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NASDAQ Momentum
(126548162)

Created by: HistoricStockData HistoricStockData
Started: 12/2019
Stocks
Last trade: 4 days ago
Trading style: Equity Non-hedged Equity 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 $39.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
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).
31.0%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(9.8%)
Max Drawdown
107
Num Trades
73.8%
Win Trades
2.6 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                             +8.4%+8.4%
2020(0.4%)+10.9%+2.4%+5.1%+0.6%+1.8%+4.1%+2.0%(6.6%)                  +20.8%

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 96 hours.

Trading Record

This strategy has placed 181 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
9/17/20 9:45 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,680 5.94 9/22 9:30 6.14 0.4%
Trade id #131220343
Max drawdown($259)
Time9/18/20 0:00
Quant open1,680
Worst price5.79
Drawdown as % of equity-0.40%
$324
Includes Typical Broker Commissions trade costs of $10.00
9/16/20 9:39 ROKU ROKU INC. CLASS A COMMON STOCK LONG 29 172.71 9/18 13:09 158.91 0.62%
Trade id #131198663
Max drawdown($401)
Time9/18/20 13:09
Quant open29
Worst price158.88
Drawdown as % of equity-0.62%
($401)
Includes Typical Broker Commissions trade costs of $0.58
9/10/20 9:35 MSFT MICROSOFT LONG 23 214.04 9/18 12:41 197.99 0.57%
Trade id #131106843
Max drawdown($369)
Time9/18/20 12:41
Quant open23
Worst price197.95
Drawdown as % of equity-0.57%
($369)
Includes Typical Broker Commissions trade costs of $0.46
9/10/20 9:34 AAPL APPLE LONG 41 119.43 9/18 11:00 108.00 0.74%
Trade id #131106608
Max drawdown($476)
Time9/18/20 11:00
Quant open41
Worst price107.81
Drawdown as % of equity-0.74%
($469)
Includes Typical Broker Commissions trade costs of $0.82
9/10/20 9:33 AMZN AMAZON.COM LONG 1 3318.03 9/18 10:28 2988.30 0.53%
Trade id #131106468
Max drawdown($345)
Time9/17/20 0:00
Quant open1
Worst price2972.55
Drawdown as % of equity-0.53%
($330)
Includes Typical Broker Commissions trade costs of $0.02
9/10/20 9:39 PYPL PAYPAL HOLDINGS CORP LONG 25 197.42 9/17 12:09 174.87 0.87%
Trade id #131107161
Max drawdown($566)
Time9/17/20 12:09
Quant open25
Worst price174.77
Drawdown as % of equity-0.87%
($565)
Includes Typical Broker Commissions trade costs of $0.50
8/24/20 9:41 CDNS CADENCE DESIGN SYSTEMS LONG 44 112.26 9/17 9:44 100.15 0.93%
Trade id #130756212
Max drawdown($620)
Time9/8/20 0:00
Quant open44
Worst price98.16
Drawdown as % of equity-0.93%
($534)
Includes Typical Broker Commissions trade costs of $0.88
9/4/20 9:51 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 917 5.45 9/4 14:35 5.60 n/a $138
Includes Typical Broker Commissions trade costs of $5.00
9/2/20 9:36 ADBE ADOBE INC LONG 9 533.84 9/4 10:43 474.31 0.82%
Trade id #130940321
Max drawdown($548)
Time9/4/20 10:43
Quant open9
Worst price472.88
Drawdown as % of equity-0.82%
($536)
Includes Typical Broker Commissions trade costs of $0.18
8/27/20 11:30 DXCM DEXCOM LONG 11 427.45 9/4 10:37 381.50 0.76%
Trade id #130820556
Max drawdown($511)
Time9/4/20 10:37
Quant open11
Worst price380.93
Drawdown as % of equity-0.76%
($505)
Includes Typical Broker Commissions trade costs of $0.22
9/1/20 9:50 AAPL APPLE LONG 38 131.18 9/4 10:26 114.32 0.98%
Trade id #130920430
Max drawdown($665)
Time9/4/20 9:57
Quant open38
Worst price113.68
Drawdown as % of equity-0.98%
($642)
Includes Typical Broker Commissions trade costs of $0.76
9/2/20 9:35 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 25 196.83 9/4 9:51 175.81 0.79%
Trade id #130940260
Max drawdown($539)
Time9/4/20 9:47
Quant open25
Worst price175.23
Drawdown as % of equity-0.79%
($527)
Includes Typical Broker Commissions trade costs of $0.50
9/2/20 9:37 MELI MERCADOLIBRE LONG 4 1219.47 9/4 9:46 1056.48 0.97%
Trade id #130940371
Max drawdown($656)
Time9/4/20 9:45
Quant open4
Worst price1055.25
Drawdown as % of equity-0.97%
($652)
Includes Typical Broker Commissions trade costs of $0.08
9/2/20 9:32 AMD ADVANCED MICRO DEVICES INC. C LONG 53 93.14 9/3 11:22 83.13 0.83%
Trade id #130940111
Max drawdown($570)
Time9/3/20 11:21
Quant open53
Worst price82.38
Drawdown as % of equity-0.83%
($532)
Includes Typical Broker Commissions trade costs of $1.06
8/24/20 9:40 PYPL PAYPAL HOLDINGS CORP LONG 24 200.34 9/3 9:36 203.74 0.14%
Trade id #130756125
Max drawdown($98)
Time8/25/20 0:00
Quant open24
Worst price196.24
Drawdown as % of equity-0.14%
$82
Includes Typical Broker Commissions trade costs of $0.48
8/27/20 11:03 Z ZILLOW GROUP INC. CLASS C CAPITAL STOCK LONG 58 85.90 9/2 10:40 88.92 0.14%
Trade id #130819919
Max drawdown($95)
Time8/27/20 12:53
Quant open58
Worst price84.26
Drawdown as % of equity-0.14%
$174
Includes Typical Broker Commissions trade costs of $1.16
8/17/20 15:21 COST COSTCO WHOLESALE LONG 14 339.72 9/2 10:17 351.78 0.06%
Trade id #130655118
Max drawdown($40)
Time8/18/20 0:00
Quant open14
Worst price336.81
Drawdown as % of equity-0.06%
$169
Includes Typical Broker Commissions trade costs of $0.28
8/17/20 14:45 AMZN AMAZON.COM LONG 1 3185.91 9/1 9:41 3500.00 0.01%
Trade id #130654590
Max drawdown($6)
Time8/17/20 15:58
Quant open1
Worst price3179.49
Drawdown as % of equity-0.01%
$314
Includes Typical Broker Commissions trade costs of $0.02
8/24/20 9:37 AMD ADVANCED MICRO DEVICES INC. C LONG 58 85.15 8/31 10:58 90.00 0.23%
Trade id #130755840
Max drawdown($162)
Time8/25/20 0:00
Quant open58
Worst price82.35
Drawdown as % of equity-0.23%
$280
Includes Typical Broker Commissions trade costs of $1.16
8/18/20 10:08 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 872 5.74 8/31 9:41 5.24 0.64%
Trade id #130668644
Max drawdown($445)
Time8/28/20 0:00
Quant open872
Worst price5.23
Drawdown as % of equity-0.64%
($447)
Includes Typical Broker Commissions trade costs of $11.22
8/24/20 9:40 ROKU ROKU INC. CLASS A COMMON STOCK LONG 33 148.37 8/27 12:38 159.46 0.13%
Trade id #130756056
Max drawdown($91)
Time8/24/20 11:00
Quant open33
Worst price145.60
Drawdown as % of equity-0.13%
$365
Includes Typical Broker Commissions trade costs of $0.66
8/18/20 9:32 GOOGL ALPHABET INC CLASS A LONG 3 1524.82 8/24 9:31 1595.00 0.01%
Trade id #130666926
Max drawdown($9)
Time8/18/20 10:30
Quant open3
Worst price1521.67
Drawdown as % of equity-0.01%
$211
Includes Typical Broker Commissions trade costs of $0.06
7/8/20 10:09 ADSK AUTODESK LONG 20 241.49 8/20 14:23 249.00 0.45%
Trade id #129967322
Max drawdown($298)
Time7/14/20 0:00
Quant open20
Worst price226.55
Drawdown as % of equity-0.45%
$150
Includes Typical Broker Commissions trade costs of $0.40
7/27/20 9:36 TSLA TESLA INC. LONG 6 1450.59 8/13 14:53 1596.46 0.75%
Trade id #130290049
Max drawdown($513)
Time8/11/20 0:00
Quant open6
Worst price1365.00
Drawdown as % of equity-0.75%
$875
Includes Typical Broker Commissions trade costs of $0.12
6/17/20 9:38 TLT ISHARES 20+ YEAR TREASURY BOND LONG 61 163.23 8/12 11:05 165.01 0.05%
Trade id #129602237
Max drawdown($35)
Time6/17/20 12:55
Quant open31
Worst price159.34
Drawdown as % of equity-0.05%
$108
Includes Typical Broker Commissions trade costs of $1.22
7/23/20 9:41 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 19 262.95 8/11 10:35 232.92 0.84%
Trade id #130237184
Max drawdown($576)
Time8/11/20 10:35
Quant open19
Worst price232.63
Drawdown as % of equity-0.84%
($571)
Includes Typical Broker Commissions trade costs of $0.38
7/15/20 9:41 FB FACEBOOK LONG 20 243.16 8/10 10:49 262.78 0.49%
Trade id #130091863
Max drawdown($325)
Time7/24/20 0:00
Quant open20
Worst price226.90
Drawdown as % of equity-0.49%
$392
Includes Typical Broker Commissions trade costs of $0.40
8/3/20 9:35 ALGN ALIGN TECHNOLOGY LONG 16 294.39 8/10 10:30 301.03 0.33%
Trade id #130418472
Max drawdown($232)
Time8/4/20 0:00
Quant open16
Worst price279.83
Drawdown as % of equity-0.33%
$106
Includes Typical Broker Commissions trade costs of $0.32
7/27/20 9:35 MSFT MICROSOFT LONG 24 202.69 8/10 9:33 209.77 0.13%
Trade id #130290025
Max drawdown($88)
Time7/31/20 0:00
Quant open24
Worst price199.01
Drawdown as % of equity-0.13%
$170
Includes Typical Broker Commissions trade costs of $0.48
7/17/20 10:00 JD JD.COM INC LONG 80 61.97 8/7 9:35 62.93 0.38%
Trade id #130134717
Max drawdown($256)
Time7/24/20 0:00
Quant open80
Worst price58.76
Drawdown as % of equity-0.38%
$75
Includes Typical Broker Commissions trade costs of $1.60

Statistics

  • Strategy began
    12/9/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    294.18
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    107
  • # Profitable
    79
  • % Profitable
    73.80%
  • Avg trade duration
    14.4 days
  • Max peak-to-valley drawdown
    9.76%
  • drawdown period
    Sept 02, 2020 - Sept 23, 2020
  • Cumul. Return
    31.0%
  • Avg win
    $338.85
  • Avg loss
    $375.93
  • Model Account Values (Raw)
  • Cash
    $49,442
  • Margin Used
    $0
  • Buying Power
    $50,152
  • Ratios
  • W:L ratio
    2.56:1
  • Sharpe Ratio
    2.3
  • Sortino Ratio
    3.83
  • Calmar Ratio
    4.987
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    24.13%
  • Correlation to SP500
    0.17910
  • Return Percent SP500 (cumu) during strategy life
    6.88%
  • Return Statistics
  • Ann Return (w trading costs)
    39.2%
  • Slump
  • Current Slump as Pcnt Equity
    8.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.310%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    41.9%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    986
  • Popularity (Last 6 weeks)
    998
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    923
  • Popularity (7 days, Percentile 1000 scale)
    991
  • 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
    $376
  • Avg Win
    $339
  • Sum Trade PL (losers)
    $10,526.000
  • AUM
  • AUM (AutoTrader num accounts)
    41
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $26,769.000
  • # Winners
    79
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    100
  • AUM
  • AUM (AutoTrader live capital)
    2356300
  • Win / Loss
  • # Losers
    28
  • % Winners
    73.8%
  • Frequency
  • Avg Position Time (mins)
    20673.60
  • Avg Position Time (hrs)
    344.56
  • Avg Trade Length
    14.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.53
  • Daily leverage (max)
    0.99
  • Regression
  • Alpha
    0.08
  • Beta
    0.06
  • Treynor Index
    1.56
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.32
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.489
  • 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
    0.403
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.112
  • Hold-and-Hope Ratio
    0.686
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36688
  • SD
    0.13676
  • Sharpe ratio (Glass type estimate)
    2.68257
  • Sharpe ratio (Hedges UMVUE)
    2.42157
  • df
    8.00000
  • t
    2.32318
  • p
    0.02434
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01496
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.22717
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13379
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.97692
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.68565
  • Upside Potential Ratio
    8.84035
  • Upside part of mean
    0.42200
  • Downside part of mean
    -0.05512
  • Upside SD
    0.15989
  • Downside SD
    0.04774
  • N nonnegative terms
    8.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.12999
  • Mean of criterion
    0.36688
  • SD of predictor
    0.37845
  • SD of criterion
    0.13676
  • Covariance
    -0.00502
  • r
    -0.09706
  • b (slope, estimate of beta)
    -0.03507
  • a (intercept, estimate of alpha)
    0.37144
  • Mean Square Error
    0.02118
  • DF error
    7.00000
  • t(b)
    -0.25800
  • p(b)
    0.59809
  • t(a)
    2.19845
  • p(a)
    0.03194
  • Lowerbound of 95% confidence interval for beta
    -0.35653
  • Upperbound of 95% confidence interval for beta
    0.28638
  • Lowerbound of 95% confidence interval for alpha
    -0.02808
  • Upperbound of 95% confidence interval for alpha
    0.77096
  • Treynor index (mean / b)
    -10.46030
  • Jensen alpha (a)
    0.37144
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35275
  • SD
    0.13266
  • Sharpe ratio (Glass type estimate)
    2.65904
  • Sharpe ratio (Hedges UMVUE)
    2.40033
  • df
    8.00000
  • t
    2.30280
  • p
    0.02513
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00269
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.19836
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.95086
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.25296
  • Upside Potential Ratio
    8.40766
  • Upside part of mean
    0.40891
  • Downside part of mean
    -0.05616
  • Upside SD
    0.15378
  • Downside SD
    0.04863
  • N nonnegative terms
    8.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.05653
  • Mean of criterion
    0.35275
  • SD of predictor
    0.42002
  • SD of criterion
    0.13266
  • Covariance
    -0.00586
  • r
    -0.10513
  • b (slope, estimate of beta)
    -0.03320
  • a (intercept, estimate of alpha)
    0.35463
  • Mean Square Error
    0.01989
  • DF error
    7.00000
  • t(b)
    -0.27970
  • p(b)
    0.60610
  • t(a)
    2.17575
  • p(a)
    0.03303
  • Lowerbound of 95% confidence interval for beta
    -0.31392
  • Upperbound of 95% confidence interval for beta
    0.24751
  • Lowerbound of 95% confidence interval for alpha
    -0.03079
  • Upperbound of 95% confidence interval for alpha
    0.74003
  • Treynor index (mean / b)
    -10.62360
  • Jensen alpha (a)
    0.35463
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03304
  • Expected Shortfall on VaR
    0.04829
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00247
  • Expected Shortfall on VaR
    0.00898
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.96099
  • Quartile 1
    1.02310
  • Median
    1.02369
  • Quartile 3
    1.05052
  • Maximum
    1.10472
  • Mean of quarter 1
    0.99635
  • Mean of quarter 2
    1.02349
  • Mean of quarter 3
    1.05009
  • Mean of quarter 4
    1.07994
  • Inter Quartile Range
    0.02743
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.96099
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.10472
  • Risk estimates for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.03901
  • Quartile 1
    0.03901
  • Median
    0.03901
  • Quartile 3
    0.03901
  • Maximum
    0.03901
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.44055
  • Compounded annual return (geometric extrapolation)
    0.46324
  • Calmar ratio (compounded annual return / max draw down)
    11.87430
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.59262
  • 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
    0.32959
  • SD
    0.11440
  • Sharpe ratio (Glass type estimate)
    2.88110
  • Sharpe ratio (Hedges UMVUE)
    2.87065
  • df
    207.00000
  • t
    2.56708
  • p
    0.00548
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66057
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09481
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08768
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.65349
  • Upside Potential Ratio
    10.66380
  • Upside part of mean
    0.75528
  • Downside part of mean
    -0.42569
  • Upside SD
    0.09177
  • Downside SD
    0.07083
  • N nonnegative terms
    121.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    208.00000
  • Mean of predictor
    0.12709
  • Mean of criterion
    0.32959
  • SD of predictor
    0.37647
  • SD of criterion
    0.11440
  • Covariance
    0.00752
  • r
    0.17455
  • b (slope, estimate of beta)
    0.05304
  • a (intercept, estimate of alpha)
    0.32300
  • Mean Square Error
    0.01275
  • DF error
    206.00000
  • t(b)
    2.54427
  • p(b)
    0.00584
  • t(a)
    2.54705
  • p(a)
    0.00580
  • Lowerbound of 95% confidence interval for beta
    0.01194
  • Upperbound of 95% confidence interval for beta
    0.09414
  • Lowerbound of 95% confidence interval for alpha
    0.07295
  • Upperbound of 95% confidence interval for alpha
    0.57276
  • Treynor index (mean / b)
    6.21411
  • Jensen alpha (a)
    0.32285
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32286
  • SD
    0.11422
  • Sharpe ratio (Glass type estimate)
    2.82672
  • Sharpe ratio (Hedges UMVUE)
    2.81647
  • df
    207.00000
  • t
    2.51863
  • p
    0.00627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60692
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.03986
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60008
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.03285
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.51748
  • Upside Potential Ratio
    10.50870
  • Upside part of mean
    0.75104
  • Downside part of mean
    -0.42818
  • Upside SD
    0.09095
  • Downside SD
    0.07147
  • N nonnegative terms
    121.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    208.00000
  • Mean of predictor
    0.05586
  • Mean of criterion
    0.32286
  • SD of predictor
    0.37937
  • SD of criterion
    0.11422
  • Covariance
    0.00760
  • r
    0.17547
  • b (slope, estimate of beta)
    0.05283
  • a (intercept, estimate of alpha)
    0.31991
  • Mean Square Error
    0.01271
  • DF error
    206.00000
  • t(b)
    2.55812
  • p(b)
    0.00562
  • t(a)
    2.52870
  • p(a)
    0.00610
  • Lowerbound of 95% confidence interval for beta
    0.01211
  • Upperbound of 95% confidence interval for beta
    0.09354
  • Lowerbound of 95% confidence interval for alpha
    0.07049
  • Upperbound of 95% confidence interval for alpha
    0.56933
  • Treynor index (mean / b)
    6.11145
  • Jensen alpha (a)
    0.31991
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01032
  • Expected Shortfall on VaR
    0.01323
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00323
  • Expected Shortfall on VaR
    0.00720
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    208.00000
  • Minimum
    0.97294
  • Quartile 1
    0.99876
  • Median
    1.00077
  • Quartile 3
    1.00412
  • Maximum
    1.03217
  • Mean of quarter 1
    0.99388
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00212
  • Mean of quarter 4
    1.00950
  • Inter Quartile Range
    0.00535
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.05769
  • Mean of outliers low
    0.98433
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.04327
  • Mean of outliers high
    1.01986
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66324
  • VaR(95%) (moments method)
    0.00565
  • Expected Shortfall (moments method)
    0.01882
  • Extreme Value Index (regression method)
    0.33430
  • VaR(95%) (regression method)
    0.00587
  • Expected Shortfall (regression method)
    0.01140
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00178
  • Median
    0.00520
  • Quartile 3
    0.01151
  • Maximum
    0.08425
  • Mean of quarter 1
    0.00094
  • Mean of quarter 2
    0.00401
  • Mean of quarter 3
    0.00753
  • Mean of quarter 4
    0.03076
  • Inter Quartile Range
    0.00974
  • 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
    0.07692
  • Mean of outliers high
    0.06386
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36379
  • VaR(95%) (moments method)
    0.03215
  • Expected Shortfall (moments method)
    0.05966
  • Extreme Value Index (regression method)
    1.28517
  • VaR(95%) (regression method)
    0.02985
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40447
  • Compounded annual return (geometric extrapolation)
    0.42015
  • Calmar ratio (compounded annual return / max draw down)
    4.98714
  • Compounded annual return / average of 25% largest draw downs
    13.66040
  • Compounded annual return / Expected Shortfall lognormal
    31.75500
  • 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
    0.10872
  • SD
    0.09898
  • Sharpe ratio (Glass type estimate)
    1.09839
  • Sharpe ratio (Hedges UMVUE)
    1.09204
  • df
    130.00000
  • t
    0.77668
  • p
    0.46602
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87135
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.68295
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86702
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.53193
  • Upside Potential Ratio
    8.07103
  • Upside part of mean
    0.57277
  • Downside part of mean
    -0.46406
  • Upside SD
    0.06878
  • Downside SD
    0.07097
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.55954
  • Mean of criterion
    0.10872
  • SD of predictor
    0.25974
  • SD of criterion
    0.09898
  • Covariance
    0.00769
  • r
    0.29915
  • b (slope, estimate of beta)
    0.11400
  • a (intercept, estimate of alpha)
    0.04493
  • Mean Square Error
    0.00899
  • DF error
    129.00000
  • t(b)
    3.56076
  • p(b)
    0.31244
  • t(a)
    0.33214
  • p(a)
    0.48139
  • Lowerbound of 95% confidence interval for beta
    0.05065
  • Upperbound of 95% confidence interval for beta
    0.17734
  • Lowerbound of 95% confidence interval for alpha
    -0.22271
  • Upperbound of 95% confidence interval for alpha
    0.31257
  • Treynor index (mean / b)
    0.95368
  • Jensen alpha (a)
    0.04493
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10382
  • SD
    0.09910
  • Sharpe ratio (Glass type estimate)
    1.04762
  • Sharpe ratio (Hedges UMVUE)
    1.04156
  • df
    130.00000
  • t
    0.74078
  • p
    0.46758
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.82042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73313
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.81626
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45049
  • Upside Potential Ratio
    7.96915
  • Upside part of mean
    0.57037
  • Downside part of mean
    -0.46655
  • Upside SD
    0.06829
  • Downside SD
    0.07157
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.52548
  • Mean of criterion
    0.10382
  • SD of predictor
    0.25964
  • SD of criterion
    0.09910
  • Covariance
    0.00775
  • r
    0.30115
  • b (slope, estimate of beta)
    0.11494
  • a (intercept, estimate of alpha)
    0.04342
  • Mean Square Error
    0.00900
  • DF error
    129.00000
  • t(b)
    3.58696
  • p(b)
    0.31122
  • t(a)
    0.32110
  • p(a)
    0.48201
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.05154
  • Upperbound of 95% confidence interval for beta
    0.17834
  • Lowerbound of 95% confidence interval for alpha
    -0.22409
  • Upperbound of 95% confidence interval for alpha
    0.31093
  • Treynor index (mean / b)
    0.90320
  • Jensen alpha (a)
    0.04342
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00963
  • Expected Shortfall on VaR
    0.01215
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00356
  • Expected Shortfall on VaR
    0.00773
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97375
  • Quartile 1
    0.99832
  • Median
    1.00068
  • Quartile 3
    1.00324
  • Maximum
    1.02752
  • Mean of quarter 1
    0.99367
  • Mean of quarter 2
    0.99962
  • Mean of quarter 3
    1.00176
  • Mean of quarter 4
    1.00707
  • Inter Quartile Range
    0.00492
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98564
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.01578
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58472
  • VaR(95%) (moments method)
    0.00630
  • Expected Shortfall (moments method)
    0.01694
  • Extreme Value Index (regression method)
    0.47537
  • VaR(95%) (regression method)
    0.00583
  • Expected Shortfall (regression method)
    0.01279
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00178
  • Median
    0.00499
  • Quartile 3
    0.01087
  • Maximum
    0.08425
  • Mean of quarter 1
    0.00102
  • Mean of quarter 2
    0.00361
  • Mean of quarter 3
    0.00679
  • Mean of quarter 4
    0.03077
  • Inter Quartile Range
    0.00910
  • 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
    0.05505
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51047
  • VaR(95%) (moments method)
    0.03371
  • Expected Shortfall (moments method)
    0.07779
  • Extreme Value Index (regression method)
    1.18432
  • VaR(95%) (regression method)
    0.04738
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -251081000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13616
  • Compounded annual return (geometric extrapolation)
    0.14079
  • Calmar ratio (compounded annual return / max draw down)
    1.67116
  • Compounded annual return / average of 25% largest draw downs
    4.57528
  • Compounded annual return / Expected Shortfall lognormal
    11.58300

Strategy Description

Buy top trending NASDAQ stocks (10-15) then manage the trades and repeat. There are a few early exit conditions to get out of a stock if needed, but mostly stocks are bought once a month and strategy repeats. If the system exits as stock, the stock will be sold and its position will be replaced with either another stock, the QQQ ETF, or the TLT ETF based on the systems assessment of the the overall market. All decisions are made on an End of Day basis so there is not intraday trading with this system (unless a stop happens to get hit the same day as entry which is rare, but can happen). With this system all system funds are almost always invested in the market. The strategy will always trade based on a $50k account size and the trades will usually be in $2.5k, $5k, $10k or $15k bucket sizes. I will always buy shares rounded down to fit into one of the $2.5k-$15k sizes without going over the bucket size and alert subscribers to the exact percentage of the overall strategy portfolio being allocated to each position.

Of course, maybe this is obvious, but this is a strategy that trades stocks and ETFs so you want to have your commissions as low as possible. Sometimes the strategy is trading big stocks like AMZN, TSLA, etc. and we are only buying maybe 3-10 shares to keep the allocation percentages balanced correctly so low commissions are very helpful!

Summary Statistics

Strategy began
2019-12-09
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 7.7%
Rank # 
#51
# Trades
107
# Profitable
79
% Profitable
73.8%
Net Dividends
Correlation S&P500
0.179
Sharpe Ratio
2.30
Sortino Ratio
3.83
Beta
0.06
Alpha
0.08
Leverage
0.53 Average
0.99 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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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.