade costs of $5.24

Statistics

  • Strategy began
    11/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    329.98
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    795
  • # Profitable
    606
  • % Profitable
    76.20%
  • Avg trade duration
    11.2 days
  • Max peak-to-valley drawdown
    16.2%
  • drawdown period
    Sept 02, 2021 - Sept 20, 2021
  • Cumul. Return
    29.9%
  • Avg win
    $107.71
  • Avg loss
    $231.22
  • Model Account Values (Raw)
  • Cash
    $51,180
  • Margin Used
    $0
  • Buying Power
    $50,093
  • Ratios
  • W:L ratio
    1.50:1
  • Sharpe Ratio
    1.3
  • Sortino Ratio
    1.95
  • Calmar Ratio
    4.132
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    4.19%
  • Correlation to SP500
    0.39810
  • Return Percent SP500 (cumu) during strategy life
    25.69%
  • Return Statistics
  • Ann Return (w trading costs)
    33.2%
  • Slump
  • Current Slump as Pcnt Equity
    7.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.13%
  • Return Statistics
  • Return Pcnt Since TOS Status
    35.950%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.299%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    40.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.50%
  • Chance of 20% account loss
    8.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.95%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    716
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    760
  • Popularity (7 days, Percentile 1000 scale)
    421
  • 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
    $231
  • Avg Win
    $108
  • Sum Trade PL (losers)
    $43,700.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $65,270.000
  • # Winners
    606
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    181
  • AUM
  • AUM (AutoTrader live capital)
    19918
  • Win / Loss
  • # Losers
    189
  • % Winners
    76.2%
  • Frequency
  • Avg Position Time (mins)
    16108.50
  • Avg Position Time (hrs)
    268.48
  • Avg Trade Length
    11.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.67
  • Daily leverage (max)
    1.11
  • Regression
  • Alpha
    0.04
  • Beta
    0.61
  • Treynor Index
    0.13
  • 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)
    0.36
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    6.428
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.687
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.229
  • Hold-and-Hope Ratio
    0.160
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39301
  • SD
    0.14994
  • Sharpe ratio (Glass type estimate)
    2.62109
  • Sharpe ratio (Hedges UMVUE)
    2.39535
  • df
    9.00000
  • t
    2.39272
  • p
    0.02019
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11052
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.02282
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81077
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.73009
  • Upside Potential Ratio
    8.92722
  • Upside part of mean
    0.45387
  • Downside part of mean
    -0.06086
  • Upside SD
    0.17470
  • Downside SD
    0.05084
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.23740
  • Mean of criterion
    0.39301
  • SD of predictor
    0.07516
  • SD of criterion
    0.14994
  • Covariance
    0.00270
  • r
    0.23969
  • b (slope, estimate of beta)
    0.47818
  • a (intercept, estimate of alpha)
    0.27949
  • Mean Square Error
    0.02384
  • DF error
    8.00000
  • t(b)
    0.69829
  • p(b)
    0.25239
  • t(a)
    1.19137
  • p(a)
    0.13383
  • Lowerbound of 95% confidence interval for beta
    -1.10094
  • Upperbound of 95% confidence interval for beta
    2.05731
  • Lowerbound of 95% confidence interval for alpha
    -0.26149
  • Upperbound of 95% confidence interval for alpha
    0.82047
  • Treynor index (mean / b)
    0.82188
  • Jensen alpha (a)
    0.27949
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37632
  • SD
    0.14564
  • Sharpe ratio (Glass type estimate)
    2.58389
  • Sharpe ratio (Hedges UMVUE)
    2.36135
  • df
    9.00000
  • t
    2.35876
  • p
    0.02134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08187
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.97783
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04691
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76962
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.24816
  • Upside Potential Ratio
    8.44328
  • Upside part of mean
    0.43837
  • Downside part of mean
    -0.06205
  • Upside SD
    0.16792
  • Downside SD
    0.05192
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.23209
  • Mean of criterion
    0.37632
  • SD of predictor
    0.07383
  • SD of criterion
    0.14564
  • Covariance
    0.00252
  • r
    0.23450
  • b (slope, estimate of beta)
    0.46259
  • a (intercept, estimate of alpha)
    0.26895
  • Mean Square Error
    0.02255
  • DF error
    8.00000
  • t(b)
    0.68228
  • p(b)
    0.25716
  • t(a)
    1.18147
  • p(a)
    0.13567
  • Lowerbound of 95% confidence interval for beta
    -1.10089
  • Upperbound of 95% confidence interval for beta
    2.02606
  • Lowerbound of 95% confidence interval for alpha
    -0.25599
  • Upperbound of 95% confidence interval for alpha
    0.79390
  • Treynor index (mean / b)
    0.81350
  • Jensen alpha (a)
    0.26895
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03709
  • Expected Shortfall on VaR
    0.05374
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00547
  • Expected Shortfall on VaR
    0.01470
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.95614
  • Quartile 1
    1.00939
  • Median
    1.03650
  • Quartile 3
    1.06408
  • Maximum
    1.10457
  • Mean of quarter 1
    0.98679
  • Mean of quarter 2
    1.02048
  • Mean of quarter 3
    1.05126
  • Mean of quarter 4
    1.08232
  • Inter Quartile Range
    0.05469
  • 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)
    1.27272
  • VaR(95%) (regression method)
    0.05555
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00220
  • Quartile 1
    0.01262
  • Median
    0.02303
  • Quartile 3
    0.03345
  • Maximum
    0.04386
  • Mean of quarter 1
    0.00220
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04386
  • Inter Quartile Range
    0.02083
  • 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)
    0.48064
  • Compounded annual return (geometric extrapolation)
    0.49814
  • Calmar ratio (compounded annual return / max draw down)
    11.35700
  • Compounded annual return / average of 25% largest draw downs
    11.35700
  • Compounded annual return / Expected Shortfall lognormal
    9.26896
  • 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
    0.34105
  • SD
    0.18849
  • Sharpe ratio (Glass type estimate)
    1.80938
  • Sharpe ratio (Hedges UMVUE)
    1.80350
  • df
    231.00000
  • t
    1.70264
  • p
    0.04499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28189
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89682
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28582
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89281
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.74517
  • Upside Potential Ratio
    10.48810
  • Upside part of mean
    1.30300
  • Downside part of mean
    -0.96195
  • Upside SD
    0.14278
  • Downside SD
    0.12424
  • N nonnegative terms
    135.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    232.00000
  • Mean of predictor
    0.23196
  • Mean of criterion
    0.34105
  • SD of predictor
    0.12594
  • SD of criterion
    0.18849
  • Covariance
    0.00933
  • r
    0.39302
  • b (slope, estimate of beta)
    0.58820
  • a (intercept, estimate of alpha)
    0.20500
  • Mean Square Error
    0.03017
  • DF error
    230.00000
  • t(b)
    6.48201
  • p(b)
    0.00000
  • t(a)
    1.10134
  • p(a)
    0.13595
  • Lowerbound of 95% confidence interval for beta
    0.40941
  • Upperbound of 95% confidence interval for beta
    0.76699
  • Lowerbound of 95% confidence interval for alpha
    -0.16145
  • Upperbound of 95% confidence interval for alpha
    0.57067
  • Treynor index (mean / b)
    0.57982
  • Jensen alpha (a)
    0.20461
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32314
  • SD
    0.18836
  • Sharpe ratio (Glass type estimate)
    1.71551
  • Sharpe ratio (Hedges UMVUE)
    1.70993
  • df
    231.00000
  • t
    1.61431
  • p
    0.05391
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37497
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80237
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37873
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79859
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57206
  • Upside Potential Ratio
    10.29040
  • Upside part of mean
    1.29282
  • Downside part of mean
    -0.96968
  • Upside SD
    0.14122
  • Downside SD
    0.12563
  • N nonnegative terms
    135.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    232.00000
  • Mean of predictor
    0.22393
  • Mean of criterion
    0.32314
  • SD of predictor
    0.12600
  • SD of criterion
    0.18836
  • Covariance
    0.00933
  • r
    0.39321
  • b (slope, estimate of beta)
    0.58784
  • a (intercept, estimate of alpha)
    0.19150
  • Mean Square Error
    0.03013
  • DF error
    230.00000
  • t(b)
    6.48566
  • p(b)
    0.00000
  • t(a)
    1.03201
  • p(a)
    0.15158
  • Lowerbound of 95% confidence interval for beta
    0.40925
  • Upperbound of 95% confidence interval for beta
    0.76642
  • Lowerbound of 95% confidence interval for alpha
    -0.17411
  • Upperbound of 95% confidence interval for alpha
    0.55712
  • Treynor index (mean / b)
    0.54971
  • Jensen alpha (a)
    0.19150
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01775
  • Expected Shortfall on VaR
    0.02250
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00752
  • Expected Shortfall on VaR
    0.01526
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    232.00000
  • Minimum
    0.95999
  • Quartile 1
    0.99542
  • Median
    1.00172
  • Quartile 3
    1.00728
  • Maximum
    1.04053
  • Mean of quarter 1
    0.98692
  • Mean of quarter 2
    0.99882
  • Mean of quarter 3
    1.00455
  • Mean of quarter 4
    1.01534
  • Inter Quartile Range
    0.01186
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.02586
  • Mean of outliers low
    0.96947
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.02155
  • Mean of outliers high
    1.03408
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.20296
  • VaR(95%) (moments method)
    0.01154
  • Expected Shortfall (moments method)
    0.01461
  • Extreme Value Index (regression method)
    0.01554
  • VaR(95%) (regression method)
    0.01132
  • Expected Shortfall (regression method)
    0.01561
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00252
  • Median
    0.00636
  • Quartile 3
    0.02062
  • Maximum
    0.10177
  • Mean of quarter 1
    0.00102
  • Mean of quarter 2
    0.00470
  • Mean of quarter 3
    0.00957
  • Mean of quarter 4
    0.05856
  • Inter Quartile Range
    0.01809
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13043
  • Mean of outliers high
    0.08416
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.53699
  • VaR(95%) (moments method)
    0.05968
  • Expected Shortfall (moments method)
    0.06946
  • Extreme Value Index (regression method)
    -0.21223
  • VaR(95%) (regression method)
    0.07157
  • Expected Shortfall (regression method)
    0.09116
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41173
  • Compounded annual return (geometric extrapolation)
    0.42055
  • Calmar ratio (compounded annual return / max draw down)
    4.13219
  • Compounded annual return / average of 25% largest draw downs
    7.18136
  • Compounded annual return / Expected Shortfall lognormal
    18.68770
  • 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
    0.22339
  • SD
    0.21477
  • Sharpe ratio (Glass type estimate)
    1.04010
  • Sharpe ratio (Hedges UMVUE)
    1.03409
  • df
    130.00000
  • t
    0.73546
  • p
    0.46781
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73652
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81286
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74057
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80874
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.52543
  • Upside Potential Ratio
    9.92295
  • Upside part of mean
    1.45312
  • Downside part of mean
    -1.22974
  • Upside SD
    0.15659
  • Downside SD
    0.14644
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11807
  • Mean of criterion
    0.22339
  • SD of predictor
    0.11509
  • SD of criterion
    0.21477
  • Covariance
    0.01020
  • r
    0.41263
  • b (slope, estimate of beta)
    0.77002
  • a (intercept, estimate of alpha)
    0.13247
  • Mean Square Error
    0.03857
  • DF error
    129.00000
  • t(b)
    5.14498
  • p(b)
    0.24497
  • t(a)
    0.47600
  • p(a)
    0.47335
  • Lowerbound of 95% confidence interval for beta
    0.47391
  • Upperbound of 95% confidence interval for beta
    1.06614
  • Lowerbound of 95% confidence interval for alpha
    -0.41816
  • Upperbound of 95% confidence interval for alpha
    0.68310
  • Treynor index (mean / b)
    0.29010
  • Jensen alpha (a)
    0.13247
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20040
  • SD
    0.21476
  • Sharpe ratio (Glass type estimate)
    0.93312
  • Sharpe ratio (Hedges UMVUE)
    0.92773
  • df
    130.00000
  • t
    0.65982
  • p
    0.47111
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.84270
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.70556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.84637
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70183
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.35237
  • Upside Potential Ratio
    9.72384
  • Upside part of mean
    1.44089
  • Downside part of mean
    -1.24050
  • Upside SD
    0.15481
  • Downside SD
    0.14818
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11145
  • Mean of criterion
    0.20040
  • SD of predictor
    0.11519
  • SD of criterion
    0.21476
  • Covariance
    0.01020
  • r
    0.41240
  • b (slope, estimate of beta)
    0.76890
  • a (intercept, estimate of alpha)
    0.11470
  • Mean Square Error
    0.03857
  • DF error
    129.00000
  • t(b)
    5.14159
  • p(b)
    0.24510
  • t(a)
    0.41222
  • p(a)
    0.47691
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.47302
  • Upperbound of 95% confidence interval for beta
    1.06478
  • Lowerbound of 95% confidence interval for alpha
    -0.43583
  • Upperbound of 95% confidence interval for alpha
    0.66524
  • Treynor index (mean / b)
    0.26062
  • Jensen alpha (a)
    0.11470
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02084
  • Expected Shortfall on VaR
    0.02624
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00986
  • Expected Shortfall on VaR
    0.01910
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95999
  • Quartile 1
    0.99217
  • Median
    1.00165
  • Quartile 3
    1.00931
  • Maximum
    1.04053
  • Mean of quarter 1
    0.98428
  • Mean of quarter 2
    0.99747
  • Mean of quarter 3
    1.00522
  • Mean of quarter 4
    1.01699
  • Inter Quartile Range
    0.01715
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96196
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03809
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09561
  • VaR(95%) (moments method)
    0.01623
  • Expected Shortfall (moments method)
    0.02229
  • Extreme Value Index (regression method)
    0.07228
  • VaR(95%) (regression method)
    0.01460
  • Expected Shortfall (regression method)
    0.01918
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00087
  • Quartile 1
    0.00552
  • Median
    0.01658
  • Quartile 3
    0.03321
  • Maximum
    0.10177
  • Mean of quarter 1
    0.00343
  • Mean of quarter 2
    0.00791
  • Mean of quarter 3
    0.02544
  • Mean of quarter 4
    0.07472
  • Inter Quartile Range
    0.02770
  • 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
    0.20000
  • Mean of outliers high
    0.09427
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -72.60390
  • VaR(95%) (moments method)
    0.07064
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.77011
  • VaR(95%) (regression method)
    0.14815
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.14891
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -315292000
  • Max Equity Drawdown (num days)
    18
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24184
  • Compounded annual return (geometric extrapolation)
    0.25647
  • Calmar ratio (compounded annual return / max draw down)
    2.51995
  • Compounded annual return / average of 25% largest draw downs
    3.43238
  • Compounded annual return / Expected Shortfall lognormal
    9.77372

Strategy Description

The strategy utilizes a forecast that is 120 day out. The selection is done through automation once the daily processing is done. The engine uses (but is not limited to) such things as current daily data including stock price, various global commodity prices, moving and current sector and industry averages, the latest quarterly filings with the SEC and various bond rates. It will not short stocks and will not reinvest funds from sales for 3 days.

The minimum price for any stock to be considered for purchasing is $5 per share. the 13 week moving volume average needs to be at least 80,000 shares per day. The portfolio size should be a maximum of 45 securities holding no security longer than 80 days.

The intent of this is to have buy low and sell high strategy that does not require margin. There is no short selling. Since positions will get closed the moment they meet gain requirements and stocks may take a while to hit them the current positions are often neutral or negative but the overall results are positive due to previous sales.

Normally, all orders put in once a day before market open with either limit orders or market orders in the event a position is being closed regardless of the price.

This is all done through automation which means, it is possible that unforeseen events can happen that prevent the daily run to either finish in time or to be run for that day at all (though it unlikely). Fortunately all the positions selected are based on positive forecasts 120 days out. So, ideally in this unlikely event the positions can remain open with no ill effect on average.

Summary Statistics

Strategy began
2020-11-21
Suggested Minimum Capital
$15,000
Rank at C2 
#191
# Trades
795
# Profitable
606
% Profitable
76.2%
Net Dividends
Correlation S&P500
0.398
Sharpe Ratio
1.30
Sortino Ratio
1.95
Beta
0.61
Alpha
0.04
Leverage
0.67 Average
1.11 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.