Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

Demla Swing Trader
(104636666)

Created by: DemlaAnalytics DemlaAnalytics
Started: 07/2017
Stocks
Last trade: 6 days ago

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 $100.00 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.

3.1%
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.

(15.3%)
Max Drawdown
554
Num Trades
40.6%
Win Trades
1.3 : 1
Profit Factor
63.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                          +4.6%+1.6%+1.2%(1.8%)+1.4%+2.1%+9.3%
2018+7.5%+3.3%+1.2%(3.7%)(1.9%)+1.2%(2.3%)+2.2%+0.5%+0.7%(3.1%)+0.4%+5.6%
2019+1.0%+1.5%+0.8%(0.9%)(3%)+0.2%(0.8%)(4.7%)(1.7%)                  (7.4%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 239 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/11/19 10:47 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 50 269.76 9/12 9:49 271.57 0%
Trade id #125308063
Max drawdown($1)
Time9/11/19 10:48
Quant open50
Worst price269.74
Drawdown as % of equity-0.00%
$90
Includes Typical Broker Commissions trade costs of $1.00
9/5/19 11:50 QQQ POWERSHARES QQQ LONG 30 191.69 9/12 9:48 193.11 0.26%
Trade id #125234445
Max drawdown($83)
Time9/10/19 0:00
Quant open30
Worst price188.91
Drawdown as % of equity-0.26%
$42
Includes Typical Broker Commissions trade costs of $0.60
9/5/19 11:47 AMZN AMAZON.COM LONG 4 1834.36 9/12 9:48 1836.30 0.36%
Trade id #125234385
Max drawdown($116)
Time9/10/19 0:00
Quant open4
Worst price1805.34
Drawdown as % of equity-0.36%
$8
Includes Typical Broker Commissions trade costs of $0.08
9/5/19 11:46 TWTR TWITTER INC LONG 120 44.54 9/10 10:08 42.60 0.69%
Trade id #125234147
Max drawdown($223)
Time9/10/19 10:06
Quant open120
Worst price42.68
Drawdown as % of equity-0.69%
($235)
Includes Typical Broker Commissions trade costs of $2.40
9/5/19 11:48 MSFT MICROSOFT LONG 30 139.66 9/9 12:36 136.80 0.26%
Trade id #125234408
Max drawdown($85)
Time9/9/19 12:36
Quant open30
Worst price136.81
Drawdown as % of equity-0.26%
($87)
Includes Typical Broker Commissions trade costs of $0.60
9/6/19 10:53 IGV ISHARES NORTH AMERICAN TECH-SOFTWARE ETF LONG 30 220.69 9/9 10:10 214.70 0.54%
Trade id #125247084
Max drawdown($174)
Time9/9/19 10:10
Quant open30
Worst price214.87
Drawdown as % of equity-0.54%
($181)
Includes Typical Broker Commissions trade costs of $0.60
8/29/19 12:30 QQQ POWERSHARES QQQ LONG 55 188.02 9/3 9:30 186.26 0.3%
Trade id #125144934
Max drawdown($97)
Time9/3/19 9:30
Quant open55
Worst price186.24
Drawdown as % of equity-0.30%
($98)
Includes Typical Broker Commissions trade costs of $1.10
8/29/19 12:29 SPY SPDR S&P 500 LONG 60 292.63 9/3 9:30 290.55 0.39%
Trade id #125144862
Max drawdown($126)
Time9/3/19 9:30
Quant open60
Worst price290.53
Drawdown as % of equity-0.39%
($126)
Includes Typical Broker Commissions trade costs of $1.20
8/28/19 9:30 BAC BANK OF AMERICA CORP SHORT 200 26.40 8/28 12:31 26.94 0.32%
Trade id #125119762
Max drawdown($106)
Time8/28/19 11:47
Quant open200
Worst price26.93
Drawdown as % of equity-0.32%
($112)
Includes Typical Broker Commissions trade costs of $4.00
8/19/19 10:21 SPY SPDR S&P 500 LONG 50 291.61 8/23 11:09 287.90 0.5%
Trade id #124987907
Max drawdown($166)
Time8/23/19 11:09
Quant open50
Worst price288.29
Drawdown as % of equity-0.50%
($187)
Includes Typical Broker Commissions trade costs of $1.00
8/14/19 11:42 NFLX NETFLIX SHORT 25 301.84 8/19 9:30 307.21 0.4%
Trade id #124932344
Max drawdown($135)
Time8/19/19 9:30
Quant open25
Worst price307.25
Drawdown as % of equity-0.40%
($135)
Includes Typical Broker Commissions trade costs of $0.50
8/15/19 10:55 XLF FINANCIAL SELECT SECTOR SPDR SHORT 250 26.16 8/19 9:30 26.97 0.63%
Trade id #124950769
Max drawdown($210)
Time8/19/19 9:30
Quant open250
Worst price27.00
Drawdown as % of equity-0.63%
($208)
Includes Typical Broker Commissions trade costs of $5.00
8/15/19 9:34 DIA SPDR DOW JONES INDUSTRIAL AVER SHORT 55 256.50 8/19 9:30 262.17 0.93%
Trade id #124948347
Max drawdown($310)
Time8/19/19 9:30
Quant open55
Worst price262.14
Drawdown as % of equity-0.93%
($313)
Includes Typical Broker Commissions trade costs of $1.10
8/8/19 12:27 CMG CHIPOTLE MEXICAN GRILL LONG 10 813.72 8/15 10:29 800.74 0.57%
Trade id #124839288
Max drawdown($193)
Time8/8/19 12:27
Quant open10
Worst price794.33
Drawdown as % of equity-0.57%
($130)
Includes Typical Broker Commissions trade costs of $0.20
8/7/19 15:07 SHOP SHOPIFY INC LONG 15 341.11 8/14 11:08 351.35 0.03%
Trade id #124821639
Max drawdown($10)
Time8/7/19 15:07
Quant open15
Worst price340.42
Drawdown as % of equity-0.03%
$154
Includes Typical Broker Commissions trade costs of $0.30
8/6/19 10:01 SMH VANECK VECTORS SEMICONDUCTOR E SHORT 55 110.34 8/8 12:28 113.08 0.45%
Trade id #124790210
Max drawdown($151)
Time8/6/19 10:01
Quant open55
Worst price113.09
Drawdown as % of equity-0.45%
($152)
Includes Typical Broker Commissions trade costs of $1.10
8/6/19 10:32 RCL ROYAL CARIBBEAN CRUISES SHORT 30 108.21 8/8 12:28 109.64 0.19%
Trade id #124791519
Max drawdown($63)
Time8/6/19 10:32
Quant open30
Worst price110.32
Drawdown as % of equity-0.19%
($44)
Includes Typical Broker Commissions trade costs of $0.60
8/6/19 10:02 AAPL APPLE SHORT 30 197.28 8/7 13:32 197.87 0.2%
Trade id #124790250
Max drawdown($68)
Time8/6/19 10:02
Quant open30
Worst price199.56
Drawdown as % of equity-0.20%
($19)
Includes Typical Broker Commissions trade costs of $0.60
8/6/19 10:01 DIA SPDR DOW JONES INDUSTRIAL AVER SHORT 60 258.79 8/7 13:32 258.86 0.34%
Trade id #124790185
Max drawdown($114)
Time8/6/19 10:01
Quant open60
Worst price260.69
Drawdown as % of equity-0.34%
($5)
Includes Typical Broker Commissions trade costs of $1.20
6/20/19 15:53 MNST MONSTER BEVERAGE LONG 80 63.53 8/2 10:09 63.10 0.17%
Trade id #124172527
Max drawdown($60)
Time6/20/19 15:53
Quant open80
Worst price62.78
Drawdown as % of equity-0.17%
($36)
Includes Typical Broker Commissions trade costs of $1.60
7/23/19 15:01 BAC BANK OF AMERICA CORP LONG 200 30.19 8/1 13:40 29.93 0.15%
Trade id #124583411
Max drawdown($52)
Time8/1/19 13:40
Quant open200
Worst price29.93
Drawdown as % of equity-0.15%
($56)
Includes Typical Broker Commissions trade costs of $4.00
7/31/19 9:30 IWM ISHARES RUSSELL 2000 INDEX LONG 55 157.93 7/31 14:51 156.65 0.2%
Trade id #124693660
Max drawdown($70)
Time7/31/19 14:51
Quant open55
Worst price156.65
Drawdown as % of equity-0.20%
($71)
Includes Typical Broker Commissions trade costs of $1.10
7/23/19 15:02 SPY SPDR S&P 500 LONG 60 299.75 7/31 14:38 299.68 0.12%
Trade id #124583439
Max drawdown($39)
Time7/23/19 15:02
Quant open60
Worst price299.09
Drawdown as % of equity-0.12%
($5)
Includes Typical Broker Commissions trade costs of $1.20
7/1/19 9:31 HEI HEICO CORP LONG 40 134.53 7/29 11:29 137.00 0.39%
Trade id #124287163
Max drawdown($134)
Time7/1/19 9:31
Quant open40
Worst price131.18
Drawdown as % of equity-0.39%
$98
Includes Typical Broker Commissions trade costs of $0.80
7/18/19 14:59 SHOP SHOPIFY INC LONG 10 330.65 7/29 10:06 318.00 0.37%
Trade id #124522047
Max drawdown($127)
Time7/29/19 10:06
Quant open10
Worst price318.00
Drawdown as % of equity-0.37%
($127)
Includes Typical Broker Commissions trade costs of $0.20
7/18/19 10:07 GLD SPDR GOLD SHARES LONG 60 133.94 7/23 12:36 133.85 0.02%
Trade id #124515598
Max drawdown($5)
Time7/18/19 10:07
Quant open60
Worst price133.85
Drawdown as % of equity-0.02%
($6)
Includes Typical Broker Commissions trade costs of $1.20
7/18/19 14:58 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 40 272.43 7/22 10:53 270.80 0.19%
Trade id #124522002
Max drawdown($65)
Time7/22/19 10:53
Quant open40
Worst price270.80
Drawdown as % of equity-0.19%
($66)
Includes Typical Broker Commissions trade costs of $0.80
7/18/19 10:53 GPN GLOBAL PAYMENTS LONG 40 166.34 7/19 15:59 164.70 0.2%
Trade id #124516899
Max drawdown($68)
Time7/18/19 10:53
Quant open40
Worst price164.64
Drawdown as % of equity-0.20%
($67)
Includes Typical Broker Commissions trade costs of $0.80
7/11/19 15:35 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 55 270.37 7/18 11:38 270.94 0%
Trade id #124426343
Max drawdown($0)
Time7/11/19 15:35
Quant open55
Worst price270.36
Drawdown as % of equity-0.00%
$30
Includes Typical Broker Commissions trade costs of $1.10
7/3/19 12:15 LULU LULULEMON ATHLETICA LONG 40 183.66 7/10 9:30 187.00 0.34%
Trade id #124328098
Max drawdown($118)
Time7/3/19 12:15
Quant open40
Worst price180.70
Drawdown as % of equity-0.34%
$133
Includes Typical Broker Commissions trade costs of $0.80

Statistics

  • Strategy began
    7/5/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    805.58
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    554
  • # Profitable
    225
  • % Profitable
    40.60%
  • Avg trade duration
    4.8 days
  • Max peak-to-valley drawdown
    15.3%
  • drawdown period
    March 13, 2018 - Sept 10, 2019
  • Annual Return (Compounded)
    3.1%
  • Avg win
    $130.12
  • Avg loss
    $73.39
  • Model Account Values (Raw)
  • Cash
    $35,344
  • Margin Used
    $0
  • Buying Power
    $35,344
  • Ratios
  • W:L ratio
    1.25:1
  • Sharpe Ratio
    0.19
  • Sortino Ratio
    0.28
  • Calmar Ratio
    0.851
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.13830
  • Return Statistics
  • Ann Return (w trading costs)
    3.1%
  • Ann Return (Compnd, No Fees)
    7.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    685
  • C2 Score
    358
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $73
  • Avg Win
    $130
  • # Winners
    225
  • # Losers
    329
  • % Winners
    40.6%
  • Frequency
  • Avg Position Time (mins)
    6902.85
  • Avg Position Time (hrs)
    115.05
  • Avg Trade Length
    4.8 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    0.65
  • Daily leverage (max)
    2.58
  • Regression
  • Alpha
    0.00
  • Beta
    0.06
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    7.575
  • Avg(MAE) / Avg(PL) - Winning trades
    0.274
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.147
  • Hold-and-Hope Ratio
    0.131
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05338
  • SD
    0.10665
  • Sharpe ratio (Glass type estimate)
    0.50055
  • Sharpe ratio (Hedges UMVUE)
    0.48535
  • df
    25.00000
  • t
    0.73678
  • p
    0.23406
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84304
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83432
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82366
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91351
  • Upside Potential Ratio
    2.76253
  • Upside part of mean
    0.16143
  • Downside part of mean
    -0.10805
  • Upside SD
    0.08808
  • Downside SD
    0.05844
  • N nonnegative terms
    15.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.07506
  • Mean of criterion
    0.05338
  • SD of predictor
    0.11284
  • SD of criterion
    0.10665
  • Covariance
    0.00436
  • r
    0.36236
  • b (slope, estimate of beta)
    0.34246
  • a (intercept, estimate of alpha)
    0.02768
  • Mean Square Error
    0.01029
  • DF error
    24.00000
  • t(b)
    1.90466
  • p(b)
    0.03444
  • t(a)
    0.39408
  • p(a)
    0.34850
  • Lowerbound of 95% confidence interval for beta
    -0.02863
  • Upperbound of 95% confidence interval for beta
    0.71356
  • Lowerbound of 95% confidence interval for alpha
    -0.11727
  • Upperbound of 95% confidence interval for alpha
    0.17262
  • Treynor index (mean / b)
    0.15587
  • Jensen alpha (a)
    0.02768
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04782
  • SD
    0.10485
  • Sharpe ratio (Glass type estimate)
    0.45607
  • Sharpe ratio (Hedges UMVUE)
    0.44222
  • df
    25.00000
  • t
    0.67131
  • p
    0.25409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88586
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78908
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89494
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77939
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80498
  • Upside Potential Ratio
    2.64895
  • Upside part of mean
    0.15736
  • Downside part of mean
    -0.10954
  • Upside SD
    0.08504
  • Downside SD
    0.05940
  • N nonnegative terms
    15.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.06855
  • Mean of criterion
    0.04782
  • SD of predictor
    0.11304
  • SD of criterion
    0.10485
  • Covariance
    0.00430
  • r
    0.36262
  • b (slope, estimate of beta)
    0.33635
  • a (intercept, estimate of alpha)
    0.02476
  • Mean Square Error
    0.00995
  • DF error
    24.00000
  • t(b)
    1.90624
  • p(b)
    0.03433
  • t(a)
    0.35978
  • p(a)
    0.36108
  • Lowerbound of 95% confidence interval for beta
    -0.02782
  • Upperbound of 95% confidence interval for beta
    0.70051
  • Lowerbound of 95% confidence interval for alpha
    -0.11728
  • Upperbound of 95% confidence interval for alpha
    0.16681
  • Treynor index (mean / b)
    0.14217
  • Jensen alpha (a)
    0.02476
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04477
  • Expected Shortfall on VaR
    0.05671
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01886
  • Expected Shortfall on VaR
    0.03597
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.95276
  • Quartile 1
    0.99381
  • Median
    1.00667
  • Quartile 3
    1.01964
  • Maximum
    1.09281
  • Mean of quarter 1
    0.97258
  • Mean of quarter 2
    0.99927
  • Mean of quarter 3
    1.01282
  • Mean of quarter 4
    1.04223
  • Inter Quartile Range
    0.02583
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.95276
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    1.07986
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -12.56550
  • VaR(95%) (moments method)
    0.01668
  • Expected Shortfall (moments method)
    0.01668
  • Extreme Value Index (regression method)
    -0.57742
  • VaR(95%) (regression method)
    0.02506
  • Expected Shortfall (regression method)
    0.02941
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01233
  • Quartile 1
    0.03035
  • Median
    0.04837
  • Quartile 3
    0.06639
  • Maximum
    0.08441
  • Mean of quarter 1
    0.01233
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08441
  • Inter Quartile Range
    0.03604
  • 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)
    0.08229
  • Compounded annual return (geometric extrapolation)
    0.07867
  • Calmar ratio (compounded annual return / max draw down)
    0.93191
  • Compounded annual return / average of 25% largest draw downs
    0.93191
  • Compounded annual return / Expected Shortfall lognormal
    1.38708
  • 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
    0.04945
  • SD
    0.06231
  • Sharpe ratio (Glass type estimate)
    0.79370
  • Sharpe ratio (Hedges UMVUE)
    0.79265
  • df
    569.00000
  • t
    1.17069
  • p
    0.12111
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53624
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12297
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53695
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12226
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22959
  • Upside Potential Ratio
    9.17931
  • Upside part of mean
    0.36919
  • Downside part of mean
    -0.31973
  • Upside SD
    0.04761
  • Downside SD
    0.04022
  • N nonnegative terms
    264.00000
  • N negative terms
    306.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    570.00000
  • Mean of predictor
    0.07968
  • Mean of criterion
    0.04945
  • SD of predictor
    0.14248
  • SD of criterion
    0.06231
  • Covariance
    0.00124
  • r
    0.13944
  • b (slope, estimate of beta)
    0.06098
  • a (intercept, estimate of alpha)
    0.04500
  • Mean Square Error
    0.00381
  • DF error
    568.00000
  • t(b)
    3.35602
  • p(b)
    0.00042
  • t(a)
    1.06451
  • p(a)
    0.14377
  • Lowerbound of 95% confidence interval for beta
    0.02529
  • Upperbound of 95% confidence interval for beta
    0.09666
  • Lowerbound of 95% confidence interval for alpha
    -0.03769
  • Upperbound of 95% confidence interval for alpha
    0.12688
  • Treynor index (mean / b)
    0.81103
  • Jensen alpha (a)
    0.04459
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04751
  • SD
    0.06224
  • Sharpe ratio (Glass type estimate)
    0.76334
  • Sharpe ratio (Hedges UMVUE)
    0.76233
  • df
    569.00000
  • t
    1.12592
  • p
    0.13034
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56654
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56721
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09188
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17697
  • Upside Potential Ratio
    9.11719
  • Upside part of mean
    0.36802
  • Downside part of mean
    -0.32051
  • Upside SD
    0.04739
  • Downside SD
    0.04037
  • N nonnegative terms
    264.00000
  • N negative terms
    306.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    570.00000
  • Mean of predictor
    0.06950
  • Mean of criterion
    0.04751
  • SD of predictor
    0.14282
  • SD of criterion
    0.06224
  • Covariance
    0.00124
  • r
    0.13899
  • b (slope, estimate of beta)
    0.06057
  • a (intercept, estimate of alpha)
    0.04330
  • Mean Square Error
    0.00381
  • DF error
    568.00000
  • t(b)
    3.34490
  • p(b)
    0.00044
  • t(a)
    1.03483
  • p(a)
    0.15059
  • Lowerbound of 95% confidence interval for beta
    0.02500
  • Upperbound of 95% confidence interval for beta
    0.09613
  • Lowerbound of 95% confidence interval for alpha
    -0.03888
  • Upperbound of 95% confidence interval for alpha
    0.12548
  • Treynor index (mean / b)
    0.78440
  • Jensen alpha (a)
    0.04330
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00612
  • Expected Shortfall on VaR
    0.00772
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00294
  • Expected Shortfall on VaR
    0.00568
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    570.00000
  • Minimum
    0.98520
  • Quartile 1
    0.99845
  • Median
    1.00000
  • Quartile 3
    1.00192
  • Maximum
    1.01700
  • Mean of quarter 1
    0.99591
  • Mean of quarter 2
    0.99944
  • Mean of quarter 3
    1.00086
  • Mean of quarter 4
    1.00496
  • Inter Quartile Range
    0.00347
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.02982
  • Mean of outliers low
    0.99055
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.04561
  • Mean of outliers high
    1.01061
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13691
  • VaR(95%) (moments method)
    0.00385
  • Expected Shortfall (moments method)
    0.00568
  • Extreme Value Index (regression method)
    0.02368
  • VaR(95%) (regression method)
    0.00389
  • Expected Shortfall (regression method)
    0.00540
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00042
  • Quartile 1
    0.00516
  • Median
    0.00942
  • Quartile 3
    0.01910
  • Maximum
    0.09210
  • Mean of quarter 1
    0.00196
  • Mean of quarter 2
    0.00747
  • Mean of quarter 3
    0.01292
  • Mean of quarter 4
    0.04862
  • Inter Quartile Range
    0.01393
  • 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
    0.11111
  • Mean of outliers high
    0.08021
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.04210
  • VaR(95%) (moments method)
    0.04751
  • Expected Shortfall (moments method)
    0.06429
  • Extreme Value Index (regression method)
    0.19531
  • VaR(95%) (regression method)
    0.07173
  • Expected Shortfall (regression method)
    0.11653
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08196
  • Compounded annual return (geometric extrapolation)
    0.07833
  • Calmar ratio (compounded annual return / max draw down)
    0.85056
  • Compounded annual return / average of 25% largest draw downs
    1.61104
  • Compounded annual return / Expected Shortfall lognormal
    10.14800
  • 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
    -0.20124
  • SD
    0.04742
  • Sharpe ratio (Glass type estimate)
    -4.24424
  • Sharpe ratio (Hedges UMVUE)
    -4.21970
  • df
    130.00000
  • t
    -3.00113
  • p
    0.62727
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.05567
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.41709
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.03857
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40084
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.53860
  • Upside Potential Ratio
    3.39424
  • Upside part of mean
    0.15050
  • Downside part of mean
    -0.35174
  • Upside SD
    0.02048
  • Downside SD
    0.04434
  • N nonnegative terms
    43.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10043
  • Mean of criterion
    -0.20124
  • SD of predictor
    0.13609
  • SD of criterion
    0.04742
  • Covariance
    0.00139
  • r
    0.21476
  • b (slope, estimate of beta)
    0.07482
  • a (intercept, estimate of alpha)
    -0.20876
  • Mean Square Error
    0.00216
  • DF error
    129.00000
  • t(b)
    2.49749
  • p(b)
    0.36434
  • t(a)
    -3.17197
  • p(a)
    0.66915
  • Lowerbound of 95% confidence interval for beta
    0.01555
  • Upperbound of 95% confidence interval for beta
    0.13410
  • Lowerbound of 95% confidence interval for alpha
    -0.33897
  • Upperbound of 95% confidence interval for alpha
    -0.07854
  • Treynor index (mean / b)
    -2.68955
  • Jensen alpha (a)
    -0.20876
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20242
  • SD
    0.04756
  • Sharpe ratio (Glass type estimate)
    -4.25568
  • Sharpe ratio (Hedges UMVUE)
    -4.23108
  • df
    130.00000
  • t
    -3.00922
  • p
    0.62759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.06736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.42828
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.05019
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41196
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.54485
  • Upside Potential Ratio
    3.37410
  • Upside part of mean
    0.15028
  • Downside part of mean
    -0.35270
  • Upside SD
    0.02044
  • Downside SD
    0.04454
  • N nonnegative terms
    43.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09117
  • Mean of criterion
    -0.20242
  • SD of predictor
    0.13658
  • SD of criterion
    0.04756
  • Covariance
    0.00140
  • r
    0.21522
  • b (slope, estimate of beta)
    0.07495
  • a (intercept, estimate of alpha)
    -0.20925
  • Mean Square Error
    0.00217
  • DF error
    129.00000
  • t(b)
    2.50310
  • p(b)
    0.36405
  • t(a)
    -3.17046
  • p(a)
    0.66908
  • Lowerbound of 95% confidence interval for beta
    0.01571
  • Upperbound of 95% confidence interval for beta
    0.13419
  • Lowerbound of 95% confidence interval for alpha
    -0.33984
  • Upperbound of 95% confidence interval for alpha
    -0.07867
  • Treynor index (mean / b)
    -2.70075
  • Jensen alpha (a)
    -0.20925
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00559
  • Expected Shortfall on VaR
    0.00681
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00370
  • Expected Shortfall on VaR
    0.00696
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98520
  • Quartile 1
    0.99831
  • Median
    0.99985
  • Quartile 3
    1.00089
  • Maximum
    1.00751
  • Mean of quarter 1
    0.99575
  • Mean of quarter 2
    0.99921
  • Mean of quarter 3
    1.00015
  • Mean of quarter 4
    1.00227
  • Inter Quartile Range
    0.00258
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.99157
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.00751
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41390
  • VaR(95%) (moments method)
    0.00453
  • Expected Shortfall (moments method)
    0.00870
  • Extreme Value Index (regression method)
    0.35192
  • VaR(95%) (regression method)
    0.00448
  • Expected Shortfall (regression method)
    0.00799
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00110
  • Quartile 1
    0.02385
  • Median
    0.04660
  • Quartile 3
    0.06935
  • Maximum
    0.09210
  • Mean of quarter 1
    0.00110
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09210
  • Inter Quartile Range
    0.04550
  • 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)
    -0.16712
  • Compounded annual return (geometric extrapolation)
    -0.16013
  • Calmar ratio (compounded annual return / max draw down)
    -1.73879
  • Compounded annual return / average of 25% largest draw downs
    -1.73879
  • Compounded annual return / Expected Shortfall lognormal
    -23.51420

Strategy Description

The investment objective of the program is to achieve capital growth through compounding. Capital preservation and risk management are key components of the strategy. The program will strive to maintain low drawdown and volatility at all times and will tailor the strategy for both long and short sides. The strategy will try to generate alpha in all market environments.

The strategy uses "Quantamental" approach that combines fundamental and quantitative investing recently favored by hedge funds. The portfolio manager believes that best companies / sectors / industries can be screened for their fundamental strength (weakness). For the Long (Short) side, the program will swing trade those fundamentally strong (weak) companies / sectors with a catalyst through sophisticated algorithms and methodologies. Thematic investing may also be used through ETFs and strong (weak) ETFs are determined for swing trading. The strategy is a hybrid rule-based system: the program quantitatively determines entry level, target and stop-loss for each trade by analyzing price and volume patterns of each security at multi-time frame levels and ranks the prospective trades based on their risk/reward. Position sizing is calculated at portfolio level commensurate with the risk of each trade. Once a trade is executed, stop-loss and price targets may be adjusted depending on how the trade behaves. Most of the time (95%), orders will be entered before market opens therefore the program can be easily traded manually. In strong trending markets, leveraged may be used conservatively.

Summary Statistics

Strategy began
2017-07-05
Suggested Minimum Capital
$35,000
# Trades
554
# Profitable
225
% Profitable
40.6%
Net Dividends
Correlation S&P500
0.138
Sharpe Ratio
0.19
Sortino Ratio
0.28
Beta
0.06
Alpha
0.00
Leverage
0.65 Average
2.58 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.