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Alpha Capital Compound
(127924250)

Created by: AlphaCapital AlphaCapital
Started: 03/2020
Stocks
Last trade: Yesterday
Trading style: Equity Sector Rotation Short-term Reversal

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 $125.00 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
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
82.9%
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.

(14.3%)
Max Drawdown
192
Num Trades
71.4%
Win Trades
3.0 : 1
Profit Factor
85.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              (3.5%)+15.5%+9.8%+15.4%+15.0%+4.5%+7.6%                  +82.9%

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.

Trading Record

This strategy has placed 175 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
9/18/20 9:34 DOCU DOCUSIGN INC. COMMON STOCK LONG 104 193.39 9/22 9:30 207.50 0.66%
Trade id #131240533
Max drawdown($554)
Time9/18/20 13:31
Quant open104
Worst price188.06
Drawdown as % of equity-0.66%
$1,466
Includes Typical Broker Commissions trade costs of $2.08
9/17/20 9:30 PYPL PAYPAL HOLDINGS CORP LONG 56 177.00 9/22 9:30 186.38 0.34%
Trade id #131219572
Max drawdown($300)
Time9/18/20 0:00
Quant open56
Worst price171.63
Drawdown as % of equity-0.34%
$524
Includes Typical Broker Commissions trade costs of $1.12
9/1/20 10:02 NTES NETEASE LONG 42 487.21 9/16 9:30 478.90 1.83%
Trade id #130921004
Max drawdown($1,494)
Time9/11/20 0:00
Quant open42
Worst price451.62
Drawdown as % of equity-1.83%
($350)
Includes Typical Broker Commissions trade costs of $0.84
9/8/20 9:30 CRM SALESFORCE.COM LONG 40 240.26 9/16 9:30 254.68 0.04%
Trade id #131057550
Max drawdown($32)
Time9/11/20 0:00
Quant open40
Worst price239.45
Drawdown as % of equity-0.04%
$576
Includes Typical Broker Commissions trade costs of $0.80
9/3/20 9:34 BIDU BAIDU LONG 164 121.69 9/15 9:30 123.14 0.99%
Trade id #130970870
Max drawdown($865)
Time9/8/20 0:00
Quant open164
Worst price116.41
Drawdown as % of equity-0.99%
$235
Includes Typical Broker Commissions trade costs of $3.28
9/3/20 9:30 TSLA TESLA INC. LONG 49 404.86 9/15 9:30 437.13 4.22%
Trade id #130969937
Max drawdown($3,674)
Time9/8/20 0:00
Quant open49
Worst price329.88
Drawdown as % of equity-4.22%
$1,580
Includes Typical Broker Commissions trade costs of $0.98
9/2/20 9:30 MRNA MODERNA INC. COMMON STOCK LONG 316 62.89 9/15 9:30 64.76 3.15%
Trade id #130939858
Max drawdown($2,742)
Time9/8/20 0:00
Quant open316
Worst price54.21
Drawdown as % of equity-3.15%
$584
Includes Typical Broker Commissions trade costs of $6.32
8/28/20 9:31 TGT TARGET LONG 134 149.67 9/14 9:30 148.30 0.97%
Trade id #130852419
Max drawdown($843)
Time9/8/20 0:00
Quant open134
Worst price143.38
Drawdown as % of equity-0.97%
($187)
Includes Typical Broker Commissions trade costs of $2.68
8/31/20 10:59 BIG BIG LOTS LONG 209 48.03 9/10 9:30 46.47 1.3%
Trade id #130895096
Max drawdown($1,132)
Time9/4/20 0:00
Quant open209
Worst price42.61
Drawdown as % of equity-1.30%
($330)
Includes Typical Broker Commissions trade costs of $4.18
9/2/20 9:33 CNX CNX RESOURCES CORP LONG 951 10.51 9/8 9:30 10.32 0.54%
Trade id #130940164
Max drawdown($485)
Time9/3/20 0:00
Quant open951
Worst price10.00
Drawdown as % of equity-0.54%
($186)
Includes Typical Broker Commissions trade costs of $5.00
9/1/20 9:30 CHKP CHECK POINT SOFTWARE LONG 79 126.16 9/3 9:30 128.86 0.01%
Trade id #130917625
Max drawdown($10)
Time9/1/20 9:33
Quant open79
Worst price126.03
Drawdown as % of equity-0.01%
$211
Includes Typical Broker Commissions trade costs of $1.58
9/1/20 12:45 TTWO TAKE-TWO INTERACTIVE SFTW LONG 58 171.19 9/3 9:30 171.08 0.06%
Trade id #130925557
Max drawdown($53)
Time9/2/20 0:00
Quant open58
Worst price170.26
Drawdown as % of equity-0.06%
($7)
Includes Typical Broker Commissions trade costs of $1.16
8/24/20 10:46 LRCX LAM RESEARCH LONG 57 352.07 9/3 9:30 354.00 1.05%
Trade id #130758372
Max drawdown($902)
Time8/31/20 0:00
Quant open57
Worst price336.24
Drawdown as % of equity-1.05%
$109
Includes Typical Broker Commissions trade costs of $1.14
8/31/20 9:36 LB L BRANDS INC LONG 340 29.41 9/2 9:30 31.85 0.23%
Trade id #130892623
Max drawdown($197)
Time9/1/20 0:00
Quant open340
Worst price28.83
Drawdown as % of equity-0.23%
$823
Includes Typical Broker Commissions trade costs of $6.80
8/31/20 9:30 MELI MERCADOLIBRE LONG 16 1174.51 9/2 9:30 1221.11 0.87%
Trade id #130892146
Max drawdown($735)
Time8/31/20 12:39
Quant open16
Worst price1128.56
Drawdown as % of equity-0.87%
$746
Includes Typical Broker Commissions trade costs of $0.32
8/26/20 10:38 ATHM AUTOHOME INC LONG 118 85.23 9/2 9:30 85.00 0.72%
Trade id #130796322
Max drawdown($615)
Time8/31/20 0:00
Quant open118
Worst price80.01
Drawdown as % of equity-0.72%
($29)
Includes Typical Broker Commissions trade costs of $2.36
8/27/20 11:20 XEL XCEL ENERGY LONG 147 68.15 9/1 9:30 69.07 0.09%
Trade id #130820320
Max drawdown($76)
Time8/28/20 0:00
Quant open147
Worst price67.63
Drawdown as % of equity-0.09%
$132
Includes Typical Broker Commissions trade costs of $2.94
8/28/20 9:30 GILD GILEAD SCIENCES LONG 151 65.24 9/1 9:30 66.35 0.05%
Trade id #130852179
Max drawdown($39)
Time8/28/20 14:55
Quant open151
Worst price64.98
Drawdown as % of equity-0.05%
$165
Includes Typical Broker Commissions trade costs of $3.02
8/26/20 9:30 SGEN SEATTLE GENETICS LONG 64 154.00 9/1 9:30 159.32 0.19%
Trade id #130793806
Max drawdown($156)
Time8/28/20 0:00
Quant open64
Worst price151.55
Drawdown as % of equity-0.19%
$339
Includes Typical Broker Commissions trade costs of $1.28
8/27/20 10:02 VAR VARIAN MEDICAL SYSTEMS LONG 59 172.13 8/31 9:31 173.00 0.01%
Trade id #130817798
Max drawdown($5)
Time8/27/20 10:16
Quant open59
Worst price172.04
Drawdown as % of equity-0.01%
$51
Includes Typical Broker Commissions trade costs of $1.18
8/20/20 9:30 SWKS SKYWORKS SOLUTIONS LONG 71 140.64 8/31 9:30 143.45 0.16%
Trade id #130706586
Max drawdown($137)
Time8/27/20 0:00
Quant open71
Worst price138.70
Drawdown as % of equity-0.16%
$199
Includes Typical Broker Commissions trade costs of $1.42
8/18/20 9:30 CDW CDW CORPORATION COMMON STOCK LONG 88 114.10 8/28 9:30 115.09 0.42%
Trade id #130666581
Max drawdown($352)
Time8/26/20 0:00
Quant open88
Worst price110.09
Drawdown as % of equity-0.42%
$85
Includes Typical Broker Commissions trade costs of $1.76
8/14/20 9:30 WDC WESTERN DIGITAL LONG 280 35.70 8/28 9:30 35.45 0.75%
Trade id #130621059
Max drawdown($607)
Time8/21/20 0:00
Quant open280
Worst price33.53
Drawdown as % of equity-0.75%
($76)
Includes Typical Broker Commissions trade costs of $5.60
8/25/20 9:30 MRNA MODERNA INC. COMMON STOCK LONG 154 64.31 8/27 9:30 69.93 0.14%
Trade id #130774590
Max drawdown($117)
Time8/25/20 9:33
Quant open154
Worst price63.55
Drawdown as % of equity-0.14%
$863
Includes Typical Broker Commissions trade costs of $3.08
8/18/20 10:41 JNPR JUNIPER NETWORKS LONG 415 24.08 8/27 9:30 24.17 0.31%
Trade id #130670202
Max drawdown($259)
Time8/25/20 0:00
Quant open415
Worst price23.45
Drawdown as % of equity-0.31%
$29
Includes Typical Broker Commissions trade costs of $8.30
8/18/20 9:30 VRSK VERISK ANALYTICS LONG 53 189.00 8/27 9:30 187.39 0.3%
Trade id #130666561
Max drawdown($253)
Time8/25/20 0:00
Quant open53
Worst price184.22
Drawdown as % of equity-0.30%
($86)
Includes Typical Broker Commissions trade costs of $1.06
8/19/20 9:30 XLNX XILINX LONG 96 103.40 8/26 9:30 103.70 0.34%
Trade id #130685166
Max drawdown($278)
Time8/21/20 0:00
Quant open96
Worst price100.50
Drawdown as % of equity-0.34%
$27
Includes Typical Broker Commissions trade costs of $1.92
8/18/20 9:30 MU MICRON TECHNOLOGY LONG 221 45.06 8/26 9:30 45.60 0.76%
Trade id #130666554
Max drawdown($621)
Time8/20/20 0:00
Quant open221
Worst price42.25
Drawdown as % of equity-0.76%
$116
Includes Typical Broker Commissions trade costs of $4.42
8/17/20 10:03 FFIV F5 NETWORKS LONG 74 135.45 8/25 9:30 135.66 0.2%
Trade id #130648773
Max drawdown($161)
Time8/20/20 0:00
Quant open74
Worst price133.27
Drawdown as % of equity-0.20%
$15
Includes Typical Broker Commissions trade costs of $1.48
8/14/20 9:30 NTAP NETAPP LONG 483 41.37 8/25 9:30 42.33 0.49%
Trade id #130621067
Max drawdown($398)
Time8/18/20 0:00
Quant open240
Worst price40.08
Drawdown as % of equity-0.49%
$455
Includes Typical Broker Commissions trade costs of $9.66

Statistics

  • Strategy began
    3/9/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    197.61
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    192
  • # Profitable
    137
  • % Profitable
    71.40%
  • Avg trade duration
    7.0 days
  • Max peak-to-valley drawdown
    14.29%
  • drawdown period
    Sept 03, 2020 - Sept 08, 2020
  • Cumul. Return
    82.9%
  • Avg win
    $472.30
  • Avg loss
    $401.44
  • Model Account Values (Raw)
  • Cash
    $34,203
  • Margin Used
    $0
  • Buying Power
    $33,731
  • Ratios
  • W:L ratio
    2.97:1
  • Sharpe Ratio
    2.87
  • Sortino Ratio
    4.67
  • Calmar Ratio
    22.272
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    62.15%
  • Correlation to SP500
    0.21280
  • Return Percent SP500 (cumu) during strategy life
    20.72%
  • Return Statistics
  • Ann Return (w trading costs)
    199.8%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.829%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    213.1%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    984
  • Popularity (Last 6 weeks)
    990
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    983
  • Popularity (7 days, Percentile 1000 scale)
    985
  • 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
    $401
  • Avg Win
    $472
  • Sum Trade PL (losers)
    $22,079.000
  • AUM
  • AUM (AutoTrader num accounts)
    11
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $64,705.000
  • # Winners
    137
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    415
  • AUM
  • AUM (AutoTrader live capital)
    620070
  • Win / Loss
  • # Losers
    55
  • % Winners
    71.3%
  • Frequency
  • Avg Position Time (mins)
    10094.20
  • Avg Position Time (hrs)
    168.24
  • Avg Trade Length
    7.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.47
  • Daily leverage (max)
    2.94
  • Regression
  • Alpha
    0.30
  • Beta
    0.17
  • Treynor Index
    1.82
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.74
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.726
  • 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
    0.760
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.937
  • Hold-and-Hope Ratio
    0.404
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.03842
  • SD
    0.37933
  • Sharpe ratio (Glass type estimate)
    2.73753
  • Sharpe ratio (Hedges UMVUE)
    2.30157
  • df
    5.00000
  • t
    1.93572
  • p
    0.05534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58342
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.86776
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81577
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.41891
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.40160
  • Upside Potential Ratio
    18.39460
  • Upside part of mean
    1.16460
  • Downside part of mean
    -0.12618
  • Upside SD
    0.45361
  • Downside SD
    0.06331
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.37427
  • Mean of criterion
    1.03842
  • SD of predictor
    0.15446
  • SD of criterion
    0.37933
  • Covariance
    0.03526
  • r
    0.60185
  • b (slope, estimate of beta)
    1.47799
  • a (intercept, estimate of alpha)
    0.48525
  • Mean Square Error
    0.11471
  • DF error
    4.00000
  • t(b)
    1.50723
  • p(b)
    0.10312
  • t(a)
    0.80417
  • p(a)
    0.23319
  • Lowerbound of 95% confidence interval for beta
    -1.24513
  • Upperbound of 95% confidence interval for beta
    4.20111
  • Lowerbound of 95% confidence interval for alpha
    -1.19045
  • Upperbound of 95% confidence interval for alpha
    2.16095
  • Treynor index (mean / b)
    0.70259
  • Jensen alpha (a)
    0.48525
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.94373
  • SD
    0.34539
  • Sharpe ratio (Glass type estimate)
    2.73234
  • Sharpe ratio (Hedges UMVUE)
    2.29721
  • df
    5.00000
  • t
    1.93206
  • p
    0.05560
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.86096
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81889
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.41332
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.70100
  • Upside Potential Ratio
    16.69380
  • Upside part of mean
    1.07166
  • Downside part of mean
    -0.12793
  • Upside SD
    0.41172
  • Downside SD
    0.06420
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.35844
  • Mean of criterion
    0.94373
  • SD of predictor
    0.14893
  • SD of criterion
    0.34539
  • Covariance
    0.03155
  • r
    0.61334
  • b (slope, estimate of beta)
    1.42245
  • a (intercept, estimate of alpha)
    0.43387
  • Mean Square Error
    0.09302
  • DF error
    4.00000
  • t(b)
    1.55312
  • p(b)
    0.09768
  • t(a)
    0.80042
  • p(a)
    0.23416
  • Lowerbound of 95% confidence interval for beta
    -1.12090
  • Upperbound of 95% confidence interval for beta
    3.96579
  • Lowerbound of 95% confidence interval for alpha
    -1.07140
  • Upperbound of 95% confidence interval for alpha
    1.93914
  • Treynor index (mean / b)
    0.66346
  • Jensen alpha (a)
    0.43387
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08182
  • Expected Shortfall on VaR
    0.11869
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01913
  • Expected Shortfall on VaR
    0.03611
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.96814
  • Quartile 1
    1.00415
  • Median
    1.10013
  • Quartile 3
    1.12256
  • Maximum
    1.26258
  • Mean of quarter 1
    0.97078
  • Mean of quarter 2
    1.09633
  • Mean of quarter 3
    1.10393
  • Mean of quarter 4
    1.19568
  • Inter Quartile Range
    0.11841
  • 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)
    0.00000
  • 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
    2.00000
  • Minimum
    0.02657
  • Quartile 1
    0.02789
  • Median
    0.02922
  • Quartile 3
    0.03054
  • Maximum
    0.03186
  • Mean of quarter 1
    0.02657
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03186
  • Inter Quartile Range
    0.00265
  • 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)
    1.25102
  • Compounded annual return (geometric extrapolation)
    1.64228
  • Calmar ratio (compounded annual return / max draw down)
    51.54020
  • Compounded annual return / average of 25% largest draw downs
    51.54020
  • Compounded annual return / Expected Shortfall lognormal
    13.83650
  • 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
    1.17690
  • SD
    0.33739
  • Sharpe ratio (Glass type estimate)
    3.48827
  • Sharpe ratio (Hedges UMVUE)
    3.46969
  • df
    141.00000
  • t
    2.56805
  • p
    0.36644
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.78907
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.17543
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77678
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.16259
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.85256
  • Upside Potential Ratio
    12.39230
  • Upside part of mean
    2.49197
  • Downside part of mean
    -1.31508
  • Upside SD
    0.27907
  • Downside SD
    0.20109
  • N nonnegative terms
    77.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    142.00000
  • Mean of predictor
    0.40584
  • Mean of criterion
    1.17690
  • SD of predictor
    0.41464
  • SD of criterion
    0.33739
  • Covariance
    0.02974
  • r
    0.21258
  • b (slope, estimate of beta)
    0.17297
  • a (intercept, estimate of alpha)
    1.10700
  • Mean Square Error
    0.10946
  • DF error
    140.00000
  • t(b)
    2.57410
  • p(b)
    0.39371
  • t(a)
    2.45806
  • p(a)
    0.39830
  • Lowerbound of 95% confidence interval for beta
    0.04012
  • Upperbound of 95% confidence interval for beta
    0.30582
  • Lowerbound of 95% confidence interval for alpha
    0.21657
  • Upperbound of 95% confidence interval for alpha
    1.99683
  • Treynor index (mean / b)
    6.80405
  • Jensen alpha (a)
    1.10670
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.11791
  • SD
    0.33690
  • Sharpe ratio (Glass type estimate)
    3.31823
  • Sharpe ratio (Hedges UMVUE)
    3.30055
  • df
    141.00000
  • t
    2.44287
  • p
    0.37259
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.62230
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.00280
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61054
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.99056
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.41830
  • Upside Potential Ratio
    11.89290
  • Upside part of mean
    2.45377
  • Downside part of mean
    -1.33586
  • Upside SD
    0.27369
  • Downside SD
    0.20632
  • N nonnegative terms
    77.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    142.00000
  • Mean of predictor
    0.31948
  • Mean of criterion
    1.11791
  • SD of predictor
    0.41750
  • SD of criterion
    0.33690
  • Covariance
    0.03018
  • r
    0.21455
  • b (slope, estimate of beta)
    0.17313
  • a (intercept, estimate of alpha)
    1.06260
  • Mean Square Error
    0.10905
  • DF error
    140.00000
  • t(b)
    2.59915
  • p(b)
    0.39272
  • t(a)
    2.36625
  • p(a)
    0.40195
  • Lowerbound of 95% confidence interval for beta
    0.04144
  • Upperbound of 95% confidence interval for beta
    0.30483
  • Lowerbound of 95% confidence interval for alpha
    0.17478
  • Upperbound of 95% confidence interval for alpha
    1.95043
  • Treynor index (mean / b)
    6.45696
  • Jensen alpha (a)
    1.06260
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02952
  • Expected Shortfall on VaR
    0.03790
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01072
  • Expected Shortfall on VaR
    0.02295
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    142.00000
  • Minimum
    0.91792
  • Quartile 1
    0.99649
  • Median
    1.00101
  • Quartile 3
    1.01571
  • Maximum
    1.06007
  • Mean of quarter 1
    0.98109
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00673
  • Mean of quarter 4
    1.03111
  • Inter Quartile Range
    0.01923
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02817
  • Mean of outliers low
    0.94474
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04225
  • Mean of outliers high
    1.05399
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.02790
  • VaR(95%) (moments method)
    0.01197
  • Expected Shortfall (moments method)
    0.01299
  • Extreme Value Index (regression method)
    0.30798
  • VaR(95%) (regression method)
    0.01816
  • Expected Shortfall (regression method)
    0.03472
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00254
  • Quartile 1
    0.00791
  • Median
    0.02157
  • Quartile 3
    0.05075
  • Maximum
    0.09631
  • Mean of quarter 1
    0.00426
  • Mean of quarter 2
    0.01193
  • Mean of quarter 3
    0.03412
  • Mean of quarter 4
    0.07891
  • Inter Quartile Range
    0.04284
  • 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)
    -0.41949
  • VaR(95%) (moments method)
    0.08646
  • Expected Shortfall (moments method)
    0.09404
  • Extreme Value Index (regression method)
    0.46765
  • VaR(95%) (regression method)
    0.08884
  • Expected Shortfall (regression method)
    0.12530
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.58827
  • Compounded annual return (geometric extrapolation)
    2.14502
  • Calmar ratio (compounded annual return / max draw down)
    22.27240
  • Compounded annual return / average of 25% largest draw downs
    27.18220
  • Compounded annual return / Expected Shortfall lognormal
    56.59780
  • 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
    1.34275
  • SD
    0.34879
  • Sharpe ratio (Glass type estimate)
    3.84973
  • Sharpe ratio (Hedges UMVUE)
    3.82748
  • df
    130.00000
  • t
    2.72217
  • p
    0.38389
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.03160
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.65354
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.63806
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.46093
  • Upside Potential Ratio
    12.99750
  • Upside part of mean
    2.70122
  • Downside part of mean
    -1.35847
  • Upside SD
    0.29054
  • Downside SD
    0.20783
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61736
  • Mean of criterion
    1.34275
  • SD of predictor
    0.27460
  • SD of criterion
    0.34879
  • Covariance
    0.03021
  • r
    0.31541
  • b (slope, estimate of beta)
    0.40062
  • a (intercept, estimate of alpha)
    1.09543
  • Mean Square Error
    0.11040
  • DF error
    129.00000
  • t(b)
    3.77503
  • p(b)
    0.30259
  • t(a)
    2.30887
  • p(a)
    0.37402
  • Lowerbound of 95% confidence interval for beta
    0.19065
  • Upperbound of 95% confidence interval for beta
    0.61058
  • Lowerbound of 95% confidence interval for alpha
    0.15673
  • Upperbound of 95% confidence interval for alpha
    2.03412
  • Treynor index (mean / b)
    3.35171
  • Jensen alpha (a)
    1.09543
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.27913
  • SD
    0.34838
  • Sharpe ratio (Glass type estimate)
    3.67163
  • Sharpe ratio (Hedges UMVUE)
    3.65041
  • df
    130.00000
  • t
    2.59624
  • p
    0.38899
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.85741
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.47230
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84332
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.45751
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.99699
  • Upside Potential Ratio
    12.47010
  • Upside part of mean
    2.65981
  • Downside part of mean
    -1.38068
  • Upside SD
    0.28495
  • Downside SD
    0.21330
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.57936
  • Mean of criterion
    1.27913
  • SD of predictor
    0.27384
  • SD of criterion
    0.34838
  • Covariance
    0.03041
  • r
    0.31879
  • b (slope, estimate of beta)
    0.40556
  • a (intercept, estimate of alpha)
    1.04417
  • Mean Square Error
    0.10988
  • DF error
    129.00000
  • t(b)
    3.82001
  • p(b)
    0.30055
  • t(a)
    2.20845
  • p(a)
    0.37923
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    0.19551
  • Upperbound of 95% confidence interval for beta
    0.61561
  • Lowerbound of 95% confidence interval for alpha
    0.10871
  • Upperbound of 95% confidence interval for alpha
    1.97963
  • Treynor index (mean / b)
    3.15400
  • Jensen alpha (a)
    1.04417
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03006
  • Expected Shortfall on VaR
    0.03871
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01029
  • Expected Shortfall on VaR
    0.02242
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91792
  • Quartile 1
    0.99655
  • Median
    1.00220
  • Quartile 3
    1.01817
  • Maximum
    1.06007
  • Mean of quarter 1
    0.98025
  • Mean of quarter 2
    0.99972
  • Mean of quarter 3
    1.00863
  • Mean of quarter 4
    1.03243
  • Inter Quartile Range
    0.02162
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.93770
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.05706
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.17557
  • VaR(95%) (moments method)
    0.01210
  • Expected Shortfall (moments method)
    0.01294
  • Extreme Value Index (regression method)
    0.23158
  • VaR(95%) (regression method)
    0.02038
  • Expected Shortfall (regression method)
    0.03666
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00121
  • Quartile 1
    0.00357
  • Median
    0.01369
  • Quartile 3
    0.04518
  • Maximum
    0.09631
  • Mean of quarter 1
    0.00271
  • Mean of quarter 2
    0.00964
  • Mean of quarter 3
    0.03032
  • Mean of quarter 4
    0.07891
  • Inter Quartile Range
    0.04161
  • 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)
    -6.42251
  • VaR(95%) (moments method)
    0.07377
  • Expected Shortfall (moments method)
    0.07377
  • Extreme Value Index (regression method)
    -0.75926
  • VaR(95%) (regression method)
    0.08393
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.09017
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -299950000
  • Max Equity Drawdown (num days)
    5
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.84459
  • Compounded annual return (geometric extrapolation)
    2.69522
  • Calmar ratio (compounded annual return / max draw down)
    27.98530
  • Compounded annual return / average of 25% largest draw downs
    34.15440
  • Compounded annual return / Expected Shortfall lognormal
    69.62100

Strategy Description

This system uses a very unique two stage filtration system. The first filter calculates, compares and then ranks the entire universe of stocks against one another to find the STRONGEST stocks in the Index using a distinct set of parameters. The second filter, is looking for a timing trigger to enter at just the right time to catch the explosive move up.

Average hold period is around 3 days.

This system holds a max of 15 positions. Position size accordingly or contact me with questions.

Summary Statistics

Strategy began
2020-03-09
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 1.7%
Rank # 
#11
# Trades
192
# Profitable
137
% Profitable
71.4%
Net Dividends
Correlation S&P500
0.213
Sharpe Ratio
2.87
Sortino Ratio
4.67
Beta
0.17
Alpha
0.30
Leverage
1.47 Average
2.94 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.