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These are hypothetical performance results that have certain inherent limitations. Learn more

NAS100 Short Term Swing
(98996226)

Created by: CDRing CDRing
Started: 01/2016
Stocks
Last trade: Today

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.

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.

11.9%
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.

(12.4%)
Max Drawdown
816
Num Trades
67.2%
Win Trades
1.6 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016(4.4%)+1.3%+1.0%(0.4%)+2.1%+0.5%+1.3%+0.6%(0.1%)(4.1%)+2.0%(1.5%)(2%)
2017+7.4%+1.5%+0.9%+0.3%(0.7%)+0.8%+2.6%(2.6%)(1.6%)+1.5%+3.9%+4.0%+19.0%
2018+4.3%(5.1%)(2.6%)+0.6%+2.8%(2.4%)+2.5%+3.6%+2.3%(0.8%)+1.8%(4%)+2.4%
2019(0.1%)(0.1%)+2.1%+3.6%(7.8%)+5.1%+0.9%(1%)+1.0%+2.5%(0.1%)+1.7%+7.4%
2020(3.2%)+2.2%+4.1%+1.7%+3.9%+5.6%+9.7%+3.1%+2.2%                  +32.8%

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 10 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 45 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/22/20 9:30 XEL XCEL ENERGY LONG 295 66.55 9/28 9:30 68.86 0.13%
Trade id #131289571
Max drawdown($218)
Time9/24/20 0:00
Quant open295
Worst price65.81
Drawdown as % of equity-0.13%
$675
Includes Typical Broker Commissions trade costs of $5.90
9/24/20 9:30 VRSK VERISK ANALYTICS LONG 110 176.17 9/28 9:30 183.33 0.05%
Trade id #131339124
Max drawdown($88)
Time9/24/20 9:45
Quant open110
Worst price175.37
Drawdown as % of equity-0.05%
$786
Includes Typical Broker Commissions trade costs of $2.20
9/24/20 9:30 XLNX XILINX LONG 200 97.31 9/28 9:30 101.64 0.07%
Trade id #131339123
Max drawdown($112)
Time9/24/20 9:34
Quant open200
Worst price96.75
Drawdown as % of equity-0.07%
$862
Includes Typical Broker Commissions trade costs of $4.00
9/10/20 9:30 LRCX LAM RESEARCH LONG 65 303.76 9/16 9:30 311.67 0.46%
Trade id #131106004
Max drawdown($746)
Time9/11/20 0:00
Quant open65
Worst price292.28
Drawdown as % of equity-0.46%
$513
Includes Typical Broker Commissions trade costs of $1.30
9/4/20 9:30 BIDU BAIDU LONG 165 120.91 9/15 9:30 123.89 0.44%
Trade id #130999815
Max drawdown($742)
Time9/8/20 0:00
Quant open165
Worst price116.41
Drawdown as % of equity-0.44%
$489
Includes Typical Broker Commissions trade costs of $3.30
9/10/20 9:30 NFLX NETFLIX LONG 40 503.35 9/11 9:30 486.49 0.6%
Trade id #131106031
Max drawdown($980)
Time9/10/20 15:29
Quant open40
Worst price478.84
Drawdown as % of equity-0.60%
($676)
Includes Typical Broker Commissions trade costs of $0.80
9/8/20 9:30 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 600 33.02 9/11 9:30 31.66 0.64%
Trade id #131057608
Max drawdown($1,062)
Time9/9/20 0:00
Quant open600
Worst price31.25
Drawdown as % of equity-0.64%
($821)
Includes Typical Broker Commissions trade costs of $5.00
8/11/20 9:30 DGX QUEST DIAGNOSTICS LONG 160 121.82 9/11 9:30 111.10 1.68%
Trade id #130557167
Max drawdown($2,835)
Time8/27/20 0:00
Quant open160
Worst price104.10
Drawdown as % of equity-1.68%
($1,718)
Includes Typical Broker Commissions trade costs of $3.20
9/2/20 9:30 EA ELECTRONIC ARTS LONG 145 138.00 9/11 9:30 127.99 1.27%
Trade id #130939886
Max drawdown($2,127)
Time9/8/20 0:00
Quant open145
Worst price123.33
Drawdown as % of equity-1.27%
($1,454)
Includes Typical Broker Commissions trade costs of $2.90
9/10/20 9:30 JD JD.COM INC LONG 255 77.13 9/11 9:30 75.18 0.56%
Trade id #131106034
Max drawdown($912)
Time9/10/20 15:39
Quant open255
Worst price73.55
Drawdown as % of equity-0.56%
($502)
Includes Typical Broker Commissions trade costs of $5.10
9/2/20 9:30 EBAY EBAY LONG 370 53.89 9/11 9:30 52.33 0.65%
Trade id #130939889
Max drawdown($1,087)
Time9/4/20 0:00
Quant open370
Worst price50.95
Drawdown as % of equity-0.65%
($584)
Includes Typical Broker Commissions trade costs of $7.40
8/24/20 9:30 LRCX LAM RESEARCH LONG 55 359.40 9/3 9:30 357.30 0.76%
Trade id #130754816
Max drawdown($1,273)
Time8/31/20 0:00
Quant open55
Worst price336.24
Drawdown as % of equity-0.76%
($117)
Includes Typical Broker Commissions trade costs of $1.10
9/1/20 9:30 CHKP CHECK POINT SOFTWARE LONG 155 126.16 9/3 9:30 128.72 0.01%
Trade id #130917643
Max drawdown($20)
Time9/1/20 9:33
Quant open155
Worst price126.03
Drawdown as % of equity-0.01%
$394
Includes Typical Broker Commissions trade costs of $3.10
8/24/20 9:30 AMAT APPLIED MATERIALS LONG 325 63.36 9/3 9:30 64.19 0.42%
Trade id #130754829
Max drawdown($692)
Time9/1/20 0:00
Quant open325
Worst price61.23
Drawdown as % of equity-0.42%
$264
Includes Typical Broker Commissions trade costs of $6.50
8/20/20 9:30 PCAR PACCAR LONG 230 87.67 9/2 9:30 87.04 0.37%
Trade id #130706633
Max drawdown($611)
Time9/1/20 0:00
Quant open230
Worst price85.01
Drawdown as % of equity-0.37%
($150)
Includes Typical Broker Commissions trade costs of $4.60
8/21/20 9:30 SWKS SKYWORKS SOLUTIONS LONG 145 140.25 8/31 9:30 143.45 0.13%
Trade id #130727541
Max drawdown($224)
Time8/27/20 0:00
Quant open145
Worst price138.70
Drawdown as % of equity-0.13%
$461
Includes Typical Broker Commissions trade costs of $2.90
8/20/20 9:30 VRSK VERISK ANALYTICS LONG 105 186.23 8/28 9:30 186.38 0.13%
Trade id #130706675
Max drawdown($211)
Time8/25/20 0:00
Quant open105
Worst price184.22
Drawdown as % of equity-0.13%
$14
Includes Typical Broker Commissions trade costs of $2.10
8/21/20 9:30 ALGN ALIGN TECHNOLOGY LONG 65 296.27 8/28 9:30 306.00 0.26%
Trade id #130727546
Max drawdown($439)
Time8/25/20 0:00
Quant open65
Worst price289.51
Drawdown as % of equity-0.26%
$631
Includes Typical Broker Commissions trade costs of $1.30
8/19/20 9:30 XEL XCEL ENERGY LONG 290 70.26 8/26 9:30 68.49 0.39%
Trade id #130685184
Max drawdown($672)
Time8/26/20 9:30
Quant open290
Worst price67.94
Drawdown as % of equity-0.39%
($519)
Includes Typical Broker Commissions trade costs of $5.80
8/20/20 9:30 MXIM MAXIM INTEGRATED PRODUCTS LONG 295 68.82 8/26 9:30 70.00 0.13%
Trade id #130706662
Max drawdown($218)
Time8/21/20 0:00
Quant open295
Worst price68.08
Drawdown as % of equity-0.13%
$342
Includes Typical Broker Commissions trade costs of $5.90
8/25/20 9:30 AMGN AMGEN LONG 85 242.90 8/26 9:30 248.33 0.1%
Trade id #130774717
Max drawdown($178)
Time8/25/20 9:33
Quant open85
Worst price240.80
Drawdown as % of equity-0.10%
$460
Includes Typical Broker Commissions trade costs of $1.70
7/24/20 9:30 ALXN ALEXION PHARMACEUTICALS LONG 185 104.40 8/19 9:30 103.71 0.4%
Trade id #130259665
Max drawdown($669)
Time8/12/20 0:00
Quant open185
Worst price100.78
Drawdown as % of equity-0.40%
($132)
Includes Typical Broker Commissions trade costs of $3.70
8/14/20 9:30 CLX CLOROX LONG 90 223.96 8/19 9:30 228.68 0.08%
Trade id #130621074
Max drawdown($141)
Time8/18/20 0:00
Quant open90
Worst price222.39
Drawdown as % of equity-0.08%
$423
Includes Typical Broker Commissions trade costs of $1.80
7/27/20 9:30 SGEN SEATTLE GENETICS LONG 115 170.20 8/18 9:30 161.11 1.19%
Trade id #130289630
Max drawdown($1,972)
Time8/11/20 0:00
Quant open115
Worst price153.05
Drawdown as % of equity-1.19%
($1,047)
Includes Typical Broker Commissions trade costs of $2.30
8/10/20 9:30 REGN REGENERON PHARMACEUTICALS LONG 30 623.00 8/18 9:30 623.01 0.55%
Trade id #130535989
Max drawdown($916)
Time8/11/20 0:00
Quant open30
Worst price592.45
Drawdown as % of equity-0.55%
($1)
Includes Typical Broker Commissions trade costs of $0.60
8/13/20 9:30 MELI MERCADOLIBRE LONG 18 1122.51 8/18 9:30 1191.00 n/a $1,233
Includes Typical Broker Commissions trade costs of $0.36
8/11/20 9:30 SPY2018U301 SPY Sep18'20 301 put LONG 6 1.78 8/18 9:30 1.27 0.16%
Trade id #130557207
Max drawdown($270)
Time8/18/20 9:30
Quant open5
Worst price1.24
Drawdown as % of equity-0.16%
($315)
Includes Typical Broker Commissions trade costs of $8.70
8/10/20 9:30 INCY INCYTE LONG 205 96.76 8/18 9:30 97.51 0.48%
Trade id #130535984
Max drawdown($803)
Time8/11/20 0:00
Quant open205
Worst price92.84
Drawdown as % of equity-0.48%
$150
Includes Typical Broker Commissions trade costs of $4.10
7/29/20 9:30 VRTX VERTEX LONG 70 280.28 8/18 9:30 275.00 0.8%
Trade id #130337144
Max drawdown($1,328)
Time8/11/20 0:00
Quant open70
Worst price261.30
Drawdown as % of equity-0.80%
($371)
Includes Typical Broker Commissions trade costs of $1.40
8/6/20 9:30 WLTW WILLIS TOWERS WATSON PUBLIC LTD LONG 100 201.95 8/17 9:31 201.04 0.53%
Trade id #130486914
Max drawdown($882)
Time8/13/20 0:00
Quant open100
Worst price193.13
Drawdown as % of equity-0.53%
($93)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    1/2/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1730.76
  • Age
    58 months ago
  • What it trades
    Stocks
  • # Trades
    816
  • # Profitable
    548
  • % Profitable
    67.20%
  • Avg trade duration
    9.2 days
  • Max peak-to-valley drawdown
    12.45%
  • drawdown period
    Feb 01, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    11.9%
  • Avg win
    $407.57
  • Avg loss
    $546.32
  • Model Account Values (Raw)
  • Cash
    $108,750
  • Margin Used
    $0
  • Buying Power
    $111,742
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    0.74
  • Sortino Ratio
    1.08
  • Calmar Ratio
    1.349
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    6.45%
  • Correlation to SP500
    0.36870
  • Return Percent SP500 (cumu) during strategy life
    63.98%
  • Return Statistics
  • Ann Return (w trading costs)
    11.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.119%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.50%
  • Chance of 20% account loss
    11.50%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    471
  • Popularity (Last 6 weeks)
    868
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    38
  • Popularity (7 days, Percentile 1000 scale)
    686
  • 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
    $547
  • Avg Win
    $408
  • Sum Trade PL (losers)
    $146,657.000
  • Age
  • Num Months filled monthly returns table
    57
  • Win / Loss
  • Sum Trade PL (winners)
    $223,349.000
  • # Winners
    548
  • Num Months Winners
    38
  • Dividends
  • Dividends Received in Model Acct
    2742
  • Win / Loss
  • # Losers
    268
  • % Winners
    67.2%
  • Frequency
  • Avg Position Time (mins)
    13223.70
  • Avg Position Time (hrs)
    220.40
  • Avg Trade Length
    9.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.68
  • Daily leverage (max)
    1.99
  • Regression
  • Alpha
    0.02
  • Beta
    0.21
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    48.95
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    62.13
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.31
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    7.145
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.668
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.939
  • Hold-and-Hope Ratio
    0.143
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10260
  • SD
    0.11422
  • Sharpe ratio (Glass type estimate)
    0.89822
  • Sharpe ratio (Hedges UMVUE)
    0.88569
  • df
    54.00000
  • t
    1.92297
  • p
    0.02988
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03676
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82519
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04492
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81630
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60914
  • Upside Potential Ratio
    3.11777
  • Upside part of mean
    0.19879
  • Downside part of mean
    -0.09619
  • Upside SD
    0.09809
  • Downside SD
    0.06376
  • N nonnegative terms
    38.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    55.00000
  • Mean of predictor
    0.10250
  • Mean of criterion
    0.10260
  • SD of predictor
    0.13157
  • SD of criterion
    0.11422
  • Covariance
    0.00591
  • r
    0.39335
  • b (slope, estimate of beta)
    0.34148
  • a (intercept, estimate of alpha)
    0.06760
  • Mean Square Error
    0.01124
  • DF error
    53.00000
  • t(b)
    3.11468
  • p(b)
    0.00148
  • t(a)
    1.33137
  • p(a)
    0.09438
  • Lowerbound of 95% confidence interval for beta
    0.12158
  • Upperbound of 95% confidence interval for beta
    0.56138
  • Lowerbound of 95% confidence interval for alpha
    -0.03424
  • Upperbound of 95% confidence interval for alpha
    0.16943
  • Treynor index (mean / b)
    0.30045
  • Jensen alpha (a)
    0.06760
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09573
  • SD
    0.11204
  • Sharpe ratio (Glass type estimate)
    0.85447
  • Sharpe ratio (Hedges UMVUE)
    0.84255
  • df
    54.00000
  • t
    1.82932
  • p
    0.03644
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07885
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78018
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08663
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77174
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46535
  • Upside Potential Ratio
    2.96637
  • Upside part of mean
    0.19379
  • Downside part of mean
    -0.09806
  • Upside SD
    0.09391
  • Downside SD
    0.06533
  • N nonnegative terms
    38.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    55.00000
  • Mean of predictor
    0.09331
  • Mean of criterion
    0.09573
  • SD of predictor
    0.13251
  • SD of criterion
    0.11204
  • Covariance
    0.00576
  • r
    0.38814
  • b (slope, estimate of beta)
    0.32817
  • a (intercept, estimate of alpha)
    0.06511
  • Mean Square Error
    0.01086
  • DF error
    53.00000
  • t(b)
    3.06610
  • p(b)
    0.00170
  • t(a)
    1.31015
  • p(a)
    0.09790
  • Lowerbound of 95% confidence interval for beta
    0.11349
  • Upperbound of 95% confidence interval for beta
    0.54285
  • Lowerbound of 95% confidence interval for alpha
    -0.03457
  • Upperbound of 95% confidence interval for alpha
    0.16479
  • Treynor index (mean / b)
    0.29171
  • Jensen alpha (a)
    0.06511
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04421
  • Expected Shortfall on VaR
    0.05698
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01303
  • Expected Shortfall on VaR
    0.02913
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    55.00000
  • Minimum
    0.92604
  • Quartile 1
    0.99834
  • Median
    1.01440
  • Quartile 3
    1.02651
  • Maximum
    1.14672
  • Mean of quarter 1
    0.97126
  • Mean of quarter 2
    1.00631
  • Mean of quarter 3
    1.02018
  • Mean of quarter 4
    1.04643
  • Inter Quartile Range
    0.02816
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.05455
  • Mean of outliers low
    0.94303
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01818
  • Mean of outliers high
    1.14672
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.69125
  • VaR(95%) (moments method)
    0.01145
  • Expected Shortfall (moments method)
    0.01155
  • Extreme Value Index (regression method)
    -0.07609
  • VaR(95%) (regression method)
    0.02913
  • Expected Shortfall (regression method)
    0.04334
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00293
  • Quartile 1
    0.01276
  • Median
    0.02770
  • Quartile 3
    0.04458
  • Maximum
    0.07396
  • Mean of quarter 1
    0.00860
  • Mean of quarter 2
    0.02135
  • Mean of quarter 3
    0.03665
  • Mean of quarter 4
    0.05697
  • Inter Quartile Range
    0.03182
  • 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)
    -0.92100
  • VaR(95%) (moments method)
    0.06680
  • Expected Shortfall (moments method)
    0.07089
  • Extreme Value Index (regression method)
    0.56922
  • VaR(95%) (regression method)
    0.07814
  • Expected Shortfall (regression method)
    0.14929
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16634
  • Compounded annual return (geometric extrapolation)
    0.13161
  • Calmar ratio (compounded annual return / max draw down)
    1.77952
  • Compounded annual return / average of 25% largest draw downs
    2.31017
  • Compounded annual return / Expected Shortfall lognormal
    2.30990
  • 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
    0.10240
  • SD
    0.10677
  • Sharpe ratio (Glass type estimate)
    0.95906
  • Sharpe ratio (Hedges UMVUE)
    0.95848
  • df
    1221.00000
  • t
    2.07125
  • p
    0.46235
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86722
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05015
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86681
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41662
  • Upside Potential Ratio
    7.78302
  • Upside part of mean
    0.56259
  • Downside part of mean
    -0.46019
  • Upside SD
    0.07878
  • Downside SD
    0.07228
  • N nonnegative terms
    602.00000
  • N negative terms
    620.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1222.00000
  • Mean of predictor
    0.10063
  • Mean of criterion
    0.10240
  • SD of predictor
    0.19523
  • SD of criterion
    0.10677
  • Covariance
    0.00798
  • r
    0.38269
  • b (slope, estimate of beta)
    0.20929
  • a (intercept, estimate of alpha)
    0.08100
  • Mean Square Error
    0.00974
  • DF error
    1220.00000
  • t(b)
    14.46810
  • p(b)
    0.30866
  • t(a)
    1.77916
  • p(a)
    0.47456
  • Lowerbound of 95% confidence interval for beta
    0.18091
  • Upperbound of 95% confidence interval for beta
    0.23767
  • Lowerbound of 95% confidence interval for alpha
    -0.00835
  • Upperbound of 95% confidence interval for alpha
    0.17103
  • Treynor index (mean / b)
    0.48927
  • Jensen alpha (a)
    0.08134
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09668
  • SD
    0.10674
  • Sharpe ratio (Glass type estimate)
    0.90574
  • Sharpe ratio (Hedges UMVUE)
    0.90518
  • df
    1221.00000
  • t
    1.95609
  • p
    0.46444
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00269
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00306
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81343
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32554
  • Upside Potential Ratio
    7.67076
  • Upside part of mean
    0.55946
  • Downside part of mean
    -0.46279
  • Upside SD
    0.07810
  • Downside SD
    0.07293
  • N nonnegative terms
    602.00000
  • N negative terms
    620.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1222.00000
  • Mean of predictor
    0.08143
  • Mean of criterion
    0.09668
  • SD of predictor
    0.19632
  • SD of criterion
    0.10674
  • Covariance
    0.00801
  • r
    0.38222
  • b (slope, estimate of beta)
    0.20782
  • a (intercept, estimate of alpha)
    0.07975
  • Mean Square Error
    0.00974
  • DF error
    1220.00000
  • t(b)
    14.44750
  • p(b)
    0.30889
  • t(a)
    1.74498
  • p(a)
    0.47505
  • Lowerbound of 95% confidence interval for beta
    0.17960
  • Upperbound of 95% confidence interval for beta
    0.23604
  • Lowerbound of 95% confidence interval for alpha
    -0.00991
  • Upperbound of 95% confidence interval for alpha
    0.16942
  • Treynor index (mean / b)
    0.46521
  • Jensen alpha (a)
    0.07975
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01042
  • Expected Shortfall on VaR
    0.01314
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00401
  • Expected Shortfall on VaR
    0.00854
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1222.00000
  • Minimum
    0.96428
  • Quartile 1
    0.99874
  • Median
    1.00000
  • Quartile 3
    1.00237
  • Maximum
    1.03259
  • Mean of quarter 1
    0.99352
  • Mean of quarter 2
    0.99968
  • Mean of quarter 3
    1.00107
  • Mean of quarter 4
    1.00772
  • Inter Quartile Range
    0.00362
  • Number outliers low
    100.00000
  • Percentage of outliers low
    0.08183
  • Mean of outliers low
    0.98685
  • Number of outliers high
    97.00000
  • Percentage of outliers high
    0.07938
  • Mean of outliers high
    1.01479
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42900
  • VaR(95%) (moments method)
    0.00508
  • Expected Shortfall (moments method)
    0.01084
  • Extreme Value Index (regression method)
    0.15895
  • VaR(95%) (regression method)
    0.00597
  • Expected Shortfall (regression method)
    0.00992
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    56.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00150
  • Median
    0.00451
  • Quartile 3
    0.02050
  • Maximum
    0.09833
  • Mean of quarter 1
    0.00067
  • Mean of quarter 2
    0.00251
  • Mean of quarter 3
    0.01175
  • Mean of quarter 4
    0.05947
  • Inter Quartile Range
    0.01900
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.16071
  • Mean of outliers high
    0.07613
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.79405
  • VaR(95%) (moments method)
    0.05475
  • Expected Shortfall (moments method)
    0.06093
  • Extreme Value Index (regression method)
    -0.79249
  • VaR(95%) (regression method)
    0.06108
  • Expected Shortfall (regression method)
    0.06801
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16894
  • Compounded annual return (geometric extrapolation)
    0.13268
  • Calmar ratio (compounded annual return / max draw down)
    1.34931
  • Compounded annual return / average of 25% largest draw downs
    2.23118
  • Compounded annual return / Expected Shortfall lognormal
    10.09480
  • 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
    0.48137
  • SD
    0.11617
  • Sharpe ratio (Glass type estimate)
    4.14373
  • Sharpe ratio (Hedges UMVUE)
    4.11978
  • df
    130.00000
  • t
    2.93006
  • p
    0.37555
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.31893
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.95320
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.93645
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.69500
  • Upside Potential Ratio
    18.06610
  • Upside part of mean
    0.81314
  • Downside part of mean
    -0.33177
  • Upside SD
    0.11068
  • Downside SD
    0.04501
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.55954
  • Mean of criterion
    0.48137
  • SD of predictor
    0.25974
  • SD of criterion
    0.11617
  • Covariance
    0.00829
  • r
    0.27459
  • b (slope, estimate of beta)
    0.12281
  • a (intercept, estimate of alpha)
    0.41266
  • Mean Square Error
    0.01257
  • DF error
    129.00000
  • t(b)
    3.24341
  • p(b)
    0.32741
  • t(a)
    2.57921
  • p(a)
    0.36018
  • Lowerbound of 95% confidence interval for beta
    0.04789
  • Upperbound of 95% confidence interval for beta
    0.19773
  • Lowerbound of 95% confidence interval for alpha
    0.09611
  • Upperbound of 95% confidence interval for alpha
    0.72921
  • Treynor index (mean / b)
    3.91964
  • Jensen alpha (a)
    0.41266
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47426
  • SD
    0.11525
  • Sharpe ratio (Glass type estimate)
    4.11500
  • Sharpe ratio (Hedges UMVUE)
    4.09121
  • df
    130.00000
  • t
    2.90974
  • p
    0.37636
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.29094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.92385
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27515
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.90728
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.49540
  • Upside Potential Ratio
    17.85920
  • Upside part of mean
    0.80702
  • Downside part of mean
    -0.33275
  • Upside SD
    0.10954
  • Downside SD
    0.04519
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.52548
  • Mean of criterion
    0.47426
  • SD of predictor
    0.25964
  • SD of criterion
    0.11525
  • Covariance
    0.00829
  • r
    0.27717
  • b (slope, estimate of beta)
    0.12304
  • a (intercept, estimate of alpha)
    0.40961
  • Mean Square Error
    0.01236
  • DF error
    129.00000
  • t(b)
    3.27644
  • p(b)
    0.32583
  • t(a)
    2.58519
  • p(a)
    0.35988
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.04874
  • Upperbound of 95% confidence interval for beta
    0.19733
  • Lowerbound of 95% confidence interval for alpha
    0.09612
  • Upperbound of 95% confidence interval for alpha
    0.72310
  • Treynor index (mean / b)
    3.85469
  • Jensen alpha (a)
    0.40961
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00985
  • Expected Shortfall on VaR
    0.01279
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00297
  • Expected Shortfall on VaR
    0.00597
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98820
  • Quartile 1
    0.99857
  • Median
    1.00000
  • Quartile 3
    1.00305
  • Maximum
    1.03143
  • Mean of quarter 1
    0.99538
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00143
  • Mean of quarter 4
    1.01114
  • Inter Quartile Range
    0.00449
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98974
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.01877
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17477
  • VaR(95%) (moments method)
    0.00385
  • Expected Shortfall (moments method)
    0.00497
  • Extreme Value Index (regression method)
    -0.21311
  • VaR(95%) (regression method)
    0.00514
  • Expected Shortfall (regression method)
    0.00672
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00066
  • Median
    0.01168
  • Quartile 3
    0.01655
  • Maximum
    0.02887
  • Mean of quarter 1
    0.00031
  • Mean of quarter 2
    0.00660
  • Mean of quarter 3
    0.01453
  • Mean of quarter 4
    0.02183
  • Inter Quartile Range
    0.01588
  • 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)
    -0.10508
  • VaR(95%) (moments method)
    0.02386
  • Expected Shortfall (moments method)
    0.02823
  • Extreme Value Index (regression method)
    1.96059
  • VaR(95%) (regression method)
    0.02887
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -318405000
  • Max Equity Drawdown (num days)
    8
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.57084
  • Compounded annual return (geometric extrapolation)
    0.65231
  • Calmar ratio (compounded annual return / max draw down)
    22.59100
  • Compounded annual return / average of 25% largest draw downs
    29.88250
  • Compounded annual return / Expected Shortfall lognormal
    50.99710

Strategy Description

Because our very popular SP100 Short Term Swing System limits the number of subscribers, it is periodically closed. Therefore we are offering an additional system based on the same mechanical, systematic approach.

The system trades the highly liquid stocks of the NASDAQ100 Index. It is 100 % mechanical.

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

Equity per position is 12%

Max Positions is 10.

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
2016-01-02
Suggested Minimum Capital
$100,000
# Trades
816
# Profitable
548
% Profitable
67.2%
Net Dividends
Correlation S&P500
0.369
Sharpe Ratio
0.74
Sortino Ratio
1.08
Beta
0.21
Alpha
0.02
Leverage
0.68 Average
1.99 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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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.