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8th Wonder
(114948669)

Created by: CameronMitchell CameronMitchell
Started: 11/2017
Stocks
Last trade: 2 days ago
Trading style: Equity Trend-following Momentum

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $25.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
38.6%
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.

(35.8%)
Max Drawdown
452
Num Trades
42.0%
Win Trades
1.7 : 1
Profit Factor
51.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                                        -  +0.2%+0.2%
2018+18.1%(6.4%)(11.4%)(9.9%)+9.8%(0.5%)+0.1%(8%)(7.7%)(0.2%)+4.6%+26.5%+8.1%
2019+9.0%+9.5%+2.3%+4.1%(0.7%)+0.2%(0.4%)(1%)(6.4%)(0.6%)+1.0%+6.5%+24.9%
2020+7.0%(8.8%)+37.6%(5.2%)+26.3%+5.9%+39.3%(15.1%)(6.9%)                  +87.3%

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 193 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
9/21/20 9:30 PRTS CARPARTS INC LONG 116 12.34 9/21 10:32 11.61 0.36%
Trade id #131267265
Max drawdown($91)
Time9/21/20 10:32
Quant open116
Worst price11.55
Drawdown as % of equity-0.36%
($87)
Includes Typical Broker Commissions trade costs of $2.32
9/16/20 10:36 NVAX NOVAVAX LONG 11 114.03 9/18 13:21 107.51 0.29%
Trade id #131200473
Max drawdown($74)
Time9/18/20 13:21
Quant open11
Worst price107.30
Drawdown as % of equity-0.29%
($72)
Includes Typical Broker Commissions trade costs of $0.22
9/16/20 9:30 MTH MERITAGE HOMES LONG 14 102.11 9/18 10:51 101.02 0.17%
Trade id #131198206
Max drawdown($42)
Time9/17/20 0:00
Quant open14
Worst price99.05
Drawdown as % of equity-0.17%
($15)
Includes Typical Broker Commissions trade costs of $0.28
9/16/20 11:25 LEAF LEAF GROUP LTD LONG 294 5.21 9/18 10:51 5.21 0.25%
Trade id #131201830
Max drawdown($64)
Time9/17/20 0:00
Quant open294
Worst price4.99
Drawdown as % of equity-0.25%
($4)
Includes Typical Broker Commissions trade costs of $5.88
9/16/20 9:30 BTG B2GOLD CORP. LONG 214 7.08 9/18 10:51 6.93 0.35%
Trade id #131198191
Max drawdown($89)
Time9/17/20 0:00
Quant open214
Worst price6.66
Drawdown as % of equity-0.35%
($35)
Includes Typical Broker Commissions trade costs of $4.28
9/14/20 12:34 AEM AGNICO EAGLE MINES LIMITED LONG 20 85.50 9/18 10:51 82.31 0.29%
Trade id #131163346
Max drawdown($73)
Time9/18/20 10:28
Quant open20
Worst price81.85
Drawdown as % of equity-0.29%
($64)
Includes Typical Broker Commissions trade costs of $0.40
9/16/20 9:30 LOW LOWE'S COMPANIES LONG 8 170.85 9/16 15:31 166.53 0.14%
Trade id #131198243
Max drawdown($35)
Time9/16/20 15:31
Quant open8
Worst price166.41
Drawdown as % of equity-0.14%
($35)
Includes Typical Broker Commissions trade costs of $0.16
9/10/20 9:42 NLS NAUTILUS GROUP LONG 96 16.00 9/10 15:49 15.38 0.28%
Trade id #131107240
Max drawdown($70)
Time9/10/20 15:49
Quant open96
Worst price15.27
Drawdown as % of equity-0.28%
($62)
Includes Typical Broker Commissions trade costs of $1.92
8/31/20 9:30 APPS DIGITAL TURBINE INC LONG 116 24.42 9/3 13:24 24.40 0.72%
Trade id #130892193
Max drawdown($198)
Time9/2/20 0:00
Quant open116
Worst price22.71
Drawdown as % of equity-0.72%
($4)
Includes Typical Broker Commissions trade costs of $2.32
9/1/20 11:52 HEAR TURTLE BEACH CORPORATION COMMO LONG 175 20.44 9/3 13:24 18.92 0.67%
Trade id #130924522
Max drawdown($174)
Time9/3/20 9:52
Quant open88
Worst price18.45
Drawdown as % of equity-0.67%
($269)
Includes Typical Broker Commissions trade costs of $3.50
9/2/20 9:30 NVDA NVIDIA LONG 5 588.40 9/3 13:24 533.73 0.85%
Trade id #130939888
Max drawdown($219)
Time9/3/20 11:21
Quant open3
Worst price515.15
Drawdown as % of equity-0.85%
($273)
Includes Typical Broker Commissions trade costs of $0.10
9/2/20 9:30 DOCU DOCUSIGN INC. COMMON STOCK LONG 11 282.74 9/3 13:18 251.81 1.33%
Trade id #130939863
Max drawdown($347)
Time9/2/20 11:45
Quant open11
Worst price251.12
Drawdown as % of equity-1.33%
($340)
Includes Typical Broker Commissions trade costs of $0.22
9/2/20 9:30 SPWH SPORTSMANS WAREHOUSE HOLDINGS LONG 161 18.16 9/3 11:35 16.07 1.34%
Trade id #130939911
Max drawdown($350)
Time9/2/20 9:55
Quant open161
Worst price15.98
Drawdown as % of equity-1.34%
($339)
Includes Typical Broker Commissions trade costs of $3.22
8/31/20 9:30 SAM BOSTON BEER COMPANY LONG 4 881.39 9/3 9:43 844.55 0.54%
Trade id #130892166
Max drawdown($142)
Time9/3/20 9:30
Quant open4
Worst price845.71
Drawdown as % of equity-0.54%
($147)
Includes Typical Broker Commissions trade costs of $0.08
8/31/20 9:30 DQ DAQO NEW ENERGY LONG 27 125.26 9/2 9:57 109.41 1.66%
Trade id #130892209
Max drawdown($436)
Time9/2/20 9:57
Quant open27
Worst price109.10
Drawdown as % of equity-1.66%
($429)
Includes Typical Broker Commissions trade costs of $0.54
9/2/20 9:30 HOME AT HOME GROUP INC LONG 157 18.27 9/2 9:42 17.19 0.67%
Trade id #130939897
Max drawdown($183)
Time9/2/20 9:42
Quant open157
Worst price17.10
Drawdown as % of equity-0.67%
($173)
Includes Typical Broker Commissions trade costs of $3.14
6/30/20 9:30 PRTS CARPARTS INC LONG 412 8.91 9/1 9:33 14.14 0.84%
Trade id #129819262
Max drawdown($193)
Time6/30/20 10:33
Quant open412
Worst price8.44
Drawdown as % of equity-0.84%
$2,147
Includes Typical Broker Commissions trade costs of $8.24
7/31/20 9:30 OSTK OVERSTOCK.COM LONG 68 76.76 8/31 11:27 87.50 0.94%
Trade id #130386528
Max drawdown($306)
Time7/31/20 11:49
Quant open68
Worst price72.25
Drawdown as % of equity-0.94%
$729
Includes Typical Broker Commissions trade costs of $1.36
8/31/20 9:30 W WAYFAIR INC LONG 11 310.97 8/31 9:45 293.03 0.7%
Trade id #130892203
Max drawdown($197)
Time8/31/20 9:45
Quant open11
Worst price293.00
Drawdown as % of equity-0.70%
($197)
Includes Typical Broker Commissions trade costs of $0.22
8/13/20 9:30 DOCU DOCUSIGN INC. COMMON STOCK LONG 19 195.63 8/31 9:30 218.67 0.13%
Trade id #130600236
Max drawdown($38)
Time8/13/20 9:55
Quant open19
Worst price193.62
Drawdown as % of equity-0.13%
$438
Includes Typical Broker Commissions trade costs of $0.38
8/24/20 11:57 W WAYFAIR INC LONG 11 336.36 8/28 15:24 310.89 1%
Trade id #130760583
Max drawdown($284)
Time8/28/20 15:24
Quant open11
Worst price310.49
Drawdown as % of equity-1.00%
($280)
Includes Typical Broker Commissions trade costs of $0.22
8/13/20 9:30 STMP STAMPS.COM LONG 14 268.82 8/27 10:01 259.81 0.44%
Trade id #130600351
Max drawdown($128)
Time8/27/20 10:01
Quant open14
Worst price259.65
Drawdown as % of equity-0.44%
($126)
Includes Typical Broker Commissions trade costs of $0.28
8/13/20 9:30 APPS DIGITAL TURBINE INC LONG 150 24.75 8/27 9:30 23.01 1.05%
Trade id #130600336
Max drawdown($315)
Time8/27/20 9:30
Quant open150
Worst price22.65
Drawdown as % of equity-1.05%
($264)
Includes Typical Broker Commissions trade costs of $3.00
8/20/20 9:30 FLGT FULGENT GENETICS INC. COMMON STOCK LONG 80 45.38 8/27 9:30 39.20 2.31%
Trade id #130706615
Max drawdown($694)
Time8/27/20 9:30
Quant open80
Worst price36.70
Drawdown as % of equity-2.31%
($496)
Includes Typical Broker Commissions trade costs of $1.60
8/13/20 9:30 LEAF LEAF GROUP LTD LONG 681 5.47 8/24 12:40 5.36 0.26%
Trade id #130600356
Max drawdown($81)
Time8/24/20 12:40
Quant open681
Worst price5.35
Drawdown as % of equity-0.26%
($77)
Includes Typical Broker Commissions trade costs of $5.00
8/13/20 9:30 NLS NAUTILUS GROUP LONG 258 14.00 8/21 9:38 12.06 1.59%
Trade id #130600322
Max drawdown($534)
Time8/21/20 9:38
Quant open258
Worst price11.93
Drawdown as % of equity-1.59%
($507)
Includes Typical Broker Commissions trade costs of $5.16
7/31/20 9:30 UMRX UNUM THERAPEUTICS INC. COMMON STOCK LONG 2,000 2.71 8/12 11:06 2.30 2.86%
Trade id #130386526
Max drawdown($900)
Time8/12/20 9:40
Quant open2,000
Worst price2.26
Drawdown as % of equity-2.86%
($828)
Includes Typical Broker Commissions trade costs of $7.50
7/31/20 9:30 CODX CO-DIAGNOSTICS INC. COMMON STOCK LONG 235 22.38 8/12 10:59 20.50 1.57%
Trade id #130386511
Max drawdown($477)
Time8/12/20 10:59
Quant open235
Worst price20.35
Drawdown as % of equity-1.57%
($447)
Includes Typical Broker Commissions trade costs of $4.70
6/11/20 9:30 RVP RETRACTABLE TECHNOLOGIES LONG 1,010 6.53 8/12 10:09 8.85 2.59%
Trade id #129492018
Max drawdown($559)
Time6/11/20 14:44
Quant open860
Worst price5.85
Drawdown as % of equity-2.59%
$2,326
Includes Typical Broker Commissions trade costs of $14.10
6/12/20 15:20 NAVB NAVIDEA LONG 1,950 3.10 8/10 10:00 3.68 1.24%
Trade id #129536579
Max drawdown($264)
Time6/15/20 0:00
Quant open1,650
Worst price2.86
Drawdown as % of equity-1.24%
$1,109
Includes Typical Broker Commissions trade costs of $17.50

Statistics

  • Strategy began
    11/20/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1037.37
  • Age
    35 months ago
  • What it trades
    Stocks
  • # Trades
    452
  • # Profitable
    190
  • % Profitable
    42.00%
  • Avg trade duration
    34.4 days
  • Max peak-to-valley drawdown
    35.84%
  • drawdown period
    Jan 28, 2018 - Dec 03, 2018
  • Annual Return (Compounded)
    38.6%
  • Avg win
    $239.88
  • Avg loss
    $108.52
  • Model Account Values (Raw)
  • Cash
    $21,459
  • Margin Used
    $0
  • Buying Power
    $21,771
  • Ratios
  • W:L ratio
    1.65:1
  • Sharpe Ratio
    0.81
  • Sortino Ratio
    1.24
  • Calmar Ratio
    1.666
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    124.97%
  • Correlation to SP500
    0.04890
  • Return Percent SP500 (cumu) during strategy life
    28.40%
  • Return Statistics
  • Ann Return (w trading costs)
    38.6%
  • Slump
  • Current Slump as Pcnt Equity
    37.70%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.386%
  • Instruments
  • Percent Trades Options
    0.03%
  • Percent Trades Stocks
    0.96%
  • Percent Trades Forex
    0.01%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    43.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    66.50%
  • Chance of 20% account loss
    37.50%
  • Chance of 30% account loss
    9.50%
  • Chance of 40% account loss
    2.00%
  • 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
    490.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    410
  • Popularity (Last 6 weeks)
    928
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    173
  • Popularity (7 days, Percentile 1000 scale)
    704
  • 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
    $109
  • Avg Win
    $240
  • Sum Trade PL (losers)
    $28,432.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    35
  • Win / Loss
  • Sum Trade PL (winners)
    $45,578.000
  • # Winners
    190
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    670
  • AUM
  • AUM (AutoTrader live capital)
    42681
  • Win / Loss
  • # Losers
    262
  • % Winners
    42.0%
  • Frequency
  • Avg Position Time (mins)
    49491.80
  • Avg Position Time (hrs)
    824.86
  • Avg Trade Length
    34.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.80
  • Daily leverage (max)
    8.39
  • Regression
  • Alpha
    0.10
  • Beta
    0.08
  • Treynor Index
    1.27
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    35.66
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    16.09
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.49
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.749
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.230
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.194
  • Hold-and-Hope Ratio
    0.275
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45117
  • SD
    0.38156
  • Sharpe ratio (Glass type estimate)
    1.18243
  • Sharpe ratio (Hedges UMVUE)
    1.15154
  • df
    29.00000
  • t
    1.86959
  • p
    0.03583
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10320
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12298
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42606
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.60784
  • Upside Potential Ratio
    4.08571
  • Upside part of mean
    0.70685
  • Downside part of mean
    -0.25568
  • Upside SD
    0.35745
  • Downside SD
    0.17300
  • N nonnegative terms
    21.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.10403
  • Mean of criterion
    0.45117
  • SD of predictor
    0.19314
  • SD of criterion
    0.38156
  • Covariance
    0.01102
  • r
    0.14950
  • b (slope, estimate of beta)
    0.29534
  • a (intercept, estimate of alpha)
    0.42045
  • Mean Square Error
    0.14742
  • DF error
    28.00000
  • t(b)
    0.80007
  • p(b)
    0.21520
  • t(a)
    1.71017
  • p(a)
    0.04915
  • Lowerbound of 95% confidence interval for beta
    -0.46082
  • Upperbound of 95% confidence interval for beta
    1.05150
  • Lowerbound of 95% confidence interval for alpha
    -0.08316
  • Upperbound of 95% confidence interval for alpha
    0.92405
  • Treynor index (mean / b)
    1.52762
  • Jensen alpha (a)
    0.42045
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37897
  • SD
    0.35873
  • Sharpe ratio (Glass type estimate)
    1.05642
  • Sharpe ratio (Hedges UMVUE)
    1.02883
  • df
    29.00000
  • t
    1.67035
  • p
    0.05280
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22100
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31659
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23873
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29638
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01386
  • Upside Potential Ratio
    3.45817
  • Upside part of mean
    0.65076
  • Downside part of mean
    -0.27179
  • Upside SD
    0.31773
  • Downside SD
    0.18818
  • N nonnegative terms
    21.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.08532
  • Mean of criterion
    0.37897
  • SD of predictor
    0.19424
  • SD of criterion
    0.35873
  • Covariance
    0.00876
  • r
    0.12577
  • b (slope, estimate of beta)
    0.23227
  • a (intercept, estimate of alpha)
    0.35915
  • Mean Square Error
    0.13117
  • DF error
    28.00000
  • t(b)
    0.67082
  • p(b)
    0.25392
  • t(a)
    1.55505
  • p(a)
    0.06558
  • Lowerbound of 95% confidence interval for beta
    -0.47698
  • Upperbound of 95% confidence interval for beta
    0.94152
  • Lowerbound of 95% confidence interval for alpha
    -0.11394
  • Upperbound of 95% confidence interval for alpha
    0.83225
  • Treynor index (mean / b)
    1.63160
  • Jensen alpha (a)
    0.35915
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12956
  • Expected Shortfall on VaR
    0.16581
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03373
  • Expected Shortfall on VaR
    0.07649
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.79183
  • Quartile 1
    0.98484
  • Median
    1.02870
  • Quartile 3
    1.08599
  • Maximum
    1.39455
  • Mean of quarter 1
    0.92279
  • Mean of quarter 2
    1.01527
  • Mean of quarter 3
    1.04325
  • Mean of quarter 4
    1.17573
  • Inter Quartile Range
    0.10114
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03333
  • Mean of outliers low
    0.79183
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.03333
  • Mean of outliers high
    1.39455
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.92968
  • VaR(95%) (moments method)
    0.06072
  • Expected Shortfall (moments method)
    0.06687
  • Extreme Value Index (regression method)
    -0.47970
  • VaR(95%) (regression method)
    0.08554
  • Expected Shortfall (regression method)
    0.10327
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00059
  • Quartile 1
    0.06366
  • Median
    0.14643
  • Quartile 3
    0.21004
  • Maximum
    0.21566
  • Mean of quarter 1
    0.00059
  • Mean of quarter 2
    0.08469
  • Mean of quarter 3
    0.20817
  • Mean of quarter 4
    0.21566
  • Inter Quartile Range
    0.14638
  • 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)
    0.70616
  • Compounded annual return (geometric extrapolation)
    0.50211
  • Calmar ratio (compounded annual return / max draw down)
    2.32825
  • Compounded annual return / average of 25% largest draw downs
    2.32825
  • Compounded annual return / Expected Shortfall lognormal
    3.02820
  • 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
    0.45410
  • SD
    0.40362
  • Sharpe ratio (Glass type estimate)
    1.12506
  • Sharpe ratio (Hedges UMVUE)
    1.12380
  • df
    666.00000
  • t
    1.79510
  • p
    0.03655
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10519
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35456
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10608
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35366
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77252
  • Upside Potential Ratio
    8.44782
  • Upside part of mean
    2.16424
  • Downside part of mean
    -1.71014
  • Upside SD
    0.31276
  • Downside SD
    0.25619
  • N nonnegative terms
    367.00000
  • N negative terms
    300.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    667.00000
  • Mean of predictor
    0.10042
  • Mean of criterion
    0.45410
  • SD of predictor
    0.24455
  • SD of criterion
    0.40362
  • Covariance
    0.00276
  • r
    0.02795
  • b (slope, estimate of beta)
    0.04614
  • a (intercept, estimate of alpha)
    0.44900
  • Mean Square Error
    0.16303
  • DF error
    665.00000
  • t(b)
    0.72116
  • p(b)
    0.23553
  • t(a)
    1.77557
  • p(a)
    0.03813
  • Lowerbound of 95% confidence interval for beta
    -0.07948
  • Upperbound of 95% confidence interval for beta
    0.17176
  • Lowerbound of 95% confidence interval for alpha
    -0.04758
  • Upperbound of 95% confidence interval for alpha
    0.94651
  • Treynor index (mean / b)
    9.84237
  • Jensen alpha (a)
    0.44947
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37408
  • SD
    0.39772
  • Sharpe ratio (Glass type estimate)
    0.94056
  • Sharpe ratio (Hedges UMVUE)
    0.93950
  • df
    666.00000
  • t
    1.50072
  • p
    0.06695
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28920
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16966
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28992
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16893
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41710
  • Upside Potential Ratio
    8.02410
  • Upside part of mean
    2.11818
  • Downside part of mean
    -1.74410
  • Upside SD
    0.29799
  • Downside SD
    0.26398
  • N nonnegative terms
    367.00000
  • N negative terms
    300.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    667.00000
  • Mean of predictor
    0.07030
  • Mean of criterion
    0.37408
  • SD of predictor
    0.24612
  • SD of criterion
    0.39772
  • Covariance
    0.00381
  • r
    0.03889
  • b (slope, estimate of beta)
    0.06284
  • a (intercept, estimate of alpha)
    0.36967
  • Mean Square Error
    0.15818
  • DF error
    665.00000
  • t(b)
    1.00361
  • p(b)
    0.15796
  • t(a)
    1.48278
  • p(a)
    0.06930
  • Lowerbound of 95% confidence interval for beta
    -0.06011
  • Upperbound of 95% confidence interval for beta
    0.18580
  • Lowerbound of 95% confidence interval for alpha
    -0.11986
  • Upperbound of 95% confidence interval for alpha
    0.85919
  • Treynor index (mean / b)
    5.95256
  • Jensen alpha (a)
    0.36967
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03824
  • Expected Shortfall on VaR
    0.04802
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01380
  • Expected Shortfall on VaR
    0.02943
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    667.00000
  • Minimum
    0.89431
  • Quartile 1
    0.99406
  • Median
    1.00125
  • Quartile 3
    1.00896
  • Maximum
    1.24372
  • Mean of quarter 1
    0.97608
  • Mean of quarter 2
    0.99819
  • Mean of quarter 3
    1.00471
  • Mean of quarter 4
    1.02839
  • Inter Quartile Range
    0.01489
  • Number outliers low
    48.00000
  • Percentage of outliers low
    0.07196
  • Mean of outliers low
    0.94935
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.07796
  • Mean of outliers high
    1.05271
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52116
  • VaR(95%) (moments method)
    0.02237
  • Expected Shortfall (moments method)
    0.05390
  • Extreme Value Index (regression method)
    0.02224
  • VaR(95%) (regression method)
    0.02205
  • Expected Shortfall (regression method)
    0.03246
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00645
  • Median
    0.02504
  • Quartile 3
    0.06085
  • Maximum
    0.29707
  • Mean of quarter 1
    0.00340
  • Mean of quarter 2
    0.01667
  • Mean of quarter 3
    0.04154
  • Mean of quarter 4
    0.16808
  • 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
    4.00000
  • Percentage of outliers high
    0.12121
  • Mean of outliers high
    0.24783
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.12663
  • VaR(95%) (moments method)
    0.15346
  • Expected Shortfall (moments method)
    0.22757
  • Extreme Value Index (regression method)
    -0.31803
  • VaR(95%) (regression method)
    0.20040
  • Expected Shortfall (regression method)
    0.24857
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.70021
  • Compounded annual return (geometric extrapolation)
    0.49480
  • Calmar ratio (compounded annual return / max draw down)
    1.66558
  • Compounded annual return / average of 25% largest draw downs
    2.94389
  • Compounded annual return / Expected Shortfall lognormal
    10.30330
  • 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
    0.57986
  • SD
    0.40054
  • Sharpe ratio (Glass type estimate)
    1.44769
  • Sharpe ratio (Hedges UMVUE)
    1.43932
  • df
    130.00000
  • t
    1.02367
  • p
    0.45529
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33236
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.22230
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33800
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.21664
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16590
  • Upside Potential Ratio
    9.90971
  • Upside part of mean
    2.65306
  • Downside part of mean
    -2.07320
  • Upside SD
    0.29802
  • Downside SD
    0.26772
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61736
  • Mean of criterion
    0.57986
  • SD of predictor
    0.27460
  • SD of criterion
    0.40054
  • Covariance
    0.00659
  • r
    0.05989
  • b (slope, estimate of beta)
    0.08735
  • a (intercept, estimate of alpha)
    0.52593
  • Mean Square Error
    0.16110
  • DF error
    129.00000
  • t(b)
    0.68142
  • p(b)
    0.46190
  • t(a)
    0.91768
  • p(a)
    0.44879
  • Lowerbound of 95% confidence interval for beta
    -0.16628
  • Upperbound of 95% confidence interval for beta
    0.34099
  • Lowerbound of 95% confidence interval for alpha
    -0.60799
  • Upperbound of 95% confidence interval for alpha
    1.65985
  • Treynor index (mean / b)
    6.63808
  • Jensen alpha (a)
    0.52593
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49957
  • SD
    0.40100
  • Sharpe ratio (Glass type estimate)
    1.24582
  • Sharpe ratio (Hedges UMVUE)
    1.23862
  • df
    130.00000
  • t
    0.88093
  • p
    0.46148
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53242
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01946
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53728
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01451
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82037
  • Upside Potential Ratio
    9.50898
  • Upside part of mean
    2.60959
  • Downside part of mean
    -2.11002
  • Upside SD
    0.29191
  • Downside SD
    0.27443
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.57936
  • Mean of criterion
    0.49957
  • SD of predictor
    0.27384
  • SD of criterion
    0.40100
  • Covariance
    0.00699
  • r
    0.06361
  • b (slope, estimate of beta)
    0.09315
  • a (intercept, estimate of alpha)
    0.44560
  • Mean Square Error
    0.16139
  • DF error
    129.00000
  • t(b)
    0.72399
  • p(b)
    0.45953
  • t(a)
    0.77765
  • p(a)
    0.45655
  • VAR (95 Confidence Intrvl)
    0.03800
  • Lowerbound of 95% confidence interval for beta
    -0.16142
  • Upperbound of 95% confidence interval for beta
    0.34772
  • Lowerbound of 95% confidence interval for alpha
    -0.68811
  • Upperbound of 95% confidence interval for alpha
    1.57931
  • Treynor index (mean / b)
    5.36287
  • Jensen alpha (a)
    0.44560
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03810
  • Expected Shortfall on VaR
    0.04796
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01720
  • Expected Shortfall on VaR
    0.03444
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90923
  • Quartile 1
    0.98985
  • Median
    1.00149
  • Quartile 3
    1.01602
  • Maximum
    1.06903
  • Mean of quarter 1
    0.97152
  • Mean of quarter 2
    0.99743
  • Mean of quarter 3
    1.00690
  • Mean of quarter 4
    1.03356
  • Inter Quartile Range
    0.02618
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.92906
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.06861
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15944
  • VaR(95%) (moments method)
    0.02578
  • Expected Shortfall (moments method)
    0.03302
  • Extreme Value Index (regression method)
    -0.10615
  • VaR(95%) (regression method)
    0.02465
  • Expected Shortfall (regression method)
    0.03187
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00075
  • Quartile 1
    0.01511
  • Median
    0.04322
  • Quartile 3
    0.11112
  • Maximum
    0.23672
  • Mean of quarter 1
    0.00898
  • Mean of quarter 2
    0.03587
  • Mean of quarter 3
    0.09574
  • Mean of quarter 4
    0.17642
  • Inter Quartile Range
    0.09602
  • 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)
    0.26900
  • VaR(95%) (moments method)
    0.19273
  • Expected Shortfall (moments method)
    0.28358
  • Extreme Value Index (regression method)
    3.59333
  • VaR(95%) (regression method)
    0.51558
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -275795000
  • Max Equity Drawdown (num days)
    309
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60358
  • Compounded annual return (geometric extrapolation)
    0.69465
  • Calmar ratio (compounded annual return / max draw down)
    2.93445
  • Compounded annual return / average of 25% largest draw downs
    3.93746
  • Compounded annual return / Expected Shortfall lognormal
    14.48280

Strategy Description

Added back an additional risk-mechanism to deal with limiting downside deviation more efficiently, and maximize the upside more. The drawback is obviously I'd say is 20% whipsaws which can hinder potential profits; but focuses more on limiting losses, or transforming risk in the sense of trying to offer a better risk adjusted return, it's a trade-off but during tough times we'll be thankful for it. I also have a way to get back into stocks during the 'whipsaw's' from this method, it would be based on time-constraint during the month if it show positive accumulation again, and the market is acting strong.

Investing always carries risk, w/ high-reward comes high risk. I just ask for your patience as my strategy has positive expectancy. This is a probabilities game, and luck. My job is to build up enough of an edge to consistently make profits for you and me.

In 2018, I was trading options (I don't now)
In 2019, I ran a long-short w/ leverage fund, and the latter half I started my system w/ some leverage.
Currently in 2020, I'm using a system after copious amounts of research to run this model. My goal as an investor is to make triple-digit returns, 100% max cash invested.

If you have any questions, please don't hesitate.

Kind Regards,

Cam

Summary Statistics

Strategy began
2017-11-20
Suggested Minimum Capital
$15,000
# Trades
452
# Profitable
190
% Profitable
42.0%
Net Dividends
Correlation S&P500
0.049
Sharpe Ratio
0.81
Sortino Ratio
1.24
Beta
0.08
Alpha
0.10
Leverage
2.80 Average
8.39 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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