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Dual QM18
(106187009)

Created by: GonzaloLoayza2 GonzaloLoayza2
Started: 10/2016
Stocks
Last trade: 10 days ago
Trading style: Equity Hedged Equity Trend-following

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 $79.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
32.7%
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.

(21.8%)
Max Drawdown
137
Num Trades
54.0%
Win Trades
2.9 : 1
Profit Factor
73.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +1.1%+9.7%+9.0%+20.9%
2017+7.0%(1.2%)+2.9%  -  +6.8%(1.2%)+8.0%+0.7%+1.2%+13.1%(1.9%)(7.4%)+29.8%
2018+10.1%+2.4%(4%)+0.2%+3.3%+1.5%(3.6%)+6.9%+3.0%(12.8%)+1.3%(6.7%)(0.6%)
2019+5.1%+3.9%+0.8%+2.6%(0.8%)+6.3%+1.3%+7.6%(10%)+1.8%+3.1%+1.7%+24.7%
2020+7.7%(6%)+21.9%+8.2%+1.3%+3.9%+6.5%                              +49.7%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 9 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/26/20 15:04 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 253 41.06 4/2 14:02 44.67 0.37%
Trade id #128270602
Max drawdown($215)
Time3/26/20 15:27
Quant open253
Worst price40.21
Drawdown as % of equity-0.37%
$908
Includes Typical Broker Commissions trade costs of $5.06
3/26/20 15:03 QLD PROSHARES ULTRA QQQ LONG 57 88.97 4/2 14:02 82.80 0.79%
Trade id #128270586
Max drawdown($468)
Time4/1/20 0:00
Quant open57
Worst price80.75
Drawdown as % of equity-0.79%
($353)
Includes Typical Broker Commissions trade costs of $1.14
3/26/20 15:03 SSO PROSHARES ULTRA S&P500 LONG 56 89.62 4/2 14:02 82.04 0.96%
Trade id #128270577
Max drawdown($568)
Time4/1/20 0:00
Quant open56
Worst price79.47
Drawdown as % of equity-0.96%
($425)
Includes Typical Broker Commissions trade costs of $1.12
3/26/20 15:00 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 595 86.71 4/2 14:01 86.66 0.14%
Trade id #128270525
Max drawdown($83)
Time3/27/20 0:00
Quant open437
Worst price86.52
Drawdown as % of equity-0.14%
($37)
Includes Typical Broker Commissions trade costs of $8.45
3/19/20 15:22 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 311 31.84 3/26 14:56 41.38 0.36%
Trade id #128145438
Max drawdown($199)
Time3/19/20 15:45
Quant open311
Worst price31.20
Drawdown as % of equity-0.36%
$2,961
Includes Typical Broker Commissions trade costs of $6.22
3/19/20 15:22 QLD PROSHARES ULTRA QQQ LONG 53 82.24 3/26 14:55 88.67 1.34%
Trade id #128145423
Max drawdown($753)
Time3/23/20 0:00
Quant open53
Worst price68.03
Drawdown as % of equity-1.34%
$340
Includes Typical Broker Commissions trade costs of $1.06
3/19/20 15:20 SSO PROSHARES ULTRA S&P500 LONG 55 79.96 3/26 14:55 89.40 1.49%
Trade id #128145393
Max drawdown($832)
Time3/23/20 0:00
Quant open55
Worst price64.83
Drawdown as % of equity-1.49%
$518
Includes Typical Broker Commissions trade costs of $1.10
3/19/20 15:19 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 420 86.39 3/26 14:55 86.69 0.06%
Trade id #128145360
Max drawdown($33)
Time3/19/20 15:59
Quant open420
Worst price86.31
Drawdown as % of equity-0.06%
$118
Includes Typical Broker Commissions trade costs of $8.40
11/29/19 10:49 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 666 31.21 3/9/20 12:42 51.49 2.59%
Trade id #126420055
Max drawdown($1,243)
Time12/31/19 0:00
Quant open454
Worst price25.77
Drawdown as % of equity-2.59%
$13,495
Includes Typical Broker Commissions trade costs of $10.05
11/29/19 10:47 QLD PROSHARES ULTRA QQQ LONG 153 115.18 3/9/20 12:41 107.11 3.46%
Trade id #126420003
Max drawdown($1,855)
Time3/9/20 9:31
Quant open108
Worst price98.00
Drawdown as % of equity-3.46%
($1,238)
Includes Typical Broker Commissions trade costs of $3.06
11/29/19 10:46 SSO PROSHARES ULTRA S&P500 LONG 142 144.56 3/9/20 12:41 116.14 7.57%
Trade id #126419989
Max drawdown($4,056)
Time3/9/20 9:31
Quant open108
Worst price107.00
Drawdown as % of equity-7.57%
($4,039)
Includes Typical Broker Commissions trade costs of $2.84
10/31/19 14:46 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 626 29.58 11/29 10:45 28.48 5.83%
Trade id #126027946
Max drawdown($2,629)
Time11/7/19 0:00
Quant open626
Worst price25.38
Drawdown as % of equity-5.83%
($694)
Includes Typical Broker Commissions trade costs of $5.00
10/31/19 14:45 QLD PROSHARES ULTRA QQQ LONG 121 104.08 11/29 10:45 113.96 0.05%
Trade id #126027940
Max drawdown($22)
Time10/31/19 14:48
Quant open121
Worst price103.89
Drawdown as % of equity-0.05%
$1,193
Includes Typical Broker Commissions trade costs of $2.42
10/31/19 14:44 SSO PROSHARES ULTRA S&P500 LONG 106 132.56 11/29 10:45 143.61 0.05%
Trade id #126027885
Max drawdown($23)
Time10/31/19 14:49
Quant open106
Worst price132.34
Drawdown as % of equity-0.05%
$1,169
Includes Typical Broker Commissions trade costs of $2.12
9/12/19 12:46 QLD PROSHARES ULTRA QQQ LONG 131 99.45 10/31 14:43 104.07 2.94%
Trade id #125331120
Max drawdown($1,284)
Time10/3/19 0:00
Quant open131
Worst price89.65
Drawdown as % of equity-2.94%
$602
Includes Typical Broker Commissions trade costs of $2.62
9/12/19 12:45 SSO PROSHARES ULTRA S&P500 LONG 109 130.49 10/31 14:43 132.54 3.06%
Trade id #125331089
Max drawdown($1,337)
Time10/3/19 0:00
Quant open109
Worst price118.22
Drawdown as % of equity-3.06%
$221
Includes Typical Broker Commissions trade costs of $2.18
7/23/19 12:05 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 629 28.43 10/31 14:43 29.57 0.2%
Trade id #124580394
Max drawdown($97)
Time7/25/19 0:00
Quant open177
Worst price23.68
Drawdown as % of equity-0.20%
$708
Includes Typical Broker Commissions trade costs of $9.32
9/3/19 11:44 PLAN ANAPLAN INC. LONG 44 53.30 9/16 13:10 48.61 0.82%
Trade id #125198702
Max drawdown($341)
Time9/16/19 9:30
Quant open44
Worst price45.53
Drawdown as % of equity-0.82%
($207)
Includes Typical Broker Commissions trade costs of $0.88
9/3/19 11:43 ROKU ROKU INC. CLASS A COMMON STOCK LONG 15 153.88 9/16 13:09 147.46 0.47%
Trade id #125198677
Max drawdown($215)
Time9/10/19 0:00
Quant open15
Worst price139.53
Drawdown as % of equity-0.47%
($96)
Includes Typical Broker Commissions trade costs of $0.30
7/18/19 11:29 SNAP SNAP INC LONG 265 14.56 9/16 13:09 15.70 0.34%
Trade id #124517878
Max drawdown($159)
Time7/19/19 0:00
Quant open265
Worst price13.96
Drawdown as % of equity-0.34%
$296
Includes Typical Broker Commissions trade costs of $5.30
7/8/19 13:15 SHOP SHOPIFY INC LONG 12 326.10 9/16 13:08 360.00 0.62%
Trade id #124375640
Max drawdown($282)
Time7/12/19 0:00
Quant open12
Worst price302.57
Drawdown as % of equity-0.62%
$407
Includes Typical Broker Commissions trade costs of $0.24
6/14/19 15:55 AYX ALTERYX INC LONG 25 104.25 9/16 13:08 124.16 0.05%
Trade id #124090955
Max drawdown($23)
Time6/26/19 0:00
Quant open25
Worst price103.31
Drawdown as % of equity-0.05%
$498
Includes Typical Broker Commissions trade costs of $0.50
7/18/19 11:31 COUP COUPA SOFTWARE INCORPORATED COMMON STOCK LONG 27 145.26 9/16 13:08 136.11 0.95%
Trade id #124517932
Max drawdown($465)
Time8/14/19 0:00
Quant open27
Worst price128.02
Drawdown as % of equity-0.95%
($248)
Includes Typical Broker Commissions trade costs of $0.54
9/3/19 11:46 OLED UNIVERSAL DISPLAY CORPORATION LONG 11 203.17 9/16 13:06 178.26 0.75%
Trade id #125199156
Max drawdown($326)
Time9/12/19 0:00
Quant open11
Worst price173.50
Drawdown as % of equity-0.75%
($274)
Includes Typical Broker Commissions trade costs of $0.22
4/15/19 13:45 MDB MONGODB INC. CLASS A COMMON STOCK LONG 28 148.04 9/16 13:05 138.65 1%
Trade id #123318508
Max drawdown($419)
Time9/16/19 9:31
Quant open15
Worst price120.05
Drawdown as % of equity-1.00%
($264)
Includes Typical Broker Commissions trade costs of $0.56
7/8/19 13:15 OKTA OKTA INC. CL A COMMON STOCK LONG 29 129.44 9/16 13:05 113.41 1.28%
Trade id #124375672
Max drawdown($534)
Time9/16/19 9:31
Quant open18
Worst price99.77
Drawdown as % of equity-1.28%
($466)
Includes Typical Broker Commissions trade costs of $0.58
6/3/19 9:55 MELI MERCADOLIBRE LONG 4 589.61 9/3 11:22 584.95 0.26%
Trade id #123911755
Max drawdown($108)
Time6/4/19 0:00
Quant open3
Worst price544.44
Drawdown as % of equity-0.26%
($19)
Includes Typical Broker Commissions trade costs of $0.08
3/15/19 15:10 ZS ZSCALER INC. COMMON STOCK LONG 42 69.03 9/3 11:21 68.77 0.6%
Trade id #122932883
Max drawdown($248)
Time4/18/19 0:00
Quant open31
Worst price60.02
Drawdown as % of equity-0.60%
($12)
Includes Typical Broker Commissions trade costs of $0.84
7/18/19 11:19 GH GUARDANT HEALTH INC LONG 42 92.59 9/3 11:21 85.26 0.8%
Trade id #124517619
Max drawdown($390)
Time9/3/19 10:11
Quant open42
Worst price83.28
Drawdown as % of equity-0.80%
($309)
Includes Typical Broker Commissions trade costs of $0.84
1/31/19 15:26 TWLO TWILIO INC LONG 39 124.71 7/30 10:26 136.79 0.33%
Trade id #122300549
Max drawdown($129)
Time1/31/19 15:26
Quant open16
Worst price103.25
Drawdown as % of equity-0.33%
$470
Includes Typical Broker Commissions trade costs of $0.78

Statistics

  • Strategy began
    10/3/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1376.7
  • Age
    46 months ago
  • What it trades
    Stocks
  • # Trades
    137
  • # Profitable
    74
  • % Profitable
    54.00%
  • Avg trade duration
    51.8 days
  • Max peak-to-valley drawdown
    21.82%
  • drawdown period
    Oct 01, 2018 - Dec 26, 2018
  • Annual Return (Compounded)
    32.7%
  • Avg win
    $1,006
  • Avg loss
    $419.33
  • Model Account Values (Raw)
  • Cash
    $24,293
  • Margin Used
    $0
  • Buying Power
    $37,363
  • Ratios
  • W:L ratio
    2.88:1
  • Sharpe Ratio
    1.21
  • Sortino Ratio
    1.75
  • Calmar Ratio
    1.817
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    143.65%
  • Correlation to SP500
    0.26790
  • Return Percent SP500 (cumu) during strategy life
    47.37%
  • Return Statistics
  • Ann Return (w trading costs)
    32.7%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.327%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    34.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.00%
  • Chance of 20% account loss
    9.50%
  • Chance of 30% account loss
    n/a
  • 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)
    720
  • Popularity (Last 6 weeks)
    934
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    810
  • Popularity (7 days, Percentile 1000 scale)
    836
  • 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
    $420
  • Avg Win
    $1,044
  • Sum Trade PL (losers)
    $26,430.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    46
  • Win / Loss
  • Sum Trade PL (winners)
    $77,291.000
  • # Winners
    74
  • Num Months Winners
    35
  • Dividends
  • Dividends Received in Model Acct
    809
  • AUM
  • AUM (AutoTrader live capital)
    76391
  • Win / Loss
  • # Losers
    63
  • % Winners
    54.0%
  • Frequency
  • Avg Position Time (mins)
    74621.70
  • Avg Position Time (hrs)
    1243.69
  • Avg Trade Length
    51.8 days
  • Last Trade Ago
    10
  • Leverage
  • Daily leverage (average)
    1.23
  • Daily leverage (max)
    2.39
  • Regression
  • Alpha
    0.07
  • Beta
    0.25
  • Treynor Index
    0.30
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    17.25
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    71.61
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.97
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.615
  • 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
    0.315
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.015
  • Hold-and-Hope Ratio
    0.662
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28376
  • SD
    0.20838
  • Sharpe ratio (Glass type estimate)
    1.36172
  • Sharpe ratio (Hedges UMVUE)
    1.33781
  • df
    43.00000
  • t
    2.60750
  • p
    0.00624
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29136
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41742
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27592
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39970
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.80771
  • Upside Potential Ratio
    4.35525
  • Upside part of mean
    0.44016
  • Downside part of mean
    -0.15640
  • Upside SD
    0.19731
  • Downside SD
    0.10106
  • N nonnegative terms
    30.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.10591
  • Mean of criterion
    0.28376
  • SD of predictor
    0.24188
  • SD of criterion
    0.20838
  • Covariance
    0.01658
  • r
    0.32905
  • b (slope, estimate of beta)
    0.28348
  • a (intercept, estimate of alpha)
    0.25373
  • Mean Square Error
    0.03964
  • DF error
    42.00000
  • t(b)
    2.25824
  • p(b)
    0.01459
  • t(a)
    2.42052
  • p(a)
    0.00995
  • Lowerbound of 95% confidence interval for beta
    0.03015
  • Upperbound of 95% confidence interval for beta
    0.53682
  • Lowerbound of 95% confidence interval for alpha
    0.04219
  • Upperbound of 95% confidence interval for alpha
    0.46528
  • Treynor index (mean / b)
    1.00097
  • Jensen alpha (a)
    0.25373
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25960
  • SD
    0.20360
  • Sharpe ratio (Glass type estimate)
    1.27503
  • Sharpe ratio (Hedges UMVUE)
    1.25264
  • df
    43.00000
  • t
    2.44150
  • p
    0.00941
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20988
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32635
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30988
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.47087
  • Upside Potential Ratio
    4.00716
  • Upside part of mean
    0.42100
  • Downside part of mean
    -0.16141
  • Upside SD
    0.18732
  • Downside SD
    0.10506
  • N nonnegative terms
    30.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.07322
  • Mean of criterion
    0.25960
  • SD of predictor
    0.26600
  • SD of criterion
    0.20360
  • Covariance
    0.01572
  • r
    0.29023
  • b (slope, estimate of beta)
    0.22215
  • a (intercept, estimate of alpha)
    0.24333
  • Mean Square Error
    0.03886
  • DF error
    42.00000
  • t(b)
    1.96553
  • p(b)
    0.02799
  • t(a)
    2.35590
  • p(a)
    0.01161
  • Lowerbound of 95% confidence interval for beta
    -0.00594
  • Upperbound of 95% confidence interval for beta
    0.45023
  • Lowerbound of 95% confidence interval for alpha
    0.03489
  • Upperbound of 95% confidence interval for alpha
    0.45177
  • Treynor index (mean / b)
    1.16857
  • Jensen alpha (a)
    0.24333
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07230
  • Expected Shortfall on VaR
    0.09459
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02175
  • Expected Shortfall on VaR
    0.04786
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    44.00000
  • Minimum
    0.90667
  • Quartile 1
    0.99092
  • Median
    1.01946
  • Quartile 3
    1.06374
  • Maximum
    1.13452
  • Mean of quarter 1
    0.95174
  • Mean of quarter 2
    1.00632
  • Mean of quarter 3
    1.03750
  • Mean of quarter 4
    1.10833
  • Inter Quartile Range
    0.07282
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.13745
  • VaR(95%) (moments method)
    0.03969
  • Expected Shortfall (moments method)
    0.05275
  • Extreme Value Index (regression method)
    -0.96135
  • VaR(95%) (regression method)
    0.04970
  • Expected Shortfall (regression method)
    0.05447
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01492
  • Quartile 1
    0.02619
  • Median
    0.06232
  • Quartile 3
    0.09411
  • Maximum
    0.10954
  • Mean of quarter 1
    0.01918
  • Mean of quarter 2
    0.03446
  • Mean of quarter 3
    0.09018
  • Mean of quarter 4
    0.10249
  • Inter Quartile Range
    0.06793
  • 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)
    0.50989
  • Compounded annual return (geometric extrapolation)
    0.33309
  • Calmar ratio (compounded annual return / max draw down)
    3.04077
  • Compounded annual return / average of 25% largest draw downs
    3.25017
  • Compounded annual return / Expected Shortfall lognormal
    3.52152
  • 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
    0.29135
  • SD
    0.18195
  • Sharpe ratio (Glass type estimate)
    1.60126
  • Sharpe ratio (Hedges UMVUE)
    1.60003
  • df
    973.00000
  • t
    3.08739
  • p
    0.00104
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61989
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58102
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61904
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30899
  • Upside Potential Ratio
    9.59009
  • Upside part of mean
    1.21007
  • Downside part of mean
    -0.91873
  • Upside SD
    0.13219
  • Downside SD
    0.12618
  • N nonnegative terms
    573.00000
  • N negative terms
    401.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    974.00000
  • Mean of predictor
    0.09758
  • Mean of criterion
    0.29135
  • SD of predictor
    0.20499
  • SD of criterion
    0.18195
  • Covariance
    0.01009
  • r
    0.27043
  • b (slope, estimate of beta)
    0.24003
  • a (intercept, estimate of alpha)
    0.26800
  • Mean Square Error
    0.03072
  • DF error
    972.00000
  • t(b)
    8.75742
  • p(b)
    0.00000
  • t(a)
    2.94628
  • p(a)
    0.00165
  • Lowerbound of 95% confidence interval for beta
    0.18625
  • Upperbound of 95% confidence interval for beta
    0.29382
  • Lowerbound of 95% confidence interval for alpha
    0.08947
  • Upperbound of 95% confidence interval for alpha
    0.44638
  • Treynor index (mean / b)
    1.21377
  • Jensen alpha (a)
    0.26793
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27460
  • SD
    0.18222
  • Sharpe ratio (Glass type estimate)
    1.50696
  • Sharpe ratio (Hedges UMVUE)
    1.50580
  • df
    973.00000
  • t
    2.90556
  • p
    0.00187
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48787
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48707
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52452
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14640
  • Upside Potential Ratio
    9.39019
  • Upside part of mean
    1.20134
  • Downside part of mean
    -0.92674
  • Upside SD
    0.13073
  • Downside SD
    0.12793
  • N nonnegative terms
    573.00000
  • N negative terms
    401.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    974.00000
  • Mean of predictor
    0.07641
  • Mean of criterion
    0.27460
  • SD of predictor
    0.20621
  • SD of criterion
    0.18222
  • Covariance
    0.01011
  • r
    0.26895
  • b (slope, estimate of beta)
    0.23766
  • a (intercept, estimate of alpha)
    0.25644
  • Mean Square Error
    0.03083
  • DF error
    972.00000
  • t(b)
    8.70573
  • p(b)
    0.00000
  • t(a)
    2.81503
  • p(a)
    0.00249
  • Lowerbound of 95% confidence interval for beta
    0.18409
  • Upperbound of 95% confidence interval for beta
    0.29123
  • Lowerbound of 95% confidence interval for alpha
    0.07767
  • Upperbound of 95% confidence interval for alpha
    0.43521
  • Treynor index (mean / b)
    1.15544
  • Jensen alpha (a)
    0.25644
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01732
  • Expected Shortfall on VaR
    0.02192
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00705
  • Expected Shortfall on VaR
    0.01475
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    974.00000
  • Minimum
    0.93256
  • Quartile 1
    0.99566
  • Median
    1.00188
  • Quartile 3
    1.00697
  • Maximum
    1.06964
  • Mean of quarter 1
    0.98739
  • Mean of quarter 2
    0.99911
  • Mean of quarter 3
    1.00426
  • Mean of quarter 4
    1.01412
  • Inter Quartile Range
    0.01130
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.03285
  • Mean of outliers low
    0.96958
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.02156
  • Mean of outliers high
    1.03057
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19969
  • VaR(95%) (moments method)
    0.01165
  • Expected Shortfall (moments method)
    0.01830
  • Extreme Value Index (regression method)
    0.11791
  • VaR(95%) (regression method)
    0.01164
  • Expected Shortfall (regression method)
    0.01728
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    44.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00540
  • Median
    0.01259
  • Quartile 3
    0.06048
  • Maximum
    0.19444
  • Mean of quarter 1
    0.00263
  • Mean of quarter 2
    0.00884
  • Mean of quarter 3
    0.03476
  • Mean of quarter 4
    0.11425
  • Inter Quartile Range
    0.05508
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06818
  • Mean of outliers high
    0.16556
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.78666
  • VaR(95%) (moments method)
    0.12124
  • Expected Shortfall (moments method)
    0.13277
  • Extreme Value Index (regression method)
    -0.42846
  • VaR(95%) (regression method)
    0.13623
  • Expected Shortfall (regression method)
    0.15933
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55922
  • Compounded annual return (geometric extrapolation)
    0.35325
  • Calmar ratio (compounded annual return / max draw down)
    1.81677
  • Compounded annual return / average of 25% largest draw downs
    3.09190
  • Compounded annual return / Expected Shortfall lognormal
    16.11480
  • 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
    0.70563
  • SD
    0.17821
  • Sharpe ratio (Glass type estimate)
    3.95958
  • Sharpe ratio (Hedges UMVUE)
    3.93669
  • df
    130.00000
  • t
    2.79984
  • p
    0.38076
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.13907
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.76539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12388
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.74950
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.05907
  • Upside Potential Ratio
    12.24800
  • Upside part of mean
    1.42638
  • Downside part of mean
    -0.72075
  • Upside SD
    0.14090
  • Downside SD
    0.11646
  • N nonnegative terms
    88.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02262
  • Mean of criterion
    0.70563
  • SD of predictor
    0.46010
  • SD of criterion
    0.17821
  • Covariance
    0.01534
  • r
    0.18711
  • b (slope, estimate of beta)
    0.07247
  • a (intercept, estimate of alpha)
    0.70399
  • Mean Square Error
    0.03088
  • DF error
    129.00000
  • t(b)
    2.16333
  • p(b)
    0.38158
  • t(a)
    2.83259
  • p(a)
    0.34747
  • Lowerbound of 95% confidence interval for beta
    0.00619
  • Upperbound of 95% confidence interval for beta
    0.13875
  • Lowerbound of 95% confidence interval for alpha
    0.21226
  • Upperbound of 95% confidence interval for alpha
    1.19572
  • Treynor index (mean / b)
    9.73675
  • Jensen alpha (a)
    0.70399
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68886
  • SD
    0.17838
  • Sharpe ratio (Glass type estimate)
    3.86172
  • Sharpe ratio (Hedges UMVUE)
    3.83939
  • df
    130.00000
  • t
    2.73065
  • p
    0.38355
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.04335
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.66577
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02858
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.65021
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.83908
  • Upside Potential Ratio
    12.00630
  • Upside part of mean
    1.41643
  • Downside part of mean
    -0.72757
  • Upside SD
    0.13954
  • Downside SD
    0.11797
  • N nonnegative terms
    88.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08343
  • Mean of criterion
    0.68886
  • SD of predictor
    0.46364
  • SD of criterion
    0.17838
  • Covariance
    0.01536
  • r
    0.18571
  • b (slope, estimate of beta)
    0.07145
  • a (intercept, estimate of alpha)
    0.69482
  • Mean Square Error
    0.03096
  • DF error
    129.00000
  • t(b)
    2.14660
  • p(b)
    0.38246
  • t(a)
    2.79206
  • p(a)
    0.34948
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.00559
  • Upperbound of 95% confidence interval for beta
    0.13731
  • Lowerbound of 95% confidence interval for alpha
    0.20245
  • Upperbound of 95% confidence interval for alpha
    1.18719
  • Treynor index (mean / b)
    9.64105
  • Jensen alpha (a)
    0.69482
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01538
  • Expected Shortfall on VaR
    0.01989
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00459
  • Expected Shortfall on VaR
    0.01059
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96524
  • Quartile 1
    0.99892
  • Median
    1.00351
  • Quartile 3
    1.00902
  • Maximum
    1.03343
  • Mean of quarter 1
    0.98930
  • Mean of quarter 2
    1.00127
  • Mean of quarter 3
    1.00556
  • Mean of quarter 4
    1.01515
  • Inter Quartile Range
    0.01009
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.97349
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03037
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02246
  • VaR(95%) (moments method)
    0.00461
  • Expected Shortfall (moments method)
    0.00672
  • Extreme Value Index (regression method)
    -0.14223
  • VaR(95%) (regression method)
    0.01133
  • Expected Shortfall (regression method)
    0.01627
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00229
  • Quartile 1
    0.00749
  • Median
    0.01053
  • Quartile 3
    0.01748
  • Maximum
    0.14727
  • Mean of quarter 1
    0.00477
  • Mean of quarter 2
    0.00828
  • Mean of quarter 3
    0.01259
  • Mean of quarter 4
    0.07086
  • Inter Quartile Range
    0.01000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.09673
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.21766
  • VaR(95%) (moments method)
    0.06060
  • Expected Shortfall (moments method)
    0.06577
  • Extreme Value Index (regression method)
    0.90056
  • VaR(95%) (regression method)
    0.16968
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    1.91116
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -310533000
  • Max Equity Drawdown (num days)
    86
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.86203
  • Compounded annual return (geometric extrapolation)
    1.04780
  • Calmar ratio (compounded annual return / max draw down)
    7.11493
  • Compounded annual return / average of 25% largest draw downs
    14.78780
  • Compounded annual return / Expected Shortfall lognormal
    52.66950

Strategy Description

Dual QM18 is a Adaptive Asset Allocation (AAA) Strategy.

*Adaptive Asset Allocation (AAA) is based on the Nobel Prize winning portfolio theory of Markowitz (1952).
*AAA combines asset’s momentum, volatilities, and cross-correlations for building diversified investment portfolios.
*In a tactical application AAA exploits momentum for crash detection and results in consistent returns at mitigated risk levels.
*In up-trending markets capital is allocated into offensive assets, like stocks, some ETFs, REITs, and commodities, while during market sell-offs especially intermediate US-treasuries are in vogue or ETFs and Stocks with low correlation.

This strategy opens the possibility of capturing high returns in the short term of High Quality Stocks. Through the use of Stocks and some ETFs with a low correlation between them, we seek to identify market anomalies with a Low ratio: Risk / Reward.

Through a quantitative methodology called "Adaptive Asset Allocation" (AAA), this strategy allows to adapt each month, both the composition of the portfolio and the size of each position. In this way, it seeks to maximize profitability over the medium term and control portfolio volatility.

The system has been backtested from 2010 and in this testing has produced consistently profitable results. Based on this backtesting staking levels are set to target an average return of around 100% every three years.
Backtesting data is hypothetical and it has not been verified by C2.

My system generates around 50 trades a year. This is not a high frequency system, we would expect 4 trades per month on average . This is a purely mechanical system with no discretionary elements. If you wish to receive the results of the Back Testing applied to this strategy, feel free to request them.

I invite you to see an additional strategy that has been recording similar results: https://collective2.com/details/106804598

Summary Statistics

Strategy began
2016-10-03
Suggested Minimum Capital
$15,000
Rank at C2 
#119
# Trades
137
# Profitable
74
% Profitable
54.0%
Net Dividends
Correlation S&P500
0.268
Sharpe Ratio
1.21
Sortino Ratio
1.75
Beta
0.25
Alpha
0.07
Leverage
1.23 Average
2.39 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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