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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 08/20/2020
Most recent certification approved 9/23/20 11:42 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 387
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 340
Percent signals followed since 08/20/2020 87.9%
This information was last updated 9/23/20 12:28 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 08/20/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

NQ Focused Fund
(87581363)

Created by: NQCapitalMgmt NQCapitalMgmt
Started: 05/2014
Stocks
Last trade: 2 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."
23.7%
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.

(55.4%)
Max Drawdown
1954
Num Trades
52.8%
Win Trades
1.9 : 1
Profit Factor
61.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                            +3.1%+5.3%(0.7%)+3.9%(2.4%)+2.6%+3.5%(0.2%)+15.8%
2015(3.9%)+7.7%+1.8%+5.1%+0.9%(3.3%)+2.4%(5.2%)(10.4%)+8.6%+0.9%(3.3%)(0.3%)
2016(3.5%)(0.2%)+7.1%(1.9%)+0.3%+5.1%+1.1%(2%)+0.6%(3.8%)+9.0%(0.5%)+11.0%
2017+5.2%(1.1%)(5.6%)(2.2%)(2.3%)+1.3%(1.4%)+5.8%+4.6%+0.9%(7%)+3.3%+0.6%
2018+6.6%(2.4%)(6.7%)(2.3%)+17.3%+5.2%+0.6%+4.4%(0.3%)(12.8%)+0.6%(10.5%)(3.7%)
2019+6.7%+4.3%+2.2%+4.1%+0.8%+6.1%+6.2%(2.2%)(9.5%)+1.4%+10.2%+0.8%+34.2%
2020+7.8%(13.4%)(12.4%)+35.2%+22.0%+32.8%+13.5%+3.5%+10.9%                  +133.5%

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

This strategy has placed 349 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
9/23/20 10:33 TREX TREX COMPANY LONG 20 68.44 9/23 12:02 68.55 0.01%
Trade id #131315431
Max drawdown($10)
Time9/23/20 10:36
Quant open20
Worst price67.91
Drawdown as % of equity-0.01%
$2
Includes Typical Broker Commissions trade costs of $0.40
9/22/20 9:30 APPF APPFOLIO INC. CLASS A COMMON STOCK LONG 50 141.10 9/23 12:02 142.27 0.16%
Trade id #131289506
Max drawdown($332)
Time9/22/20 10:50
Quant open50
Worst price134.45
Drawdown as % of equity-0.16%
$58
Includes Typical Broker Commissions trade costs of $1.00
9/23/20 10:34 CWH CAMPING WORLD HOLDINGS INC LONG 100 30.19 9/23 11:59 29.71 0.03%
Trade id #131315472
Max drawdown($66)
Time9/23/20 11:54
Quant open100
Worst price29.52
Drawdown as % of equity-0.03%
($50)
Includes Typical Broker Commissions trade costs of $2.00
9/23/20 9:54 LVGO LIVONGO HEALTH INC LONG 100 135.29 9/23 11:59 136.85 n/a $154
Includes Typical Broker Commissions trade costs of $2.00
8/25/20 9:30 PINS PINTEREST INC LONG 850 35.09 9/23 11:58 35.47 0.43%
Trade id #130774625
Max drawdown($754)
Time9/4/20 0:00
Quant open400
Worst price32.84
Drawdown as % of equity-0.43%
$309
Includes Typical Broker Commissions trade costs of $17.00
9/23/20 10:33 MTCH MATCH GROUP LONG 20 106.74 9/23 11:42 106.22 0.01%
Trade id #131315396
Max drawdown($13)
Time9/23/20 11:34
Quant open10
Worst price105.35
Drawdown as % of equity-0.01%
($10)
Includes Typical Broker Commissions trade costs of $0.40
9/23/20 10:38 COUP COUPA SOFTWARE INCORPORATED COMMON STOCK LONG 10 270.84 9/23 11:39 272.66 n/a $18
Includes Typical Broker Commissions trade costs of $0.20
9/23/20 9:45 IWM ISHARES RUSSELL 2000 INDEX SHORT 500 149.35 9/23 10:41 148.04 0.01%
Trade id #131313033
Max drawdown($18)
Time9/23/20 9:49
Quant open500
Worst price149.39
Drawdown as % of equity-0.01%
$647
Includes Typical Broker Commissions trade costs of $10.00
9/23/20 9:53 SDC SMILEDIRECTCLUB INC. LONG 100 10.79 9/23 10:39 10.94 0%
Trade id #131313638
Max drawdown($2)
Time9/23/20 10:00
Quant open100
Worst price10.76
Drawdown as % of equity-0.00%
$13
Includes Typical Broker Commissions trade costs of $2.00
9/15/20 9:30 LGF.A LIONS GATE ENTERTAINMENT CLASS A LONG 1,600 9.88 9/23 9:59 9.67 0.18%
Trade id #131178518
Max drawdown($366)
Time9/23/20 9:48
Quant open1,000
Worst price9.51
Drawdown as % of equity-0.18%
($348)
Includes Typical Broker Commissions trade costs of $10.00
8/31/20 9:30 CWH CAMPING WORLD HOLDINGS INC LONG 2,650 31.68 9/23 9:58 32.75 3%
Trade id #130892205
Max drawdown($5,185)
Time8/31/20 12:44
Quant open1,800
Worst price28.09
Drawdown as % of equity-3.00%
$2,801
Includes Typical Broker Commissions trade costs of $36.50
9/11/20 13:00 UA UNDERARMOUR CLASS C LONG 1,200 10.03 9/23 9:58 10.05 0.15%
Trade id #131135853
Max drawdown($293)
Time9/21/20 0:00
Quant open400
Worst price9.30
Drawdown as % of equity-0.15%
$5
Includes Typical Broker Commissions trade costs of $13.00
9/22/20 9:30 MTCH MATCH GROUP LONG 50 108.38 9/23 9:57 106.76 0.07%
Trade id #131289521
Max drawdown($146)
Time9/22/20 11:07
Quant open50
Worst price105.46
Drawdown as % of equity-0.07%
($82)
Includes Typical Broker Commissions trade costs of $1.00
9/1/20 13:27 TREX TREX COMPANY LONG 285 74.60 9/23 9:56 70.37 0.28%
Trade id #130926127
Max drawdown($563)
Time9/21/20 0:00
Quant open50
Worst price63.32
Drawdown as % of equity-0.28%
($1,209)
Includes Typical Broker Commissions trade costs of $5.70
9/9/20 9:39 SFIX STITCH FIX INC. CLASS A COMMON STOCK LONG 350 28.48 9/23 9:52 28.19 0.16%
Trade id #131085107
Max drawdown($277)
Time9/9/20 9:53
Quant open200
Worst price27.43
Drawdown as % of equity-0.16%
($108)
Includes Typical Broker Commissions trade costs of $7.00
9/15/20 14:33 IWM ISHARES RUSSELL 2000 INDEX SHORT 500 154.05 9/22 9:47 148.67 0.59%
Trade id #131186583
Max drawdown($1,082)
Time9/16/20 0:00
Quant open400
Worst price156.85
Drawdown as % of equity-0.59%
$2,679
Includes Typical Broker Commissions trade costs of $10.00
9/11/20 9:30 IPI INTREPID POTASH LONG 1,000 9.19 9/22 9:30 9.13 0.1%
Trade id #131129008
Max drawdown($173)
Time9/16/20 0:00
Quant open400
Worst price8.92
Drawdown as % of equity-0.10%
($75)
Includes Typical Broker Commissions trade costs of $20.00
9/11/20 9:30 KL KIRKLAND LAKE GOLD LTD LONG 150 53.62 9/22 9:30 51.30 0.23%
Trade id #131129016
Max drawdown($461)
Time9/21/20 0:00
Quant open100
Worst price49.01
Drawdown as % of equity-0.23%
($351)
Includes Typical Broker Commissions trade costs of $3.00
9/11/20 9:30 WING WINGSTOP INC. COMMON STOCK LONG 75 135.36 9/17 9:37 129.61 0.21%
Trade id #131129041
Max drawdown($400)
Time9/17/20 9:35
Quant open50
Worst price127.34
Drawdown as % of equity-0.21%
($433)
Includes Typical Broker Commissions trade costs of $1.50
9/1/20 9:30 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 125 129.67 9/17 9:37 128.66 0.79%
Trade id #130917651
Max drawdown($1,380)
Time9/4/20 0:00
Quant open80
Worst price115.25
Drawdown as % of equity-0.79%
($129)
Includes Typical Broker Commissions trade costs of $2.50
9/2/20 12:50 ZEN ZENDESK INC LONG 100 106.51 9/11 12:59 95.91 0.76%
Trade id #130946720
Max drawdown($1,291)
Time9/8/20 0:00
Quant open100
Worst price93.60
Drawdown as % of equity-0.76%
($1,062)
Includes Typical Broker Commissions trade costs of $2.00
8/27/20 12:55 ESTC ELASTIC NV LONG 150 110.17 9/11 12:59 104.67 0.93%
Trade id #130823450
Max drawdown($1,614)
Time9/4/20 0:00
Quant open100
Worst price94.03
Drawdown as % of equity-0.93%
($829)
Includes Typical Broker Commissions trade costs of $3.00
9/3/20 9:30 TLT ISHARES 20+ YEAR TREASURY BOND SHORT 500 164.41 9/10 12:11 162.62 0.08%
Trade id #130969967
Max drawdown($149)
Time9/3/20 11:19
Quant open100
Worst price167.24
Drawdown as % of equity-0.08%
$882
Includes Typical Broker Commissions trade costs of $10.00
9/9/20 15:36 SDC SMILEDIRECTCLUB INC. LONG 400 11.25 9/10 10:03 11.60 0.02%
Trade id #131093541
Max drawdown($43)
Time9/10/20 0:00
Quant open400
Worst price11.14
Drawdown as % of equity-0.02%
$133
Includes Typical Broker Commissions trade costs of $8.00
9/3/20 9:30 HA HAWAIIAN HOLDINGS LONG 1,300 13.93 9/9 15:41 13.48 0.55%
Trade id #130969961
Max drawdown($945)
Time9/9/20 10:55
Quant open1,000
Worst price13.11
Drawdown as % of equity-0.55%
($596)
Includes Typical Broker Commissions trade costs of $16.00
9/9/20 9:39 SDC SMILEDIRECTCLUB INC. LONG 1,000 11.11 9/9 13:39 11.16 0.25%
Trade id #131085120
Max drawdown($428)
Time9/9/20 10:34
Quant open800
Worst price10.56
Drawdown as % of equity-0.25%
$43
Includes Typical Broker Commissions trade costs of $9.00
9/1/20 13:27 AAXN AXON ENTERPRISE INC LONG 50 88.09 9/9 13:39 84.93 0.25%
Trade id #130926121
Max drawdown($418)
Time9/8/20 0:00
Quant open50
Worst price79.72
Drawdown as % of equity-0.25%
($159)
Includes Typical Broker Commissions trade costs of $1.00
9/3/20 9:30 ASR GRUPO AEROPORTUARIO DEL LONG 50 112.33 9/9 13:08 112.92 0.08%
Trade id #130969928
Max drawdown($139)
Time9/3/20 15:13
Quant open50
Worst price109.54
Drawdown as % of equity-0.08%
$28
Includes Typical Broker Commissions trade costs of $1.00
9/8/20 11:00 BYND BEYOND MEAT INC. COMMON STOCK LONG 50 133.53 9/9 9:41 134.50 0.04%
Trade id #131066648
Max drawdown($64)
Time9/9/20 9:30
Quant open50
Worst price132.24
Drawdown as % of equity-0.04%
$47
Includes Typical Broker Commissions trade costs of $1.00
8/31/20 12:35 WORK SLACK TECHNOLOGIES INC LONG 200 32.38 9/9 9:39 26.49 0.5%
Trade id #130898137
Max drawdown($877)
Time9/4/20 0:00
Quant open200
Worst price28.00
Drawdown as % of equity-0.50%
($1,182)
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    5/15/2014
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2324.83
  • Age
    78 months ago
  • What it trades
    Stocks
  • # Trades
    1954
  • # Profitable
    1032
  • % Profitable
    52.80%
  • Avg trade duration
    25.4 days
  • Max peak-to-valley drawdown
    55.37%
  • drawdown period
    Feb 19, 2020 - March 18, 2020
  • Annual Return (Compounded)
    23.7%
  • Avg win
    $325.14
  • Avg loss
    $198.47
  • Model Account Values (Raw)
  • Cash
    $131,304
  • Margin Used
    $73,525
  • Buying Power
    $71,630
  • Ratios
  • W:L ratio
    1.91:1
  • Sharpe Ratio
    0.73
  • Sortino Ratio
    1.14
  • Calmar Ratio
    0.638
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    215.50%
  • Correlation to SP500
    0.51770
  • Return Percent SP500 (cumu) during strategy life
    73.54%
  • Return Statistics
  • Ann Return (w trading costs)
    23.7%
  • Slump
  • Current Slump as Pcnt Equity
    1.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    12.360%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.237%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.00%
  • Chance of 20% account loss
    14.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    738
  • Popularity (Last 6 weeks)
    965
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    847
  • Popularity (7 days, Percentile 1000 scale)
    929
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $204
  • Avg Win
    $333
  • Sum Trade PL (losers)
    $188,297.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    77
  • Win / Loss
  • Sum Trade PL (winners)
    $343,892.000
  • # Winners
    1032
  • Num Months Winners
    47
  • Dividends
  • Dividends Received in Model Acct
    7203
  • AUM
  • AUM (AutoTrader live capital)
    413700
  • Win / Loss
  • # Losers
    922
  • % Winners
    52.8%
  • Frequency
  • Avg Position Time (mins)
    39265.30
  • Avg Position Time (hrs)
    654.42
  • Avg Trade Length
    27.3 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.33
  • Daily leverage (max)
    4.92
  • Regression
  • Alpha
    0.05
  • Beta
    0.82
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    40.80
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    41.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.15
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    3.317
  • 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
    0.406
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.463
  • Hold-and-Hope Ratio
    0.334
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25544
  • SD
    0.33643
  • Sharpe ratio (Glass type estimate)
    0.75926
  • Sharpe ratio (Hedges UMVUE)
    0.75086
  • df
    68.00000
  • t
    1.82065
  • p
    0.03653
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07068
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58377
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07619
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57790
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02328
  • Upside Potential Ratio
    3.53462
  • Upside part of mean
    0.44625
  • Downside part of mean
    -0.19081
  • Upside SD
    0.31787
  • Downside SD
    0.12625
  • N nonnegative terms
    43.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    69.00000
  • Mean of predictor
    0.08552
  • Mean of criterion
    0.25544
  • SD of predictor
    0.15772
  • SD of criterion
    0.33643
  • Covariance
    0.04023
  • r
    0.75821
  • b (slope, estimate of beta)
    1.61729
  • a (intercept, estimate of alpha)
    0.11714
  • Mean Square Error
    0.04884
  • DF error
    67.00000
  • t(b)
    9.51845
  • p(b)
    -0.00000
  • t(a)
    1.25551
  • p(a)
    0.10683
  • Lowerbound of 95% confidence interval for beta
    1.27815
  • Upperbound of 95% confidence interval for beta
    1.95644
  • Lowerbound of 95% confidence interval for alpha
    -0.06909
  • Upperbound of 95% confidence interval for alpha
    0.30336
  • Treynor index (mean / b)
    0.15794
  • Jensen alpha (a)
    0.11714
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20683
  • SD
    0.29277
  • Sharpe ratio (Glass type estimate)
    0.70644
  • Sharpe ratio (Hedges UMVUE)
    0.69862
  • df
    68.00000
  • t
    1.69399
  • p
    0.04742
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12200
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52983
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12713
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52438
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.54102
  • Upside Potential Ratio
    3.02367
  • Upside part of mean
    0.40582
  • Downside part of mean
    -0.19899
  • Upside SD
    0.26462
  • Downside SD
    0.13422
  • N nonnegative terms
    43.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    69.00000
  • Mean of predictor
    0.07294
  • Mean of criterion
    0.20683
  • SD of predictor
    0.15679
  • SD of criterion
    0.29277
  • Covariance
    0.03520
  • r
    0.76687
  • b (slope, estimate of beta)
    1.43196
  • a (intercept, estimate of alpha)
    0.10238
  • Mean Square Error
    0.03583
  • DF error
    67.00000
  • t(b)
    9.78042
  • p(b)
    -0.00000
  • t(a)
    1.28518
  • p(a)
    0.10158
  • Lowerbound of 95% confidence interval for beta
    1.13972
  • Upperbound of 95% confidence interval for beta
    1.72420
  • Lowerbound of 95% confidence interval for alpha
    -0.05663
  • Upperbound of 95% confidence interval for alpha
    0.26139
  • Treynor index (mean / b)
    0.14444
  • Jensen alpha (a)
    0.10238
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11466
  • Expected Shortfall on VaR
    0.14496
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02991
  • Expected Shortfall on VaR
    0.06434
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    69.00000
  • Minimum
    0.82042
  • Quartile 1
    0.98764
  • Median
    1.01630
  • Quartile 3
    1.04660
  • Maximum
    1.60170
  • Mean of quarter 1
    0.94507
  • Mean of quarter 2
    1.00240
  • Mean of quarter 3
    1.03001
  • Mean of quarter 4
    1.12160
  • Inter Quartile Range
    0.05896
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02899
  • Mean of outliers low
    0.85103
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.04348
  • Mean of outliers high
    1.36694
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18731
  • VaR(95%) (moments method)
    0.04189
  • Expected Shortfall (moments method)
    0.06824
  • Extreme Value Index (regression method)
    0.17865
  • VaR(95%) (regression method)
    0.06180
  • Expected Shortfall (regression method)
    0.10420
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00999
  • Quartile 1
    0.02496
  • Median
    0.08203
  • Quartile 3
    0.11242
  • Maximum
    0.18142
  • Mean of quarter 1
    0.01214
  • Mean of quarter 2
    0.05829
  • Mean of quarter 3
    0.09629
  • Mean of quarter 4
    0.15986
  • Inter Quartile Range
    0.08746
  • 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)
    -3399.24000
  • VaR(95%) (moments method)
    0.16842
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -6.05178
  • VaR(95%) (regression method)
    0.35302
  • Expected Shortfall (regression method)
    0.35303
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49676
  • Compounded annual return (geometric extrapolation)
    0.26457
  • Calmar ratio (compounded annual return / max draw down)
    1.45836
  • Compounded annual return / average of 25% largest draw downs
    1.65498
  • Compounded annual return / Expected Shortfall lognormal
    1.82510
  • 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
    0.25571
  • SD
    0.25227
  • Sharpe ratio (Glass type estimate)
    1.01365
  • Sharpe ratio (Hedges UMVUE)
    1.01315
  • df
    1515.00000
  • t
    2.43831
  • p
    0.46022
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19791
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82908
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19756
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82875
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67989
  • Upside Potential Ratio
    7.94339
  • Upside part of mean
    1.20914
  • Downside part of mean
    -0.95343
  • Upside SD
    0.20168
  • Downside SD
    0.15222
  • N nonnegative terms
    845.00000
  • N negative terms
    671.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1516.00000
  • Mean of predictor
    0.08490
  • Mean of criterion
    0.25571
  • SD of predictor
    0.18685
  • SD of criterion
    0.25227
  • Covariance
    0.02417
  • r
    0.51286
  • b (slope, estimate of beta)
    0.69241
  • a (intercept, estimate of alpha)
    0.19700
  • Mean Square Error
    0.04693
  • DF error
    1514.00000
  • t(b)
    23.24520
  • p(b)
    0.24357
  • t(a)
    2.18574
  • p(a)
    0.47196
  • Lowerbound of 95% confidence interval for beta
    0.63399
  • Upperbound of 95% confidence interval for beta
    0.75084
  • Lowerbound of 95% confidence interval for alpha
    0.02020
  • Upperbound of 95% confidence interval for alpha
    0.37365
  • Treynor index (mean / b)
    0.36931
  • Jensen alpha (a)
    0.19693
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22462
  • SD
    0.24747
  • Sharpe ratio (Glass type estimate)
    0.90766
  • Sharpe ratio (Hedges UMVUE)
    0.90721
  • df
    1515.00000
  • t
    2.18335
  • p
    0.46436
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09210
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72297
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09178
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72265
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43268
  • Upside Potential Ratio
    7.58997
  • Upside part of mean
    1.19000
  • Downside part of mean
    -0.96537
  • Upside SD
    0.19187
  • Downside SD
    0.15679
  • N nonnegative terms
    845.00000
  • N negative terms
    671.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1516.00000
  • Mean of predictor
    0.06736
  • Mean of criterion
    0.22462
  • SD of predictor
    0.18756
  • SD of criterion
    0.24747
  • Covariance
    0.02426
  • r
    0.52271
  • b (slope, estimate of beta)
    0.68968
  • a (intercept, estimate of alpha)
    0.17817
  • Mean Square Error
    0.04454
  • DF error
    1514.00000
  • t(b)
    23.85760
  • p(b)
    0.23864
  • t(a)
    2.03026
  • p(a)
    0.47395
  • Lowerbound of 95% confidence interval for beta
    0.63298
  • Upperbound of 95% confidence interval for beta
    0.74639
  • Lowerbound of 95% confidence interval for alpha
    0.00603
  • Upperbound of 95% confidence interval for alpha
    0.35031
  • Treynor index (mean / b)
    0.32569
  • Jensen alpha (a)
    0.17817
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02400
  • Expected Shortfall on VaR
    0.03020
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00756
  • Expected Shortfall on VaR
    0.01650
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1516.00000
  • Minimum
    0.85534
  • Quartile 1
    0.99635
  • Median
    1.00091
  • Quartile 3
    1.00585
  • Maximum
    1.23889
  • Mean of quarter 1
    0.98679
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00312
  • Mean of quarter 4
    1.01546
  • Inter Quartile Range
    0.00950
  • Number outliers low
    72.00000
  • Percentage of outliers low
    0.04749
  • Mean of outliers low
    0.96790
  • Number of outliers high
    62.00000
  • Percentage of outliers high
    0.04090
  • Mean of outliers high
    1.04224
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35546
  • VaR(95%) (moments method)
    0.01178
  • Expected Shortfall (moments method)
    0.02206
  • Extreme Value Index (regression method)
    0.24886
  • VaR(95%) (regression method)
    0.01199
  • Expected Shortfall (regression method)
    0.02035
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    71.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00319
  • Median
    0.00873
  • Quartile 3
    0.03061
  • Maximum
    0.45021
  • Mean of quarter 1
    0.00186
  • Mean of quarter 2
    0.00525
  • Mean of quarter 3
    0.01711
  • Mean of quarter 4
    0.11215
  • Inter Quartile Range
    0.02742
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.12676
  • Mean of outliers high
    0.17333
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.18717
  • VaR(95%) (moments method)
    0.09227
  • Expected Shortfall (moments method)
    0.14783
  • Extreme Value Index (regression method)
    0.31016
  • VaR(95%) (regression method)
    0.10432
  • Expected Shortfall (regression method)
    0.18826
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.57224
  • Compounded annual return (geometric extrapolation)
    0.28728
  • Calmar ratio (compounded annual return / max draw down)
    0.63809
  • Compounded annual return / average of 25% largest draw downs
    2.56151
  • Compounded annual return / Expected Shortfall lognormal
    9.51313
  • 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
    1.65248
  • SD
    0.69071
  • Sharpe ratio (Glass type estimate)
    2.39244
  • Sharpe ratio (Hedges UMVUE)
    2.37861
  • df
    130.00000
  • t
    1.69171
  • p
    0.42662
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39907
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.17497
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40823
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.16545
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.34933
  • Upside Potential Ratio
    11.22230
  • Upside part of mean
    4.26378
  • Downside part of mean
    -2.61130
  • Upside SD
    0.58267
  • Downside SD
    0.37994
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07035
  • Mean of criterion
    1.65248
  • SD of predictor
    0.46872
  • SD of criterion
    0.69071
  • Covariance
    0.15945
  • r
    0.49252
  • b (slope, estimate of beta)
    0.72577
  • a (intercept, estimate of alpha)
    1.60142
  • Mean Square Error
    0.36415
  • DF error
    129.00000
  • t(b)
    6.42760
  • p(b)
    0.19964
  • t(a)
    1.87642
  • p(a)
    0.39669
  • Lowerbound of 95% confidence interval for beta
    0.50237
  • Upperbound of 95% confidence interval for beta
    0.94918
  • Lowerbound of 95% confidence interval for alpha
    -0.08714
  • Upperbound of 95% confidence interval for alpha
    3.28998
  • Treynor index (mean / b)
    2.27685
  • Jensen alpha (a)
    1.60142
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.42021
  • SD
    0.67196
  • Sharpe ratio (Glass type estimate)
    2.11354
  • Sharpe ratio (Hedges UMVUE)
    2.10132
  • df
    130.00000
  • t
    1.49450
  • p
    0.43502
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.89322
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68223
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.88487
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.57499
  • Upside Potential Ratio
    10.34030
  • Upside part of mean
    4.10781
  • Downside part of mean
    -2.68760
  • Upside SD
    0.54586
  • Downside SD
    0.39726
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03943
  • Mean of criterion
    1.42021
  • SD of predictor
    0.47140
  • SD of criterion
    0.67196
  • Covariance
    0.16032
  • r
    0.50614
  • b (slope, estimate of beta)
    0.72148
  • a (intercept, estimate of alpha)
    1.44866
  • Mean Square Error
    0.33847
  • DF error
    129.00000
  • t(b)
    6.66540
  • p(b)
    0.19212
  • t(a)
    1.76072
  • p(a)
    0.40286
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.50732
  • Upperbound of 95% confidence interval for beta
    0.93564
  • Lowerbound of 95% confidence interval for alpha
    -0.17921
  • Upperbound of 95% confidence interval for alpha
    3.07653
  • Treynor index (mean / b)
    1.96848
  • Jensen alpha (a)
    1.44866
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06093
  • Expected Shortfall on VaR
    0.07697
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01885
  • Expected Shortfall on VaR
    0.04087
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85534
  • Quartile 1
    0.98963
  • Median
    1.00456
  • Quartile 3
    1.01904
  • Maximum
    1.23889
  • Mean of quarter 1
    0.96338
  • Mean of quarter 2
    0.99816
  • Mean of quarter 3
    1.01098
  • Mean of quarter 4
    1.05327
  • Inter Quartile Range
    0.02941
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.91541
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.10858
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36663
  • VaR(95%) (moments method)
    0.03372
  • Expected Shortfall (moments method)
    0.06430
  • Extreme Value Index (regression method)
    0.16825
  • VaR(95%) (regression method)
    0.03334
  • Expected Shortfall (regression method)
    0.05290
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00092
  • Quartile 1
    0.01033
  • Median
    0.02444
  • Quartile 3
    0.05248
  • Maximum
    0.45021
  • Mean of quarter 1
    0.00487
  • Mean of quarter 2
    0.01908
  • Mean of quarter 3
    0.04307
  • Mean of quarter 4
    0.21256
  • Inter Quartile Range
    0.04215
  • 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
    0.15385
  • Mean of outliers high
    0.28556
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.66946
  • VaR(95%) (moments method)
    0.20266
  • Expected Shortfall (moments method)
    0.67732
  • Extreme Value Index (regression method)
    1.83947
  • VaR(95%) (regression method)
    0.39871
  • 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?
    -273620000
  • Max Equity Drawdown (num days)
    28
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.12558
  • Compounded annual return (geometric extrapolation)
    3.25511
  • Calmar ratio (compounded annual return / max draw down)
    7.23018
  • Compounded annual return / average of 25% largest draw downs
    15.31360
  • Compounded annual return / Expected Shortfall lognormal
    42.29120

Strategy Description

Investment Process:
The fund is a concentrated and aggressive portfolio that seeks long-term capital appreciation. The fund typically invests in undervalued Small and Mid-Cap companies - stocks that are priced attractively with regards to earnings, book value, or expected cash flows. The fund utilizes a proprietary screening system to evaluate and trade stocks daily.

Typical Portfolio:
Holdings: 10-40 stocks
Leverage: 100-200%
Expected turnover: 100%/year

The recommended broker is Interactive Brokers with margin capability
as the strategy utilizes leverage and short-selling at times.

Summary Statistics

Strategy began
2014-05-15
Suggested Minimum Capital
$35,000
Rank at C2 
#100
# Trades
1954
# Profitable
1032
% Profitable
52.8%
Net Dividends
Correlation S&P500
0.518
Sharpe Ratio
0.73
Sortino Ratio
1.14
Beta
0.82
Alpha
0.05
Leverage
1.33 Average
4.92 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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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.