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SNIPER STKS OPTS FUTURES
(107858429)

Created by: WilliamDalton2 WilliamDalton2
Started: 12/2016
Stocks
Last trade: 97 days ago
Trading style: Futures Macro / Fundamental

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 $150.00 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: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
-
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.

(100.0%)
Max Drawdown
1805
Num Trades
63.6%
Win Trades
0.6 : 1
Profit Factor
47.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                             +0.7%+0.7%
2017+6.9%+2.9%(1.2%)+7.0%(0.3%)+2.5%+9.7%+6.3%(1.2%)+2.5%+4.5%(1.9%)+43.9%
2018(0.5%)(0.5%)+2.8%(1.4%)+0.2%+8.5%+4.6%+4.8%+3.2%(7.1%)(0.4%)(4.2%)+9.5%
2019+3.2%  -  (5.6%)(1%)(3.3%)+0.3%+4.6%+0.2%(1.2%)(4.1%)+2.5%(4.3%)(8.8%)
2020+4.2%(54.3%)(67.6%)(927.5%)  -    -    -                                (227.8%)

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.

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

Trading Record

This strategy has placed 2,093 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/5/20 16:55 @ESH0 E-MINI S&P 500 LONG 6 2969.79 4/5 19:12 1901.12 366.23%
Trade id #127877655
Max drawdown($104,256)
Time3/18/20 0:00
Quant open3
Worst price2274.75
Drawdown as % of equity-366.23%
($320,648)
Includes Typical Broker Commissions trade costs of $48.00
3/5/20 16:55 @VXJ0 CBOE Volatility Index VIX SHORT 1 27.50 3/8 18:00 32.35 4.16%
Trade id #127877660
Max drawdown($5,550)
Time3/6/20 0:00
Quant open1
Worst price33.05
Drawdown as % of equity-4.16%
($4,858)
Includes Typical Broker Commissions trade costs of $8.00
3/4/20 11:27 @ESH0 E-MINI S&P 500 LONG 3 3052.75 3/4 13:27 3087.25 1.32%
Trade id #127850079
Max drawdown($1,800)
Time3/4/20 11:44
Quant open3
Worst price3040.75
Drawdown as % of equity-1.32%
$5,151
Includes Typical Broker Commissions trade costs of $24.00
2/25/20 8:27 @ESH0 E-MINI S&P 500 LONG 10 3166.90 3/3 10:10 3136.70 115.3%
Trade id #127695083
Max drawdown($94,095)
Time2/28/20 0:00
Quant open6
Worst price2853.25
Drawdown as % of equity-115.30%
($15,180)
Includes Typical Broker Commissions trade costs of $80.00
2/4/20 9:38 @ESH0 E-MINI S&P 500 SHORT 9 3318.75 2/23 23:56 3320.19 18.17%
Trade id #127353664
Max drawdown($23,625)
Time2/20/20 0:00
Quant open6
Worst price3397.50
Drawdown as % of equity-18.17%
($722)
Includes Typical Broker Commissions trade costs of $72.00
2/3/20 15:52 @ESH0 E-MINI S&P 500 SHORT 3 3245.25 2/3 18:04 3239.50 0.22%
Trade id #127342626
Max drawdown($337)
Time2/3/20 15:56
Quant open3
Worst price3247.50
Drawdown as % of equity-0.22%
$839
Includes Typical Broker Commissions trade costs of $24.00
1/24/20 14:37 @ESH0 E-MINI S&P 500 LONG 2 3285.12 1/24 14:56 3290.25 0.17%
Trade id #127213529
Max drawdown($262)
Time1/24/20 14:49
Quant open2
Worst price3282.50
Drawdown as % of equity-0.17%
$497
Includes Typical Broker Commissions trade costs of $16.00
1/23/20 12:33 @ESH0 E-MINI S&P 500 SHORT 6 3314.58 1/24 12:16 3301.67 4.74%
Trade id #127184265
Max drawdown($6,725)
Time1/24/20 0:00
Quant open6
Worst price3337.00
Drawdown as % of equity-4.74%
$3,827
Includes Typical Broker Commissions trade costs of $48.00
1/15/20 8:50 @ESH0 E-MINI S&P 500 SHORT 6 3282.88 1/23 9:39 3305.75 11.87%
Trade id #127007166
Max drawdown($16,387)
Time1/22/20 0:00
Quant open6
Worst price3337.50
Drawdown as % of equity-11.87%
($6,911)
Includes Typical Broker Commissions trade costs of $48.00
1/14/20 11:51 @ESH0 E-MINI S&P 500 SHORT 3 3288.00 1/14 13:52 3287.00 0.69%
Trade id #126986843
Max drawdown($1,050)
Time1/14/20 13:34
Quant open3
Worst price3295.00
Drawdown as % of equity-0.69%
$126
Includes Typical Broker Commissions trade costs of $24.00
1/13/20 11:51 @ESH0 E-MINI S&P 500 SHORT 3 3281.00 1/13 15:59 3288.50 0.71%
Trade id #126971656
Max drawdown($1,087)
Time1/13/20 15:59
Quant open3
Worst price3288.25
Drawdown as % of equity-0.71%
($1,149)
Includes Typical Broker Commissions trade costs of $24.00
1/13/20 11:28 @ESH0 E-MINI S&P 500 SHORT 3 3280.00 1/13 11:30 3278.50 0.1%
Trade id #126970672
Max drawdown($150)
Time1/13/20 11:29
Quant open3
Worst price3281.00
Drawdown as % of equity-0.10%
$201
Includes Typical Broker Commissions trade costs of $24.00
1/10/20 12:22 @ESH0 E-MINI S&P 500 LONG 3 3270.75 1/10 12:37 3274.00 0.07%
Trade id #126948204
Max drawdown($112)
Time1/10/20 12:25
Quant open3
Worst price3270.00
Drawdown as % of equity-0.07%
$464
Includes Typical Broker Commissions trade costs of $24.00
1/9/20 15:30 @ESH0 E-MINI S&P 500 SHORT 2 3274.50 1/10 11:34 3276.00 0.82%
Trade id #126937252
Max drawdown($1,250)
Time1/10/20 0:00
Quant open2
Worst price3287.00
Drawdown as % of equity-0.82%
($166)
Includes Typical Broker Commissions trade costs of $16.00
1/8/20 11:55 @ESH0 E-MINI S&P 500 SHORT 3 3261.00 1/8 13:37 3258.50 0.07%
Trade id #126915935
Max drawdown($112)
Time1/8/20 11:56
Quant open3
Worst price3261.75
Drawdown as % of equity-0.07%
$351
Includes Typical Broker Commissions trade costs of $24.00
1/7/20 11:49 @ESH0 E-MINI S&P 500 SHORT 3 3238.25 1/7 12:11 3236.25 0.1%
Trade id #126900502
Max drawdown($150)
Time1/7/20 11:50
Quant open3
Worst price3239.25
Drawdown as % of equity-0.10%
$276
Includes Typical Broker Commissions trade costs of $24.00
1/6/20 11:19 @ESH0 E-MINI S&P 500 SHORT 3 3235.00 1/6 11:20 3233.00 n/a $276
Includes Typical Broker Commissions trade costs of $24.00
1/6/20 9:51 @ESH0 E-MINI S&P 500 SHORT 3 3227.25 1/6 9:55 3223.25 n/a $576
Includes Typical Broker Commissions trade costs of $24.00
1/6/20 9:31 @ESH0 E-MINI S&P 500 LONG 3 3217.25 1/6 9:31 3217.75 n/a $51
Includes Typical Broker Commissions trade costs of $24.00
1/6/20 8:54 @ESH0 E-MINI S&P 500 LONG 3 3217.00 1/6 9:06 3218.50 0.07%
Trade id #126879215
Max drawdown($112)
Time1/6/20 8:55
Quant open3
Worst price3216.25
Drawdown as % of equity-0.07%
$201
Includes Typical Broker Commissions trade costs of $24.00
1/3/20 9:35 @ESH0 E-MINI S&P 500 SHORT 5 3234.35 1/3 10:00 3232.25 0.73%
Trade id #126851138
Max drawdown($1,100)
Time1/3/20 9:59
Quant open5
Worst price3238.75
Drawdown as % of equity-0.73%
$485
Includes Typical Broker Commissions trade costs of $40.00
12/13/19 13:27 @ESH0 E-MINI S&P 500 SHORT 12 3214.25 1/3/20 7:00 3218.06 12.11%
Trade id #126619919
Max drawdown($16,800)
Time12/27/19 0:00
Quant open6
Worst price3254.00
Drawdown as % of equity-12.11%
($2,384)
Includes Typical Broker Commissions trade costs of $96.00
12/12/19 15:46 @ESH0 E-MINI S&P 500 LONG 3 3173.25 12/12 15:50 3176.00 0.12%
Trade id #126604861
Max drawdown($187)
Time12/12/19 15:48
Quant open3
Worst price3172.00
Drawdown as % of equity-0.12%
$389
Includes Typical Broker Commissions trade costs of $24.00
12/11/19 14:39 @ESZ9 E-MINI S&P 500 LONG 3 3141.25 12/11 16:06 3143.25 0.24%
Trade id #126584126
Max drawdown($375)
Time12/11/19 14:41
Quant open3
Worst price3138.75
Drawdown as % of equity-0.24%
$276
Includes Typical Broker Commissions trade costs of $24.00
12/5/19 16:33 @ESZ9 E-MINI S&P 500 LONG 3 3118.00 12/6 7:59 3123.50 0.1%
Trade id #126506450
Max drawdown($150)
Time12/5/19 18:02
Quant open3
Worst price3117.00
Drawdown as % of equity-0.10%
$801
Includes Typical Broker Commissions trade costs of $24.00
12/5/19 9:34 @ESZ9 E-MINI S&P 500 LONG 4 3115.06 12/5 15:27 3117.75 1.56%
Trade id #126496204
Max drawdown($2,362)
Time12/5/19 10:10
Quant open4
Worst price3103.25
Drawdown as % of equity-1.56%
$506
Includes Typical Broker Commissions trade costs of $32.00
12/4/19 14:50 @ESZ9 E-MINI S&P 500 SHORT 3 3119.00 12/4 16:05 3109.00 0.05%
Trade id #126486606
Max drawdown($75)
Time12/4/19 14:55
Quant open3
Worst price3119.50
Drawdown as % of equity-0.05%
$1,476
Includes Typical Broker Commissions trade costs of $24.00
12/2/19 16:08 @ESZ9 E-MINI S&P 500 LONG 3 3115.25 12/4 9:38 3109.75 4.5%
Trade id #126447700
Max drawdown($6,862)
Time12/3/19 0:00
Quant open3
Worst price3069.50
Drawdown as % of equity-4.50%
($849)
Includes Typical Broker Commissions trade costs of $24.00
12/2/19 10:10 @ESZ9 E-MINI S&P 500 LONG 4 3122.50 12/2 10:11 3125.75 0.26%
Trade id #126440669
Max drawdown($400)
Time12/2/19 10:11
Quant open4
Worst price3120.50
Drawdown as % of equity-0.26%
$618
Includes Typical Broker Commissions trade costs of $32.00
11/27/19 10:46 @ESZ9 E-MINI S&P 500 LONG 2 3143.50 11/27 11:40 3146.75 0.02%
Trade id #126387089
Max drawdown($25)
Time11/27/19 10:47
Quant open2
Worst price3143.25
Drawdown as % of equity-0.02%
$309
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    12/10/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1303.51
  • Age
    44 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    1805
  • # Profitable
    1148
  • % Profitable
    63.60%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 19, 2020 - April 05, 2020
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $391.65
  • Avg loss
    $1,082
  • Model Account Values (Raw)
  • Cash
    ($159,181)
  • Margin Used
    $0
  • Buying Power
    ($159,181)
  • Ratios
  • W:L ratio
    0.64:1
  • Sharpe Ratio
    -0.48
  • Sortino Ratio
    -0.48
  • Calmar Ratio
    -0.969
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -323.52%
  • Correlation to SP500
    0.03330
  • Return Percent SP500 (cumu) during strategy life
    40.96%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.26%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.49%
  • Return Statistics
  • Return Pcnt Since TOS Status
    27.700%
  • Instruments
  • Short Options - Percent Covered
    38.57%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.04%
  • Percent Trades Stocks
    0.70%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.00%
  • Chance of 20% account loss
    0.50%
  • 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)
    0
  • Popularity (Last 6 weeks)
    532
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,082
  • Avg Win
    $392
  • Sum Trade PL (losers)
    $710,915.000
  • Age
  • Num Months filled monthly returns table
    41
  • Win / Loss
  • Sum Trade PL (winners)
    $449,613.000
  • # Winners
    1148
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    2121
  • Win / Loss
  • # Losers
    657
  • % Winners
    63.6%
  • Frequency
  • Avg Position Time (mins)
    6094.12
  • Avg Position Time (hrs)
    101.57
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    92
  • Leverage
  • Daily leverage (average)
    2.05
  • Daily leverage (max)
    17.80
  • Regression
  • Alpha
    0.00
  • Beta
    0.21
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    33.60
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    60.96
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.39
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -4.637
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.802
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.257
  • Hold-and-Hope Ratio
    -0.215
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17261
  • SD
    0.58272
  • Sharpe ratio (Glass type estimate)
    -0.29622
  • Sharpe ratio (Hedges UMVUE)
    -0.29033
  • df
    38.00000
  • t
    -0.53402
  • p
    0.70178
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38354
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37948
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79882
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.30731
  • Upside Potential Ratio
    0.50630
  • Upside part of mean
    0.28439
  • Downside part of mean
    -0.45700
  • Upside SD
    0.13354
  • Downside SD
    0.56170
  • N nonnegative terms
    22.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.03168
  • Mean of criterion
    -0.17261
  • SD of predictor
    0.12917
  • SD of criterion
    0.58272
  • Covariance
    0.05292
  • r
    0.70312
  • b (slope, estimate of beta)
    3.17210
  • a (intercept, estimate of alpha)
    -0.27310
  • Mean Square Error
    0.17633
  • DF error
    37.00000
  • t(b)
    6.01482
  • p(b)
    0.00000
  • t(a)
    -1.16948
  • p(a)
    0.87515
  • Lowerbound of 95% confidence interval for beta
    2.10352
  • Upperbound of 95% confidence interval for beta
    4.24067
  • Lowerbound of 95% confidence interval for alpha
    -0.74627
  • Upperbound of 95% confidence interval for alpha
    0.20006
  • Treynor index (mean / b)
    -0.05442
  • Jensen alpha (a)
    -0.27310
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.56958
  • SD
    6.66577
  • Sharpe ratio (Glass type estimate)
    -0.53551
  • Sharpe ratio (Hedges UMVUE)
    -0.52486
  • df
    38.00000
  • t
    -0.96540
  • p
    0.82978
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62586
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.56173
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61843
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56872
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.53608
  • Upside Potential Ratio
    0.04134
  • Upside part of mean
    0.27528
  • Downside part of mean
    -3.84486
  • Upside SD
    0.12843
  • Downside SD
    6.65872
  • N nonnegative terms
    22.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.02307
  • Mean of criterion
    -3.56958
  • SD of predictor
    0.13383
  • SD of criterion
    6.66577
  • Covariance
    0.63206
  • r
    0.70851
  • b (slope, estimate of beta)
    35.28880
  • a (intercept, estimate of alpha)
    -4.38385
  • Mean Square Error
    22.72600
  • DF error
    37.00000
  • t(b)
    6.10699
  • p(b)
    0.00000
  • t(a)
    -1.65571
  • p(a)
    0.94688
  • Lowerbound of 95% confidence interval for beta
    23.58060
  • Upperbound of 95% confidence interval for beta
    46.99710
  • Lowerbound of 95% confidence interval for alpha
    -9.74864
  • Upperbound of 95% confidence interval for alpha
    0.98093
  • Treynor index (mean / b)
    -0.10115
  • Jensen alpha (a)
    -4.38385
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.96865
  • Expected Shortfall on VaR
    0.98306
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07584
  • Expected Shortfall on VaR
    0.18140
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    39.00000
  • Minimum
    0.00001
  • Quartile 1
    0.97627
  • Median
    1.01506
  • Quartile 3
    1.03739
  • Maximum
    1.10350
  • Mean of quarter 1
    0.86268
  • Mean of quarter 2
    0.99623
  • Mean of quarter 3
    1.02462
  • Mean of quarter 4
    1.07192
  • Inter Quartile Range
    0.06112
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02564
  • Mean of outliers low
    0.00001
  • 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)
    1.00739
  • VaR(95%) (moments method)
    0.10399
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.85926
  • VaR(95%) (regression method)
    0.06303
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00462
  • Median
    0.02145
  • Quartile 3
    0.03456
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00227
  • Mean of quarter 2
    0.01336
  • Mean of quarter 3
    0.02169
  • Mean of quarter 4
    0.52371
  • Inter Quartile Range
    0.02994
  • 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
    0.14286
  • Mean of outliers high
    0.99999
  • 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)
    -0.30769
  • Compounded annual return (geometric extrapolation)
    -0.97103
  • Calmar ratio (compounded annual return / max draw down)
    -0.97104
  • Compounded annual return / average of 25% largest draw downs
    -1.85415
  • Compounded annual return / Expected Shortfall lognormal
    -0.98777
  • 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
    -0.42650
  • SD
    0.72769
  • Sharpe ratio (Glass type estimate)
    -0.58610
  • Sharpe ratio (Hedges UMVUE)
    -0.58559
  • df
    864.00000
  • t
    -1.06495
  • p
    0.85640
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66498
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.49308
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66462
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49344
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.63376
  • Upside Potential Ratio
    1.61840
  • Upside part of mean
    1.08912
  • Downside part of mean
    -1.51562
  • Upside SD
    0.27701
  • Downside SD
    0.67296
  • N nonnegative terms
    428.00000
  • N negative terms
    437.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    865.00000
  • Mean of predictor
    0.10009
  • Mean of criterion
    -0.42650
  • SD of predictor
    0.19587
  • SD of criterion
    0.72769
  • Covariance
    0.01204
  • r
    0.08449
  • b (slope, estimate of beta)
    0.31389
  • a (intercept, estimate of alpha)
    -0.45800
  • Mean Square Error
    0.52636
  • DF error
    863.00000
  • t(b)
    2.49092
  • p(b)
    0.00646
  • t(a)
    -1.14626
  • p(a)
    0.87400
  • Lowerbound of 95% confidence interval for beta
    0.06656
  • Upperbound of 95% confidence interval for beta
    0.56122
  • Lowerbound of 95% confidence interval for alpha
    -1.24199
  • Upperbound of 95% confidence interval for alpha
    0.32616
  • Treynor index (mean / b)
    -1.35875
  • Jensen alpha (a)
    -0.45791
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.51431
  • SD
    5.95421
  • Sharpe ratio (Glass type estimate)
    -0.59022
  • Sharpe ratio (Hedges UMVUE)
    -0.58971
  • df
    864.00000
  • t
    -1.07244
  • p
    0.85809
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.48896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66874
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48932
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.59069
  • Upside Potential Ratio
    0.17743
  • Upside part of mean
    1.05562
  • Downside part of mean
    -4.56993
  • Upside SD
    0.24979
  • Downside SD
    5.94949
  • N nonnegative terms
    428.00000
  • N negative terms
    437.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    865.00000
  • Mean of predictor
    0.08089
  • Mean of criterion
    -3.51431
  • SD of predictor
    0.19602
  • SD of criterion
    5.95421
  • Covariance
    -0.18244
  • r
    -0.15631
  • b (slope, estimate of beta)
    -4.74788
  • a (intercept, estimate of alpha)
    -3.13024
  • Mean Square Error
    34.62650
  • DF error
    863.00000
  • t(b)
    -4.64901
  • p(b)
    1.00000
  • t(a)
    -0.96625
  • p(a)
    0.83291
  • Lowerbound of 95% confidence interval for beta
    -6.75234
  • Upperbound of 95% confidence interval for beta
    -2.74343
  • Lowerbound of 95% confidence interval for alpha
    -9.48861
  • Upperbound of 95% confidence interval for alpha
    3.22813
  • Treynor index (mean / b)
    0.74018
  • Jensen alpha (a)
    -3.13024
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.46124
  • Expected Shortfall on VaR
    0.53394
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01268
  • Expected Shortfall on VaR
    0.03065
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    865.00000
  • Minimum
    0.00002
  • Quartile 1
    0.99723
  • Median
    1.00005
  • Quartile 3
    1.00423
  • Maximum
    1.34608
  • Mean of quarter 1
    0.97809
  • Mean of quarter 2
    0.99906
  • Mean of quarter 3
    1.00186
  • Mean of quarter 4
    1.01500
  • Inter Quartile Range
    0.00701
  • Number outliers low
    52.00000
  • Percentage of outliers low
    0.06012
  • Mean of outliers low
    0.92792
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.05549
  • Mean of outliers high
    1.03963
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.95591
  • VaR(95%) (moments method)
    0.01469
  • Expected Shortfall (moments method)
    0.34366
  • Extreme Value Index (regression method)
    0.82666
  • VaR(95%) (regression method)
    0.00994
  • Expected Shortfall (regression method)
    0.05640
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00265
  • Median
    0.00820
  • Quartile 3
    0.01578
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00117
  • Mean of quarter 2
    0.00480
  • Mean of quarter 3
    0.01253
  • Mean of quarter 4
    0.13914
  • Inter Quartile Range
    0.01312
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.21745
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.10578
  • VaR(95%) (moments method)
    0.10042
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.78316
  • VaR(95%) (regression method)
    0.08262
  • Expected Shortfall (regression method)
    0.41794
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.30289
  • Compounded annual return (geometric extrapolation)
    -0.96939
  • Calmar ratio (compounded annual return / max draw down)
    -0.96939
  • Compounded annual return / average of 25% largest draw downs
    -6.96681
  • Compounded annual return / Expected Shortfall lognormal
    -1.81555
  • 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
    -3.78834
  • SD
    1.83902
  • Sharpe ratio (Glass type estimate)
    -2.05997
  • Sharpe ratio (Hedges UMVUE)
    -2.04807
  • df
    130.00000
  • t
    -1.45662
  • p
    0.56336
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.83919
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72700
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.83103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73489
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.20528
  • Upside Potential Ratio
    1.68387
  • Upside part of mean
    2.89264
  • Downside part of mean
    -6.68098
  • Upside SD
    0.67820
  • Downside SD
    1.71785
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20815
  • Mean of criterion
    -3.78834
  • SD of predictor
    0.39546
  • SD of criterion
    1.83902
  • Covariance
    0.05448
  • r
    0.07492
  • b (slope, estimate of beta)
    0.34839
  • a (intercept, estimate of alpha)
    -3.86086
  • Mean Square Error
    3.38909
  • DF error
    129.00000
  • t(b)
    0.85330
  • p(b)
    0.45235
  • t(a)
    -1.48216
  • p(a)
    0.58215
  • Lowerbound of 95% confidence interval for beta
    -0.45942
  • Upperbound of 95% confidence interval for beta
    1.15621
  • Lowerbound of 95% confidence interval for alpha
    -9.01468
  • Upperbound of 95% confidence interval for alpha
    1.29296
  • Treynor index (mean / b)
    -10.87370
  • Jensen alpha (a)
    -3.86086
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -24.13410
  • SD
    15.28430
  • Sharpe ratio (Glass type estimate)
    -1.57901
  • Sharpe ratio (Hedges UMVUE)
    -1.56989
  • df
    130.00000
  • t
    -1.11653
  • p
    0.54873
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.35443
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20233
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.34825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20848
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.57876
  • Upside Potential Ratio
    0.17630
  • Upside part of mean
    2.69505
  • Downside part of mean
    -26.82920
  • Upside SD
    0.60496
  • Downside SD
    15.28670
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13053
  • Mean of criterion
    -24.13410
  • SD of predictor
    0.39541
  • SD of criterion
    15.28430
  • Covariance
    -1.23514
  • r
    -0.20437
  • b (slope, estimate of beta)
    -7.89986
  • a (intercept, estimate of alpha)
    -23.10300
  • Mean Square Error
    225.58800
  • DF error
    129.00000
  • t(b)
    -2.37127
  • p(b)
    0.62920
  • t(a)
    -1.08743
  • p(a)
    0.56058
  • VAR (95 Confidence Intrvl)
    0.46100
  • Lowerbound of 95% confidence interval for beta
    -14.49130
  • Upperbound of 95% confidence interval for beta
    -1.30841
  • Lowerbound of 95% confidence interval for alpha
    -65.13740
  • Upperbound of 95% confidence interval for alpha
    18.93150
  • Treynor index (mean / b)
    3.05501
  • Jensen alpha (a)
    -23.10300
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.80705
  • Expected Shortfall on VaR
    0.86295
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06665
  • Expected Shortfall on VaR
    0.15110
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00002
  • Quartile 1
    0.99428
  • Median
    1.00000
  • Quartile 3
    1.00350
  • Maximum
    1.34608
  • Mean of quarter 1
    0.90062
  • Mean of quarter 2
    0.99843
  • Mean of quarter 3
    1.00076
  • Mean of quarter 4
    1.04324
  • Inter Quartile Range
    0.00922
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.83718
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.08040
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.24702
  • VaR(95%) (moments method)
    0.06120
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.88116
  • VaR(95%) (regression method)
    0.04960
  • Expected Shortfall (regression method)
    0.47851
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00739
  • Median
    0.01198
  • Quartile 3
    0.03146
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00172
  • Mean of quarter 2
    0.00991
  • Mean of quarter 3
    0.01459
  • Mean of quarter 4
    0.53861
  • Inter Quartile Range
    0.02406
  • 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
    0.25000
  • Mean of outliers high
    0.53861
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -280549000
  • Max Equity Drawdown (num days)
    17
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99999
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -1.85663
  • Compounded annual return / Expected Shortfall lognormal
    -1.15882

Strategy Description

Stocks will be chosen on the basis of strong earnings, revenues, and superior chart analysis. We will use trailing stop loss limits to keep losses to a minimum and let profits run in an attempt to minimize draw-downs and maximize returns. We may also use Options or Index Futures to enhance our returns.

Summary Statistics

Strategy began
2016-12-10
Suggested Minimum Capital
$25,000
# Trades
1805
# Profitable
1148
% Profitable
63.6%
Net Dividends
Correlation S&P500
0.033
Sharpe Ratio
-0.48
Sortino Ratio
-0.48
Beta
0.21
Alpha
0.00
Leverage
2.05 Average
17.80 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.