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SP500Trader
(115326831)

Created by: RobertPeterson RobertPeterson
Started: 01/2018
Stocks
Last trade: 7 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 $149.00 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.

10.2%
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.

(10.5%)
Max Drawdown
95
Num Trades
50.5%
Win Trades
1.4 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018+7.7%(0.7%)(0.6%)+2.6%+2.0%(3.8%)+2.9%+1.7%(2.1%)(2.3%)(3.4%)+2.4%+5.9%
2019+6.8%+3.8%(1.7%)+1.9%(4.8%)+3.1%                                    +8.9%

Model Account Details

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

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

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

Trading Record

This strategy has placed 11 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/10/19 9:40 SSO PROSHARES ULTRA S&P500 LONG 308 123.18 6/11 11:39 121.91 0.64%
Trade id #124002108
Max drawdown($391)
Time6/11/19 11:39
Quant open0
Worst price121.91
Drawdown as % of equity-0.64%
($397)
Includes Typical Broker Commissions trade costs of $6.16
6/5/19 11:04 SSO PROSHARES ULTRA S&P500 LONG 348 115.67 6/7 11:33 120.91 0.06%
Trade id #123949451
Max drawdown($36)
Time6/5/19 11:10
Quant open174
Worst price115.16
Drawdown as % of equity-0.06%
$1,818
Includes Typical Broker Commissions trade costs of $6.96
6/4/19 10:40 SSO PROSHARES ULTRA S&P500 LONG 174 112.72 6/5 10:49 114.89 0.09%
Trade id #123932599
Max drawdown($55)
Time6/4/19 10:47
Quant open174
Worst price112.40
Drawdown as % of equity-0.09%
$375
Includes Typical Broker Commissions trade costs of $3.48
5/21/19 14:29 SSO PROSHARES ULTRA S&P500 LONG 246 120.41 5/23 9:40 116.66 1.56%
Trade id #123757769
Max drawdown($934)
Time5/23/19 9:34
Quant open246
Worst price116.61
Drawdown as % of equity-1.56%
($929)
Includes Typical Broker Commissions trade costs of $4.92
5/21/19 10:43 SSO PROSHARES ULTRA S&P500 LONG 492 120.02 5/21 10:55 120.17 n/a $64
Includes Typical Broker Commissions trade costs of $9.84
5/16/19 9:33 SSO PROSHARES ULTRA S&P500 LONG 474 120.45 5/16 15:44 120.75 n/a $133
Includes Typical Broker Commissions trade costs of $9.48
5/15/19 10:35 SSO PROSHARES ULTRA S&P500 LONG 121 118.13 5/15 12:15 119.03 0.04%
Trade id #123680311
Max drawdown($21)
Time5/15/19 10:40
Quant open121
Worst price117.95
Drawdown as % of equity-0.04%
$107
Includes Typical Broker Commissions trade costs of $2.42
5/14/19 12:42 SSO PROSHARES ULTRA S&P500 LONG 122 118.52 5/14 14:07 118.42 0.02%
Trade id #123666849
Max drawdown($14)
Time5/14/19 12:48
Quant open122
Worst price118.40
Drawdown as % of equity-0.02%
($14)
Includes Typical Broker Commissions trade costs of $2.44
5/9/19 14:38 SSO PROSHARES ULTRA S&P500 LONG 732 119.81 5/13 11:34 117.63 2.66%
Trade id #123596699
Max drawdown($1,596)
Time5/13/19 11:34
Quant open610
Worst price115.98
Drawdown as % of equity-2.66%
($1,611)
Includes Typical Broker Commissions trade costs of $14.64
5/1/19 14:05 SSO PROSHARES ULTRA S&P500 LONG 233 127.59 5/1 15:48 125.86 0.66%
Trade id #123495456
Max drawdown($403)
Time5/1/19 15:48
Quant open181
Worst price125.53
Drawdown as % of equity-0.66%
($408)
Includes Typical Broker Commissions trade costs of $4.66
4/29/19 12:04 SSO PROSHARES ULTRA S&P500 LONG 464 126.90 4/30 11:04 125.41 1.11%
Trade id #123465313
Max drawdown($691)
Time4/30/19 11:04
Quant open0
Worst price125.41
Drawdown as % of equity-1.11%
($700)
Includes Typical Broker Commissions trade costs of $9.28
4/18/19 9:31 SSO PROSHARES ULTRA S&P500 LONG 735 124.28 4/25 15:58 125.16 0.91%
Trade id #123356693
Max drawdown($562)
Time4/18/19 10:42
Quant open450
Worst price122.53
Drawdown as % of equity-0.91%
$628
Includes Typical Broker Commissions trade costs of $14.70
4/16/19 9:37 SSO PROSHARES ULTRA S&P500 LONG 473 124.59 4/16 15:58 123.55 0.97%
Trade id #123326734
Max drawdown($600)
Time4/16/19 15:36
Quant open473
Worst price123.32
Drawdown as % of equity-0.97%
($500)
Includes Typical Broker Commissions trade costs of $9.46
4/10/19 14:46 SSO PROSHARES ULTRA S&P500 LONG 483 122.00 4/12 15:23 123.59 0.2%
Trade id #123272213
Max drawdown($120)
Time4/11/19 11:41
Quant open483
Worst price121.75
Drawdown as % of equity-0.20%
$758
Includes Typical Broker Commissions trade costs of $9.66
4/2/19 12:03 SSO PROSHARES ULTRA S&P500 LONG 245 120.44 4/3 9:30 121.53 0.15%
Trade id #123170494
Max drawdown($90)
Time4/2/19 17:07
Quant open245
Worst price120.07
Drawdown as % of equity-0.15%
$262
Includes Typical Broker Commissions trade costs of $4.90
3/29/19 9:30 SSO PROSHARES ULTRA S&P500 LONG 501 117.56 4/1 10:10 119.41 0.83%
Trade id #123125147
Max drawdown($501)
Time3/29/19 10:55
Quant open501
Worst price116.56
Drawdown as % of equity-0.83%
$924
Includes Typical Broker Commissions trade costs of $5.00
3/28/19 9:34 SSO PROSHARES ULTRA S&P500 LONG 485 116.15 3/28 11:31 115.34 0.65%
Trade id #123111829
Max drawdown($393)
Time3/28/19 11:31
Quant open242
Worst price115.04
Drawdown as % of equity-0.65%
($403)
Includes Typical Broker Commissions trade costs of $9.70
3/27/19 9:32 SSO PROSHARES ULTRA S&P500 LONG 250 116.91 3/27 11:15 115.29 0.68%
Trade id #123095019
Max drawdown($414)
Time3/27/19 11:15
Quant open250
Worst price115.25
Drawdown as % of equity-0.68%
($410)
Includes Typical Broker Commissions trade costs of $5.00
3/25/19 13:14 SSO PROSHARES ULTRA S&P500 LONG 120 115.07 3/26 10:33 116.81 0.26%
Trade id #123062678
Max drawdown($157)
Time3/25/19 14:28
Quant open120
Worst price113.76
Drawdown as % of equity-0.26%
$207
Includes Typical Broker Commissions trade costs of $2.40
3/20/19 11:12 SSO PROSHARES ULTRA S&P500 LONG 499 117.20 3/20 12:32 116.17 0.84%
Trade id #122991687
Max drawdown($514)
Time3/20/19 12:32
Quant open0
Worst price116.17
Drawdown as % of equity-0.84%
($524)
Includes Typical Broker Commissions trade costs of $9.98
3/15/19 15:31 SSO PROSHARES ULTRA S&P500 LONG 495 117.20 3/18 11:24 117.42 0.32%
Trade id #122933368
Max drawdown($198)
Time3/15/19 15:55
Quant open495
Worst price116.80
Drawdown as % of equity-0.32%
$99
Includes Typical Broker Commissions trade costs of $9.90
3/14/19 9:31 SSO PROSHARES ULTRA S&P500 LONG 508 116.14 3/15 13:56 117.46 0.45%
Trade id #122909162
Max drawdown($274)
Time3/14/19 10:09
Quant open508
Worst price115.60
Drawdown as % of equity-0.45%
$666
Includes Typical Broker Commissions trade costs of $5.00
3/13/19 9:30 SSO PROSHARES ULTRA S&P500 LONG 516 115.42 3/13 11:52 116.51 0.07%
Trade id #122891593
Max drawdown($41)
Time3/13/19 9:34
Quant open516
Worst price115.34
Drawdown as % of equity-0.07%
$557
Includes Typical Broker Commissions trade costs of $5.00
2/28/19 12:41 SSO PROSHARES ULTRA S&P500 LONG 516 114.73 3/7 10:19 111.80 2.49%
Trade id #122735832
Max drawdown($1,512)
Time3/7/19 10:19
Quant open258
Worst price110.72
Drawdown as % of equity-2.49%
($1,520)
Includes Typical Broker Commissions trade costs of $7.66
2/22/19 10:35 SSO PROSHARES ULTRA S&P500 LONG 510 114.01 2/25 11:39 116.07 0.23%
Trade id #122642430
Max drawdown($137)
Time2/22/19 14:42
Quant open510
Worst price113.74
Drawdown as % of equity-0.23%
$1,046
Includes Typical Broker Commissions trade costs of $5.00
2/20/19 9:49 SSO PROSHARES ULTRA S&P500 LONG 512 113.59 2/20 12:33 113.47 0.19%
Trade id #122600601
Max drawdown($112)
Time2/20/19 12:31
Quant open512
Worst price113.37
Drawdown as % of equity-0.19%
($66)
Includes Typical Broker Commissions trade costs of $5.00
2/6/19 9:32 SSO PROSHARES ULTRA S&P500 LONG 528 110.07 2/19 15:45 111.01 1.99%
Trade id #122389521
Max drawdown($1,163)
Time2/8/19 11:48
Quant open268
Worst price105.73
Drawdown as % of equity-1.99%
$487
Includes Typical Broker Commissions trade costs of $7.78
2/13/19 13:45 VXXB IPATH SER B S&P 500 VIX SHOR LONG 526 33.00 2/13 13:45 33.00 n/a ($5)
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 15:39 SSO PROSHARES ULTRA S&P500 LONG 522 107.18 2/5 11:30 109.63 0.22%
Trade id #122300903
Max drawdown($130)
Time2/1/19 15:11
Quant open522
Worst price106.93
Drawdown as % of equity-0.22%
$1,274
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 10:37 SSO PROSHARES ULTRA S&P500 LONG 531 106.85 1/31 12:11 107.53 0.24%
Trade id #122291735
Max drawdown($138)
Time1/31/19 11:00
Quant open531
Worst price106.59
Drawdown as % of equity-0.24%
$356
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/2/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    532.19
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    95
  • # Profitable
    48
  • % Profitable
    50.50%
  • Avg trade duration
    2.3 days
  • Max peak-to-valley drawdown
    10.48%
  • drawdown period
    May 22, 2018 - Dec 11, 2018
  • Annual Return (Compounded)
    10.2%
  • Avg win
    $855.12
  • Avg loss
    $639.98
  • Model Account Values (Raw)
  • Cash
    $61,011
  • Margin Used
    $0
  • Buying Power
    $61,011
  • Ratios
  • W:L ratio
    1.37:1
  • Sharpe Ratio
    0.64
  • Sortino Ratio
    0.95
  • Calmar Ratio
    1.858
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.44060
  • Return Statistics
  • Ann Return (w trading costs)
    10.2%
  • Ann Return (Compnd, No Fees)
    14.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    9.00%
  • 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)
    833
  • C2 Score
    55.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $640
  • Avg Win
    $855
  • # Winners
    48
  • # Losers
    47
  • % Winners
    50.5%
  • Frequency
  • Avg Position Time (mins)
    3277.98
  • Avg Position Time (hrs)
    54.63
  • Avg Trade Length
    2.3 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.81
  • Daily leverage (max)
    4.02
  • Unknown
  • Alpha
    0.02
  • Beta
    0.30
  • Treynor Index
    0.08
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11762
  • SD
    0.11299
  • Sharpe ratio (Glass type estimate)
    1.04095
  • Sharpe ratio (Hedges UMVUE)
    0.99125
  • df
    16.00000
  • t
    1.23898
  • p
    0.35206
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65955
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71069
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69088
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67338
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16766
  • Upside Potential Ratio
    4.01134
  • Upside part of mean
    0.21766
  • Downside part of mean
    -0.10004
  • Upside SD
    0.10112
  • Downside SD
    0.05426
  • N nonnegative terms
    9.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.02630
  • Mean of criterion
    0.11762
  • SD of predictor
    0.11078
  • SD of criterion
    0.11299
  • Covariance
    0.00595
  • r
    0.47500
  • b (slope, estimate of beta)
    0.48447
  • a (intercept, estimate of alpha)
    0.10488
  • Mean Square Error
    0.01055
  • DF error
    15.00000
  • t(b)
    2.09058
  • p(b)
    0.20940
  • t(a)
    1.21255
  • p(a)
    0.31266
  • Lowerbound of 95% confidence interval for beta
    -0.00947
  • Upperbound of 95% confidence interval for beta
    0.97841
  • Lowerbound of 95% confidence interval for alpha
    -0.07948
  • Upperbound of 95% confidence interval for alpha
    0.28923
  • Treynor index (mean / b)
    0.24278
  • Jensen alpha (a)
    0.10488
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11094
  • SD
    0.11128
  • Sharpe ratio (Glass type estimate)
    0.99695
  • Sharpe ratio (Hedges UMVUE)
    0.94935
  • df
    16.00000
  • t
    1.18661
  • p
    0.35780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69982
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66414
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72988
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62858
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01133
  • Upside Potential Ratio
    3.84812
  • Upside part of mean
    0.21225
  • Downside part of mean
    -0.10131
  • Upside SD
    0.09817
  • Downside SD
    0.05516
  • N nonnegative terms
    9.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.02046
  • Mean of criterion
    0.11094
  • SD of predictor
    0.11067
  • SD of criterion
    0.11128
  • Covariance
    0.00570
  • r
    0.46283
  • b (slope, estimate of beta)
    0.46536
  • a (intercept, estimate of alpha)
    0.10142
  • Mean Square Error
    0.01038
  • DF error
    15.00000
  • t(b)
    2.02215
  • p(b)
    0.21624
  • t(a)
    1.18308
  • p(a)
    0.31670
  • Lowerbound of 95% confidence interval for beta
    -0.02515
  • Upperbound of 95% confidence interval for beta
    0.95588
  • Lowerbound of 95% confidence interval for alpha
    -0.08130
  • Upperbound of 95% confidence interval for alpha
    0.28413
  • Treynor index (mean / b)
    0.23839
  • Jensen alpha (a)
    0.10142
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04266
  • Expected Shortfall on VaR
    0.05535
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01865
  • Expected Shortfall on VaR
    0.03507
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.95758
  • Quartile 1
    0.99282
  • Median
    1.00733
  • Quartile 3
    1.03556
  • Maximum
    1.08004
  • Mean of quarter 1
    0.97731
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.02455
  • Mean of quarter 4
    1.05594
  • Inter Quartile Range
    0.04274
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.51370
  • VaR(95%) (moments method)
    0.02073
  • Expected Shortfall (moments method)
    0.02451
  • Extreme Value Index (regression method)
    -0.44587
  • VaR(95%) (regression method)
    0.03586
  • Expected Shortfall (regression method)
    0.04356
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00410
  • Quartile 1
    0.01013
  • Median
    0.01139
  • Quartile 3
    0.04242
  • Maximum
    0.05430
  • Mean of quarter 1
    0.00711
  • Mean of quarter 2
    0.01139
  • Mean of quarter 3
    0.04242
  • Mean of quarter 4
    0.05430
  • Inter Quartile Range
    0.03229
  • 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)
    0.15344
  • Compounded annual return (geometric extrapolation)
    0.14894
  • Calmar ratio (compounded annual return / max draw down)
    2.74321
  • Compounded annual return / average of 25% largest draw downs
    2.74321
  • Compounded annual return / Expected Shortfall lognormal
    2.69080
  • 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
    0.11626
  • SD
    0.10945
  • Sharpe ratio (Glass type estimate)
    1.06228
  • Sharpe ratio (Hedges UMVUE)
    1.06014
  • df
    372.00000
  • t
    1.26748
  • p
    0.10289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58282
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58428
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70455
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.62715
  • Upside Potential Ratio
    8.55559
  • Upside part of mean
    0.61130
  • Downside part of mean
    -0.49504
  • Upside SD
    0.08302
  • Downside SD
    0.07145
  • N nonnegative terms
    133.00000
  • N negative terms
    240.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    373.00000
  • Mean of predictor
    0.04050
  • Mean of criterion
    0.11626
  • SD of predictor
    0.16017
  • SD of criterion
    0.10945
  • Covariance
    0.00800
  • r
    0.45628
  • b (slope, estimate of beta)
    0.31177
  • a (intercept, estimate of alpha)
    0.10400
  • Mean Square Error
    0.00951
  • DF error
    371.00000
  • t(b)
    9.87667
  • p(b)
    -0.00000
  • t(a)
    1.26783
  • p(a)
    0.10283
  • Lowerbound of 95% confidence interval for beta
    0.24970
  • Upperbound of 95% confidence interval for beta
    0.37385
  • Lowerbound of 95% confidence interval for alpha
    -0.05710
  • Upperbound of 95% confidence interval for alpha
    0.26437
  • Treynor index (mean / b)
    0.37290
  • Jensen alpha (a)
    0.10363
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11025
  • SD
    0.10942
  • Sharpe ratio (Glass type estimate)
    1.00766
  • Sharpe ratio (Hedges UMVUE)
    1.00563
  • df
    372.00000
  • t
    1.20231
  • p
    0.11500
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63722
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65122
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63861
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64986
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.52961
  • Upside Potential Ratio
    8.43263
  • Upside part of mean
    0.60782
  • Downside part of mean
    -0.49757
  • Upside SD
    0.08241
  • Downside SD
    0.07208
  • N nonnegative terms
    133.00000
  • N negative terms
    240.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    373.00000
  • Mean of predictor
    0.02767
  • Mean of criterion
    0.11025
  • SD of predictor
    0.16051
  • SD of criterion
    0.10942
  • Covariance
    0.00800
  • r
    0.45578
  • b (slope, estimate of beta)
    0.31070
  • a (intercept, estimate of alpha)
    0.10166
  • Mean Square Error
    0.00951
  • DF error
    371.00000
  • t(b)
    9.86296
  • p(b)
    -0.00000
  • t(a)
    1.24371
  • p(a)
    0.10720
  • Lowerbound of 95% confidence interval for beta
    0.24876
  • Upperbound of 95% confidence interval for beta
    0.37264
  • Lowerbound of 95% confidence interval for alpha
    -0.05907
  • Upperbound of 95% confidence interval for alpha
    0.26238
  • Treynor index (mean / b)
    0.35486
  • Jensen alpha (a)
    0.10166
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01064
  • Expected Shortfall on VaR
    0.01343
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00505
  • Expected Shortfall on VaR
    0.01014
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    373.00000
  • Minimum
    0.96263
  • Quartile 1
    0.99793
  • Median
    1.00000
  • Quartile 3
    1.00258
  • Maximum
    1.02279
  • Mean of quarter 1
    0.99319
  • Mean of quarter 2
    0.99958
  • Mean of quarter 3
    1.00063
  • Mean of quarter 4
    1.00888
  • Inter Quartile Range
    0.00466
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.05630
  • Mean of outliers low
    0.98545
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.07775
  • Mean of outliers high
    1.01548
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17925
  • VaR(95%) (moments method)
    0.00589
  • Expected Shortfall (moments method)
    0.00923
  • Extreme Value Index (regression method)
    0.13607
  • VaR(95%) (regression method)
    0.00682
  • Expected Shortfall (regression method)
    0.01060
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00134
  • Quartile 1
    0.00586
  • Median
    0.01930
  • Quartile 3
    0.03978
  • Maximum
    0.07973
  • Mean of quarter 1
    0.00246
  • Mean of quarter 2
    0.01196
  • Mean of quarter 3
    0.02581
  • Mean of quarter 4
    0.06416
  • Inter Quartile Range
    0.03392
  • 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)
    -4.83331
  • VaR(95%) (moments method)
    0.06872
  • Expected Shortfall (moments method)
    0.06874
  • Extreme Value Index (regression method)
    -2.26595
  • VaR(95%) (regression method)
    0.09078
  • Expected Shortfall (regression method)
    0.09153
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15268
  • Compounded annual return (geometric extrapolation)
    0.14816
  • Calmar ratio (compounded annual return / max draw down)
    1.85823
  • Compounded annual return / average of 25% largest draw downs
    2.30913
  • Compounded annual return / Expected Shortfall lognormal
    11.03330
  • 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
    0.22366
  • SD
    0.10066
  • Sharpe ratio (Glass type estimate)
    2.22198
  • Sharpe ratio (Hedges UMVUE)
    2.20914
  • df
    130.00000
  • t
    1.57118
  • p
    0.43174
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56707
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.00268
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57564
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.99392
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.88745
  • Upside Potential Ratio
    11.45200
  • Upside part of mean
    0.65887
  • Downside part of mean
    -0.43521
  • Upside SD
    0.08328
  • Downside SD
    0.05753
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19023
  • Mean of criterion
    0.22366
  • SD of predictor
    0.16056
  • SD of criterion
    0.10066
  • Covariance
    0.00778
  • r
    0.48134
  • b (slope, estimate of beta)
    0.30177
  • a (intercept, estimate of alpha)
    0.16625
  • Mean Square Error
    0.00784
  • DF error
    129.00000
  • t(b)
    6.23701
  • p(b)
    0.20585
  • t(a)
    1.32372
  • p(a)
    0.42647
  • Lowerbound of 95% confidence interval for beta
    0.20604
  • Upperbound of 95% confidence interval for beta
    0.39749
  • Lowerbound of 95% confidence interval for alpha
    -0.08224
  • Upperbound of 95% confidence interval for alpha
    0.41474
  • Treynor index (mean / b)
    0.74116
  • Jensen alpha (a)
    0.16625
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21853
  • SD
    0.10037
  • Sharpe ratio (Glass type estimate)
    2.17725
  • Sharpe ratio (Hedges UMVUE)
    2.16467
  • df
    130.00000
  • t
    1.53955
  • p
    0.43309
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61128
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.95755
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61960
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.94893
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.78007
  • Upside Potential Ratio
    11.33610
  • Upside part of mean
    0.65536
  • Downside part of mean
    -0.43683
  • Upside SD
    0.08269
  • Downside SD
    0.05781
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17741
  • Mean of criterion
    0.21853
  • SD of predictor
    0.16008
  • SD of criterion
    0.10037
  • Covariance
    0.00769
  • r
    0.47858
  • b (slope, estimate of beta)
    0.30008
  • a (intercept, estimate of alpha)
    0.16530
  • Mean Square Error
    0.00783
  • DF error
    129.00000
  • t(b)
    6.19056
  • p(b)
    0.20739
  • t(a)
    1.31802
  • p(a)
    0.42678
  • Lowerbound of 95% confidence interval for beta
    0.20417
  • Upperbound of 95% confidence interval for beta
    0.39598
  • Lowerbound of 95% confidence interval for alpha
    -0.08284
  • Upperbound of 95% confidence interval for alpha
    0.41343
  • Treynor index (mean / b)
    0.72826
  • Jensen alpha (a)
    0.16530
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00932
  • Expected Shortfall on VaR
    0.01188
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00418
  • Expected Shortfall on VaR
    0.00820
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98265
  • Quartile 1
    0.99836
  • Median
    1.00000
  • Quartile 3
    1.00383
  • Maximum
    1.02279
  • Mean of quarter 1
    0.99386
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00119
  • Mean of quarter 4
    1.00901
  • Inter Quartile Range
    0.00547
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98725
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01628
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.88882
  • VaR(95%) (moments method)
    0.00498
  • Expected Shortfall (moments method)
    0.00547
  • Extreme Value Index (regression method)
    -0.21887
  • VaR(95%) (regression method)
    0.00531
  • Expected Shortfall (regression method)
    0.00682
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00153
  • Quartile 1
    0.00805
  • Median
    0.01061
  • Quartile 3
    0.02019
  • Maximum
    0.05775
  • Mean of quarter 1
    0.00381
  • Mean of quarter 2
    0.00919
  • Mean of quarter 3
    0.01471
  • Mean of quarter 4
    0.03547
  • Inter Quartile Range
    0.01214
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.05775
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.34953
  • VaR(95%) (moments method)
    0.04102
  • Expected Shortfall (moments method)
    0.04931
  • Extreme Value Index (regression method)
    1.21975
  • VaR(95%) (regression method)
    0.06592
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26227
  • Compounded annual return (geometric extrapolation)
    0.27946
  • Calmar ratio (compounded annual return / max draw down)
    4.83906
  • Compounded annual return / average of 25% largest draw downs
    7.87943
  • Compounded annual return / Expected Shortfall lognormal
    23.51810

Strategy Description

Summary Statistics

Strategy began
2018-01-02
Suggested Minimum Capital
$15,000
# Trades
95
# Profitable
48
% Profitable
50.5%
Net Dividends
Correlation S&P500
0.441
Sharpe Ratio
0.64
Sortino Ratio
0.95
Beta
0.30
Alpha
0.02
Leverage
1.81 Average
4.02 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.