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

Elcano
(142996842)

Created by: Minguez Minguez
Started: 12/2022
Stocks
Last trade: 2 days ago
Trading style: Equity Short-term Reversal

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 $125.00 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
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
10.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(12.8%)
Max Drawdown
208
Num Trades
65.4%
Win Trades
1.5 : 1
Profit Factor
63.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (0.5%)(0.5%)
2023+4.4%(3.6%)+9.8%+0.1%+0.1%+0.6%+0.9%+2.3%(4.8%)(4%)(1.6%)+3.8%+7.5%
2024(1.4%)+4.1%+2.3%(0.2%)+3.3%+0.2%                                    +8.4%

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 24 hours.

Trading Record

This strategy has placed 70 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 267 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/12/24 9:35 SPY SPDR S&P 500 SHORT 70 541.36 6/12 15:59 541.78 0.67%
Trade id #148388557
Max drawdown($193)
Time6/12/24 15:21
Quant open70
Worst price544.12
Drawdown as % of equity-0.67%
($30)
Includes Typical Broker Commissions trade costs of $1.40
6/6/24 10:03 SPY SPDR S&P 500 LONG 105 534.87 6/11 15:59 535.12 0.79%
Trade id #148344416
Max drawdown($229)
Time6/6/24 14:10
Quant open105
Worst price532.68
Drawdown as % of equity-0.79%
$24
Includes Typical Broker Commissions trade costs of $2.10
6/5/24 9:38 SPY SPDR S&P 500 SHORT 35 530.36 6/5 15:58 534.44 0.51%
Trade id #148333957
Max drawdown($148)
Time6/5/24 15:56
Quant open35
Worst price534.61
Drawdown as % of equity-0.51%
($144)
Includes Typical Broker Commissions trade costs of $0.70
6/3/24 9:56 SPY SPDR S&P 500 LONG 105 527.39 6/5 9:31 528.63 1.76%
Trade id #148314524
Max drawdown($502)
Time6/3/24 13:11
Quant open105
Worst price522.60
Drawdown as % of equity-1.76%
$128
Includes Typical Broker Commissions trade costs of $2.10
6/3/24 9:36 SPY SPDR S&P 500 SHORT 35 528.70 6/3 9:56 527.39 0.05%
Trade id #148313877
Max drawdown($15)
Time6/3/24 9:43
Quant open35
Worst price529.15
Drawdown as % of equity-0.05%
$45
Includes Typical Broker Commissions trade costs of $0.70
5/28/24 9:46 SPY SPDR S&P 500 LONG 180 527.43 6/3 9:31 525.88 2.28%
Trade id #148269444
Max drawdown($653)
Time5/31/24 0:00
Quant open72
Worst price518.36
Drawdown as % of equity-2.28%
($284)
Includes Typical Broker Commissions trade costs of $3.60
5/28/24 9:31 SPY SPDR S&P 500 SHORT 72 530.38 5/28 9:46 529.46 0.02%
Trade id #148268917
Max drawdown($6)
Time5/28/24 9:34
Quant open72
Worst price530.47
Drawdown as % of equity-0.02%
$65
Includes Typical Broker Commissions trade costs of $1.44
5/23/24 9:53 SPY SPDR S&P 500 LONG 108 529.85 5/24 15:59 528.14 1.92%
Trade id #148234452
Max drawdown($554)
Time5/23/24 15:12
Quant open108
Worst price524.72
Drawdown as % of equity-1.92%
($187)
Includes Typical Broker Commissions trade costs of $2.16
5/23/24 9:36 SPY SPDR S&P 500 SHORT 36 532.30 5/23 9:53 529.85 n/a $87
Includes Typical Broker Commissions trade costs of $0.72
5/21/24 15:59 SPY SPDR S&P 500 LONG 36 531.37 5/23 9:31 532.30 0.46%
Trade id #148220460
Max drawdown($135)
Time5/22/24 0:00
Quant open36
Worst price527.60
Drawdown as % of equity-0.46%
$32
Includes Typical Broker Commissions trade costs of $0.72
5/21/24 9:31 SPY SPDR S&P 500 LONG 72 529.28 5/21 10:30 530.04 n/a $54
Includes Typical Broker Commissions trade costs of $1.44
5/20/24 9:35 SPY SPDR S&P 500 SHORT 36 529.77 5/20 15:59 529.56 0.22%
Trade id #148206512
Max drawdown($64)
Time5/20/24 11:33
Quant open36
Worst price531.56
Drawdown as % of equity-0.22%
$7
Includes Typical Broker Commissions trade costs of $0.72
5/16/24 10:07 SPY SPDR S&P 500 LONG 72 529.82 5/20 9:31 529.42 0.31%
Trade id #148183884
Max drawdown($92)
Time5/16/24 15:59
Quant open72
Worst price528.54
Drawdown as % of equity-0.31%
($30)
Includes Typical Broker Commissions trade costs of $1.44
5/16/24 9:31 SPY SPDR S&P 500 SHORT 72 530.16 5/16 10:07 529.80 0.04%
Trade id #148182949
Max drawdown($12)
Time5/16/24 9:38
Quant open72
Worst price530.33
Drawdown as % of equity-0.04%
$25
Includes Typical Broker Commissions trade costs of $1.44
5/15/24 9:31 SPY SPDR S&P 500 SHORT 72 526.06 5/15 15:59 529.91 0.98%
Trade id #148171743
Max drawdown($289)
Time5/15/24 15:57
Quant open72
Worst price530.08
Drawdown as % of equity-0.98%
($278)
Includes Typical Broker Commissions trade costs of $1.44
5/13/24 11:29 SPY SPDR S&P 500 LONG 72 520.84 5/14 15:59 522.22 0.27%
Trade id #148154631
Max drawdown($79)
Time5/13/24 13:10
Quant open72
Worst price519.74
Drawdown as % of equity-0.27%
$98
Includes Typical Broker Commissions trade costs of $1.44
5/13/24 9:31 SPY SPDR S&P 500 SHORT 72 522.37 5/13 11:29 520.86 n/a $108
Includes Typical Broker Commissions trade costs of $1.44
5/10/24 10:54 SPY SPDR S&P 500 LONG 72 520.15 5/10 15:59 521.28 0.14%
Trade id #148141466
Max drawdown($40)
Time5/10/24 11:44
Quant open72
Worst price519.59
Drawdown as % of equity-0.14%
$80
Includes Typical Broker Commissions trade costs of $1.44
5/10/24 9:31 SPY SPDR S&P 500 SHORT 72 521.50 5/10 10:54 520.18 0.28%
Trade id #148139841
Max drawdown($82)
Time5/10/24 9:49
Quant open72
Worst price522.63
Drawdown as % of equity-0.28%
$94
Includes Typical Broker Commissions trade costs of $1.44
5/9/24 9:40 SPY SPDR S&P 500 LONG 108 517.23 5/9 15:59 520.03 0.15%
Trade id #148131185
Max drawdown($44)
Time5/9/24 9:43
Quant open108
Worst price516.82
Drawdown as % of equity-0.15%
$300
Includes Typical Broker Commissions trade costs of $2.16
5/9/24 9:31 SPY SPDR S&P 500 SHORT 36 517.64 5/9 9:40 517.21 0.02%
Trade id #148130827
Max drawdown($5)
Time5/9/24 9:35
Quant open36
Worst price517.79
Drawdown as % of equity-0.02%
$14
Includes Typical Broker Commissions trade costs of $0.72
5/8/24 15:59 SPY SPDR S&P 500 LONG 36 517.59 5/9 9:31 517.64 0.03%
Trade id #148126805
Max drawdown($9)
Time5/9/24 9:30
Quant open36
Worst price517.34
Drawdown as % of equity-0.03%
$1
Includes Typical Broker Commissions trade costs of $0.72
5/8/24 9:31 SPY SPDR S&P 500 LONG 72 515.67 5/8 10:28 517.12 0.09%
Trade id #148121513
Max drawdown($27)
Time5/8/24 9:34
Quant open72
Worst price515.29
Drawdown as % of equity-0.09%
$103
Includes Typical Broker Commissions trade costs of $1.44
5/7/24 14:32 SPY SPDR S&P 500 LONG 72 516.55 5/7 15:59 517.48 0.03%
Trade id #148114191
Max drawdown($7)
Time5/7/24 14:36
Quant open72
Worst price516.45
Drawdown as % of equity-0.03%
$66
Includes Typical Broker Commissions trade costs of $1.44
5/7/24 9:31 SPY SPDR S&P 500 SHORT 72 517.74 5/7 14:32 516.59 0.21%
Trade id #148109835
Max drawdown($59)
Time5/7/24 13:32
Quant open72
Worst price518.57
Drawdown as % of equity-0.21%
$82
Includes Typical Broker Commissions trade costs of $1.44
5/2/24 15:59 SPY SPDR S&P 500 LONG 108 504.52 5/3 15:59 511.20 n/a $719
Includes Typical Broker Commissions trade costs of $2.16
4/30/24 15:59 SPY SPDR S&P 500 LONG 108 502.13 5/1 15:59 501.51 0.88%
Trade id #148055953
Max drawdown($244)
Time5/1/24 12:01
Quant open108
Worst price499.87
Drawdown as % of equity-0.88%
($70)
Includes Typical Broker Commissions trade costs of $2.16
4/26/24 15:58 SPY SPDR S&P 500 LONG 140 508.42 4/29 15:59 510.03 0.44%
Trade id #148026485
Max drawdown($122)
Time4/29/24 15:07
Quant open105
Worst price507.25
Drawdown as % of equity-0.44%
$224
Includes Typical Broker Commissions trade costs of $2.80
4/25/24 15:58 SPY SPDR S&P 500 SHORT 108 505.21 4/26 15:58 508.56 1.83%
Trade id #148014411
Max drawdown($504)
Time4/26/24 13:36
Quant open108
Worst price509.88
Drawdown as % of equity-1.83%
($364)
Includes Typical Broker Commissions trade costs of $2.16
4/23/24 15:58 SPY SPDR S&P 500 LONG 144 505.35 4/25 15:58 504.10 3.08%
Trade id #147990543
Max drawdown($848)
Time4/25/24 10:03
Quant open108
Worst price497.49
Drawdown as % of equity-3.08%
($183)
Includes Typical Broker Commissions trade costs of $2.88

Statistics

  • Strategy began
    12/26/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    536.81
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    208
  • # Profitable
    136
  • % Profitable
    65.40%
  • Avg trade duration
    1.9 days
  • Max peak-to-valley drawdown
    12.76%
  • drawdown period
    Sept 13, 2023 - Nov 13, 2023
  • Annual Return (Compounded)
    10.5%
  • Avg win
    $165.54
  • Avg loss
    $213.97
  • Model Account Values (Raw)
  • Cash
    $22,657
  • Margin Used
    $0
  • Buying Power
    $22,641
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0.7
  • Sortino Ratio
    1.07
  • Calmar Ratio
    1.723
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -25.36%
  • Correlation to SP500
    0.39690
  • Return Percent SP500 (cumu) during strategy life
    41.27%
  • Return Statistics
  • Ann Return (w trading costs)
    10.5%
  • Slump
  • Current Slump as Pcnt Equity
    3.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • 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)
    0.105%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% 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 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    339
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $214
  • Avg Win
    $166
  • Sum Trade PL (losers)
    $15,406.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $22,513.000
  • # Winners
    136
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    35
  • Win / Loss
  • # Losers
    72
  • % Winners
    65.4%
  • Frequency
  • Avg Position Time (mins)
    2775.15
  • Avg Position Time (hrs)
    46.25
  • Avg Trade Length
    1.9 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.07
  • Daily leverage (max)
    2.13
  • Regression
  • Alpha
    0.00
  • Beta
    0.34
  • Treynor Index
    0.07
  • 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)
    -3.67
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -31.478
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.933
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.558
  • Hold-and-Hope Ratio
    -0.029
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15088
  • SD
    0.09912
  • Sharpe ratio (Glass type estimate)
    1.52223
  • Sharpe ratio (Hedges UMVUE)
    1.44955
  • df
    16.00000
  • t
    1.81182
  • p
    0.29370
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22698
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22861
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27204
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17113
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26117
  • Upside Potential Ratio
    4.64746
  • Upside part of mean
    0.21502
  • Downside part of mean
    -0.06414
  • Upside SD
    0.09488
  • Downside SD
    0.04627
  • N nonnegative terms
    14.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.19972
  • Mean of criterion
    0.15088
  • SD of predictor
    0.12942
  • SD of criterion
    0.09912
  • Covariance
    0.00166
  • r
    0.12924
  • b (slope, estimate of beta)
    0.09898
  • a (intercept, estimate of alpha)
    0.13111
  • Mean Square Error
    0.01030
  • DF error
    15.00000
  • t(b)
    0.50480
  • p(b)
    0.41795
  • t(a)
    1.39706
  • p(a)
    0.28820
  • Lowerbound of 95% confidence interval for beta
    -0.31897
  • Upperbound of 95% confidence interval for beta
    0.51694
  • Lowerbound of 95% confidence interval for alpha
    -0.06892
  • Upperbound of 95% confidence interval for alpha
    0.33114
  • Treynor index (mean / b)
    1.52428
  • Jensen alpha (a)
    0.13111
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14512
  • SD
    0.09742
  • Sharpe ratio (Glass type estimate)
    1.48969
  • Sharpe ratio (Hedges UMVUE)
    1.41856
  • df
    16.00000
  • t
    1.77308
  • p
    0.29738
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25582
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19307
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29992
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13704
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.08631
  • Upside Potential Ratio
    4.47039
  • Upside part of mean
    0.21020
  • Downside part of mean
    -0.06508
  • Upside SD
    0.09206
  • Downside SD
    0.04702
  • N nonnegative terms
    14.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.19002
  • Mean of criterion
    0.14512
  • SD of predictor
    0.12715
  • SD of criterion
    0.09742
  • Covariance
    0.00183
  • r
    0.14739
  • b (slope, estimate of beta)
    0.11292
  • a (intercept, estimate of alpha)
    0.12366
  • Mean Square Error
    0.00990
  • DF error
    15.00000
  • t(b)
    0.57713
  • p(b)
    0.40651
  • t(a)
    1.35150
  • p(a)
    0.29411
  • Lowerbound of 95% confidence interval for beta
    -0.30411
  • Upperbound of 95% confidence interval for beta
    0.52994
  • Lowerbound of 95% confidence interval for alpha
    -0.07137
  • Upperbound of 95% confidence interval for alpha
    0.31869
  • Treynor index (mean / b)
    1.28519
  • Jensen alpha (a)
    0.12366
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03359
  • Expected Shortfall on VaR
    0.04482
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00524
  • Expected Shortfall on VaR
    0.01414
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.95852
  • Quartile 1
    1.00424
  • Median
    1.01445
  • Quartile 3
    1.03146
  • Maximum
    1.08173
  • Mean of quarter 1
    0.98479
  • Mean of quarter 2
    1.01068
  • Mean of quarter 3
    1.02100
  • Mean of quarter 4
    1.05067
  • Inter Quartile Range
    0.02722
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.95852
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    1.08173
  • 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)
    -0.91873
  • VaR(95%) (regression method)
    0.03134
  • Expected Shortfall (regression method)
    0.03703
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.08169
  • Quartile 1
    0.08169
  • Median
    0.08169
  • Quartile 3
    0.08169
  • Maximum
    0.08169
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19608
  • Compounded annual return (geometric extrapolation)
    0.18890
  • Calmar ratio (compounded annual return / max draw down)
    2.31238
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.21424
  • 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
    0.14898
  • SD
    0.10098
  • Sharpe ratio (Glass type estimate)
    1.47543
  • Sharpe ratio (Hedges UMVUE)
    1.47252
  • df
    381.00000
  • t
    1.78155
  • p
    0.03781
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10107
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15402
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09907
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.33994
  • Upside Potential Ratio
    9.59094
  • Upside part of mean
    0.61066
  • Downside part of mean
    -0.46167
  • Upside SD
    0.07874
  • Downside SD
    0.06367
  • N nonnegative terms
    201.00000
  • N negative terms
    181.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    382.00000
  • Mean of predictor
    0.21703
  • Mean of criterion
    0.14898
  • SD of predictor
    0.12560
  • SD of criterion
    0.10098
  • Covariance
    0.00531
  • r
    0.41837
  • b (slope, estimate of beta)
    0.33635
  • a (intercept, estimate of alpha)
    0.07600
  • Mean Square Error
    0.00843
  • DF error
    380.00000
  • t(b)
    8.97911
  • p(b)
    0.00000
  • t(a)
    0.99344
  • p(a)
    0.16056
  • Lowerbound of 95% confidence interval for beta
    0.26269
  • Upperbound of 95% confidence interval for beta
    0.41000
  • Lowerbound of 95% confidence interval for alpha
    -0.07441
  • Upperbound of 95% confidence interval for alpha
    0.22638
  • Treynor index (mean / b)
    0.44295
  • Jensen alpha (a)
    0.07599
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14386
  • SD
    0.10080
  • Sharpe ratio (Glass type estimate)
    1.42710
  • Sharpe ratio (Hedges UMVUE)
    1.42429
  • df
    381.00000
  • t
    1.72319
  • p
    0.04283
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20016
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05253
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20204
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05061
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24452
  • Upside Potential Ratio
    9.47896
  • Upside part of mean
    0.60752
  • Downside part of mean
    -0.46367
  • Upside SD
    0.07814
  • Downside SD
    0.06409
  • N nonnegative terms
    201.00000
  • N negative terms
    181.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    382.00000
  • Mean of predictor
    0.20906
  • Mean of criterion
    0.14386
  • SD of predictor
    0.12549
  • SD of criterion
    0.10080
  • Covariance
    0.00530
  • r
    0.41864
  • b (slope, estimate of beta)
    0.33627
  • a (intercept, estimate of alpha)
    0.07355
  • Mean Square Error
    0.00840
  • DF error
    380.00000
  • t(b)
    8.98617
  • p(b)
    0.00000
  • t(a)
    0.96379
  • p(a)
    0.16788
  • Lowerbound of 95% confidence interval for beta
    0.26270
  • Upperbound of 95% confidence interval for beta
    0.40985
  • Lowerbound of 95% confidence interval for alpha
    -0.07650
  • Upperbound of 95% confidence interval for alpha
    0.22361
  • Treynor index (mean / b)
    0.42779
  • Jensen alpha (a)
    0.07355
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00965
  • Expected Shortfall on VaR
    0.01222
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00389
  • Expected Shortfall on VaR
    0.00798
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    382.00000
  • Minimum
    0.97505
  • Quartile 1
    0.99804
  • Median
    1.00025
  • Quartile 3
    1.00313
  • Maximum
    1.02975
  • Mean of quarter 1
    0.99374
  • Mean of quarter 2
    0.99946
  • Mean of quarter 3
    1.00141
  • Mean of quarter 4
    1.00808
  • Inter Quartile Range
    0.00510
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.04712
  • Mean of outliers low
    0.98607
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.05236
  • Mean of outliers high
    1.01685
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21864
  • VaR(95%) (moments method)
    0.00561
  • Expected Shortfall (moments method)
    0.00906
  • Extreme Value Index (regression method)
    -0.10668
  • VaR(95%) (regression method)
    0.00623
  • Expected Shortfall (regression method)
    0.00841
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00088
  • Quartile 1
    0.00549
  • Median
    0.01098
  • Quartile 3
    0.02179
  • Maximum
    0.10879
  • Mean of quarter 1
    0.00229
  • Mean of quarter 2
    0.00872
  • Mean of quarter 3
    0.01413
  • Mean of quarter 4
    0.05542
  • Inter Quartile Range
    0.01629
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15790
  • Mean of outliers high
    0.07369
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.68832
  • VaR(95%) (moments method)
    0.05582
  • Expected Shortfall (moments method)
    0.06364
  • Extreme Value Index (regression method)
    0.06548
  • VaR(95%) (regression method)
    0.08736
  • Expected Shortfall (regression method)
    0.13218
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19518
  • Compounded annual return (geometric extrapolation)
    0.18740
  • Calmar ratio (compounded annual return / max draw down)
    1.72255
  • Compounded annual return / average of 25% largest draw downs
    3.38109
  • Compounded annual return / Expected Shortfall lognormal
    15.33670
  • 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
    0.27055
  • SD
    0.10496
  • Sharpe ratio (Glass type estimate)
    2.57780
  • Sharpe ratio (Hedges UMVUE)
    2.56290
  • df
    130.00000
  • t
    1.82278
  • p
    0.42107
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21652
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.36241
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22636
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.35216
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.93110
  • Upside Potential Ratio
    12.95150
  • Upside part of mean
    0.71061
  • Downside part of mean
    -0.44005
  • Upside SD
    0.09056
  • Downside SD
    0.05487
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29177
  • Mean of criterion
    0.27055
  • SD of predictor
    0.11038
  • SD of criterion
    0.10496
  • Covariance
    0.00507
  • r
    0.43733
  • b (slope, estimate of beta)
    0.41583
  • a (intercept, estimate of alpha)
    0.14923
  • Mean Square Error
    0.00898
  • DF error
    129.00000
  • t(b)
    5.52331
  • p(b)
    0.23074
  • t(a)
    1.09899
  • p(a)
    0.43878
  • Lowerbound of 95% confidence interval for beta
    0.26687
  • Upperbound of 95% confidence interval for beta
    0.56478
  • Lowerbound of 95% confidence interval for alpha
    -0.11943
  • Upperbound of 95% confidence interval for alpha
    0.41789
  • Treynor index (mean / b)
    0.65063
  • Jensen alpha (a)
    0.14923
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26496
  • SD
    0.10445
  • Sharpe ratio (Glass type estimate)
    2.53670
  • Sharpe ratio (Hedges UMVUE)
    2.52203
  • df
    130.00000
  • t
    1.79372
  • p
    0.42230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25694
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.32087
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26667
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.31074
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.80668
  • Upside Potential Ratio
    12.81640
  • Upside part of mean
    0.70648
  • Downside part of mean
    -0.44152
  • Upside SD
    0.08975
  • Downside SD
    0.05512
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28554
  • Mean of criterion
    0.26496
  • SD of predictor
    0.11030
  • SD of criterion
    0.10445
  • Covariance
    0.00503
  • r
    0.43675
  • b (slope, estimate of beta)
    0.41358
  • a (intercept, estimate of alpha)
    0.14687
  • Mean Square Error
    0.00890
  • DF error
    129.00000
  • t(b)
    5.51429
  • p(b)
    0.23107
  • t(a)
    1.08706
  • p(a)
    0.43944
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.26519
  • Upperbound of 95% confidence interval for beta
    0.56197
  • Lowerbound of 95% confidence interval for alpha
    -0.12044
  • Upperbound of 95% confidence interval for alpha
    0.41417
  • Treynor index (mean / b)
    0.64065
  • Jensen alpha (a)
    0.14687
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00956
  • Expected Shortfall on VaR
    0.01222
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00378
  • Expected Shortfall on VaR
    0.00739
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98343
  • Quartile 1
    0.99763
  • Median
    1.00033
  • Quartile 3
    1.00384
  • Maximum
    1.02975
  • Mean of quarter 1
    0.99436
  • Mean of quarter 2
    0.99920
  • Mean of quarter 3
    1.00191
  • Mean of quarter 4
    1.00911
  • Inter Quartile Range
    0.00620
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.98343
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02102
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29146
  • VaR(95%) (moments method)
    0.00589
  • Expected Shortfall (moments method)
    0.00980
  • Extreme Value Index (regression method)
    0.12571
  • VaR(95%) (regression method)
    0.00538
  • Expected Shortfall (regression method)
    0.00773
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00277
  • Quartile 1
    0.00670
  • Median
    0.00868
  • Quartile 3
    0.01780
  • Maximum
    0.04768
  • Mean of quarter 1
    0.00446
  • Mean of quarter 2
    0.00764
  • Mean of quarter 3
    0.01267
  • Mean of quarter 4
    0.03214
  • Inter Quartile Range
    0.01110
  • 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
    0.08333
  • Mean of outliers high
    0.04768
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.11070
  • VaR(95%) (moments method)
    0.03532
  • Expected Shortfall (moments method)
    0.04723
  • Extreme Value Index (regression method)
    2.51801
  • VaR(95%) (regression method)
    0.04908
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -351539000
  • Max Equity Drawdown (num days)
    61
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31539
  • Compounded annual return (geometric extrapolation)
    0.34026
  • Calmar ratio (compounded annual return / max draw down)
    7.13592
  • Compounded annual return / average of 25% largest draw downs
    10.58750
  • Compounded annual return / Expected Shortfall lognormal
    27.84210

Strategy Description

Summary Statistics

Strategy began
2022-12-26
Suggested Minimum Capital
$35,000
# Trades
208
# Profitable
136
% Profitable
65.4%
Net Dividends
Correlation S&P500
0.397
Sharpe Ratio
0.70
Sortino Ratio
1.07
Beta
0.34
Alpha
0.00
Leverage
1.07 Average
2.13 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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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.