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Data Miner AI 2b
(132385285)

Created by: JamesScheibel JamesScheibel
Started: 11/2020
Stocks
Last trade: 7 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."
9.7%
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.

(20.4%)
Max Drawdown
965
Num Trades
68.9%
Win Trades
1.2 : 1
Profit Factor
53.3%
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%)(0.5%)(2.3%)(0.4%)+13.3%
2022(10.4%)                                                                  (10.4%)

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.

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

Trading Record

This strategy has placed 350 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 59 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/30/21 9:30 ATRA ATARA BIOTHERAPEUTICS INC LONG 116 17.14 1/14/22 9:30 14.40 0.54%
Trade id #138753323
Max drawdown($372)
Time1/13/22 0:00
Quant open116
Worst price13.93
Drawdown as % of equity-0.54%
($320)
Includes Typical Broker Commissions trade costs of $2.32
1/5/22 9:30 DHR DANAHER LONG 6 309.65 1/14 9:30 289.88 0.17%
Trade id #138825137
Max drawdown($124)
Time1/14/22 9:30
Quant open6
Worst price288.96
Drawdown as % of equity-0.17%
($119)
Includes Typical Broker Commissions trade costs of $0.12
1/13/22 9:30 SAGE SAGE THERAPEUTICS INC. COMMON LONG 46 42.84 1/14 9:30 42.15 0.13%
Trade id #138931878
Max drawdown($93)
Time1/14/22 0:00
Quant open46
Worst price40.81
Drawdown as % of equity-0.13%
($33)
Includes Typical Broker Commissions trade costs of $0.92
1/3/22 9:30 AVLR AVALARA INC LONG 15 129.00 1/13 9:31 117.73 0.52%
Trade id #138787237
Max drawdown($372)
Time1/10/22 0:00
Quant open15
Worst price104.14
Drawdown as % of equity-0.52%
($169)
Includes Typical Broker Commissions trade costs of $0.30
1/12/22 9:30 BLU BELLUS HEALTH INC LONG 295 6.77 1/13 9:31 6.35 0.34%
Trade id #138917264
Max drawdown($236)
Time1/13/22 0:00
Quant open295
Worst price5.97
Drawdown as % of equity-0.34%
($130)
Includes Typical Broker Commissions trade costs of $5.90
1/12/22 9:30 ALLK ALLAKOS INC. COMMON STOCK LONG 232 8.48 1/13 9:30 8.10 0.24%
Trade id #138917265
Max drawdown($167)
Time1/13/22 0:00
Quant open232
Worst price7.76
Drawdown as % of equity-0.24%
($93)
Includes Typical Broker Commissions trade costs of $4.64
1/11/22 9:30 CYTK CYTOKINETICS INCORPORATED COM LONG 55 35.63 1/13 9:30 33.79 0.15%
Trade id #138901188
Max drawdown($108)
Time1/12/22 0:00
Quant open55
Worst price33.66
Drawdown as % of equity-0.15%
($102)
Includes Typical Broker Commissions trade costs of $1.10
1/5/22 9:30 ROKU ROKU INC. CLASS A COMMON STOCK LONG 8 213.33 1/12 9:30 188.27 0.44%
Trade id #138824812
Max drawdown($318)
Time1/10/22 0:00
Quant open8
Worst price173.56
Drawdown as % of equity-0.44%
($200)
Includes Typical Broker Commissions trade costs of $0.16
1/11/22 9:30 EXEL EXELIXIS LONG 108 18.42 1/12 9:30 18.16 0.09%
Trade id #138901197
Max drawdown($64)
Time1/12/22 0:00
Quant open108
Worst price17.82
Drawdown as % of equity-0.09%
($30)
Includes Typical Broker Commissions trade costs of $2.16
1/4/22 9:30 MYOV MYOVANT SCIENCES LTD LONG 120 16.35 1/11 9:59 14.91 0.54%
Trade id #138805566
Max drawdown($385)
Time1/10/22 0:00
Quant open120
Worst price13.14
Drawdown as % of equity-0.54%
($175)
Includes Typical Broker Commissions trade costs of $2.40
1/10/22 9:30 NTLA INTELLIA THERAPEUTICS INC. COMMON STOCK LONG 18 103.19 1/11 9:30 104.93 0.09%
Trade id #138885035
Max drawdown($66)
Time1/10/22 9:35
Quant open18
Worst price99.51
Drawdown as % of equity-0.09%
$31
Includes Typical Broker Commissions trade costs of $0.36
1/6/22 9:30 JNCE JOUNCE THERAPEUTICS INC. COMMON STOCK LONG 254 7.75 1/11 9:30 6.79 0.43%
Trade id #138841619
Max drawdown($307)
Time1/10/22 0:00
Quant open254
Worst price6.54
Drawdown as % of equity-0.43%
($249)
Includes Typical Broker Commissions trade costs of $5.08
1/10/22 9:30 AVXL ANAVEX LIFE SCIENCES CORP. COMMON STOCK LONG 127 15.03 1/11 9:30 15.53 0.03%
Trade id #138885026
Max drawdown($20)
Time1/10/22 9:39
Quant open127
Worst price14.87
Drawdown as % of equity-0.03%
$61
Includes Typical Broker Commissions trade costs of $2.54
1/10/22 9:30 DNLI DENALI THERAPEUTICS INC. COMMON STOCK LONG 47 40.71 1/11 9:30 40.27 0.09%
Trade id #138885071
Max drawdown($65)
Time1/10/22 11:07
Quant open47
Worst price39.31
Drawdown as % of equity-0.09%
($22)
Includes Typical Broker Commissions trade costs of $0.94
1/10/22 9:30 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 25 75.69 1/11 9:30 80.34 0.07%
Trade id #138884993
Max drawdown($47)
Time1/10/22 10:00
Quant open25
Worst price73.80
Drawdown as % of equity-0.07%
$116
Includes Typical Broker Commissions trade costs of $0.50
1/7/22 9:30 ALNY ALNYLAM PHARMACEUTICALS LONG 19 151.01 1/11 9:30 151.11 0.23%
Trade id #138862879
Max drawdown($161)
Time1/10/22 0:00
Quant open19
Worst price142.51
Drawdown as % of equity-0.23%
$2
Includes Typical Broker Commissions trade costs of $0.38
1/3/22 9:30 MSFT MICROSOFT LONG 5 335.77 1/11 9:30 313.38 0.22%
Trade id #138787127
Max drawdown($155)
Time1/10/22 0:00
Quant open5
Worst price304.69
Drawdown as % of equity-0.22%
($112)
Includes Typical Broker Commissions trade costs of $0.10
12/31/21 9:30 ADBE ADOBE INC LONG 3 569.99 1/11/22 9:30 525.55 0.31%
Trade id #138765469
Max drawdown($218)
Time1/10/22 0:00
Quant open3
Worst price497.01
Drawdown as % of equity-0.31%
($133)
Includes Typical Broker Commissions trade costs of $0.06
12/31/21 9:30 PYPL PAYPAL HOLDINGS CORP LONG 10 191.45 1/11/22 9:30 182.85 0.2%
Trade id #138765460
Max drawdown($140)
Time1/10/22 0:00
Quant open10
Worst price177.40
Drawdown as % of equity-0.20%
($86)
Includes Typical Broker Commissions trade costs of $0.20
12/30/21 9:30 ANET ARISTA NETWORKS INC LONG 13 146.00 1/11/22 9:30 131.99 0.37%
Trade id #138753312
Max drawdown($261)
Time1/10/22 0:00
Quant open13
Worst price125.89
Drawdown as % of equity-0.37%
($182)
Includes Typical Broker Commissions trade costs of $0.26
1/6/22 9:30 TLRY TILRAY BRANDS INC LONG 298 6.66 1/10 9:30 7.16 0.15%
Trade id #138841302
Max drawdown($110)
Time1/7/22 0:00
Quant open298
Worst price6.29
Drawdown as % of equity-0.15%
$143
Includes Typical Broker Commissions trade costs of $5.96
1/7/22 9:30 CRTX CORTEXYME INC. COMMON STOCK LONG 248 11.93 1/10 9:30 11.72 0.08%
Trade id #138862587
Max drawdown($59)
Time1/7/22 11:06
Quant open248
Worst price11.69
Drawdown as % of equity-0.08%
($58)
Includes Typical Broker Commissions trade costs of $4.96
1/7/22 9:30 LAC LITHIUM AMERICAS INC LONG 101 29.45 1/10 9:30 27.21 0.37%
Trade id #138862569
Max drawdown($262)
Time1/10/22 9:30
Quant open101
Worst price26.85
Drawdown as % of equity-0.37%
($228)
Includes Typical Broker Commissions trade costs of $2.02
12/31/21 9:30 INO INOVIO PHARMACEUTICALS INC. C LONG 381 5.19 1/10/22 9:30 4.61 0.38%
Trade id #138765455
Max drawdown($274)
Time1/6/22 0:00
Quant open381
Worst price4.47
Drawdown as % of equity-0.38%
($229)
Includes Typical Broker Commissions trade costs of $7.62
1/4/22 9:30 PRVB PROVENTION BIO INC. COMMON STOCK LONG 333 5.92 1/10 9:30 5.20 0.34%
Trade id #138805617
Max drawdown($246)
Time1/10/22 9:30
Quant open333
Worst price5.18
Drawdown as % of equity-0.34%
($247)
Includes Typical Broker Commissions trade costs of $6.66
1/7/22 9:30 SNAP SNAP INC LONG 71 41.54 1/10 9:30 40.74 0.1%
Trade id #138862576
Max drawdown($73)
Time1/10/22 9:30
Quant open71
Worst price40.50
Drawdown as % of equity-0.10%
($58)
Includes Typical Broker Commissions trade costs of $1.42
1/10/22 9:30 BBIO BRIDGEBIO PHARMA INC LONG 135 14.58 1/10 9:30 0.00 0.23%
Trade id #138885008
Max drawdown($163)
Time1/10/22 11:08
Quant open135
Worst price13.37
Drawdown as % of equity-0.23%
($1,969)
Includes Typical Broker Commissions trade costs of $1.35
1/7/22 9:30 XNCR XENCOR INC. COMMON STOCK LONG 75 39.47 1/10 9:30 37.67 0.19%
Trade id #138862585
Max drawdown($135)
Time1/10/22 9:30
Quant open75
Worst price37.66
Drawdown as % of equity-0.19%
($137)
Includes Typical Broker Commissions trade costs of $1.50
1/6/22 9:30 PGNY PROGYNY INC. LONG 42 45.49 1/10 9:30 43.00 0.17%
Trade id #138841311
Max drawdown($120)
Time1/10/22 9:30
Quant open42
Worst price42.61
Drawdown as % of equity-0.17%
($106)
Includes Typical Broker Commissions trade costs of $0.84
1/4/22 9:30 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 9 195.89 1/10 9:30 182.38 0.24%
Trade id #138805567
Max drawdown($176)
Time1/6/22 0:00
Quant open9
Worst price176.25
Drawdown as % of equity-0.24%
($122)
Includes Typical Broker Commissions trade costs of $0.18

Statistics

  • Strategy began
    11/21/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    426.05
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    965
  • # Profitable
    665
  • % Profitable
    68.90%
  • Avg trade duration
    10.5 days
  • Max peak-to-valley drawdown
    20.44%
  • drawdown period
    Sept 02, 2021 - Jan 21, 2022
  • Annual Return (Compounded)
    9.7%
  • Avg win
    $108.07
  • Avg loss
    $201.23
  • Model Account Values (Raw)
  • Cash
    $60,579
  • Margin Used
    $0
  • Buying Power
    $58,194
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.54
  • Sortino Ratio
    0.79
  • Calmar Ratio
    1.222
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -12.16%
  • Correlation to SP500
    0.37510
  • Return Percent SP500 (cumu) during strategy life
    23.62%
  • Return Statistics
  • Ann Return (w trading costs)
    9.7%
  • Slump
  • Current Slump as Pcnt Equity
    25.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.33%
  • Return Statistics
  • Return Pcnt Since TOS Status
    31.830%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.097%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    55.00%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    4.00%
  • 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)
    696
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    769
  • Popularity (7 days, Percentile 1000 scale)
    502
  • 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
    $201
  • Avg Win
    $108
  • Sum Trade PL (losers)
    $60,368.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $71,869.000
  • # Winners
    665
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    199
  • Win / Loss
  • # Losers
    300
  • % Winners
    68.9%
  • Frequency
  • Avg Position Time (mins)
    -13209.00
  • Avg Position Time (hrs)
    -220.15
  • Avg Trade Length
    -9.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.63
  • Daily leverage (max)
    1.11
  • Regression
  • Alpha
    0.01
  • Beta
    0.51
  • Treynor Index
    0.06
  • 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)
    0.04
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    25.836
  • 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
    0.673
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.247
  • Hold-and-Hope Ratio
    0.038
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24116
  • SD
    0.15667
  • Sharpe ratio (Glass type estimate)
    1.53930
  • Sharpe ratio (Hedges UMVUE)
    1.44069
  • df
    12.00000
  • t
    1.60215
  • p
    0.29011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46855
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.48978
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52862
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41000
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.80014
  • Upside Potential Ratio
    5.50143
  • Upside part of mean
    0.34913
  • Downside part of mean
    -0.10797
  • Upside SD
    0.15322
  • Downside SD
    0.06346
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.24595
  • Mean of criterion
    0.24116
  • SD of predictor
    0.06914
  • SD of criterion
    0.15667
  • Covariance
    0.00202
  • r
    0.18607
  • b (slope, estimate of beta)
    0.42163
  • a (intercept, estimate of alpha)
    0.13747
  • Mean Square Error
    0.02585
  • DF error
    11.00000
  • t(b)
    0.62811
  • p(b)
    0.27138
  • t(a)
    0.60801
  • p(a)
    0.27776
  • Lowerbound of 95% confidence interval for beta
    -1.05581
  • Upperbound of 95% confidence interval for beta
    1.89906
  • Lowerbound of 95% confidence interval for alpha
    -0.36016
  • Upperbound of 95% confidence interval for alpha
    0.63510
  • Treynor index (mean / b)
    0.57199
  • Jensen alpha (a)
    0.13747
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22743
  • SD
    0.15282
  • Sharpe ratio (Glass type estimate)
    1.48822
  • Sharpe ratio (Hedges UMVUE)
    1.39288
  • df
    12.00000
  • t
    1.54898
  • p
    0.29590
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43336
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57091
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35668
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.51825
  • Upside Potential Ratio
    5.21649
  • Upside part of mean
    0.33720
  • Downside part of mean
    -0.10978
  • Upside SD
    0.14727
  • Downside SD
    0.06464
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.24078
  • Mean of criterion
    0.22743
  • SD of predictor
    0.06788
  • SD of criterion
    0.15282
  • Covariance
    0.00187
  • r
    0.18075
  • b (slope, estimate of beta)
    0.40694
  • a (intercept, estimate of alpha)
    0.12944
  • Mean Square Error
    0.02464
  • DF error
    11.00000
  • t(b)
    0.60952
  • p(b)
    0.27728
  • t(a)
    0.58722
  • p(a)
    0.28446
  • Lowerbound of 95% confidence interval for beta
    -1.06254
  • Upperbound of 95% confidence interval for beta
    1.87642
  • Lowerbound of 95% confidence interval for alpha
    -0.35573
  • Upperbound of 95% confidence interval for alpha
    0.61462
  • Treynor index (mean / b)
    0.55887
  • Jensen alpha (a)
    0.12944
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05220
  • Expected Shortfall on VaR
    0.06939
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01748
  • Expected Shortfall on VaR
    0.03552
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.95614
  • Quartile 1
    0.99780
  • Median
    1.01828
  • Quartile 3
    1.05220
  • Maximum
    1.10457
  • Mean of quarter 1
    0.97354
  • Mean of quarter 2
    1.00840
  • Mean of quarter 3
    1.04173
  • Mean of quarter 4
    1.08232
  • Inter Quartile Range
    0.05440
  • 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)
    -37.14440
  • VaR(95%) (moments method)
    0.00833
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.13316
  • VaR(95%) (regression method)
    0.05729
  • Expected Shortfall (regression method)
    0.05822
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00220
  • Quartile 1
    0.01740
  • Median
    0.03259
  • Quartile 3
    0.04779
  • Maximum
    0.06298
  • Mean of quarter 1
    0.00220
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06298
  • Inter Quartile Range
    0.03039
  • 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)
    0.29414
  • Compounded annual return (geometric extrapolation)
    0.29089
  • Calmar ratio (compounded annual return / max draw down)
    4.61862
  • Compounded annual return / average of 25% largest draw downs
    4.61862
  • Compounded annual return / Expected Shortfall lognormal
    4.19238
  • 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
    0.16142
  • SD
    0.17484
  • Sharpe ratio (Glass type estimate)
    0.92320
  • Sharpe ratio (Hedges UMVUE)
    0.92090
  • df
    301.00000
  • t
    0.99117
  • p
    0.16120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90458
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74951
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90614
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74793
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37234
  • Upside Potential Ratio
    9.37576
  • Upside part of mean
    1.10278
  • Downside part of mean
    -0.94137
  • Upside SD
    0.12936
  • Downside SD
    0.11762
  • N nonnegative terms
    159.00000
  • N negative terms
    143.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    302.00000
  • Mean of predictor
    0.15985
  • Mean of criterion
    0.16142
  • SD of predictor
    0.13124
  • SD of criterion
    0.17484
  • Covariance
    0.00840
  • r
    0.36623
  • b (slope, estimate of beta)
    0.48790
  • a (intercept, estimate of alpha)
    0.08300
  • Mean Square Error
    0.02656
  • DF error
    300.00000
  • t(b)
    6.81682
  • p(b)
    0.00000
  • t(a)
    0.54805
  • p(a)
    0.29203
  • Lowerbound of 95% confidence interval for beta
    0.34705
  • Upperbound of 95% confidence interval for beta
    0.62875
  • Lowerbound of 95% confidence interval for alpha
    -0.21613
  • Upperbound of 95% confidence interval for alpha
    0.38299
  • Treynor index (mean / b)
    0.33084
  • Jensen alpha (a)
    0.08342
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14614
  • SD
    0.17471
  • Sharpe ratio (Glass type estimate)
    0.83644
  • Sharpe ratio (Hedges UMVUE)
    0.83435
  • df
    301.00000
  • t
    0.89802
  • p
    0.18495
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99102
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66253
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99242
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66112
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22960
  • Upside Potential Ratio
    9.20845
  • Upside part of mean
    1.09442
  • Downside part of mean
    -0.94828
  • Upside SD
    0.12799
  • Downside SD
    0.11885
  • N nonnegative terms
    159.00000
  • N negative terms
    143.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    302.00000
  • Mean of predictor
    0.15120
  • Mean of criterion
    0.14614
  • SD of predictor
    0.13134
  • SD of criterion
    0.17471
  • Covariance
    0.00841
  • r
    0.36649
  • b (slope, estimate of beta)
    0.48751
  • a (intercept, estimate of alpha)
    0.07243
  • Mean Square Error
    0.02651
  • DF error
    300.00000
  • t(b)
    6.82256
  • p(b)
    0.00000
  • t(a)
    0.47635
  • p(a)
    0.31709
  • Lowerbound of 95% confidence interval for beta
    0.34690
  • Upperbound of 95% confidence interval for beta
    0.62813
  • Lowerbound of 95% confidence interval for alpha
    -0.22679
  • Upperbound of 95% confidence interval for alpha
    0.37164
  • Treynor index (mean / b)
    0.29976
  • Jensen alpha (a)
    0.07243
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01705
  • Expected Shortfall on VaR
    0.02147
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00801
  • Expected Shortfall on VaR
    0.01569
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    302.00000
  • Minimum
    0.95999
  • Quartile 1
    0.99501
  • Median
    1.00048
  • Quartile 3
    1.00660
  • Maximum
    1.04053
  • Mean of quarter 1
    0.98753
  • Mean of quarter 2
    0.99840
  • Mean of quarter 3
    1.00309
  • Mean of quarter 4
    1.01387
  • Inter Quartile Range
    0.01160
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.01987
  • Mean of outliers low
    0.96947
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.02318
  • Mean of outliers high
    1.03135
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17569
  • VaR(95%) (moments method)
    0.01165
  • Expected Shortfall (moments method)
    0.01468
  • Extreme Value Index (regression method)
    -0.00367
  • VaR(95%) (regression method)
    0.01111
  • Expected Shortfall (regression method)
    0.01485
  • 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
    0.15553
  • Mean of quarter 1
    0.00102
  • Mean of quarter 2
    0.00470
  • Mean of quarter 3
    0.00957
  • Mean of quarter 4
    0.07002
  • 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
    0.10708
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.07664
  • VaR(95%) (moments method)
    0.06426
  • Expected Shortfall (moments method)
    0.09406
  • Extreme Value Index (regression method)
    0.62692
  • VaR(95%) (regression method)
    0.09188
  • Expected Shortfall (regression method)
    0.26604
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19273
  • Compounded annual return (geometric extrapolation)
    0.19011
  • Calmar ratio (compounded annual return / max draw down)
    1.22232
  • Compounded annual return / average of 25% largest draw downs
    2.71503
  • Compounded annual return / Expected Shortfall lognormal
    8.85661
  • 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
    -0.19727
  • SD
    0.18392
  • Sharpe ratio (Glass type estimate)
    -1.07255
  • Sharpe ratio (Hedges UMVUE)
    -1.06635
  • df
    130.00000
  • t
    -0.75841
  • p
    0.53319
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.84537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70438
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.84118
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70849
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.46007
  • Upside Potential Ratio
    7.16838
  • Upside part of mean
    0.96850
  • Downside part of mean
    -1.16577
  • Upside SD
    0.12435
  • Downside SD
    0.13511
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00518
  • Mean of criterion
    -0.19727
  • SD of predictor
    0.13326
  • SD of criterion
    0.18392
  • Covariance
    0.00817
  • r
    0.33341
  • b (slope, estimate of beta)
    0.46014
  • a (intercept, estimate of alpha)
    -0.19488
  • Mean Square Error
    0.03030
  • DF error
    129.00000
  • t(b)
    4.01659
  • p(b)
    0.29175
  • t(a)
    -0.79165
  • p(a)
    0.54423
  • Lowerbound of 95% confidence interval for beta
    0.23348
  • Upperbound of 95% confidence interval for beta
    0.68681
  • Lowerbound of 95% confidence interval for alpha
    -0.68194
  • Upperbound of 95% confidence interval for alpha
    0.29218
  • Treynor index (mean / b)
    -0.42871
  • Jensen alpha (a)
    -0.19488
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21413
  • SD
    0.18410
  • Sharpe ratio (Glass type estimate)
    -1.16313
  • Sharpe ratio (Hedges UMVUE)
    -1.15641
  • df
    130.00000
  • t
    -0.82246
  • p
    0.53597
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.93637
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61446
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.93178
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61896
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.56776
  • Upside Potential Ratio
    7.03424
  • Upside part of mean
    0.96077
  • Downside part of mean
    -1.17490
  • Upside SD
    0.12310
  • Downside SD
    0.13659
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01401
  • Mean of criterion
    -0.21413
  • SD of predictor
    0.13346
  • SD of criterion
    0.18410
  • Covariance
    0.00819
  • r
    0.33346
  • b (slope, estimate of beta)
    0.46000
  • a (intercept, estimate of alpha)
    -0.20769
  • Mean Square Error
    0.03036
  • DF error
    129.00000
  • t(b)
    4.01736
  • p(b)
    0.29171
  • t(a)
    -0.84286
  • p(a)
    0.54707
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.23345
  • Upperbound of 95% confidence interval for beta
    0.68654
  • Lowerbound of 95% confidence interval for alpha
    -0.69522
  • Upperbound of 95% confidence interval for alpha
    0.27984
  • Treynor index (mean / b)
    -0.46551
  • Jensen alpha (a)
    -0.20769
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01934
  • Expected Shortfall on VaR
    0.02398
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01102
  • Expected Shortfall on VaR
    0.02022
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95999
  • Quartile 1
    0.99291
  • Median
    1.00000
  • Quartile 3
    1.00445
  • Maximum
    1.03565
  • Mean of quarter 1
    0.98543
  • Mean of quarter 2
    0.99714
  • Mean of quarter 3
    1.00116
  • Mean of quarter 4
    1.01374
  • Inter Quartile Range
    0.01154
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96425
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.02574
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.20140
  • VaR(95%) (moments method)
    0.01480
  • Expected Shortfall (moments method)
    0.01809
  • Extreme Value Index (regression method)
    -0.21851
  • VaR(95%) (regression method)
    0.01423
  • Expected Shortfall (regression method)
    0.01713
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00102
  • Quartile 1
    0.01058
  • Median
    0.02204
  • Quartile 3
    0.07668
  • Maximum
    0.15553
  • Mean of quarter 1
    0.00580
  • Mean of quarter 2
    0.02204
  • Mean of quarter 3
    0.07668
  • Mean of quarter 4
    0.15553
  • Inter Quartile Range
    0.06610
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -303676000
  • Max Equity Drawdown (num days)
    141
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.17782
  • Compounded annual return (geometric extrapolation)
    -0.16991
  • Calmar ratio (compounded annual return / max draw down)
    -1.09248
  • Compounded annual return / average of 25% largest draw downs
    -1.09248
  • Compounded annual return / Expected Shortfall lognormal
    -7.08652

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 30 securities.

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 
#190
# Trades
965
# Profitable
665
% Profitable
68.9%
Net Dividends
Correlation S&P500
0.375
Sharpe Ratio
0.54
Sortino Ratio
0.79
Beta
0.51
Alpha
0.01
Leverage
0.63 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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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.