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

SP100 Short Term Swing
(75976336)

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

Subscriptions not available

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

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

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.

12.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(19.3%)
Max Drawdown
1505
Num Trades
69.2%
Win Trades
1.5 : 1
Profit Factor
69.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +0.5%+3.5%+3.4%(0.4%)+4.6%+12.0%
2013(0.1%)+3.3%+2.5%+3.0%  -  +4.9%+3.1%+0.1%+2.0%+3.3%+3.2%+0.5%+28.8%
2014(5.5%)+3.9%+0.5%+3.8%+4.1%+3.1%(3.5%)+3.2%(0.3%)+2.0%+1.4%+1.9%+15.0%
2015+2.1%+3.4%(0.3%)(0.9%)+5.7%(1.7%)+1.7%+4.5%(0.1%)+2.8%(0.6%)+2.8%+21.0%
2016(9%)  -  +1.4%+0.4%+3.1%+0.2%(0.7%)(4%)+3.1%+0.2%+0.4%+0.2%(5.3%)
2017+4.0%+1.8%(2.6%)+2.2%+2.0%+1.0%+3.7%(1.2%)+1.4%(1.9%)+1.6%+2.5%+15.2%
2018(1.8%)(7.1%)(0.1%)+0.8%+2.4%+0.9%+2.9%+5.2%+3.5%(10.2%)+6.6%(5.8%)(4%)
2019+0.1%+0.1%(0.3%)+0.4%(5.3%)+4.6%+2.8%  -  +1.3%+1.6%  -  +1.6%+6.7%
2020(2%)+0.9%(0.2%)+0.7%+3.7%+5.3%+1.8%                              +10.5%

Model Account Details

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

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

Trading Record

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

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/26/20 9:30 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 2,270 31.89 7/7 9:30 31.37 1.05%
Trade id #129772751
Max drawdown($2,474)
Time6/26/20 15:22
Quant open2,270
Worst price30.80
Drawdown as % of equity-1.05%
($1,185)
Includes Typical Broker Commissions trade costs of $10.00
6/29/20 9:31 FB FACEBOOK LONG 165 209.75 7/2 9:30 239.00 0.1%
Trade id #129800273
Max drawdown($239)
Time6/29/20 9:46
Quant open165
Worst price208.30
Drawdown as % of equity-0.10%
$4,823
Includes Typical Broker Commissions trade costs of $3.30
6/29/20 9:30 CHTR CHARTER COMMUNICATIONS LONG 70 509.73 7/2 9:30 522.10 0.34%
Trade id #129800101
Max drawdown($815)
Time6/30/20 0:00
Quant open70
Worst price498.07
Drawdown as % of equity-0.34%
$865
Includes Typical Broker Commissions trade costs of $1.40
6/29/20 9:30 SPY2017S270 SPY Jul17'20 270 put LONG 10 1.56 7/2 9:30 0.41 0.43%
Trade id #129800108
Max drawdown($1,044)
Time7/1/20 0:00
Quant open9
Worst price0.40
Drawdown as % of equity-0.43%
($1,163)
Includes Typical Broker Commissions trade costs of $14.30
6/29/20 9:30 MA MASTERCARD LONG 120 291.34 7/2 9:30 304.33 0.31%
Trade id #129800087
Max drawdown($742)
Time6/29/20 9:48
Quant open120
Worst price285.15
Drawdown as % of equity-0.31%
$1,557
Includes Typical Broker Commissions trade costs of $2.40
6/29/20 9:31 NEE NEXTERA ENERGY LONG 150 237.51 7/2 9:30 248.16 0.24%
Trade id #129800260
Max drawdown($562)
Time6/29/20 9:44
Quant open150
Worst price233.76
Drawdown as % of equity-0.24%
$1,595
Includes Typical Broker Commissions trade costs of $3.00
6/15/20 9:30 JNJ JOHNSON & JOHNSON LONG 240 141.00 7/2 9:30 141.25 0.4%
Trade id #129554962
Max drawdown($955)
Time6/26/20 0:00
Quant open240
Worst price137.02
Drawdown as % of equity-0.40%
$55
Includes Typical Broker Commissions trade costs of $4.80
6/29/20 9:31 INTC INTEL LONG 620 57.47 7/1 9:30 59.91 0.19%
Trade id #129800289
Max drawdown($440)
Time6/29/20 9:58
Quant open620
Worst price56.76
Drawdown as % of equity-0.19%
$1,508
Includes Typical Broker Commissions trade costs of $5.00
6/29/20 9:31 CL COLGATE-PALMOLIVE LONG 500 71.89 7/1 9:30 73.26 n/a $675
Includes Typical Broker Commissions trade costs of $10.00
6/15/20 9:30 CVS CVS HEALTH CORP LONG 540 63.03 6/30 9:30 64.71 0.29%
Trade id #129554960
Max drawdown($653)
Time6/15/20 10:40
Quant open540
Worst price61.82
Drawdown as % of equity-0.29%
$902
Includes Typical Broker Commissions trade costs of $5.00
6/15/20 9:30 SPY2017S273 SPY Jul17'20 273 put LONG 9 5.74 6/23 9:30 1.46 1.47%
Trade id #129555046
Max drawdown($3,411)
Time6/16/20 0:00
Quant open9
Worst price1.95
Drawdown as % of equity-1.47%
($3,867)
Includes Typical Broker Commissions trade costs of $13.50
6/15/20 9:30 NKE NIKE LONG 360 93.90 6/23 9:30 101.15 0.07%
Trade id #129554932
Max drawdown($165)
Time6/15/20 9:34
Quant open360
Worst price93.44
Drawdown as % of equity-0.07%
$2,603
Includes Typical Broker Commissions trade costs of $7.20
6/12/20 9:30 COST COSTCO WHOLESALE LONG 110 302.67 6/23 9:30 301.73 0.42%
Trade id #129528640
Max drawdown($971)
Time6/15/20 0:00
Quant open110
Worst price293.84
Drawdown as % of equity-0.42%
($105)
Includes Typical Broker Commissions trade costs of $2.20
6/15/20 9:30 BMY BRISTOL-MYERS SQUIBB LONG 610 55.64 6/23 9:30 57.94 0.42%
Trade id #129554963
Max drawdown($957)
Time6/15/20 10:40
Quant open610
Worst price54.07
Drawdown as % of equity-0.42%
$1,398
Includes Typical Broker Commissions trade costs of $5.00
5/28/20 9:30 WMT WALMART INC LONG 275 123.72 6/22 9:30 120.97 0.8%
Trade id #129236196
Max drawdown($1,845)
Time6/15/20 0:00
Quant open275
Worst price117.01
Drawdown as % of equity-0.80%
($762)
Includes Typical Broker Commissions trade costs of $5.50
6/15/20 9:30 UNP UNION PACIFIC LONG 205 161.72 6/19 9:30 173.53 0.03%
Trade id #129554953
Max drawdown($63)
Time6/15/20 9:33
Quant open205
Worst price161.41
Drawdown as % of equity-0.03%
$2,417
Includes Typical Broker Commissions trade costs of $4.10
6/15/20 9:30 LLY ELI LILLY LONG 240 142.00 6/17 9:31 164.23 0.24%
Trade id #129554918
Max drawdown($556)
Time6/15/20 9:46
Quant open240
Worst price139.68
Drawdown as % of equity-0.24%
$5,330
Includes Typical Broker Commissions trade costs of $4.80
6/4/20 9:30 SPY2019F328 SPY Jun19'20 328 call LONG 10 0.35 6/15 9:30 0.04 0.12%
Trade id #129353808
Max drawdown($280)
Time6/15/20 9:30
Quant open10
Worst price0.07
Drawdown as % of equity-0.12%
($324)
Includes Typical Broker Commissions trade costs of $14.00
5/22/20 9:30 BMY BRISTOL-MYERS SQUIBB LONG 555 61.01 6/5 9:30 61.18 0.47%
Trade id #129149174
Max drawdown($1,054)
Time5/27/20 0:00
Quant open555
Worst price59.11
Drawdown as % of equity-0.47%
$89
Includes Typical Broker Commissions trade costs of $5.00
5/27/20 9:30 NFLX NETFLIX LONG 80 410.38 6/2 9:30 425.87 0.45%
Trade id #129211905
Max drawdown($1,001)
Time5/27/20 10:51
Quant open80
Worst price397.86
Drawdown as % of equity-0.45%
$1,237
Includes Typical Broker Commissions trade costs of $1.60
5/26/20 9:30 JNJ JOHNSON & JOHNSON LONG 235 146.19 6/1 9:30 147.29 0.33%
Trade id #129190145
Max drawdown($747)
Time5/27/20 0:00
Quant open235
Worst price143.01
Drawdown as % of equity-0.33%
$254
Includes Typical Broker Commissions trade costs of $4.70
5/26/20 9:30 BIIB BIOGEN INC. COMMON STOCK LONG 110 309.07 6/1 9:30 305.72 0.85%
Trade id #129190171
Max drawdown($1,896)
Time5/27/20 0:00
Quant open110
Worst price291.83
Drawdown as % of equity-0.85%
($371)
Includes Typical Broker Commissions trade costs of $2.20
5/21/20 9:30 AMGN AMGEN LONG 150 228.11 6/1 9:30 228.89 0.71%
Trade id #129128491
Max drawdown($1,596)
Time5/27/20 0:00
Quant open150
Worst price217.47
Drawdown as % of equity-0.71%
$114
Includes Typical Broker Commissions trade costs of $3.00
5/27/20 9:30 SPY2019R285 SPY Jun19'20 285 put LONG 5 2.91 6/1 9:30 2.67 0.16%
Trade id #129211866
Max drawdown($365)
Time5/29/20 0:00
Quant open5
Worst price2.18
Drawdown as % of equity-0.16%
($127)
Includes Typical Broker Commissions trade costs of $7.00
5/26/20 9:30 TGT TARGET LONG 290 118.80 6/1 9:30 120.45 0.59%
Trade id #129190152
Max drawdown($1,325)
Time5/27/20 0:00
Quant open290
Worst price114.23
Drawdown as % of equity-0.59%
$473
Includes Typical Broker Commissions trade costs of $5.80
5/26/20 9:30 LLY ELI LILLY LONG 225 151.11 6/1 9:30 154.47 0.75%
Trade id #129190178
Max drawdown($1,685)
Time5/27/20 0:00
Quant open225
Worst price143.62
Drawdown as % of equity-0.75%
$752
Includes Typical Broker Commissions trade costs of $4.50
5/27/20 9:30 TMO THERMO FISHER SCIENTIFIC LONG 100 336.51 5/29 9:30 345.09 0.55%
Trade id #129211896
Max drawdown($1,216)
Time5/27/20 9:41
Quant open100
Worst price324.35
Drawdown as % of equity-0.55%
$856
Includes Typical Broker Commissions trade costs of $2.00
5/22/20 9:30 DHR DANAHER LONG 215 157.76 5/28 9:30 162.28 0.21%
Trade id #129149178
Max drawdown($462)
Time5/27/20 0:00
Quant open215
Worst price155.61
Drawdown as % of equity-0.21%
$968
Includes Typical Broker Commissions trade costs of $4.30
5/18/20 9:30 GILD GILEAD SCIENCES LONG 450 76.46 5/28 9:30 74.99 0.82%
Trade id #129066094
Max drawdown($1,872)
Time5/19/20 0:00
Quant open450
Worst price72.30
Drawdown as % of equity-0.82%
($671)
Includes Typical Broker Commissions trade costs of $9.00
5/18/20 9:30 ABT ABBOTT LABORATORIES LONG 380 91.90 5/26 9:30 92.95 0.65%
Trade id #129066087
Max drawdown($1,470)
Time5/20/20 0:00
Quant open380
Worst price88.03
Drawdown as % of equity-0.65%
$391
Includes Typical Broker Commissions trade costs of $7.60

Statistics

  • Strategy began
    8/13/2012
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2888.31
  • Age
    96 months ago
  • What it trades
    Stocks
  • # Trades
    1505
  • # Profitable
    1041
  • % Profitable
    69.20%
  • Avg trade duration
    8.8 days
  • Max peak-to-valley drawdown
    19.31%
  • drawdown period
    Oct 03, 2018 - Dec 21, 2018
  • Annual Return (Compounded)
    12.1%
  • Avg win
    $507.31
  • Avg loss
    $831.17
  • Model Account Values (Raw)
  • Cash
    $250,522
  • Margin Used
    $0
  • Buying Power
    $248,359
  • Ratios
  • W:L ratio
    1.49:1
  • Sharpe Ratio
    0.75
  • Sortino Ratio
    1.1
  • Calmar Ratio
    0.963
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    21.04%
  • Correlation to SP500
    0.41650
  • Return Percent SP500 (cumu) during strategy life
    126.84%
  • Return Statistics
  • Ann Return (w trading costs)
    12.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.121%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.00%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 100% account loss (Monte Carlo)
    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)
    398
  • Popularity (Last 6 weeks)
    904
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    14
  • Popularity (7 days, Percentile 1000 scale)
    818
  • 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
    $831
  • Avg Win
    $506
  • Sum Trade PL (losers)
    $385,661.000
  • Age
  • Num Months filled monthly returns table
    96
  • Win / Loss
  • Sum Trade PL (winners)
    $526,058.000
  • # Winners
    1040
  • Num Months Winners
    69
  • Dividends
  • Dividends Received in Model Acct
    22705
  • Win / Loss
  • # Losers
    464
  • % Winners
    69.2%
  • Frequency
  • Avg Position Time (mins)
    12667.80
  • Avg Position Time (hrs)
    211.13
  • Avg Trade Length
    8.8 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    2.20
  • Regression
  • Alpha
    0.02
  • Beta
    0.28
  • Treynor Index
    0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    61.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    80.17
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.30
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    9.229
  • 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
    0.734
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.016
  • Hold-and-Hope Ratio
    0.109
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10004
  • SD
    0.10682
  • Sharpe ratio (Glass type estimate)
    0.93653
  • Sharpe ratio (Hedges UMVUE)
    0.92896
  • df
    93.00000
  • t
    2.62117
  • p
    0.00512
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64185
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.35426
  • Upside Potential Ratio
    2.57779
  • Upside part of mean
    0.19042
  • Downside part of mean
    -0.09038
  • Upside SD
    0.08165
  • Downside SD
    0.07387
  • N nonnegative terms
    65.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.08378
  • Mean of criterion
    0.10004
  • SD of predictor
    0.14292
  • SD of criterion
    0.10682
  • Covariance
    0.00849
  • r
    0.55593
  • b (slope, estimate of beta)
    0.41552
  • a (intercept, estimate of alpha)
    0.06523
  • Mean Square Error
    0.00797
  • DF error
    92.00000
  • t(b)
    6.41490
  • p(b)
    0.00000
  • t(a)
    2.01597
  • p(a)
    0.02336
  • Lowerbound of 95% confidence interval for beta
    0.28687
  • Upperbound of 95% confidence interval for beta
    0.54416
  • Lowerbound of 95% confidence interval for alpha
    0.00097
  • Upperbound of 95% confidence interval for alpha
    0.12949
  • Treynor index (mean / b)
    0.24076
  • Jensen alpha (a)
    0.06523
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09370
  • SD
    0.10812
  • Sharpe ratio (Glass type estimate)
    0.86662
  • Sharpe ratio (Hedges UMVUE)
    0.85962
  • df
    93.00000
  • t
    2.42552
  • p
    0.00861
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15312
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57563
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14852
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57071
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.21635
  • Upside Potential Ratio
    2.42429
  • Upside part of mean
    0.18675
  • Downside part of mean
    -0.09305
  • Upside SD
    0.07977
  • Downside SD
    0.07703
  • N nonnegative terms
    65.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.07321
  • Mean of criterion
    0.09370
  • SD of predictor
    0.14345
  • SD of criterion
    0.10812
  • Covariance
    0.00875
  • r
    0.56429
  • b (slope, estimate of beta)
    0.42530
  • a (intercept, estimate of alpha)
    0.06256
  • Mean Square Error
    0.00805
  • DF error
    92.00000
  • t(b)
    6.55601
  • p(b)
    0.00000
  • t(a)
    1.93004
  • p(a)
    0.02834
  • Lowerbound of 95% confidence interval for beta
    0.29646
  • Upperbound of 95% confidence interval for beta
    0.55414
  • Lowerbound of 95% confidence interval for alpha
    -0.00182
  • Upperbound of 95% confidence interval for alpha
    0.12694
  • Treynor index (mean / b)
    0.22032
  • Jensen alpha (a)
    0.06256
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04260
  • Expected Shortfall on VaR
    0.05494
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01186
  • Expected Shortfall on VaR
    0.02829
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    94.00000
  • Minimum
    0.88523
  • Quartile 1
    1.00022
  • Median
    1.01240
  • Quartile 3
    1.02894
  • Maximum
    1.07981
  • Mean of quarter 1
    0.97298
  • Mean of quarter 2
    1.00599
  • Mean of quarter 3
    1.02031
  • Mean of quarter 4
    1.04359
  • Inter Quartile Range
    0.02872
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.04255
  • Mean of outliers low
    0.91240
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01064
  • Mean of outliers high
    1.07981
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.14124
  • VaR(95%) (regression method)
    0.03152
  • Expected Shortfall (regression method)
    0.05694
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00127
  • Quartile 1
    0.00716
  • Median
    0.02130
  • Quartile 3
    0.05609
  • Maximum
    0.12128
  • Mean of quarter 1
    0.00399
  • Mean of quarter 2
    0.01290
  • Mean of quarter 3
    0.04029
  • Mean of quarter 4
    0.10917
  • Inter Quartile Range
    0.04894
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -13.39820
  • VaR(95%) (moments method)
    0.09580
  • Expected Shortfall (moments method)
    0.09580
  • Extreme Value Index (regression method)
    -2.57265
  • VaR(95%) (regression method)
    0.14919
  • Expected Shortfall (regression method)
    0.14995
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20329
  • Compounded annual return (geometric extrapolation)
    0.12931
  • Calmar ratio (compounded annual return / max draw down)
    1.06622
  • Compounded annual return / average of 25% largest draw downs
    1.18447
  • Compounded annual return / Expected Shortfall lognormal
    2.35371
  • 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
    0.10189
  • SD
    0.10845
  • Sharpe ratio (Glass type estimate)
    0.93955
  • Sharpe ratio (Hedges UMVUE)
    0.93920
  • df
    2059.00000
  • t
    2.63452
  • p
    0.00424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23988
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63902
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23964
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63877
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38113
  • Upside Potential Ratio
    7.68588
  • Upside part of mean
    0.56702
  • Downside part of mean
    -0.46513
  • Upside SD
    0.07970
  • Downside SD
    0.07377
  • N nonnegative terms
    1004.00000
  • N negative terms
    1056.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2060.00000
  • Mean of predictor
    0.09072
  • Mean of criterion
    0.10189
  • SD of predictor
    0.16949
  • SD of criterion
    0.10845
  • Covariance
    0.00773
  • r
    0.42048
  • b (slope, estimate of beta)
    0.26904
  • a (intercept, estimate of alpha)
    0.07700
  • Mean Square Error
    0.00969
  • DF error
    2058.00000
  • t(b)
    21.02410
  • p(b)
    0.00000
  • t(a)
    2.20637
  • p(a)
    0.01373
  • Lowerbound of 95% confidence interval for beta
    0.24394
  • Upperbound of 95% confidence interval for beta
    0.29414
  • Lowerbound of 95% confidence interval for alpha
    0.00861
  • Upperbound of 95% confidence interval for alpha
    0.14636
  • Treynor index (mean / b)
    0.37872
  • Jensen alpha (a)
    0.07748
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09599
  • SD
    0.10841
  • Sharpe ratio (Glass type estimate)
    0.88538
  • Sharpe ratio (Hedges UMVUE)
    0.88506
  • df
    2059.00000
  • t
    2.48263
  • p
    0.00656
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18578
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58479
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18555
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58456
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28828
  • Upside Potential Ratio
    7.56724
  • Upside part of mean
    0.56383
  • Downside part of mean
    -0.46784
  • Upside SD
    0.07894
  • Downside SD
    0.07451
  • N nonnegative terms
    1004.00000
  • N negative terms
    1056.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2060.00000
  • Mean of predictor
    0.07626
  • Mean of criterion
    0.09599
  • SD of predictor
    0.17024
  • SD of criterion
    0.10841
  • Covariance
    0.00777
  • r
    0.42072
  • b (slope, estimate of beta)
    0.26792
  • a (intercept, estimate of alpha)
    0.07556
  • Mean Square Error
    0.00968
  • DF error
    2058.00000
  • t(b)
    21.03840
  • p(b)
    0.00000
  • t(a)
    2.15272
  • p(a)
    0.01573
  • Lowerbound of 95% confidence interval for beta
    0.24295
  • Upperbound of 95% confidence interval for beta
    0.29290
  • Lowerbound of 95% confidence interval for alpha
    0.00672
  • Upperbound of 95% confidence interval for alpha
    0.14439
  • Treynor index (mean / b)
    0.35827
  • Jensen alpha (a)
    0.07556
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01059
  • Expected Shortfall on VaR
    0.01336
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00408
  • Expected Shortfall on VaR
    0.00869
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2060.00000
  • Minimum
    0.95804
  • Quartile 1
    0.99855
  • Median
    1.00001
  • Quartile 3
    1.00255
  • Maximum
    1.04983
  • Mean of quarter 1
    0.99344
  • Mean of quarter 2
    0.99967
  • Mean of quarter 3
    1.00105
  • Mean of quarter 4
    1.00782
  • Inter Quartile Range
    0.00400
  • Number outliers low
    143.00000
  • Percentage of outliers low
    0.06942
  • Mean of outliers low
    0.98577
  • Number of outliers high
    168.00000
  • Percentage of outliers high
    0.08155
  • Mean of outliers high
    1.01423
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45962
  • VaR(95%) (moments method)
    0.00557
  • Expected Shortfall (moments method)
    0.01228
  • Extreme Value Index (regression method)
    0.22291
  • VaR(95%) (regression method)
    0.00572
  • Expected Shortfall (regression method)
    0.00979
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    109.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00106
  • Median
    0.00391
  • Quartile 3
    0.01650
  • Maximum
    0.13691
  • Mean of quarter 1
    0.00039
  • Mean of quarter 2
    0.00242
  • Mean of quarter 3
    0.00887
  • Mean of quarter 4
    0.04867
  • Inter Quartile Range
    0.01544
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.10092
  • Mean of outliers high
    0.08249
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.50517
  • VaR(95%) (moments method)
    0.05115
  • Expected Shortfall (moments method)
    0.11494
  • Extreme Value Index (regression method)
    0.12227
  • VaR(95%) (regression method)
    0.04575
  • Expected Shortfall (regression method)
    0.06833
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20971
  • Compounded annual return (geometric extrapolation)
    0.13190
  • Calmar ratio (compounded annual return / max draw down)
    0.96339
  • Compounded annual return / average of 25% largest draw downs
    2.70990
  • Compounded annual return / Expected Shortfall lognormal
    9.87522
  • 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
    0.17659
  • SD
    0.13552
  • Sharpe ratio (Glass type estimate)
    1.30301
  • Sharpe ratio (Hedges UMVUE)
    1.29548
  • df
    130.00000
  • t
    0.92136
  • p
    0.45973
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47574
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07692
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48080
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07175
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24172
  • Upside Potential Ratio
    9.21444
  • Upside part of mean
    0.72585
  • Downside part of mean
    -0.54926
  • Upside SD
    0.11018
  • Downside SD
    0.07877
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02262
  • Mean of criterion
    0.17659
  • SD of predictor
    0.46010
  • SD of criterion
    0.13552
  • Covariance
    0.01211
  • r
    0.19420
  • b (slope, estimate of beta)
    0.05720
  • a (intercept, estimate of alpha)
    0.17529
  • Mean Square Error
    0.01781
  • DF error
    129.00000
  • t(b)
    2.24848
  • p(b)
    0.37715
  • t(a)
    0.92877
  • p(a)
    0.44817
  • Lowerbound of 95% confidence interval for beta
    0.00687
  • Upperbound of 95% confidence interval for beta
    0.10753
  • Lowerbound of 95% confidence interval for alpha
    -0.19813
  • Upperbound of 95% confidence interval for alpha
    0.54871
  • Treynor index (mean / b)
    3.08713
  • Jensen alpha (a)
    0.17529
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16747
  • SD
    0.13473
  • Sharpe ratio (Glass type estimate)
    1.24304
  • Sharpe ratio (Hedges UMVUE)
    1.23586
  • df
    130.00000
  • t
    0.87896
  • p
    0.46157
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01667
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54002
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01173
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.11037
  • Upside Potential Ratio
    9.07058
  • Upside part of mean
    0.71981
  • Downside part of mean
    -0.55234
  • Upside SD
    0.10873
  • Downside SD
    0.07936
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08343
  • Mean of criterion
    0.16747
  • SD of predictor
    0.46364
  • SD of criterion
    0.13473
  • Covariance
    0.01232
  • r
    0.19722
  • b (slope, estimate of beta)
    0.05731
  • a (intercept, estimate of alpha)
    0.17225
  • Mean Square Error
    0.01758
  • DF error
    129.00000
  • t(b)
    2.28485
  • p(b)
    0.37527
  • t(a)
    0.91856
  • p(a)
    0.44874
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    0.00768
  • Upperbound of 95% confidence interval for beta
    0.10694
  • Lowerbound of 95% confidence interval for alpha
    -0.19877
  • Upperbound of 95% confidence interval for alpha
    0.54328
  • Treynor index (mean / b)
    2.92224
  • Jensen alpha (a)
    0.17225
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01297
  • Expected Shortfall on VaR
    0.01639
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00512
  • Expected Shortfall on VaR
    0.01044
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97851
  • Quartile 1
    0.99844
  • Median
    1.00000
  • Quartile 3
    1.00251
  • Maximum
    1.04376
  • Mean of quarter 1
    0.99223
  • Mean of quarter 2
    0.99968
  • Mean of quarter 3
    1.00082
  • Mean of quarter 4
    1.01039
  • Inter Quartile Range
    0.00406
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.98675
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.01731
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22944
  • VaR(95%) (moments method)
    0.00587
  • Expected Shortfall (moments method)
    0.00995
  • Extreme Value Index (regression method)
    -0.12935
  • VaR(95%) (regression method)
    0.00926
  • Expected Shortfall (regression method)
    0.01300
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00161
  • Median
    0.00618
  • Quartile 3
    0.01717
  • Maximum
    0.07810
  • Mean of quarter 1
    0.00075
  • Mean of quarter 2
    0.00364
  • Mean of quarter 3
    0.00940
  • Mean of quarter 4
    0.04251
  • Inter Quartile Range
    0.01556
  • 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
    0.10000
  • Mean of outliers high
    0.07810
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.46546
  • VaR(95%) (moments method)
    0.04591
  • Expected Shortfall (moments method)
    0.05525
  • Extreme Value Index (regression method)
    1.13461
  • VaR(95%) (regression method)
    0.09035
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -262718000
  • Max Equity Drawdown (num days)
    79
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20524
  • Compounded annual return (geometric extrapolation)
    0.21577
  • Calmar ratio (compounded annual return / max draw down)
    2.76274
  • Compounded annual return / average of 25% largest draw downs
    5.07572
  • Compounded annual return / Expected Shortfall lognormal
    13.16550

Strategy Description

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

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

Equity per position is 15%

Max Positions is 10.

Average trade duration is 8 days.

Back-testing results available to subscribers.

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

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

The system may occasionally use protective puts on the SPY ETF to mitigate potential downside volatility during periods of higher leverage.

Summary Statistics

Strategy began
2012-08-13
Suggested Minimum Capital
$100,000
# Trades
1505
# Profitable
1041
% Profitable
69.2%
Net Dividends
Correlation S&P500
0.416
Sharpe Ratio
0.75
Sortino Ratio
1.10
Beta
0.28
Alpha
0.02
Leverage
0.91 Average
2.20 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

Leverage is the ratio of total 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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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.