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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: Yesterday

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.

7.7%
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
728
Num Trades
66.2%
Win Trades
1.4 : 1
Profit Factor
64.2%
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%+1.4%+0.6%  -  (4.1%)+2.0%(1.5%)(1.6%)
2017+7.4%+1.5%+0.9%+0.3%(0.6%)+0.8%+2.6%(2.6%)(1.5%)+1.6%+3.9%+4.0%+19.3%
2018+4.3%(5%)(2.5%)+0.6%+2.8%(2.4%)+2.5%+3.6%+2.3%(0.8%)+1.8%(3.9%)+2.8%
2019(0.1%)(0.1%)+2.1%+3.6%(7.7%)+5.0%+0.9%(0.9%)+1.0%+2.5%(0.1%)+1.7%+7.7%
2020(3.2%)+2.2%+4.1%+1.7%+2.2%                                          +6.9%

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/18/20 9:30 GILD GILEAD SCIENCES LONG 220 76.46 5/28 9:30 74.99 0.65%
Trade id #129066113
Max drawdown($915)
Time5/19/20 0:00
Quant open220
Worst price72.30
Drawdown as % of equity-0.65%
($327)
Includes Typical Broker Commissions trade costs of $4.40
5/19/20 9:30 CTXS CITRIX SYSTEMS LONG 120 140.66 5/28 9:30 139.31 0.48%
Trade id #129086871
Max drawdown($673)
Time5/21/20 0:00
Quant open120
Worst price135.05
Drawdown as % of equity-0.48%
($164)
Includes Typical Broker Commissions trade costs of $2.40
5/11/20 9:30 INCY INCYTE LONG 215 96.09 5/12 9:30 100.00 0.01%
Trade id #128958291
Max drawdown($17)
Time5/11/20 9:33
Quant open215
Worst price96.01
Drawdown as % of equity-0.01%
$837
Includes Typical Broker Commissions trade costs of $4.30
5/8/20 9:30 GILD GILEAD SCIENCES LONG 210 77.76 5/12 9:30 80.21 0.13%
Trade id #128924228
Max drawdown($186)
Time5/8/20 14:05
Quant open210
Worst price76.87
Drawdown as % of equity-0.13%
$511
Includes Typical Broker Commissions trade costs of $4.20
5/4/20 9:30 JD JD.COM INC LONG 390 41.48 5/8 9:30 45.84 0.06%
Trade id #128853829
Max drawdown($78)
Time5/4/20 10:51
Quant open390
Worst price41.28
Drawdown as % of equity-0.06%
$1,692
Includes Typical Broker Commissions trade costs of $7.80
4/30/20 9:30 CTXS CITRIX SYSTEMS LONG 115 140.57 5/5 9:30 146.31 0.01%
Trade id #128803085
Max drawdown($12)
Time5/1/20 0:00
Quant open115
Worst price140.46
Drawdown as % of equity-0.01%
$658
Includes Typical Broker Commissions trade costs of $2.30
4/29/20 9:30 REGN REGENERON PHARMACEUTICALS LONG 30 532.64 5/5 9:30 563.06 0.56%
Trade id #128785952
Max drawdown($748)
Time4/30/20 0:00
Quant open30
Worst price507.69
Drawdown as % of equity-0.56%
$912
Includes Typical Broker Commissions trade costs of $0.60
4/29/20 9:30 NFLX NETFLIX LONG 40 399.53 5/5 9:30 427.56 0.18%
Trade id #128785935
Max drawdown($237)
Time4/29/20 9:38
Quant open40
Worst price393.60
Drawdown as % of equity-0.18%
$1,120
Includes Typical Broker Commissions trade costs of $0.80
3/26/20 9:30 COST COSTCO WHOLESALE LONG 55 281.34 4/7 9:30 306.50 0.02%
Trade id #128262455
Max drawdown($24)
Time4/1/20 0:00
Quant open55
Worst price280.90
Drawdown as % of equity-0.02%
$1,383
Includes Typical Broker Commissions trade costs of $1.10
3/26/20 9:30 REGN REGENERON PHARMACEUTICALS LONG 55 426.51 3/31 9:30 474.00 0.1%
Trade id #128262464
Max drawdown($136)
Time3/26/20 9:45
Quant open55
Worst price424.02
Drawdown as % of equity-0.10%
$2,611
Includes Typical Broker Commissions trade costs of $1.10
3/19/20 9:30 NTES NETEASE LONG 55 270.69 3/25 11:41 311.00 n/a $2,216
Includes Typical Broker Commissions trade costs of $1.10
2/24/20 9:30 SWKS SKYWORKS SOLUTIONS LONG 140 110.04 3/10 9:30 91.98 2.56%
Trade id #127676327
Max drawdown($3,329)
Time3/9/20 0:00
Quant open140
Worst price86.26
Drawdown as % of equity-2.56%
($2,531)
Includes Typical Broker Commissions trade costs of $2.80
2/24/20 9:30 MCHP MICROCHIP TECHNOLOGY LONG 155 101.00 3/10 9:30 80.98 2.75%
Trade id #127676306
Max drawdown($3,572)
Time3/9/20 0:00
Quant open155
Worst price77.95
Drawdown as % of equity-2.75%
($3,106)
Includes Typical Broker Commissions trade costs of $3.10
2/24/20 9:30 NXPI NXP SEMICONDUCTOR LONG 125 124.55 3/5 9:30 116.55 1.43%
Trade id #127676328
Max drawdown($1,818)
Time2/28/20 0:00
Quant open125
Worst price110.00
Drawdown as % of equity-1.43%
($1,003)
Includes Typical Broker Commissions trade costs of $2.50
2/24/20 9:30 MXIM MAXIM INTEGRATED PRODUCTS LONG 270 59.15 3/5 9:30 56.36 1.19%
Trade id #127676312
Max drawdown($1,520)
Time2/28/20 0:00
Quant open270
Worst price53.52
Drawdown as % of equity-1.19%
($758)
Includes Typical Broker Commissions trade costs of $5.40
2/24/20 9:30 CTXS CITRIX SYSTEMS LONG 140 114.13 3/5 9:30 107.51 1.52%
Trade id #127676292
Max drawdown($1,934)
Time2/28/20 0:00
Quant open140
Worst price100.31
Drawdown as % of equity-1.52%
($930)
Includes Typical Broker Commissions trade costs of $2.80
2/24/20 9:30 INTC INTEL LONG 250 61.61 3/5 9:30 57.06 1.57%
Trade id #127676309
Max drawdown($2,003)
Time2/28/20 0:00
Quant open250
Worst price53.60
Drawdown as % of equity-1.57%
($1,143)
Includes Typical Broker Commissions trade costs of $5.00
2/19/20 9:30 CERN CERNER LONG 260 76.85 3/5 9:30 71.56 1.9%
Trade id #127594715
Max drawdown($2,423)
Time2/28/20 0:00
Quant open260
Worst price67.53
Drawdown as % of equity-1.90%
($1,380)
Includes Typical Broker Commissions trade costs of $5.20
2/24/20 9:30 LRCX LAM RESEARCH LONG 50 299.20 3/3 9:30 300.30 1%
Trade id #127676334
Max drawdown($1,277)
Time2/28/20 0:00
Quant open50
Worst price273.66
Drawdown as % of equity-1.00%
$54
Includes Typical Broker Commissions trade costs of $1.00
2/24/20 9:30 KLAC KLA CORP LONG 100 154.75 3/3 9:30 156.81 0.99%
Trade id #127676329
Max drawdown($1,266)
Time2/28/20 0:00
Quant open100
Worst price142.09
Drawdown as % of equity-0.99%
$204
Includes Typical Broker Commissions trade costs of $2.00
2/19/20 9:30 GILD GILEAD SCIENCES LONG 245 67.20 2/24 9:30 73.89 0.2%
Trade id #127594720
Max drawdown($269)
Time2/20/20 0:00
Quant open245
Worst price66.10
Drawdown as % of equity-0.20%
$1,633
Includes Typical Broker Commissions trade costs of $4.90
2/12/20 9:30 VRSN VERISIGN LONG 80 204.67 2/14 9:30 210.00 0.03%
Trade id #127473970
Max drawdown($43)
Time2/12/20 9:53
Quant open80
Worst price204.13
Drawdown as % of equity-0.03%
$424
Includes Typical Broker Commissions trade costs of $1.60
2/11/20 9:30 MELI MERCADOLIBRE LONG 25 633.31 2/13 9:30 697.87 0.45%
Trade id #127454745
Max drawdown($611)
Time2/11/20 9:35
Quant open25
Worst price608.87
Drawdown as % of equity-0.45%
$1,614
Includes Typical Broker Commissions trade costs of $0.50
2/4/20 9:30 EA ELECTRONIC ARTS LONG 140 106.44 2/7 9:30 109.17 0.12%
Trade id #127353043
Max drawdown($155)
Time2/4/20 9:42
Quant open140
Worst price105.33
Drawdown as % of equity-0.12%
$379
Includes Typical Broker Commissions trade costs of $2.80
1/30/20 9:30 MCHP MICROCHIP TECHNOLOGY LONG 150 101.56 2/6 9:30 108.54 0.54%
Trade id #127285725
Max drawdown($694)
Time1/31/20 0:00
Quant open150
Worst price96.93
Drawdown as % of equity-0.54%
$1,044
Includes Typical Broker Commissions trade costs of $3.00
1/27/20 9:30 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 8 1906.41 2/6 9:30 1958.90 0.53%
Trade id #127231089
Max drawdown($687)
Time1/31/20 0:00
Quant open8
Worst price1820.44
Drawdown as % of equity-0.53%
$420
Includes Typical Broker Commissions trade costs of $0.16
1/24/20 9:30 AMGN AMGEN LONG 65 235.80 2/6 9:30 233.72 1.29%
Trade id #127199476
Max drawdown($1,676)
Time1/31/20 0:00
Quant open65
Worst price210.01
Drawdown as % of equity-1.29%
($136)
Includes Typical Broker Commissions trade costs of $1.30
1/30/20 9:30 ADI ANALOG DEVICES LONG 135 112.23 2/6 9:30 116.94 0.32%
Trade id #127285728
Max drawdown($409)
Time1/31/20 0:00
Quant open135
Worst price109.20
Drawdown as % of equity-0.32%
$633
Includes Typical Broker Commissions trade costs of $2.70
1/28/20 9:30 PCAR PACCAR LONG 200 76.34 2/6 9:30 78.22 0.38%
Trade id #127248159
Max drawdown($496)
Time1/31/20 0:00
Quant open200
Worst price73.86
Drawdown as % of equity-0.38%
$372
Includes Typical Broker Commissions trade costs of $4.00
2/3/20 9:30 NXPI NXP SEMICONDUCTOR LONG 115 127.69 2/6 9:30 135.37 0.24%
Trade id #127333844
Max drawdown($308)
Time2/3/20 15:10
Quant open115
Worst price125.01
Drawdown as % of equity-0.24%
$881
Includes Typical Broker Commissions trade costs of $2.30

Statistics

  • Strategy began
    1/2/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1608.18
  • Age
    54 months ago
  • What it trades
    Stocks
  • # Trades
    728
  • # Profitable
    482
  • % Profitable
    66.20%
  • Avg trade duration
    9.4 days
  • Max peak-to-valley drawdown
    12.36%
  • drawdown period
    Feb 01, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    7.7%
  • Avg win
    $366.40
  • Avg loss
    $543.16
  • Model Account Values (Raw)
  • Cash
    $113,480
  • Margin Used
    $0
  • Buying Power
    $112,392
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    0.48
  • Sortino Ratio
    0.68
  • Calmar Ratio
    0.918
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -9.30%
  • Correlation to SP500
    0.36640
  • Return Percent SP500 (cumu) during strategy life
    48.23%
  • Return Statistics
  • Ann Return (w trading costs)
    7.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.01%
  • 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)
    0.077%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.9%
  • 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)
    0
  • Popularity (Last 6 weeks)
    801
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    18
  • Popularity (7 days, Percentile 1000 scale)
    355
  • 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
    $543
  • Avg Win
    $366
  • Sum Trade PL (losers)
    $133,617.000
  • Age
  • Num Months filled monthly returns table
    53
  • Win / Loss
  • Sum Trade PL (winners)
    $176,606.000
  • # Winners
    482
  • Num Months Winners
    34
  • Dividends
  • Dividends Received in Model Acct
    2465
  • Win / Loss
  • # Losers
    246
  • % Winners
    66.2%
  • Frequency
  • Avg Position Time (mins)
    13602.00
  • Avg Position Time (hrs)
    226.70
  • Avg Trade Length
    9.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.67
  • Daily leverage (max)
    1.65
  • Regression
  • Alpha
    0.01
  • Beta
    0.20
  • Treynor Index
    0.08
  • 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)
    0.32
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    11.913
  • 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
    0.698
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.950
  • Hold-and-Hope Ratio
    0.085
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06386
  • SD
    0.09593
  • Sharpe ratio (Glass type estimate)
    0.66571
  • Sharpe ratio (Hedges UMVUE)
    0.65587
  • df
    51.00000
  • t
    1.38578
  • p
    0.08592
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28780
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61285
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29423
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60597
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97387
  • Upside Potential Ratio
    2.52541
  • Upside part of mean
    0.16560
  • Downside part of mean
    -0.10174
  • Upside SD
    0.07117
  • Downside SD
    0.06557
  • N nonnegative terms
    35.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.07505
  • Mean of criterion
    0.06386
  • SD of predictor
    0.12845
  • SD of criterion
    0.09593
  • Covariance
    0.00424
  • r
    0.34420
  • b (slope, estimate of beta)
    0.25704
  • a (intercept, estimate of alpha)
    0.04457
  • Mean Square Error
    0.00827
  • DF error
    50.00000
  • t(b)
    2.59224
  • p(b)
    0.00623
  • t(a)
    1.00549
  • p(a)
    0.15975
  • Lowerbound of 95% confidence interval for beta
    0.05788
  • Upperbound of 95% confidence interval for beta
    0.45621
  • Lowerbound of 95% confidence interval for alpha
    -0.04446
  • Upperbound of 95% confidence interval for alpha
    0.13360
  • Treynor index (mean / b)
    0.24844
  • Jensen alpha (a)
    0.04457
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05903
  • SD
    0.09623
  • Sharpe ratio (Glass type estimate)
    0.61349
  • Sharpe ratio (Hedges UMVUE)
    0.60443
  • df
    51.00000
  • t
    1.27709
  • p
    0.10368
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33846
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55954
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34439
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55324
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87865
  • Upside Potential Ratio
    2.42236
  • Upside part of mean
    0.16276
  • Downside part of mean
    -0.10372
  • Upside SD
    0.06970
  • Downside SD
    0.06719
  • N nonnegative terms
    35.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.06648
  • Mean of criterion
    0.05903
  • SD of predictor
    0.12986
  • SD of criterion
    0.09623
  • Covariance
    0.00425
  • r
    0.34001
  • b (slope, estimate of beta)
    0.25194
  • a (intercept, estimate of alpha)
    0.04229
  • Mean Square Error
    0.00835
  • DF error
    50.00000
  • t(b)
    2.55652
  • p(b)
    0.00683
  • t(a)
    0.95257
  • p(a)
    0.17270
  • Lowerbound of 95% confidence interval for beta
    0.05400
  • Upperbound of 95% confidence interval for beta
    0.44989
  • Lowerbound of 95% confidence interval for alpha
    -0.04688
  • Upperbound of 95% confidence interval for alpha
    0.13145
  • Treynor index (mean / b)
    0.23432
  • Jensen alpha (a)
    0.04229
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03995
  • Expected Shortfall on VaR
    0.05098
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01445
  • Expected Shortfall on VaR
    0.03158
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    52.00000
  • Minimum
    0.92604
  • Quartile 1
    0.99605
  • Median
    1.01008
  • Quartile 3
    1.02487
  • Maximum
    1.06029
  • Mean of quarter 1
    0.96927
  • Mean of quarter 2
    1.00464
  • Mean of quarter 3
    1.01866
  • Mean of quarter 4
    1.03802
  • Inter Quartile Range
    0.02882
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.93695
  • 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)
    -1.11598
  • VaR(95%) (moments method)
    0.02209
  • Expected Shortfall (moments method)
    0.02385
  • Extreme Value Index (regression method)
    0.08462
  • VaR(95%) (regression method)
    0.03007
  • Expected Shortfall (regression method)
    0.04700
  • 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)
    0.10559
  • Compounded annual return (geometric extrapolation)
    0.09083
  • Calmar ratio (compounded annual return / max draw down)
    1.22820
  • Compounded annual return / average of 25% largest draw downs
    1.59445
  • Compounded annual return / Expected Shortfall lognormal
    1.78171
  • 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
    0.06386
  • SD
    0.10367
  • Sharpe ratio (Glass type estimate)
    0.61603
  • Sharpe ratio (Hedges UMVUE)
    0.61562
  • df
    1135.00000
  • t
    1.28274
  • p
    0.47578
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32568
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55752
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32598
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55722
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86913
  • Upside Potential Ratio
    7.15582
  • Upside part of mean
    0.52581
  • Downside part of mean
    -0.46194
  • Upside SD
    0.07317
  • Downside SD
    0.07348
  • N nonnegative terms
    555.00000
  • N negative terms
    581.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1136.00000
  • Mean of predictor
    0.08540
  • Mean of criterion
    0.06386
  • SD of predictor
    0.19416
  • SD of criterion
    0.10367
  • Covariance
    0.00764
  • r
    0.37974
  • b (slope, estimate of beta)
    0.20276
  • a (intercept, estimate of alpha)
    0.04700
  • Mean Square Error
    0.00921
  • DF error
    1134.00000
  • t(b)
    13.82320
  • p(b)
    0.31013
  • t(a)
    1.00983
  • p(a)
    0.48501
  • Lowerbound of 95% confidence interval for beta
    0.17398
  • Upperbound of 95% confidence interval for beta
    0.23154
  • Lowerbound of 95% confidence interval for alpha
    -0.04389
  • Upperbound of 95% confidence interval for alpha
    0.13699
  • Treynor index (mean / b)
    0.31497
  • Jensen alpha (a)
    0.04655
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05848
  • SD
    0.10375
  • Sharpe ratio (Glass type estimate)
    0.56361
  • Sharpe ratio (Hedges UMVUE)
    0.56323
  • df
    1135.00000
  • t
    1.17358
  • p
    0.47784
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50504
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37831
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50478
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78856
  • Upside Potential Ratio
    7.05415
  • Upside part of mean
    0.52310
  • Downside part of mean
    -0.46463
  • Upside SD
    0.07259
  • Downside SD
    0.07416
  • N nonnegative terms
    555.00000
  • N negative terms
    581.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1136.00000
  • Mean of predictor
    0.06643
  • Mean of criterion
    0.05848
  • SD of predictor
    0.19517
  • SD of criterion
    0.10375
  • Covariance
    0.00768
  • r
    0.37923
  • b (slope, estimate of beta)
    0.20160
  • a (intercept, estimate of alpha)
    0.04508
  • Mean Square Error
    0.00922
  • DF error
    1134.00000
  • t(b)
    13.80140
  • p(b)
    0.31039
  • t(a)
    0.97722
  • p(a)
    0.48550
  • Lowerbound of 95% confidence interval for beta
    0.17294
  • Upperbound of 95% confidence interval for beta
    0.23026
  • Lowerbound of 95% confidence interval for alpha
    -0.04544
  • Upperbound of 95% confidence interval for alpha
    0.13561
  • Treynor index (mean / b)
    0.29006
  • Jensen alpha (a)
    0.04508
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01027
  • Expected Shortfall on VaR
    0.01291
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00404
  • Expected Shortfall on VaR
    0.00863
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1136.00000
  • Minimum
    0.96428
  • Quartile 1
    0.99877
  • Median
    1.00000
  • Quartile 3
    1.00228
  • Maximum
    1.03259
  • Mean of quarter 1
    0.99347
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00102
  • Mean of quarter 4
    1.00722
  • Inter Quartile Range
    0.00351
  • Number outliers low
    97.00000
  • Percentage of outliers low
    0.08539
  • Mean of outliers low
    0.98684
  • Number of outliers high
    87.00000
  • Percentage of outliers high
    0.07658
  • Mean of outliers high
    1.01387
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51413
  • VaR(95%) (moments method)
    0.00530
  • Expected Shortfall (moments method)
    0.01295
  • Extreme Value Index (regression method)
    0.19155
  • VaR(95%) (regression method)
    0.00577
  • Expected Shortfall (regression method)
    0.00982
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    48.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00119
  • Median
    0.00279
  • Quartile 3
    0.02170
  • Maximum
    0.09833
  • Mean of quarter 1
    0.00064
  • Mean of quarter 2
    0.00210
  • Mean of quarter 3
    0.00933
  • Mean of quarter 4
    0.06518
  • Inter Quartile Range
    0.02051
  • 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
    0.18750
  • Mean of outliers high
    0.07613
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.83946
  • VaR(95%) (moments method)
    0.05286
  • Expected Shortfall (moments method)
    0.05293
  • Extreme Value Index (regression method)
    -1.06734
  • VaR(95%) (regression method)
    0.06693
  • Expected Shortfall (regression method)
    0.07208
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10478
  • Compounded annual return (geometric extrapolation)
    0.09022
  • Calmar ratio (compounded annual return / max draw down)
    0.91756
  • Compounded annual return / average of 25% largest draw downs
    1.38415
  • Compounded annual return / Expected Shortfall lognormal
    6.98777
  • 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
    0.14813
  • SD
    0.11995
  • Sharpe ratio (Glass type estimate)
    1.23493
  • Sharpe ratio (Hedges UMVUE)
    1.22779
  • df
    130.00000
  • t
    0.87323
  • p
    0.46182
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54324
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00850
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54803
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00361
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86948
  • Upside Potential Ratio
    7.54144
  • Upside part of mean
    0.59757
  • Downside part of mean
    -0.44943
  • Upside SD
    0.08991
  • Downside SD
    0.07924
  • 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
    -0.00092
  • Mean of criterion
    0.14813
  • SD of predictor
    0.44428
  • SD of criterion
    0.11995
  • Covariance
    0.01391
  • r
    0.26094
  • b (slope, estimate of beta)
    0.07045
  • a (intercept, estimate of alpha)
    0.14820
  • Mean Square Error
    0.01351
  • DF error
    129.00000
  • t(b)
    3.07010
  • p(b)
    0.33578
  • t(a)
    0.90148
  • p(a)
    0.44968
  • Lowerbound of 95% confidence interval for beta
    0.02505
  • Upperbound of 95% confidence interval for beta
    0.11586
  • Lowerbound of 95% confidence interval for alpha
    -0.17706
  • Upperbound of 95% confidence interval for alpha
    0.47346
  • Treynor index (mean / b)
    2.10257
  • Jensen alpha (a)
    0.14820
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14095
  • SD
    0.11975
  • Sharpe ratio (Glass type estimate)
    1.17709
  • Sharpe ratio (Hedges UMVUE)
    1.17028
  • df
    130.00000
  • t
    0.83233
  • p
    0.46360
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60059
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95041
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60517
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.94574
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76209
  • Upside Potential Ratio
    7.41962
  • Upside part of mean
    0.59352
  • Downside part of mean
    -0.45256
  • Upside SD
    0.08892
  • Downside SD
    0.07999
  • 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
    -0.09974
  • Mean of criterion
    0.14095
  • SD of predictor
    0.44746
  • SD of criterion
    0.11975
  • Covariance
    0.01391
  • r
    0.25962
  • b (slope, estimate of beta)
    0.06948
  • a (intercept, estimate of alpha)
    0.14788
  • Mean Square Error
    0.01348
  • DF error
    129.00000
  • t(b)
    3.05339
  • p(b)
    0.33660
  • t(a)
    0.90068
  • p(a)
    0.44973
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.02446
  • Upperbound of 95% confidence interval for beta
    0.11450
  • Lowerbound of 95% confidence interval for alpha
    -0.17697
  • Upperbound of 95% confidence interval for alpha
    0.47275
  • Treynor index (mean / b)
    2.02873
  • Jensen alpha (a)
    0.14788
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01156
  • Expected Shortfall on VaR
    0.01461
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00395
  • Expected Shortfall on VaR
    0.00864
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97538
  • Quartile 1
    0.99965
  • Median
    1.00000
  • Quartile 3
    1.00274
  • Maximum
    1.03155
  • Mean of quarter 1
    0.99345
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00101
  • Mean of quarter 4
    1.00828
  • Inter Quartile Range
    0.00309
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98622
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01642
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82477
  • VaR(95%) (moments method)
    0.00540
  • Expected Shortfall (moments method)
    0.03478
  • Extreme Value Index (regression method)
    0.14574
  • VaR(95%) (regression method)
    0.00479
  • Expected Shortfall (regression method)
    0.00807
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00140
  • Median
    0.00269
  • Quartile 3
    0.01412
  • Maximum
    0.08177
  • Mean of quarter 1
    0.00059
  • Mean of quarter 2
    0.00223
  • Mean of quarter 3
    0.01081
  • Mean of quarter 4
    0.04240
  • Inter Quartile Range
    0.01272
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.08177
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.70589
  • VaR(95%) (moments method)
    0.03963
  • Expected Shortfall (moments method)
    0.04162
  • Extreme Value Index (regression method)
    0.57052
  • VaR(95%) (regression method)
    0.08544
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.24295
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -277504000
  • Max Equity Drawdown (num days)
    8
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17620
  • Compounded annual return (geometric extrapolation)
    0.18396
  • Calmar ratio (compounded annual return / max draw down)
    2.24981
  • Compounded annual return / average of 25% largest draw downs
    4.33910
  • Compounded annual return / Expected Shortfall lognormal
    12.59060

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
$15,000
# Trades
728
# Profitable
482
% Profitable
66.2%
Net Dividends
Correlation S&P500
0.366
Sharpe Ratio
0.48
Sortino Ratio
0.68
Beta
0.20
Alpha
0.01
Leverage
0.67 Average
1.65 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.