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No1No
(126984823)

Created by: No1No No1No
Started: 01/2020
Stocks
Last trade: 47 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 $120.00 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).
673.2%
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.

(89.6%)
Max Drawdown
238
Num Trades
52.5%
Win Trades
1.8 : 1
Profit Factor
42.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020+153.2%(5.6%)+188.6%+17.7%(4.8%)  -    -                                +673.2%

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 one hour.

Trading Record

This strategy has placed 472 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/21/20 14:04 XTNT XTANT MEDICAL HOLDINGS INC SHORT 120,000 1.60 5/21 15:56 1.74 11.75%
Trade id #129135364
Max drawdown($48,000)
Time5/21/20 14:53
Quant open120,000
Worst price2.00
Drawdown as % of equity-11.75%
($16,808)
Includes Typical Broker Commissions trade costs of $7.50
5/21/20 13:47 SURF SURFACE ONCOLOGY INC. COMMON STOCK SHORT 40,000 6.04 5/21 14:01 6.05 1.79%
Trade id #129135158
Max drawdown($7,200)
Time5/21/20 13:54
Quant open40,000
Worst price6.22
Drawdown as % of equity-1.79%
($405)
Includes Typical Broker Commissions trade costs of $5.00
5/21/20 13:46 SNCA SENECA BIOPHARMA INC LONG 40,000 1.47 5/21 13:51 1.52 0.15%
Trade id #129135148
Max drawdown($600)
Time5/21/20 13:49
Quant open40,000
Worst price1.46
Drawdown as % of equity-0.15%
$1,995
Includes Typical Broker Commissions trade costs of $5.00
5/21/20 12:59 SURF SURFACE ONCOLOGY INC. COMMON STOCK SHORT 20,000 6.51 5/21 13:43 6.36 1.01%
Trade id #129134496
Max drawdown($3,800)
Time5/21/20 13:04
Quant open20,000
Worst price6.70
Drawdown as % of equity-1.01%
$2,995
Includes Typical Broker Commissions trade costs of $5.00
5/21/20 13:22 NBR NABORS INDUSTRIES SHORT 6,000 31.67 5/21 13:43 28.58 1.14%
Trade id #129134828
Max drawdown($4,380)
Time5/21/20 13:25
Quant open6,000
Worst price32.40
Drawdown as % of equity-1.14%
$18,535
Includes Typical Broker Commissions trade costs of $5.00
5/21/20 13:04 SNCA SENECA BIOPHARMA INC SHORT 40,000 1.43 5/21 13:31 1.34 0.42%
Trade id #129134571
Max drawdown($1,600)
Time5/21/20 13:07
Quant open40,000
Worst price1.47
Drawdown as % of equity-0.42%
$3,595
Includes Typical Broker Commissions trade costs of $5.00
5/21/20 12:43 SURF SURFACE ONCOLOGY INC. COMMON STOCK LONG 20,000 7.24 5/21 12:55 6.45 3.44%
Trade id #129134308
Max drawdown($13,300)
Time5/21/20 12:55
Quant open20,000
Worst price6.57
Drawdown as % of equity-3.44%
($15,708)
Includes Typical Broker Commissions trade costs of $7.50
5/21/20 12:26 SURF SURFACE ONCOLOGY INC. COMMON STOCK LONG 10,000 7.25 5/21 12:30 7.01 0.33%
Trade id #129134065
Max drawdown($1,300)
Time5/21/20 12:30
Quant open10,000
Worst price7.12
Drawdown as % of equity-0.33%
($2,405)
Includes Typical Broker Commissions trade costs of $5.00
5/21/20 10:44 SNCA SENECA BIOPHARMA INC LONG 7,000 1.76 5/21 10:56 1.58 0.27%
Trade id #129131230
Max drawdown($1,050)
Time5/21/20 10:56
Quant open7,000
Worst price1.61
Drawdown as % of equity-0.27%
($1,265)
Includes Typical Broker Commissions trade costs of $5.00
5/21/20 10:28 SURF SURFACE ONCOLOGY INC. COMMON STOCK SHORT 1,500 7.01 5/21 10:38 7.10 0.05%
Trade id #129130569
Max drawdown($195)
Time5/21/20 10:32
Quant open1,500
Worst price7.14
Drawdown as % of equity-0.05%
($140)
Includes Typical Broker Commissions trade costs of $5.00
5/21/20 10:24 SURF SURFACE ONCOLOGY INC. COMMON STOCK SHORT 1,500 7.01 5/21 10:26 7.40 0.15%
Trade id #129130441
Max drawdown($585)
Time5/21/20 10:26
Quant open1,500
Worst price7.40
Drawdown as % of equity-0.15%
($590)
Includes Typical Broker Commissions trade costs of $5.00
5/21/20 10:22 SURF SURFACE ONCOLOGY INC. COMMON STOCK SHORT 1,500 6.55 5/21 10:23 7.20 0.25%
Trade id #129130378
Max drawdown($975)
Time5/21/20 10:23
Quant open1,500
Worst price7.20
Drawdown as % of equity-0.25%
($980)
Includes Typical Broker Commissions trade costs of $5.00
5/21/20 9:50 SNCA SENECA BIOPHARMA INC SHORT 7,000 1.71 5/21 10:09 1.57 0.34%
Trade id #129129392
Max drawdown($1,330)
Time5/21/20 9:53
Quant open7,000
Worst price1.90
Drawdown as % of equity-0.34%
$975
Includes Typical Broker Commissions trade costs of $5.00
5/19/20 13:11 NNDM NANO DIMENSION LTD. AMERICAN DEPOSITARY SHARES SHORT 8,000 3.49 5/19 13:26 2.87 n/a $4,953
Includes Typical Broker Commissions trade costs of $7.50
5/19/20 12:36 NNDM NANO DIMENSION LTD. AMERICAN DEPOSITARY SHARES SHORT 10,000 3.07 5/19 13:03 3.77 1.71%
Trade id #129092842
Max drawdown($6,769)
Time5/19/20 13:03
Quant open10,000
Worst price3.75
Drawdown as % of equity-1.71%
($7,005)
Includes Typical Broker Commissions trade costs of $10.00
5/19/20 12:18 NNDM NANO DIMENSION LTD. AMERICAN DEPOSITARY SHARES SHORT 5,000 2.10 5/19 12:31 2.45 0.42%
Trade id #129092506
Max drawdown($1,700)
Time5/19/20 12:26
Quant open5,000
Worst price2.44
Drawdown as % of equity-0.42%
($1,775)
Includes Typical Broker Commissions trade costs of $5.00
5/19/20 9:35 PIXY SHIFTPIXY INC. COMMON STOCK SHORT 1,000 13.86 5/19 9:40 12.28 0.14%
Trade id #129087264
Max drawdown($540)
Time5/19/20 9:38
Quant open1,000
Worst price14.40
Drawdown as % of equity-0.14%
$1,575
Includes Typical Broker Commissions trade costs of $5.00
5/18/20 12:50 ACB AURORA CANNABIS INC SHORT 800 16.85 5/18 15:42 17.40 0.31%
Trade id #129071883
Max drawdown($1,248)
Time5/18/20 13:22
Quant open800
Worst price18.41
Drawdown as % of equity-0.31%
($445)
Includes Typical Broker Commissions trade costs of $5.00
5/18/20 10:43 ACB AURORA CANNABIS INC SHORT 1,000 19.05 5/18 11:31 17.95 0.16%
Trade id #129068344
Max drawdown($632)
Time5/18/20 10:52
Quant open1,000
Worst price19.68
Drawdown as % of equity-0.16%
$1,098
Includes Typical Broker Commissions trade costs of $5.00
5/18/20 10:32 ACB AURORA CANNABIS INC SHORT 1,000 17.33 5/18 10:40 18.37 0.22%
Trade id #129068123
Max drawdown($865)
Time5/18/20 10:40
Quant open1,000
Worst price18.20
Drawdown as % of equity-0.22%
($1,038)
Includes Typical Broker Commissions trade costs of $5.00
5/18/20 9:31 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 10.41 5/18 10:27 10.26 0.07%
Trade id #129066285
Max drawdown($273)
Time5/18/20 10:27
Quant open2,000
Worst price10.27
Drawdown as % of equity-0.07%
($298)
Includes Typical Broker Commissions trade costs of $5.00
5/18/20 9:50 ACB AURORA CANNABIS INC SHORT 1,000 16.07 5/18 10:27 17.50 0.34%
Trade id #129067126
Max drawdown($1,350)
Time5/18/20 10:27
Quant open1,000
Worst price17.42
Drawdown as % of equity-0.34%
($1,435)
Includes Typical Broker Commissions trade costs of $5.00
5/15/20 11:03 SRNE SORRENTO THERAPEUTICS INC. C LONG 2,000 4.55 5/15 11:11 4.49 0.13%
Trade id #129041830
Max drawdown($520)
Time5/15/20 11:07
Quant open2,000
Worst price4.29
Drawdown as % of equity-0.13%
($125)
Includes Typical Broker Commissions trade costs of $5.00
5/15/20 10:20 SRNE SORRENTO THERAPEUTICS INC. C LONG 3,000 4.85 5/15 10:59 4.88 0.07%
Trade id #129040644
Max drawdown($300)
Time5/15/20 10:41
Quant open3,000
Worst price4.75
Drawdown as % of equity-0.07%
$85
Includes Typical Broker Commissions trade costs of $5.00
5/13/20 12:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 67.34 5/13 14:43 67.93 0.01%
Trade id #129004389
Max drawdown($38)
Time5/13/20 12:20
Quant open100
Worst price66.95
Drawdown as % of equity-0.01%
$57
Includes Typical Broker Commissions trade costs of $2.00
5/13/20 11:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 69.78 5/13 12:03 69.00 0.02%
Trade id #129003425
Max drawdown($67)
Time5/13/20 11:56
Quant open100
Worst price69.10
Drawdown as % of equity-0.02%
($80)
Includes Typical Broker Commissions trade costs of $2.00
5/13/20 11:04 GMBL ESPORTS ENTERTAINMENT GROUP INC. COMMON STOCK LONG 2,000 6.21 5/13 11:20 6.24 0.18%
Trade id #129001584
Max drawdown($724)
Time5/13/20 11:15
Quant open2,000
Worst price5.85
Drawdown as % of equity-0.18%
$42
Includes Typical Broker Commissions trade costs of $5.00
5/12/20 11:34 NVAX NOVAVAX LONG 300 39.70 5/12 12:09 39.09 0.03%
Trade id #128981893
Max drawdown($108)
Time5/12/20 11:42
Quant open300
Worst price39.34
Drawdown as % of equity-0.03%
($189)
Includes Typical Broker Commissions trade costs of $6.00
5/12/20 10:06 MARK REMARK HOLDINGS INC LONG 5,000 2.38 5/12 10:27 2.31 0.13%
Trade id #128979850
Max drawdown($535)
Time5/12/20 10:14
Quant open5,000
Worst price2.27
Drawdown as % of equity-0.13%
($340)
Includes Typical Broker Commissions trade costs of $5.00
5/12/20 9:37 MARK REMARK HOLDINGS INC LONG 15,000 2.44 5/12 9:59 2.13 0.86%
Trade id #128978907
Max drawdown($3,464)
Time5/12/20 9:49
Quant open15,000
Worst price2.21
Drawdown as % of equity-0.86%
($4,674)
Includes Typical Broker Commissions trade costs of $10.00

Statistics

  • Strategy began
    1/14/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    175.01
  • Age
    175 days ago
  • What it trades
    Stocks
  • # Trades
    238
  • # Profitable
    125
  • % Profitable
    52.50%
  • Avg trade duration
    5.2 hours
  • Max peak-to-valley drawdown
    89.63%
  • drawdown period
    Feb 27, 2020 - Feb 28, 2020
  • Cumul. Return
    673.2%
  • Avg win
    $6,066
  • Avg loss
    $3,711
  • Model Account Values (Raw)
  • Cash
    $388,915
  • Margin Used
    $0
  • Buying Power
    $388,915
  • Ratios
  • W:L ratio
    1.81:1
  • Sharpe Ratio
    2.58
  • Sortino Ratio
    6.39
  • Calmar Ratio
    162.652
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    676.36%
  • Correlation to SP500
    -0.00140
  • Return Percent SP500 (cumu) during strategy life
    -3.15%
  • Return Statistics
  • Ann Return (w trading costs)
    6427.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.06%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.26%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    6.732%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6937.6%
  • Automation
  • Percentage Signals Automated
    27.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    955
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    533
  • 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
    $3,712
  • Avg Win
    $6,067
  • Sum Trade PL (losers)
    $419,452.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $758,367.000
  • # Winners
    125
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    113
  • % Winners
    52.5%
  • Frequency
  • Avg Position Time (mins)
    312.92
  • Avg Position Time (hrs)
    5.21
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    47
  • Leverage
  • Daily leverage (average)
    0.63
  • Daily leverage (max)
    3.97
  • Regression
  • Alpha
    1.59
  • Beta
    -0.01
  • Treynor Index
    -274.75
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.04
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    4.590
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.592
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.814
  • Hold-and-Hope Ratio
    0.218
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    9.05856
  • SD
    4.44176
  • Sharpe ratio (Glass type estimate)
    2.03941
  • Sharpe ratio (Hedges UMVUE)
    1.62721
  • df
    4.00000
  • t
    1.31643
  • p
    0.12920
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38901
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.26830
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61176
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.86618
  • Statistics related to Sortino ratio
  • Sortino ratio
    152.94700
  • Upside Potential Ratio
    154.49600
  • Upside part of mean
    9.15031
  • Downside part of mean
    -0.09175
  • Upside SD
    4.75584
  • Downside SD
    0.05923
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.02495
  • Mean of criterion
    9.05856
  • SD of predictor
    0.60111
  • SD of criterion
    4.44176
  • Covariance
    0.07528
  • r
    0.02820
  • b (slope, estimate of beta)
    0.20835
  • a (intercept, estimate of alpha)
    9.06376
  • Mean Square Error
    26.28470
  • DF error
    3.00000
  • t(b)
    0.04886
  • p(b)
    0.48205
  • t(a)
    1.14107
  • p(a)
    0.16834
  • Lowerbound of 95% confidence interval for beta
    -13.36310
  • Upperbound of 95% confidence interval for beta
    13.77980
  • Lowerbound of 95% confidence interval for alpha
    -16.21510
  • Upperbound of 95% confidence interval for alpha
    34.34260
  • Treynor index (mean / b)
    43.47850
  • Jensen alpha (a)
    9.06376
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.87618
  • SD
    1.97459
  • Sharpe ratio (Glass type estimate)
    2.46946
  • Sharpe ratio (Hedges UMVUE)
    1.97035
  • df
    4.00000
  • t
    1.59403
  • p
    0.09308
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09774
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.81484
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35887
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29956
  • Statistics related to Sortino ratio
  • Sortino ratio
    80.93820
  • Upside Potential Ratio
    82.48740
  • Upside part of mean
    4.96951
  • Downside part of mean
    -0.09333
  • Upside SD
    2.25765
  • Downside SD
    0.06025
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.19168
  • Mean of criterion
    4.87618
  • SD of predictor
    0.66939
  • SD of criterion
    1.97459
  • Covariance
    -0.00913
  • r
    -0.00691
  • b (slope, estimate of beta)
    -0.02038
  • a (intercept, estimate of alpha)
    4.87227
  • Mean Square Error
    5.19843
  • DF error
    3.00000
  • t(b)
    -0.01197
  • p(b)
    0.50440
  • t(a)
    1.37355
  • p(a)
    0.13161
  • Lowerbound of 95% confidence interval for beta
    -5.44021
  • Upperbound of 95% confidence interval for beta
    5.39945
  • Lowerbound of 95% confidence interval for alpha
    -6.41658
  • Upperbound of 95% confidence interval for alpha
    16.16110
  • Treynor index (mean / b)
    -239.28500
  • Jensen alpha (a)
    4.87227
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.41213
  • Expected Shortfall on VaR
    0.52722
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00869
  • Expected Shortfall on VaR
    0.02155
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.96410
  • Quartile 1
    1.08401
  • Median
    1.32663
  • Quartile 3
    1.38094
  • Maximum
    4.03036
  • Mean of quarter 1
    1.02405
  • Mean of quarter 2
    1.32663
  • Mean of quarter 3
    1.38094
  • Mean of quarter 4
    4.03036
  • Inter Quartile Range
    0.29693
  • 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
    0.20000
  • Mean of outliers high
    4.03036
  • 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
    0.03590
  • Quartile 1
    0.03590
  • Median
    0.03590
  • Quartile 3
    0.03590
  • Maximum
    0.03590
  • 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)
    16.11980
  • Compounded annual return (geometric extrapolation)
    133.84000
  • Calmar ratio (compounded annual return / max draw down)
    3727.87000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    253.86100
  • 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
    5.69182
  • SD
    1.78901
  • Sharpe ratio (Glass type estimate)
    3.18154
  • Sharpe ratio (Hedges UMVUE)
    3.16226
  • df
    124.00000
  • t
    2.19757
  • p
    0.40319
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31037
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.04033
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29755
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.02697
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.77723
  • Upside Potential Ratio
    11.63760
  • Upside part of mean
    8.51705
  • Downside part of mean
    -2.82523
  • Upside SD
    1.66223
  • Downside SD
    0.73186
  • N nonnegative terms
    48.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    125.00000
  • Mean of predictor
    0.01471
  • Mean of criterion
    5.69182
  • SD of predictor
    0.47026
  • SD of criterion
    1.78901
  • Covariance
    -0.01230
  • r
    -0.01462
  • b (slope, estimate of beta)
    -0.05561
  • a (intercept, estimate of alpha)
    5.69300
  • Mean Square Error
    3.22590
  • DF error
    123.00000
  • t(b)
    -0.16213
  • p(b)
    0.50931
  • t(a)
    2.18923
  • p(a)
    0.37749
  • Lowerbound of 95% confidence interval for beta
    -0.73453
  • Upperbound of 95% confidence interval for beta
    0.62332
  • Lowerbound of 95% confidence interval for alpha
    0.54552
  • Upperbound of 95% confidence interval for alpha
    10.83970
  • Treynor index (mean / b)
    -102.35500
  • Jensen alpha (a)
    5.69263
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.25500
  • SD
    1.64273
  • Sharpe ratio (Glass type estimate)
    2.59020
  • Sharpe ratio (Hedges UMVUE)
    2.57450
  • df
    124.00000
  • t
    1.78911
  • p
    0.42068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27070
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.44091
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28108
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.43008
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.62714
  • Upside Potential Ratio
    8.09244
  • Upside part of mean
    7.44159
  • Downside part of mean
    -3.18659
  • Upside SD
    1.37857
  • Downside SD
    0.91957
  • N nonnegative terms
    48.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    125.00000
  • Mean of predictor
    -0.09604
  • Mean of criterion
    4.25500
  • SD of predictor
    0.47387
  • SD of criterion
    1.64273
  • Covariance
    0.00229
  • r
    0.00294
  • b (slope, estimate of beta)
    0.01018
  • a (intercept, estimate of alpha)
    4.25597
  • Mean Square Error
    2.72048
  • DF error
    123.00000
  • t(b)
    0.03256
  • p(b)
    0.49813
  • t(a)
    1.78216
  • p(a)
    0.39942
  • Lowerbound of 95% confidence interval for beta
    -0.60854
  • Upperbound of 95% confidence interval for beta
    0.62889
  • Lowerbound of 95% confidence interval for alpha
    -0.47113
  • Upperbound of 95% confidence interval for alpha
    8.98307
  • Treynor index (mean / b)
    418.13100
  • Jensen alpha (a)
    4.25597
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13989
  • Expected Shortfall on VaR
    0.17502
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02743
  • Expected Shortfall on VaR
    0.06251
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    125.00000
  • Minimum
    0.56072
  • Quartile 1
    0.99984
  • Median
    1.00000
  • Quartile 3
    1.01114
  • Maximum
    1.59332
  • Mean of quarter 1
    0.95813
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00269
  • Mean of quarter 4
    1.12856
  • Inter Quartile Range
    0.01130
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12800
  • Mean of outliers low
    0.92180
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.17600
  • Mean of outliers high
    1.17267
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.02922
  • VaR(95%) (moments method)
    0.00937
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.59875
  • VaR(95%) (regression method)
    0.03731
  • Expected Shortfall (regression method)
    0.12726
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00052
  • Quartile 1
    0.02732
  • Median
    0.05457
  • Quartile 3
    0.14510
  • Maximum
    0.43928
  • Mean of quarter 1
    0.00913
  • Mean of quarter 2
    0.04556
  • Mean of quarter 3
    0.09540
  • Mean of quarter 4
    0.28021
  • Inter Quartile Range
    0.11778
  • 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
    0.09091
  • Mean of outliers high
    0.43928
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.68030
  • VaR(95%) (moments method)
    0.32416
  • Expected Shortfall (moments method)
    0.36803
  • Extreme Value Index (regression method)
    0.85807
  • VaR(95%) (regression method)
    0.45535
  • Expected Shortfall (regression method)
    2.74555
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    14.07790
  • Compounded annual return (geometric extrapolation)
    71.45040
  • Calmar ratio (compounded annual return / max draw down)
    162.65200
  • Compounded annual return / average of 25% largest draw downs
    254.99100
  • Compounded annual return / Expected Shortfall lognormal
    408.22900
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.14000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -279126000
  • Max Equity Drawdown (num days)
    1

Strategy Description

Summary Statistics

Strategy began
2020-01-14
Suggested Minimum Capital
$35,000
# Trades
238
# Profitable
125
% Profitable
52.5%
Correlation S&P500
-0.001
Sharpe Ratio
2.58
Sortino Ratio
6.39
Beta
-0.01
Alpha
1.59
Leverage
0.63 Average
3.97 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.