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SP100 Short Term Swing
(75976336)

Created by: CDRing CDRing
Started: 08/2012
Stocks
Last trade: 4 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $69.00 per month.

11.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(19.3%)
Max Drawdown
1332
Num Trades
68.9%
Win Trades
1.4 : 1
Profit Factor
69.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +0.5%+3.5%+3.4%(0.4%)+4.6%+12.0%
2013(0.1%)+3.3%+2.5%+3.0%  -  +4.9%+3.1%+0.1%+2.0%+3.3%+3.2%+0.5%+28.8%
2014(5.5%)+3.9%+0.5%+3.8%+4.1%+3.1%(3.5%)+3.2%(0.3%)+2.0%+1.4%+1.9%+15.0%
2015+2.1%+3.4%(0.3%)(0.9%)+5.7%(1.7%)+1.7%+4.5%(0.1%)+2.8%(0.6%)+2.8%+21.0%
2016(9%)  -  +1.4%+0.4%+3.1%+0.2%(0.7%)(4%)+3.1%+0.2%+0.4%+0.2%(5.3%)
2017+4.0%+1.8%(2.6%)+2.2%+2.0%+1.0%+3.7%(1.2%)+1.4%(1.9%)+1.6%+2.5%+15.2%
2018(1.8%)(7.1%)(0.1%)+0.8%+2.4%+0.9%+2.9%+5.2%+3.5%(10.2%)+6.6%(5.8%)(4%)
2019+0.1%+0.1%(0.3%)+0.4%(4.1%)                                          (3.8%)

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.

Trading Record

This strategy has placed 2,063 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/15/19 9:30 JNJ JOHNSON & JOHNSON LONG 220 136.90 5/17 9:30 137.00 0.16%
Trade id #123677740
Max drawdown($345)
Time5/15/19 10:14
Quant open220
Worst price135.33
Drawdown as % of equity-0.16%
$18
Includes Typical Broker Commissions trade costs of $4.40
5/3/19 9:30 CSCO CISCO SYSTEMS LONG 570 54.64 5/17 9:30 55.78 0.94%
Trade id #123519169
Max drawdown($2,040)
Time5/13/19 14:39
Quant open570
Worst price51.06
Drawdown as % of equity-0.94%
$645
Includes Typical Broker Commissions trade costs of $5.00
5/15/19 9:31 AMZN AMAZON.COM LONG 16 1827.95 5/17 9:30 1893.05 0.04%
Trade id #123677757
Max drawdown($79)
Time5/15/19 9:43
Quant open16
Worst price1823.00
Drawdown as % of equity-0.04%
$1,042
Includes Typical Broker Commissions trade costs of $0.32
5/8/19 9:31 ACN ACCENTURE LONG 175 174.07 5/16 9:30 176.27 0.3%
Trade id #123571929
Max drawdown($651)
Time5/13/19 13:31
Quant open175
Worst price170.35
Drawdown as % of equity-0.30%
$382
Includes Typical Broker Commissions trade costs of $3.50
4/29/19 9:30 LOW LOWE'S COMPANIES LONG 280 112.02 5/16 9:30 108.27 1.09%
Trade id #123461915
Max drawdown($2,380)
Time5/13/19 10:07
Quant open280
Worst price103.52
Drawdown as % of equity-1.09%
($1,056)
Includes Typical Broker Commissions trade costs of $5.60
5/8/19 9:30 EXC EXELON LONG 635 48.95 5/15 9:30 49.01 0.28%
Trade id #123571861
Max drawdown($603)
Time5/15/19 9:06
Quant open635
Worst price48.00
Drawdown as % of equity-0.28%
$33
Includes Typical Broker Commissions trade costs of $5.00
5/6/19 9:34 NKE NIKE LONG 235 83.77 5/13 9:30 81.65 0.24%
Trade id #123540310
Max drawdown($525)
Time5/9/19 9:52
Quant open235
Worst price81.54
Drawdown as % of equity-0.24%
($503)
Includes Typical Broker Commissions trade costs of $4.70
5/9/19 9:30 NEE NEXTERA ENERGY LONG 165 188.45 5/13 9:30 191.42 0.07%
Trade id #123587893
Max drawdown($160)
Time5/9/19 11:40
Quant open165
Worst price187.48
Drawdown as % of equity-0.07%
$487
Includes Typical Broker Commissions trade costs of $3.30
5/9/19 9:30 ORCL ORACLE CORP LONG 575 53.46 5/13 9:30 53.72 0.1%
Trade id #123587926
Max drawdown($218)
Time5/9/19 10:27
Quant open575
Worst price53.08
Drawdown as % of equity-0.10%
$145
Includes Typical Broker Commissions trade costs of $5.00
5/7/19 9:30 KMI KINDER MORGAN LONG 1,750 19.26 5/9 9:30 19.59 0.02%
Trade id #123555807
Max drawdown($35)
Time5/7/19 9:51
Quant open1,750
Worst price19.24
Drawdown as % of equity-0.02%
$572
Includes Typical Broker Commissions trade costs of $6.00
5/2/19 9:31 EMR EMERSON ELECTRIC LONG 440 70.24 5/6 9:34 69.74 0.21%
Trade id #123503816
Max drawdown($479)
Time5/6/19 9:33
Quant open440
Worst price69.15
Drawdown as % of equity-0.21%
($229)
Includes Typical Broker Commissions trade costs of $8.80
4/26/19 9:30 VZ VERIZON COMMUNICATIONS LONG 560 56.06 5/1 9:31 57.23 0.06%
Trade id #123440261
Max drawdown($131)
Time4/26/19 9:33
Quant open560
Worst price55.83
Drawdown as % of equity-0.06%
$650
Includes Typical Broker Commissions trade costs of $5.00
4/25/19 9:31 CELG CELGENE LONG 335 93.29 4/29 9:31 94.02 0.07%
Trade id #123425685
Max drawdown($147)
Time4/25/19 9:48
Quant open335
Worst price92.85
Drawdown as % of equity-0.07%
$238
Includes Typical Broker Commissions trade costs of $6.70
4/23/19 9:30 SPG SIMON PROPERTY GROUP LONG 175 174.58 4/29 9:31 178.92 0.05%
Trade id #123398959
Max drawdown($106)
Time4/23/19 9:37
Quant open175
Worst price173.97
Drawdown as % of equity-0.05%
$757
Includes Typical Broker Commissions trade costs of $3.50
4/9/19 9:30 MRK MERCK LONG 390 80.57 4/26 9:31 76.64 1.48%
Trade id #123252360
Max drawdown($3,252)
Time4/18/19 10:42
Quant open390
Worst price72.23
Drawdown as % of equity-1.48%
($1,541)
Includes Typical Broker Commissions trade costs of $7.80
3/26/19 9:30 MDT MEDTRONIC PLC LONG 345 91.36 4/26 9:31 87.25 1.35%
Trade id #123073595
Max drawdown($2,963)
Time4/18/19 10:42
Quant open345
Worst price82.77
Drawdown as % of equity-1.35%
($1,425)
Includes Typical Broker Commissions trade costs of $6.90
4/15/19 9:31 LLY ELI LILLY LONG 255 123.77 4/26 9:31 118.83 1.36%
Trade id #123312736
Max drawdown($2,975)
Time4/18/19 17:54
Quant open255
Worst price112.10
Drawdown as % of equity-1.36%
($1,265)
Includes Typical Broker Commissions trade costs of $5.10
4/16/19 9:31 ABT ABBOTT LABORATORIES LONG 360 77.94 4/25 9:31 76.62 0.9%
Trade id #123326418
Max drawdown($2,008)
Time4/17/19 14:12
Quant open360
Worst price72.36
Drawdown as % of equity-0.90%
($482)
Includes Typical Broker Commissions trade costs of $7.20
4/18/19 9:30 DHR DANAHER LONG 245 128.24 4/25 9:31 128.76 0.44%
Trade id #123356633
Max drawdown($967)
Time4/23/19 7:08
Quant open245
Worst price124.29
Drawdown as % of equity-0.44%
$122
Includes Typical Broker Commissions trade costs of $4.90
4/22/19 9:35 DUK DUKE ENERGY LONG 340 89.01 4/25 9:30 89.42 0.11%
Trade id #123384440
Max drawdown($244)
Time4/23/19 12:58
Quant open340
Worst price88.29
Drawdown as % of equity-0.11%
$132
Includes Typical Broker Commissions trade costs of $6.80
3/28/19 9:30 PM PHILIP MORRIS LONG 360 87.00 4/16 9:31 86.24 0.33%
Trade id #123111636
Max drawdown($752)
Time4/5/19 9:44
Quant open360
Worst price84.91
Drawdown as % of equity-0.33%
($281)
Includes Typical Broker Commissions trade costs of $7.20
4/5/19 9:33 JNJ JOHNSON & JOHNSON LONG 230 136.04 4/15 9:31 136.00 0.17%
Trade id #123218512
Max drawdown($372)
Time4/11/19 14:09
Quant open230
Worst price134.42
Drawdown as % of equity-0.17%
($14)
Includes Typical Broker Commissions trade costs of $4.60
4/11/19 9:30 BA BOEING LONG 85 364.62 4/15 9:30 376.70 0%
Trade id #123280067
Max drawdown$0
Time4/11/19 9:32
Quant open85
Worst price364.62
Drawdown as % of equity0.00%
$1,025
Includes Typical Broker Commissions trade costs of $1.70
4/3/19 9:30 NEE NEXTERA ENERGY LONG 165 189.11 4/10 9:30 189.75 0.12%
Trade id #123183107
Max drawdown($277)
Time4/4/19 11:39
Quant open165
Worst price187.43
Drawdown as % of equity-0.12%
$103
Includes Typical Broker Commissions trade costs of $3.30
4/3/19 9:30 DUK DUKE ENERGY LONG 355 89.00 4/8 9:31 90.50 0.17%
Trade id #123183127
Max drawdown($379)
Time4/4/19 11:39
Quant open355
Worst price87.93
Drawdown as % of equity-0.17%
$526
Includes Typical Broker Commissions trade costs of $7.10
4/3/19 9:30 VZ VERIZON COMMUNICATIONS LONG 540 58.78 4/8 9:30 59.02 0.09%
Trade id #123183087
Max drawdown($199)
Time4/3/19 11:00
Quant open540
Worst price58.41
Drawdown as % of equity-0.09%
$125
Includes Typical Broker Commissions trade costs of $5.00
3/28/19 9:30 CHTR CHARTER COMMUNICATIONS LONG 85 356.17 4/8 9:30 350.53 0.49%
Trade id #123111599
Max drawdown($1,106)
Time4/3/19 14:47
Quant open85
Worst price343.15
Drawdown as % of equity-0.49%
($481)
Includes Typical Broker Commissions trade costs of $1.70
3/29/19 9:30 WMT WALMART INC LONG 320 97.59 4/5 9:31 98.25 0.12%
Trade id #123125085
Max drawdown($268)
Time4/2/19 16:37
Quant open320
Worst price96.75
Drawdown as % of equity-0.12%
$205
Includes Typical Broker Commissions trade costs of $6.40
3/26/19 9:30 AXP AMERICAN EXPRESS LONG 285 109.99 4/2 9:30 111.21 0.21%
Trade id #123073606
Max drawdown($473)
Time3/27/19 12:20
Quant open285
Worst price108.33
Drawdown as % of equity-0.21%
$342
Includes Typical Broker Commissions trade costs of $5.70
3/28/19 9:30 GOOG ALPHABET INC CLASS C LONG 26 1171.54 4/2 9:30 1195.32 0.14%
Trade id #123111592
Max drawdown($314)
Time3/28/19 11:31
Quant open26
Worst price1159.43
Drawdown as % of equity-0.14%
$617
Includes Typical Broker Commissions trade costs of $0.52

Statistics

  • Strategy began
    8/13/2012
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    2473.91
  • Age
    83 months ago
  • What it trades
    Stocks
  • # Trades
    1332
  • # Profitable
    918
  • % Profitable
    68.90%
  • Avg trade duration
    8.8 days
  • Max peak-to-valley drawdown
    19.31%
  • drawdown period
    Oct 03, 2018 - Dec 21, 2018
  • Annual Return (Compounded)
    11.0%
  • Avg win
    $444.38
  • Avg loss
    $746.88
  • Model Account Values (Raw)
  • Cash
    $165,319
  • Margin Used
    $0
  • Buying Power
    $155,510
  • Ratios
  • W:L ratio
    1.44:1
  • Sharpe Ratio
    0.67
  • Sortino Ratio
    0.97
  • Calmar Ratio
    0.914
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.53280
  • Return Statistics
  • Ann Return (w trading costs)
    11.0%
  • Ann Return (Compnd, No Fees)
    12.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.00%
  • Chance of 20% account loss
    6.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    722
  • Popularity (Last 6 weeks)
    915
  • C2 Score
    95.3
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $745
  • Avg Win
    $443
  • # Winners
    917
  • # Losers
    414
  • % Winners
    68.9%
  • Frequency
  • Avg Position Time (mins)
    12715.00
  • Avg Position Time (hrs)
    211.92
  • Avg Trade Length
    8.8 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    2.20
  • Unknown
  • Alpha
    0.01
  • Beta
    0.47
  • Treynor Index
    0.05
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10065
  • SD
    0.11105
  • Sharpe ratio (Glass type estimate)
    0.90631
  • Sharpe ratio (Hedges UMVUE)
    0.89767
  • df
    79.00000
  • t
    2.34007
  • p
    0.01090
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12579
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66956
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28871
  • Upside Potential Ratio
    2.49190
  • Upside part of mean
    0.19462
  • Downside part of mean
    -0.09397
  • Upside SD
    0.08321
  • Downside SD
    0.07810
  • N nonnegative terms
    56.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.09123
  • Mean of criterion
    0.10065
  • SD of predictor
    0.12582
  • SD of criterion
    0.11105
  • Covariance
    0.00836
  • r
    0.59808
  • b (slope, estimate of beta)
    0.52791
  • a (intercept, estimate of alpha)
    0.05249
  • Mean Square Error
    0.00802
  • DF error
    78.00000
  • t(b)
    6.59074
  • p(b)
    0.00000
  • t(a)
    1.48054
  • p(a)
    0.07138
  • Lowerbound of 95% confidence interval for beta
    0.36845
  • Upperbound of 95% confidence interval for beta
    0.68737
  • Lowerbound of 95% confidence interval for alpha
    -0.01809
  • Upperbound of 95% confidence interval for alpha
    0.12307
  • Treynor index (mean / b)
    0.19066
  • Jensen alpha (a)
    0.05249
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09384
  • SD
    0.11261
  • Sharpe ratio (Glass type estimate)
    0.83331
  • Sharpe ratio (Hedges UMVUE)
    0.82538
  • df
    79.00000
  • t
    2.15160
  • p
    0.01724
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06067
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60087
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05545
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59530
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15051
  • Upside Potential Ratio
    2.33948
  • Upside part of mean
    0.19082
  • Downside part of mean
    -0.09698
  • Upside SD
    0.08126
  • Downside SD
    0.08156
  • N nonnegative terms
    56.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.08294
  • Mean of criterion
    0.09384
  • SD of predictor
    0.12551
  • SD of criterion
    0.11261
  • Covariance
    0.00863
  • r
    0.61077
  • b (slope, estimate of beta)
    0.54802
  • a (intercept, estimate of alpha)
    0.04839
  • Mean Square Error
    0.00805
  • DF error
    78.00000
  • t(b)
    6.81247
  • p(b)
    0.00000
  • t(a)
    1.36733
  • p(a)
    0.08773
  • Lowerbound of 95% confidence interval for beta
    0.38787
  • Upperbound of 95% confidence interval for beta
    0.70817
  • Lowerbound of 95% confidence interval for alpha
    -0.02207
  • Upperbound of 95% confidence interval for alpha
    0.11884
  • Treynor index (mean / b)
    0.17123
  • Jensen alpha (a)
    0.04839
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04462
  • Expected Shortfall on VaR
    0.05745
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01204
  • Expected Shortfall on VaR
    0.02900
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    80.00000
  • Minimum
    0.88523
  • Quartile 1
    1.00048
  • Median
    1.01292
  • Quartile 3
    1.03060
  • Maximum
    1.07981
  • Mean of quarter 1
    0.97115
  • Mean of quarter 2
    1.00619
  • Mean of quarter 3
    1.02081
  • Mean of quarter 4
    1.04472
  • Inter Quartile Range
    0.03012
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.91240
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01250
  • Mean of outliers high
    1.07981
  • 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)
    0.19432
  • VaR(95%) (regression method)
    0.03071
  • Expected Shortfall (regression method)
    0.05856
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00127
  • Quartile 1
    0.00716
  • Median
    0.02130
  • Quartile 3
    0.05609
  • Maximum
    0.12128
  • Mean of quarter 1
    0.00399
  • Mean of quarter 2
    0.01290
  • Mean of quarter 3
    0.04029
  • Mean of quarter 4
    0.10917
  • Inter Quartile Range
    0.04894
  • 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)
    -13.39820
  • VaR(95%) (moments method)
    0.09580
  • Expected Shortfall (moments method)
    0.09580
  • Extreme Value Index (regression method)
    -2.57265
  • VaR(95%) (regression method)
    0.14919
  • Expected Shortfall (regression method)
    0.14995
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18774
  • Compounded annual return (geometric extrapolation)
    0.12947
  • Calmar ratio (compounded annual return / max draw down)
    1.06752
  • Compounded annual return / average of 25% largest draw downs
    1.18591
  • Compounded annual return / Expected Shortfall lognormal
    2.25374
  • 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
    0.09362
  • SD
    0.10845
  • Sharpe ratio (Glass type estimate)
    0.86319
  • Sharpe ratio (Hedges UMVUE)
    0.86282
  • df
    1765.00000
  • t
    2.24104
  • p
    0.46610
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10762
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61854
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10736
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61828
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25146
  • Upside Potential Ratio
    7.61672
  • Upside part of mean
    0.56977
  • Downside part of mean
    -0.47616
  • Upside SD
    0.07870
  • Downside SD
    0.07481
  • N nonnegative terms
    873.00000
  • N negative terms
    893.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1766.00000
  • Mean of predictor
    0.08396
  • Mean of criterion
    0.09362
  • SD of predictor
    0.12860
  • SD of criterion
    0.10845
  • Covariance
    0.00754
  • r
    0.54058
  • b (slope, estimate of beta)
    0.45591
  • a (intercept, estimate of alpha)
    0.05500
  • Mean Square Error
    0.00833
  • DF error
    1764.00000
  • t(b)
    26.98770
  • p(b)
    0.22971
  • t(a)
    1.57285
  • p(a)
    0.48129
  • Lowerbound of 95% confidence interval for beta
    0.42278
  • Upperbound of 95% confidence interval for beta
    0.48904
  • Lowerbound of 95% confidence interval for alpha
    -0.01367
  • Upperbound of 95% confidence interval for alpha
    0.12434
  • Treynor index (mean / b)
    0.20534
  • Jensen alpha (a)
    0.05534
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08771
  • SD
    0.10848
  • Sharpe ratio (Glass type estimate)
    0.80858
  • Sharpe ratio (Hedges UMVUE)
    0.80823
  • df
    1765.00000
  • t
    2.09925
  • p
    0.46824
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05307
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05284
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56363
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16074
  • Upside Potential Ratio
    7.49881
  • Upside part of mean
    0.56665
  • Downside part of mean
    -0.47894
  • Upside SD
    0.07797
  • Downside SD
    0.07557
  • N nonnegative terms
    873.00000
  • N negative terms
    893.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1766.00000
  • Mean of predictor
    0.07567
  • Mean of criterion
    0.08771
  • SD of predictor
    0.12876
  • SD of criterion
    0.10848
  • Covariance
    0.00757
  • r
    0.54161
  • b (slope, estimate of beta)
    0.45628
  • a (intercept, estimate of alpha)
    0.05319
  • Mean Square Error
    0.00832
  • DF error
    1764.00000
  • t(b)
    27.06000
  • p(b)
    0.22920
  • t(a)
    1.51286
  • p(a)
    0.48200
  • Lowerbound of 95% confidence interval for beta
    0.42321
  • Upperbound of 95% confidence interval for beta
    0.48935
  • Lowerbound of 95% confidence interval for alpha
    -0.01577
  • Upperbound of 95% confidence interval for alpha
    0.12214
  • Treynor index (mean / b)
    0.19223
  • Jensen alpha (a)
    0.05319
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01063
  • Expected Shortfall on VaR
    0.01340
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00414
  • Expected Shortfall on VaR
    0.00882
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1766.00000
  • Minimum
    0.95804
  • Quartile 1
    0.99839
  • Median
    1.00008
  • Quartile 3
    1.00262
  • Maximum
    1.04983
  • Mean of quarter 1
    0.99334
  • Mean of quarter 2
    0.99961
  • Mean of quarter 3
    1.00112
  • Mean of quarter 4
    1.00778
  • Inter Quartile Range
    0.00424
  • Number outliers low
    113.00000
  • Percentage of outliers low
    0.06399
  • Mean of outliers low
    0.98512
  • Number of outliers high
    128.00000
  • Percentage of outliers high
    0.07248
  • Mean of outliers high
    1.01473
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48542
  • VaR(95%) (moments method)
    0.00600
  • Expected Shortfall (moments method)
    0.01364
  • Extreme Value Index (regression method)
    0.23641
  • VaR(95%) (regression method)
    0.00577
  • Expected Shortfall (regression method)
    0.00983
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    102.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00110
  • Median
    0.00386
  • Quartile 3
    0.01558
  • Maximum
    0.13405
  • Mean of quarter 1
    0.00038
  • Mean of quarter 2
    0.00241
  • Mean of quarter 3
    0.00832
  • Mean of quarter 4
    0.04732
  • Inter Quartile Range
    0.01448
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.07518
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49211
  • VaR(95%) (moments method)
    0.05037
  • Expected Shortfall (moments method)
    0.11085
  • Extreme Value Index (regression method)
    -0.15250
  • VaR(95%) (regression method)
    0.04360
  • Expected Shortfall (regression method)
    0.05640
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17506
  • Compounded annual return (geometric extrapolation)
    0.12257
  • Calmar ratio (compounded annual return / max draw down)
    0.91434
  • Compounded annual return / average of 25% largest draw downs
    2.58994
  • Compounded annual return / Expected Shortfall lognormal
    9.15002
  • 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
    -0.12863
  • SD
    0.10210
  • Sharpe ratio (Glass type estimate)
    -1.25992
  • Sharpe ratio (Hedges UMVUE)
    -1.25264
  • df
    130.00000
  • t
    -0.89090
  • p
    0.53895
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.03354
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51841
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.02863
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52334
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.61536
  • Upside Potential Ratio
    5.28164
  • Upside part of mean
    0.42058
  • Downside part of mean
    -0.54922
  • Upside SD
    0.06377
  • Downside SD
    0.07963
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11230
  • Mean of criterion
    -0.12863
  • SD of predictor
    0.16922
  • SD of criterion
    0.10210
  • Covariance
    0.01011
  • r
    0.58515
  • b (slope, estimate of beta)
    0.35305
  • a (intercept, estimate of alpha)
    -0.16828
  • Mean Square Error
    0.00691
  • DF error
    129.00000
  • t(b)
    8.19557
  • p(b)
    0.14999
  • t(a)
    -1.43048
  • p(a)
    0.57934
  • Lowerbound of 95% confidence interval for beta
    0.26782
  • Upperbound of 95% confidence interval for beta
    0.43828
  • Lowerbound of 95% confidence interval for alpha
    -0.40103
  • Upperbound of 95% confidence interval for alpha
    0.06447
  • Treynor index (mean / b)
    -0.36435
  • Jensen alpha (a)
    -0.16828
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13384
  • SD
    0.10228
  • Sharpe ratio (Glass type estimate)
    -1.30853
  • Sharpe ratio (Hedges UMVUE)
    -1.30096
  • df
    130.00000
  • t
    -0.92527
  • p
    0.54044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.08248
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.07727
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47535
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.66780
  • Upside Potential Ratio
    5.21542
  • Upside part of mean
    0.41853
  • Downside part of mean
    -0.55236
  • Upside SD
    0.06333
  • Downside SD
    0.08025
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09809
  • Mean of criterion
    -0.13384
  • SD of predictor
    0.16896
  • SD of criterion
    0.10228
  • Covariance
    0.01009
  • r
    0.58385
  • b (slope, estimate of beta)
    0.35343
  • a (intercept, estimate of alpha)
    -0.16850
  • Mean Square Error
    0.00695
  • DF error
    129.00000
  • t(b)
    8.16791
  • p(b)
    0.15067
  • t(a)
    -1.42843
  • p(a)
    0.57923
  • Lowerbound of 95% confidence interval for beta
    0.26782
  • Upperbound of 95% confidence interval for beta
    0.43904
  • Lowerbound of 95% confidence interval for alpha
    -0.40190
  • Upperbound of 95% confidence interval for alpha
    0.06489
  • Treynor index (mean / b)
    -0.37868
  • Jensen alpha (a)
    -0.16850
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01085
  • Expected Shortfall on VaR
    0.01345
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00542
  • Expected Shortfall on VaR
    0.01097
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97711
  • Quartile 1
    0.99842
  • Median
    1.00000
  • Quartile 3
    1.00138
  • Maximum
    1.02001
  • Mean of quarter 1
    0.99225
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00044
  • Mean of quarter 4
    1.00611
  • Inter Quartile Range
    0.00295
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98600
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.01187
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18794
  • VaR(95%) (moments method)
    0.00569
  • Expected Shortfall (moments method)
    0.00929
  • Extreme Value Index (regression method)
    -0.00036
  • VaR(95%) (regression method)
    0.00773
  • Expected Shortfall (regression method)
    0.01149
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00340
  • Quartile 1
    0.00370
  • Median
    0.00399
  • Quartile 3
    0.05000
  • Maximum
    0.09600
  • Mean of quarter 1
    0.00340
  • Mean of quarter 2
    0.00399
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09600
  • Inter Quartile Range
    0.04630
  • 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)
    -0.10317
  • Compounded annual return (geometric extrapolation)
    -0.10051
  • Calmar ratio (compounded annual return / max draw down)
    -1.04698
  • Compounded annual return / average of 25% largest draw downs
    -1.04698
  • Compounded annual return / Expected Shortfall lognormal
    -7.47253

Strategy Description

The SP100 System trades highly liquid stocks of the S&P100 Index. It is 100 % mechanical.

Signals delivered in the evening to be executed at next days open.

Equity per position is 15%

Max Positions is 10.

Average trade duration is 8 days.

Back-testing results available to subscribers.

The system can be traded with smaller accounts (10 -25k) provided you use a low cost broker.

System is also traded in IRA's with 10% equity per position and max positions of 10 to avoid margin.

Summary Statistics

Strategy began
2012-08-13
Suggested Minimum Capital
$30,000
# Trades
1332
# Profitable
918
% Profitable
68.9%
Net Dividends
Correlation S&P500
0.533
Sharpe Ratio
0.67
Sortino Ratio
0.97
Beta
0.47
Alpha
0.01
Leverage
0.91 Average
2.20 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 nominal 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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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.