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

oneofthebest
(144211599)

Created by: olatunji_akingbe2 olatunji_akingbe2
Started: 04/2023
Stocks
Last trade: 8 days ago
Trading style: Equity Momentum

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 $249.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
420.3%
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.

(68.2%)
Max Drawdown
705
Num Trades
85.0%
Win Trades
2.1 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                     (10.7%)+11.6%+22.1%+34.6%+79.3%+128.0%+7.5%+8.7%(5.8%)+636.3%
2024(26.6%)+35.9%(5.3%)+8.1%(5.1%)+1.7%                                    (1.4%)

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 637 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/14/24 10:26 ESTC ELASTIC NV LONG 100 109.75 6/6 12:03 112.52 1.58%
Trade id #148162830
Max drawdown($1,678)
Time5/30/24 0:00
Quant open100
Worst price92.96
Drawdown as % of equity-1.58%
$275
Includes Typical Broker Commissions trade costs of $2.00
5/30/24 15:18 COIN COINBASE GLOBAL INC. CLASS A LONG 42 240.72 6/6 9:50 252.56 0.86%
Trade id #148293965
Max drawdown($905)
Time5/31/24 0:00
Quant open42
Worst price219.17
Drawdown as % of equity-0.86%
$496
Includes Typical Broker Commissions trade costs of $0.84
4/25/24 10:35 WEBS DIREXION DAILY DOW JONES INTERNET BEAR 3X SHARES LONG 1,400 7.56 5/31 11:12 7.74 1.91%
Trade id #148009237
Max drawdown($2,047)
Time5/20/24 0:00
Quant open1,400
Worst price6.09
Drawdown as % of equity-1.91%
$244
Includes Typical Broker Commissions trade costs of $5.00
1/19/24 15:51 TFII TFI INTERNATIONAL INC SHORT 100 131.88 5/21 15:55 132.05 2.83%
Trade id #147070849
Max drawdown($3,025)
Time4/9/24 0:00
Quant open100
Worst price162.13
Drawdown as % of equity-2.83%
($19)
Includes Typical Broker Commissions trade costs of $2.00
5/7/24 12:06 SNOW SNOWFLAKE INC LONG 60 159.95 5/17 13:32 162.64 0.26%
Trade id #148112836
Max drawdown($272)
Time5/10/24 0:00
Quant open60
Worst price155.41
Drawdown as % of equity-0.26%
$160
Includes Typical Broker Commissions trade costs of $1.20
5/14/24 10:29 PANW PALO ALTO NETWORKS LONG 32 301.79 5/17 13:31 316.58 0.1%
Trade id #148162861
Max drawdown($107)
Time5/14/24 12:31
Quant open32
Worst price298.44
Drawdown as % of equity-0.10%
$472
Includes Typical Broker Commissions trade costs of $0.64
5/14/24 10:18 DPST DIREXION DAILY REGIONAL BANKS BULL 3X LONG 150 79.01 5/17 13:31 81.43 0.15%
Trade id #148162645
Max drawdown($157)
Time5/14/24 13:47
Quant open150
Worst price77.96
Drawdown as % of equity-0.15%
$360
Includes Typical Broker Commissions trade costs of $3.00
4/15/24 15:55 ARCH ARCH RESOURCES INC SHORT 70 157.89 5/15 9:40 157.47 0.71%
Trade id #147913727
Max drawdown($777)
Time4/17/24 0:00
Quant open70
Worst price169.00
Drawdown as % of equity-0.71%
$29
Includes Typical Broker Commissions trade costs of $1.40
4/22/24 9:53 DPST DIREXION DAILY REGIONAL BANKS BULL 3X SHORT 150 65.73 5/14 10:18 79.00 2.05%
Trade id #147974281
Max drawdown($2,151)
Time5/14/24 9:58
Quant open150
Worst price80.07
Drawdown as % of equity-2.05%
($1,994)
Includes Typical Broker Commissions trade costs of $3.00
2/26/24 9:52 ROKU ROKU INC. CLASS A COMMON STOCK LONG 150 65.09 5/14 10:14 66.08 1.22%
Trade id #147450136
Max drawdown($1,349)
Time4/26/24 0:00
Quant open150
Worst price56.10
Drawdown as % of equity-1.22%
$146
Includes Typical Broker Commissions trade costs of $3.00
4/4/24 15:47 ALNY ALNYLAM PHARMACEUTICALS LONG 66 151.32 5/3 11:13 153.70 0.55%
Trade id #147813332
Max drawdown($616)
Time4/25/24 0:00
Quant open66
Worst price141.97
Drawdown as % of equity-0.55%
$156
Includes Typical Broker Commissions trade costs of $1.32
4/22/24 9:55 FAS DIREXION DAILY FINANCIAL BULL SHORT 100 99.13 5/2 10:13 96.85 0.45%
Trade id #147974327
Max drawdown($493)
Time4/23/24 0:00
Quant open100
Worst price104.06
Drawdown as % of equity-0.45%
$226
Includes Typical Broker Commissions trade costs of $2.00
4/22/24 9:54 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X SHORT 250 39.96 5/2 9:33 38.15 0.59%
Trade id #147974308
Max drawdown($644)
Time4/29/24 0:00
Quant open250
Worst price42.54
Drawdown as % of equity-0.59%
$448
Includes Typical Broker Commissions trade costs of $5.00
4/22/24 9:58 NRGU MICROSECTORS U.S. BIG OIL 3X LEVERAGED ETN SHORT 16 618.85 5/2 9:33 569.39 0.55%
Trade id #147974393
Max drawdown($595)
Time4/29/24 0:00
Quant open16
Worst price656.09
Drawdown as % of equity-0.55%
$791
Includes Typical Broker Commissions trade costs of $0.32
4/8/24 10:11 AGYS AGILYSYS LONG 120 82.24 4/22 15:57 83.48 0.19%
Trade id #147836478
Max drawdown($205)
Time4/16/24 0:00
Quant open120
Worst price80.52
Drawdown as % of equity-0.19%
$147
Includes Typical Broker Commissions trade costs of $2.40
4/15/24 15:56 ADUS ADDUS HOMECARE SHORT 100 96.71 4/22 15:57 93.44 0.26%
Trade id #147913748
Max drawdown($280)
Time4/17/24 0:00
Quant open100
Worst price99.52
Drawdown as % of equity-0.26%
$325
Includes Typical Broker Commissions trade costs of $2.00
4/15/24 15:59 DLTR DOLLAR TREE STORES SHORT 80 125.52 4/19 10:52 122.49 0.02%
Trade id #147913902
Max drawdown($16)
Time4/16/24 0:00
Quant open80
Worst price125.72
Drawdown as % of equity-0.02%
$240
Includes Typical Broker Commissions trade costs of $1.60
4/2/24 15:06 CCOI COGENT COMMUNICATIONS HOLDINGS SHORT 160 62.67 4/16 11:22 62.07 0.41%
Trade id #147787780
Max drawdown($441)
Time4/11/24 0:00
Quant open160
Worst price65.43
Drawdown as % of equity-0.41%
$94
Includes Typical Broker Commissions trade costs of $3.20
4/15/24 15:53 TSLA TESLA INC. SHORT 60 161.92 4/16 11:21 157.14 0.01%
Trade id #147913680
Max drawdown($13)
Time4/15/24 15:56
Quant open60
Worst price162.14
Drawdown as % of equity-0.01%
$286
Includes Typical Broker Commissions trade costs of $1.20
4/2/24 15:13 TSLA TESLA INC. SHORT 60 166.01 4/15 15:53 161.86 0.74%
Trade id #147787847
Max drawdown($792)
Time4/9/24 0:00
Quant open60
Worst price179.22
Drawdown as % of equity-0.74%
$248
Includes Typical Broker Commissions trade costs of $1.20
3/25/24 10:38 ASND ASCENDIS PHARMA A/S AMERICAN D SHORT 70 144.83 4/15 15:49 146.35 0.79%
Trade id #147725479
Max drawdown($840)
Time4/10/24 0:00
Quant open70
Worst price156.84
Drawdown as % of equity-0.79%
($108)
Includes Typical Broker Commissions trade costs of $1.40
2/12/24 10:13 ITW ILLINOIS TOOL WORKS SHORT 40 255.31 4/11 12:01 259.60 0.6%
Trade id #147287955
Max drawdown($633)
Time3/22/24 0:00
Quant open40
Worst price271.15
Drawdown as % of equity-0.60%
($173)
Includes Typical Broker Commissions trade costs of $0.80
4/4/24 15:51 BMRN BIOMARIN PHARMACEUTICAL LONG 114 86.94 4/11 12:00 90.02 0.1%
Trade id #147813452
Max drawdown($105)
Time4/5/24 0:00
Quant open114
Worst price86.01
Drawdown as % of equity-0.10%
$350
Includes Typical Broker Commissions trade costs of $2.28
2/13/24 11:25 DRN DIREXION DAILY REAL ES BULL 3X SHORT 1,000 8.45 4/10 11:43 8.38 2.15%
Trade id #147325537
Max drawdown($1,978)
Time3/11/24 0:00
Quant open1,000
Worst price10.43
Drawdown as % of equity-2.15%
$61
Includes Typical Broker Commissions trade costs of $5.00
3/25/24 10:27 EXR EXTRA SPACE STORAGE SHORT 70 141.09 4/4 15:34 144.13 0.55%
Trade id #147725315
Max drawdown($578)
Time4/4/24 10:53
Quant open70
Worst price149.36
Drawdown as % of equity-0.55%
($214)
Includes Typical Broker Commissions trade costs of $1.40
4/2/24 15:52 TFX TELEFLEX SHORT 46 217.08 4/4 15:11 212.42 0.04%
Trade id #147788492
Max drawdown($41)
Time4/3/24 0:00
Quant open46
Worst price217.99
Drawdown as % of equity-0.04%
$213
Includes Typical Broker Commissions trade costs of $0.92
4/2/24 15:04 ADBE ADOBE INC SHORT 20 498.23 4/4 15:09 489.48 0.11%
Trade id #147787703
Max drawdown($117)
Time4/4/24 9:38
Quant open20
Worst price504.11
Drawdown as % of equity-0.11%
$175
Includes Typical Broker Commissions trade costs of $0.40
4/2/24 15:03 BA BOEING SHORT 54 187.62 4/4 15:09 184.30 0.06%
Trade id #147787698
Max drawdown($62)
Time4/3/24 0:00
Quant open54
Worst price188.78
Drawdown as % of equity-0.06%
$178
Includes Typical Broker Commissions trade costs of $1.08
3/26/24 15:50 ARCH ARCH RESOURCES INC SHORT 60 157.40 4/4 15:09 153.56 0.36%
Trade id #147740107
Max drawdown($372)
Time3/28/24 0:00
Quant open60
Worst price163.61
Drawdown as % of equity-0.36%
$229
Includes Typical Broker Commissions trade costs of $1.20
3/25/24 10:35 WDAY WORKDAY SHORT 36 275.36 4/4 15:09 271.13 0.16%
Trade id #147725462
Max drawdown($166)
Time3/27/24 0:00
Quant open36
Worst price279.99
Drawdown as % of equity-0.16%
$151
Includes Typical Broker Commissions trade costs of $0.72

Statistics

  • Strategy began
    4/6/2023
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    435.85
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    705
  • # Profitable
    599
  • % Profitable
    85.00%
  • Avg trade duration
    8.1 days
  • Max peak-to-valley drawdown
    68.2%
  • drawdown period
    June 27, 2023 - July 06, 2023
  • Annual Return (Compounded)
    420.3%
  • Avg win
    $325.05
  • Avg loss
    $890.41
  • Model Account Values (Raw)
  • Cash
    $158,315
  • Margin Used
    $92,699
  • Buying Power
    $40,074
  • Ratios
  • W:L ratio
    2.08:1
  • Sharpe Ratio
    1.71
  • Sortino Ratio
    2.88
  • Calmar Ratio
    12.011
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    593.42%
  • Correlation to SP500
    -0.09590
  • Return Percent SP500 (cumu) during strategy life
    32.32%
  • Return Statistics
  • Ann Return (w trading costs)
    420.3%
  • Slump
  • Current Slump as Pcnt Equity
    39.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.59%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    4.203%
  • Instruments
  • Percent Trades Options
    0.06%
  • Percent Trades Stocks
    0.94%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    448.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    89.50%
  • Chance of 20% account loss
    81.00%
  • Chance of 30% account loss
    72.00%
  • Chance of 40% account loss
    71.00%
  • Chance of 60% account loss (Monte Carlo)
    52.50%
  • Chance of 70% account loss (Monte Carlo)
    36.00%
  • Chance of 80% account loss (Monte Carlo)
    21.50%
  • Chance of 90% account loss (Monte Carlo)
    7.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    59.00%
  • Popularity
  • Popularity (Today)
    669
  • Popularity (Last 6 weeks)
    843
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    423
  • Popularity (7 days, Percentile 1000 scale)
    762
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $890
  • Avg Win
    $325
  • Sum Trade PL (losers)
    $94,383.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $194,706.000
  • # Winners
    599
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    -333
  • AUM
  • AUM (AutoTrader live capital)
    83952
  • Win / Loss
  • # Losers
    106
  • % Winners
    85.0%
  • Frequency
  • Avg Position Time (mins)
    11684.80
  • Avg Position Time (hrs)
    194.75
  • Avg Trade Length
    8.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.78
  • Daily leverage (max)
    11.54
  • Regression
  • Alpha
    0.66
  • Beta
    -0.90
  • Treynor Index
    -0.67
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.63
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    8.463
  • 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
    1.177
  • Avg(MAE) / Avg(PL) - Losing trades
    -4.648
  • Hold-and-Hope Ratio
    0.120
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.54872
  • SD
    1.36604
  • Sharpe ratio (Glass type estimate)
    1.86577
  • Sharpe ratio (Hedges UMVUE)
    1.74625
  • df
    12.00000
  • t
    1.94195
  • p
    0.25550
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19016
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85514
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26224
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.75474
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.59630
  • Upside Potential Ratio
    19.38660
  • Upside part of mean
    2.80804
  • Downside part of mean
    -0.25932
  • Upside SD
    1.49763
  • Downside SD
    0.14485
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.24223
  • Mean of criterion
    2.54872
  • SD of predictor
    0.10056
  • SD of criterion
    1.36604
  • Covariance
    -0.07909
  • r
    -0.57576
  • b (slope, estimate of beta)
    -7.82134
  • a (intercept, estimate of alpha)
    4.44331
  • Mean Square Error
    1.36088
  • DF error
    11.00000
  • t(b)
    -2.33555
  • p(b)
    0.98026
  • t(a)
    3.21151
  • p(a)
    0.00414
  • Lowerbound of 95% confidence interval for beta
    -15.19200
  • Upperbound of 95% confidence interval for beta
    -0.45064
  • Lowerbound of 95% confidence interval for alpha
    1.39812
  • Upperbound of 95% confidence interval for alpha
    7.48849
  • Treynor index (mean / b)
    -0.32587
  • Jensen alpha (a)
    4.44331
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.83940
  • SD
    0.95995
  • Sharpe ratio (Glass type estimate)
    1.91615
  • Sharpe ratio (Hedges UMVUE)
    1.79341
  • df
    12.00000
  • t
    1.99440
  • p
    0.25053
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14775
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91220
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22173
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80854
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.10760
  • Upside Potential Ratio
    13.88810
  • Upside part of mean
    2.10990
  • Downside part of mean
    -0.27050
  • Upside SD
    1.05332
  • Downside SD
    0.15192
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.23534
  • Mean of criterion
    1.83940
  • SD of predictor
    0.09855
  • SD of criterion
    0.95995
  • Covariance
    -0.05609
  • r
    -0.59289
  • b (slope, estimate of beta)
    -5.77545
  • a (intercept, estimate of alpha)
    3.19858
  • Mean Square Error
    0.65190
  • DF error
    11.00000
  • t(b)
    -2.44187
  • p(b)
    0.98364
  • t(a)
    3.35013
  • p(a)
    0.00324
  • Lowerbound of 95% confidence interval for beta
    -10.98120
  • Upperbound of 95% confidence interval for beta
    -0.56973
  • Lowerbound of 95% confidence interval for alpha
    1.09716
  • Upperbound of 95% confidence interval for alpha
    5.30000
  • Treynor index (mean / b)
    -0.31849
  • Jensen alpha (a)
    3.19858
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.26105
  • Expected Shortfall on VaR
    0.33852
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04233
  • Expected Shortfall on VaR
    0.08365
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.89244
  • Quartile 1
    0.96667
  • Median
    1.05255
  • Quartile 3
    1.23502
  • Maximum
    2.25724
  • Mean of quarter 1
    0.93084
  • Mean of quarter 2
    1.01721
  • Mean of quarter 3
    1.17181
  • Mean of quarter 4
    1.82356
  • Inter Quartile Range
    0.26835
  • 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
    0.15385
  • Mean of outliers high
    1.95884
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.56905
  • VaR(95%) (moments method)
    0.07470
  • Expected Shortfall (moments method)
    0.07722
  • Extreme Value Index (regression method)
    -0.86503
  • VaR(95%) (regression method)
    0.10596
  • Expected Shortfall (regression method)
    0.11554
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.10756
  • Quartile 1
    0.11376
  • Median
    0.11996
  • Quartile 3
    0.12616
  • Maximum
    0.13236
  • Mean of quarter 1
    0.10756
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13236
  • Inter Quartile Range
    0.01240
  • 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)
    5.84790
  • Compounded annual return (geometric extrapolation)
    5.29279
  • Calmar ratio (compounded annual return / max draw down)
    39.98730
  • Compounded annual return / average of 25% largest draw downs
    39.98730
  • Compounded annual return / Expected Shortfall lognormal
    15.63510
  • 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
    2.23195
  • SD
    0.99427
  • Sharpe ratio (Glass type estimate)
    2.24482
  • Sharpe ratio (Hedges UMVUE)
    2.23928
  • df
    304.00000
  • t
    2.42203
  • p
    0.00801
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41775
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06829
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41402
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06453
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.77969
  • Upside Potential Ratio
    9.69011
  • Upside part of mean
    5.72211
  • Downside part of mean
    -3.49016
  • Upside SD
    0.80971
  • Downside SD
    0.59051
  • N nonnegative terms
    167.00000
  • N negative terms
    138.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    305.00000
  • Mean of predictor
    0.24732
  • Mean of criterion
    2.23195
  • SD of predictor
    0.11570
  • SD of criterion
    0.99427
  • Covariance
    -0.01193
  • r
    -0.10374
  • b (slope, estimate of beta)
    -0.89151
  • a (intercept, estimate of alpha)
    2.45200
  • Mean Square Error
    0.98115
  • DF error
    303.00000
  • t(b)
    -1.81565
  • p(b)
    0.96479
  • t(a)
    2.64827
  • p(a)
    0.00426
  • Lowerbound of 95% confidence interval for beta
    -1.85774
  • Upperbound of 95% confidence interval for beta
    0.07472
  • Lowerbound of 95% confidence interval for alpha
    0.63013
  • Upperbound of 95% confidence interval for alpha
    4.27474
  • Treynor index (mean / b)
    -2.50355
  • Jensen alpha (a)
    2.45243
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.74833
  • SD
    0.97432
  • Sharpe ratio (Glass type estimate)
    1.79440
  • Sharpe ratio (Hedges UMVUE)
    1.78997
  • df
    304.00000
  • t
    1.93606
  • p
    0.02689
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02920
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61509
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03215
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61209
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68694
  • Upside Potential Ratio
    8.35542
  • Upside part of mean
    5.43668
  • Downside part of mean
    -3.68835
  • Upside SD
    0.73108
  • Downside SD
    0.65068
  • N nonnegative terms
    167.00000
  • N negative terms
    138.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    305.00000
  • Mean of predictor
    0.24054
  • Mean of criterion
    1.74833
  • SD of predictor
    0.11560
  • SD of criterion
    0.97432
  • Covariance
    -0.01001
  • r
    -0.08883
  • b (slope, estimate of beta)
    -0.74868
  • a (intercept, estimate of alpha)
    1.92842
  • Mean Square Error
    0.94493
  • DF error
    303.00000
  • t(b)
    -1.55237
  • p(b)
    0.93919
  • t(a)
    2.12291
  • p(a)
    0.01729
  • Lowerbound of 95% confidence interval for beta
    -1.69773
  • Upperbound of 95% confidence interval for beta
    0.20037
  • Lowerbound of 95% confidence interval for alpha
    0.14088
  • Upperbound of 95% confidence interval for alpha
    3.71597
  • Treynor index (mean / b)
    -2.33521
  • Jensen alpha (a)
    1.92842
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08820
  • Expected Shortfall on VaR
    0.11063
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02796
  • Expected Shortfall on VaR
    0.06179
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    305.00000
  • Minimum
    0.70520
  • Quartile 1
    0.98979
  • Median
    1.00306
  • Quartile 3
    1.02737
  • Maximum
    1.49306
  • Mean of quarter 1
    0.95077
  • Mean of quarter 2
    0.99677
  • Mean of quarter 3
    1.01229
  • Mean of quarter 4
    1.07500
  • Inter Quartile Range
    0.03759
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.06230
  • Mean of outliers low
    0.87578
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.06557
  • Mean of outliers high
    1.14895
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.69339
  • VaR(95%) (moments method)
    0.04592
  • Expected Shortfall (moments method)
    0.16614
  • Extreme Value Index (regression method)
    0.59257
  • VaR(95%) (regression method)
    0.04031
  • Expected Shortfall (regression method)
    0.11135
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00068
  • Quartile 1
    0.01046
  • Median
    0.03580
  • Quartile 3
    0.25084
  • Maximum
    0.39505
  • Mean of quarter 1
    0.00623
  • Mean of quarter 2
    0.02477
  • Mean of quarter 3
    0.15435
  • Mean of quarter 4
    0.34153
  • Inter Quartile Range
    0.24038
  • 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)
    -5.32169
  • VaR(95%) (moments method)
    0.34161
  • Expected Shortfall (moments method)
    0.34163
  • Extreme Value Index (regression method)
    -0.66401
  • VaR(95%) (regression method)
    0.31958
  • Expected Shortfall (regression method)
    0.33250
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    5.71617
  • Compounded annual return (geometric extrapolation)
    4.74501
  • Calmar ratio (compounded annual return / max draw down)
    12.01130
  • Compounded annual return / average of 25% largest draw downs
    13.89330
  • Compounded annual return / Expected Shortfall lognormal
    42.89060
  • 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
    0.04928
  • SD
    0.47548
  • Sharpe ratio (Glass type estimate)
    0.10363
  • Sharpe ratio (Hedges UMVUE)
    0.10304
  • df
    130.00000
  • t
    0.07328
  • p
    0.49679
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.66832
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.66880
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87487
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13517
  • Upside Potential Ratio
    6.58460
  • Upside part of mean
    2.40041
  • Downside part of mean
    -2.35113
  • Upside SD
    0.30245
  • Downside SD
    0.36455
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31967
  • Mean of criterion
    0.04928
  • SD of predictor
    0.11038
  • SD of criterion
    0.47548
  • Covariance
    0.00160
  • r
    0.03045
  • b (slope, estimate of beta)
    0.13115
  • a (intercept, estimate of alpha)
    0.00735
  • Mean Square Error
    0.22763
  • DF error
    129.00000
  • t(b)
    0.34597
  • p(b)
    0.48062
  • t(a)
    0.01072
  • p(a)
    0.49940
  • Lowerbound of 95% confidence interval for beta
    -0.61889
  • Upperbound of 95% confidence interval for beta
    0.88119
  • Lowerbound of 95% confidence interval for alpha
    -1.34897
  • Upperbound of 95% confidence interval for alpha
    1.36367
  • Treynor index (mean / b)
    0.37572
  • Jensen alpha (a)
    0.00735
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06511
  • SD
    0.48271
  • Sharpe ratio (Glass type estimate)
    -0.13489
  • Sharpe ratio (Hedges UMVUE)
    -0.13412
  • df
    130.00000
  • t
    -0.09539
  • p
    0.50418
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.90651
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63720
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.90597
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63774
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17108
  • Upside Potential Ratio
    6.19112
  • Upside part of mean
    2.35639
  • Downside part of mean
    -2.42150
  • Upside SD
    0.29391
  • Downside SD
    0.38061
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31344
  • Mean of criterion
    -0.06511
  • SD of predictor
    0.11030
  • SD of criterion
    0.48271
  • Covariance
    0.00185
  • r
    0.03469
  • b (slope, estimate of beta)
    0.15180
  • a (intercept, estimate of alpha)
    -0.11270
  • Mean Square Error
    0.23453
  • DF error
    129.00000
  • t(b)
    0.39422
  • p(b)
    0.47792
  • t(a)
    -0.16205
  • p(a)
    0.50908
  • VAR (95 Confidence Intrvl)
    0.08800
  • Lowerbound of 95% confidence interval for beta
    -0.61007
  • Upperbound of 95% confidence interval for beta
    0.91367
  • Lowerbound of 95% confidence interval for alpha
    -1.48863
  • Upperbound of 95% confidence interval for alpha
    1.26323
  • Treynor index (mean / b)
    -0.42895
  • Jensen alpha (a)
    -0.11270
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04811
  • Expected Shortfall on VaR
    0.05984
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01914
  • Expected Shortfall on VaR
    0.04118
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89412
  • Quartile 1
    0.99140
  • Median
    1.00186
  • Quartile 3
    1.00945
  • Maximum
    1.10785
  • Mean of quarter 1
    0.96741
  • Mean of quarter 2
    0.99721
  • Mean of quarter 3
    1.00579
  • Mean of quarter 4
    1.03051
  • Inter Quartile Range
    0.01805
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.91739
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.05683
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65758
  • VaR(95%) (moments method)
    0.03303
  • Expected Shortfall (moments method)
    0.10543
  • Extreme Value Index (regression method)
    -0.02321
  • VaR(95%) (regression method)
    0.02268
  • Expected Shortfall (regression method)
    0.03106
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06728
  • Quartile 1
    0.12481
  • Median
    0.18235
  • Quartile 3
    0.23988
  • Maximum
    0.29741
  • Mean of quarter 1
    0.06728
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.29741
  • Inter Quartile Range
    0.11507
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -335103000
  • Max Equity Drawdown (num days)
    9
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.06407
  • Compounded annual return (geometric extrapolation)
    -0.06304
  • Calmar ratio (compounded annual return / max draw down)
    -0.21196
  • Compounded annual return / average of 25% largest draw downs
    -0.21196
  • Compounded annual return / Expected Shortfall lognormal
    -1.05355

Strategy Description

Summary Statistics

Strategy began
2023-04-06
Suggested Minimum Capital
$25,000
# Trades
705
# Profitable
599
% Profitable
85.0%
Net Dividends
Correlation S&P500
-0.096
Sharpe Ratio
1.71
Sortino Ratio
2.88
Beta
-0.90
Alpha
0.66
Leverage
2.78 Average
11.54 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.