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

ProfitableAF
(132389117)

Created by: Danny Danny
Started: 11/2020
Stocks
Last trade: 850 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 $25.00 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.

12.8%
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.

(14.7%)
Max Drawdown
223
Num Trades
37.2%
Win Trades
1.2 : 1
Profit Factor
12.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +1.3%+12.9%+14.4%
2021(1.4%)+3.4%(2.1%)(0.7%)(0.9%)+15.2%(3.5%)(2.6%)+2.6%(2.2%)(7.4%)  -  (1%)
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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 449 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 864 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/15/21 9:32 SI SILVERGATE CAPITAL CORP LONG 37 217.00 11/29 9:30 210.40 1.04%
Trade id #138194591
Max drawdown($1,220)
Time11/22/21 0:00
Quant open37
Worst price184.01
Drawdown as % of equity-1.04%
($245)
Includes Typical Broker Commissions trade costs of $0.74
10/26/21 9:30 STN STANTEC INC. LONG 446 55.76 11/29 9:30 54.50 0.49%
Trade id #137956615
Max drawdown($603)
Time11/4/21 0:00
Quant open446
Worst price54.41
Drawdown as % of equity-0.49%
($572)
Includes Typical Broker Commissions trade costs of $8.92
11/15/21 9:30 TEAM ATLASSIAN CORPORATION PLC CLASS A LONG 46 446.00 11/23 9:30 397.56 2.1%
Trade id #138194150
Max drawdown($2,392)
Time11/23/21 9:30
Quant open46
Worst price394.00
Drawdown as % of equity-2.10%
($2,229)
Includes Typical Broker Commissions trade costs of $0.92
11/15/21 9:30 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 41 206.46 11/23 9:30 181.14 1.04%
Trade id #138194124
Max drawdown($1,219)
Time11/22/21 0:00
Quant open41
Worst price176.72
Drawdown as % of equity-1.04%
($1,039)
Includes Typical Broker Commissions trade costs of $0.82
11/1/21 9:30 HUT HUT 8 MINING CORP. COMMON SHARES LONG 247 13.60 11/19 10:15 13.25 0.37%
Trade id #138025873
Max drawdown($439)
Time11/18/21 0:00
Quant open247
Worst price11.82
Drawdown as % of equity-0.37%
($91)
Includes Typical Broker Commissions trade costs of $4.94
11/15/21 9:31 BITF BITFARMS LTD. COMMON STOCK LONG 923 8.83 11/19 9:30 7.98 1.1%
Trade id #138194198
Max drawdown($1,299)
Time11/18/21 0:00
Quant open923
Worst price7.42
Drawdown as % of equity-1.10%
($788)
Includes Typical Broker Commissions trade costs of $5.00
11/9/21 9:30 BENEW BENESSERE CAPITAL ACQUISITION CORP. WT LONG 2,277 1.62 11/19 9:30 1.42 0.39%
Trade id #138127184
Max drawdown($455)
Time11/19/21 9:30
Quant open2,277
Worst price1.42
Drawdown as % of equity-0.39%
($460)
Includes Typical Broker Commissions trade costs of $5.00
11/15/21 9:31 ICE INTERCONTINENTALEXCHANGE LONG 299 135.67 11/19 9:30 135.27 0.3%
Trade id #138194236
Max drawdown($346)
Time11/19/21 9:30
Quant open299
Worst price134.51
Drawdown as % of equity-0.30%
($126)
Includes Typical Broker Commissions trade costs of $5.98
11/11/21 13:43 DWAC DIGITAL WORLD ACQUISITION CORP. CLASS A LONG 114 57.88 11/19 9:30 56.20 0.26%
Trade id #138164550
Max drawdown($303)
Time11/18/21 0:00
Quant open114
Worst price55.22
Drawdown as % of equity-0.26%
($194)
Includes Typical Broker Commissions trade costs of $2.28
11/15/21 9:31 LIFE ATYR PHARMA INC. COMMON STOCK LONG 2,604 8.77 11/19 9:30 8.32 1.01%
Trade id #138194251
Max drawdown($1,197)
Time11/18/21 0:00
Quant open2,604
Worst price8.31
Drawdown as % of equity-1.01%
($1,177)
Includes Typical Broker Commissions trade costs of $5.00
11/15/21 9:30 BEN FRANKLIN RESOURCES INC LONG 595 36.02 11/19 9:30 34.51 0.9%
Trade id #138193969
Max drawdown($1,047)
Time11/19/21 9:30
Quant open595
Worst price34.26
Drawdown as % of equity-0.90%
($903)
Includes Typical Broker Commissions trade costs of $5.00
11/9/21 9:30 PHUN PHUNWARE INC LONG 881 4.17 11/19 9:30 3.91 0.55%
Trade id #138127180
Max drawdown($651)
Time11/18/21 0:00
Quant open881
Worst price3.43
Drawdown as % of equity-0.55%
($234)
Includes Typical Broker Commissions trade costs of $5.00
11/15/21 9:31 TSX.GLO GLOBAL ATOMIC CORP LONG 2,200 CAD 4.75 11/19 9:30 CAD 4.15 n/a ($1,075)
Includes Typical Broker Commissions trade costs of $19.58
10/22/21 9:30 XLRN ACCELERON PHARMA INC. COMMON S LONG 155 174.23 11/15 9:30 173.50 0.22%
Trade id #137916946
Max drawdown($268)
Time11/2/21 0:00
Quant open155
Worst price172.50
Drawdown as % of equity-0.22%
($116)
Includes Typical Broker Commissions trade costs of $3.10
10/11/21 9:30 SRLN SPDR BLACKSTONE SENIOR LOAN ETF LONG 3,305 45.92 11/15 9:30 45.91 0.59%
Trade id #137749330
Max drawdown($727)
Time11/1/21 0:00
Quant open3,305
Worst price45.70
Drawdown as % of equity-0.59%
($38)
Includes Typical Broker Commissions trade costs of $5.00
11/8/21 9:30 SALM SALEM MEDIA GROUP INC. CLASS LONG 2,432 3.90 11/11 13:43 3.57 0.75%
Trade id #138112721
Max drawdown($924)
Time11/11/21 13:09
Quant open2,432
Worst price3.52
Drawdown as % of equity-0.75%
($808)
Includes Typical Broker Commissions trade costs of $5.00
11/4/21 9:30 SKIN BEAUTY HEALTH CO LONG 188 29.84 11/11 9:30 25.51 0.8%
Trade id #138072436
Max drawdown($998)
Time11/10/21 0:00
Quant open188
Worst price24.53
Drawdown as % of equity-0.80%
($818)
Includes Typical Broker Commissions trade costs of $3.76
10/26/21 9:30 PLYA PLAYA HOTELS & RESORTS N.V. LONG 2,291 8.62 11/1 12:38 8.76 0.44%
Trade id #137956522
Max drawdown($541)
Time10/28/21 0:00
Quant open2,291
Worst price8.38
Drawdown as % of equity-0.44%
$333
Includes Typical Broker Commissions trade costs of $5.00
11/1/21 9:30 NVTS NAVITAS SEMICONDUCTOR CORPORATION LONG 856 12.17 11/1 10:24 12.77 0.04%
Trade id #138025892
Max drawdown($42)
Time11/1/21 9:57
Quant open856
Worst price12.12
Drawdown as % of equity-0.04%
$509
Includes Typical Broker Commissions trade costs of $5.00
10/14/21 12:29 VVR INVESCO SENIOR INCOME COMMON LONG 9,812 4.43 10/22 9:30 4.45 0.08%
Trade id #137810338
Max drawdown($97)
Time10/14/21 12:53
Quant open9,812
Worst price4.42
Drawdown as % of equity-0.08%
$192
Includes Typical Broker Commissions trade costs of $5.00
10/14/21 12:30 SI SILVERGATE CAPITAL CORP LONG 27 163.40 10/20 9:30 138.90 0.67%
Trade id #137810377
Max drawdown($818)
Time10/19/21 0:00
Quant open27
Worst price133.10
Drawdown as % of equity-0.67%
($663)
Includes Typical Broker Commissions trade costs of $0.54
7/15/21 10:42 TAIL CAMBRIA TAIL RISK ETF LONG 7,744 18.93 10/11 9:30 18.69 2.4%
Trade id #136506607
Max drawdown($2,956)
Time10/8/21 0:00
Quant open5,244
Worst price18.36
Drawdown as % of equity-2.40%
($1,807)
Includes Typical Broker Commissions trade costs of $12.50
9/29/21 9:30 VVR INVESCO SENIOR INCOME COMMON LONG 17,857 4.43 9/30 10:51 4.48 0.14%
Trade id #137578482
Max drawdown($178)
Time9/29/21 15:29
Quant open17,857
Worst price4.42
Drawdown as % of equity-0.14%
$888
Includes Typical Broker Commissions trade costs of $5.00
8/13/21 10:27 NMCO NUVEEN MUNICIPAL CREDIT OPPORTUNITIES FUND LONG 1,744 15.83 9/28 15:06 15.17 1.05%
Trade id #136955688
Max drawdown($1,286)
Time9/28/21 10:56
Quant open1,744
Worst price15.09
Drawdown as % of equity-1.05%
($1,147)
Includes Typical Broker Commissions trade costs of $5.00
9/16/21 9:30 AOK ISHARES CORE CONSERVATIVE ALLO LONG 2,264 40.21 9/21 9:30 39.91 0.92%
Trade id #137396113
Max drawdown($1,132)
Time9/20/21 0:00
Quant open2,264
Worst price39.71
Drawdown as % of equity-0.92%
($684)
Includes Typical Broker Commissions trade costs of $5.00
8/26/21 10:09 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 667 23.21 9/20 9:30 26.26 1.43%
Trade id #137133749
Max drawdown($1,738)
Time9/2/21 0:00
Quant open667
Worst price20.60
Drawdown as % of equity-1.43%
$2,031
Includes Typical Broker Commissions trade costs of $5.00
8/31/21 9:30 ASAN ASANA INC LONG 70 77.40 9/2 9:30 87.07 0.19%
Trade id #137190254
Max drawdown($225)
Time9/1/21 0:00
Quant open70
Worst price74.18
Drawdown as % of equity-0.19%
$676
Includes Typical Broker Commissions trade costs of $1.40
8/13/21 10:27 SWAN AMPLIFY BLACKSWAN GROWTH & TREASURY CORE ETF LONG 1,596 35.43 8/25 15:29 35.57 0.33%
Trade id #136955649
Max drawdown($410)
Time8/19/21 0:00
Quant open1,596
Worst price35.17
Drawdown as % of equity-0.33%
$223
Includes Typical Broker Commissions trade costs of $5.00
8/13/21 10:26 PLYM PLYMOUTH INDUSTRIAL REIT INC LONG 560 22.50 8/19 13:24 22.46 0.06%
Trade id #136955595
Max drawdown($72)
Time8/19/21 10:44
Quant open560
Worst price22.37
Drawdown as % of equity-0.06%
($25)
Includes Typical Broker Commissions trade costs of $5.00
8/13/21 10:31 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 313 22.88 8/17 11:59 24.79 0.11%
Trade id #136955808
Max drawdown($129)
Time8/13/21 11:46
Quant open313
Worst price22.46
Drawdown as % of equity-0.11%
$593
Includes Typical Broker Commissions trade costs of $6.26

Statistics

  • Strategy began
    11/22/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1214.94
  • Age
    41 months ago
  • What it trades
    Stocks
  • # Trades
    223
  • # Profitable
    83
  • % Profitable
    37.20%
  • Avg trade duration
    8.8 days
  • Max peak-to-valley drawdown
    14.69%
  • drawdown period
    July 02, 2021 - Nov 26, 2021
  • Annual Return (Compounded)
    12.8%
  • Avg win
    $914.16
  • Avg loss
    $458.41
  • Model Account Values (Raw)
  • Cash
    $114,940
  • Margin Used
    $0
  • Buying Power
    $114,940
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    0.24
  • Sortino Ratio
    0.37
  • Calmar Ratio
    0.792
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -17.24%
  • Correlation to SP500
    0.04020
  • Return Percent SP500 (cumu) during strategy life
    47.70%
  • Return Statistics
  • Ann Return (w trading costs)
    12.8%
  • Slump
  • Current Slump as Pcnt Equity
    16.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.82%
  • 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)
    0.128%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.50%
  • 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)
    709
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    386
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $458
  • Avg Win
    $914
  • Sum Trade PL (losers)
    $64,178.000
  • Age
  • Num Months filled monthly returns table
    41
  • Win / Loss
  • Sum Trade PL (winners)
    $75,875.000
  • # Winners
    83
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    3249
  • Win / Loss
  • # Losers
    140
  • % Winners
    37.2%
  • Frequency
  • Avg Position Time (mins)
    12657.00
  • Avg Position Time (hrs)
    210.95
  • Avg Trade Length
    8.8 days
  • Last Trade Ago
    845
  • Leverage
  • Daily leverage (average)
    1.21
  • Daily leverage (max)
    2.03
  • Regression
  • Alpha
    0.01
  • Beta
    0.02
  • Treynor Index
    0.34
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.86
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    11.612
  • 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
    0.283
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.311
  • Hold-and-Hope Ratio
    0.086
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13408
  • SD
    0.23614
  • Sharpe ratio (Glass type estimate)
    0.56781
  • Sharpe ratio (Hedges UMVUE)
    0.52804
  • df
    11.00000
  • t
    0.56781
  • p
    0.29078
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41867
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52923
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50038
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.56294
  • Upside Potential Ratio
    3.57853
  • Upside part of mean
    0.30699
  • Downside part of mean
    -0.17291
  • Upside SD
    0.21272
  • Downside SD
    0.08579
  • N nonnegative terms
    5.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.22704
  • Mean of criterion
    0.13408
  • SD of predictor
    0.06923
  • SD of criterion
    0.23614
  • Covariance
    0.00114
  • r
    0.06999
  • b (slope, estimate of beta)
    0.23870
  • a (intercept, estimate of alpha)
    0.07988
  • Mean Square Error
    0.06104
  • DF error
    10.00000
  • t(b)
    0.22186
  • p(b)
    0.41445
  • t(a)
    0.22992
  • p(a)
    0.41139
  • Lowerbound of 95% confidence interval for beta
    -2.15864
  • Upperbound of 95% confidence interval for beta
    2.63604
  • Lowerbound of 95% confidence interval for alpha
    -0.69425
  • Upperbound of 95% confidence interval for alpha
    0.85401
  • Treynor index (mean / b)
    0.56170
  • Jensen alpha (a)
    0.07988
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10963
  • SD
    0.22259
  • Sharpe ratio (Glass type estimate)
    0.49249
  • Sharpe ratio (Hedges UMVUE)
    0.45800
  • df
    11.00000
  • t
    0.49249
  • p
    0.31603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48887
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45211
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51129
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42728
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24254
  • Upside Potential Ratio
    3.24104
  • Upside part of mean
    0.28595
  • Downside part of mean
    -0.17632
  • Upside SD
    0.19656
  • Downside SD
    0.08823
  • N nonnegative terms
    5.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.22229
  • Mean of criterion
    0.10963
  • SD of predictor
    0.06799
  • SD of criterion
    0.22259
  • Covariance
    0.00100
  • r
    0.06614
  • b (slope, estimate of beta)
    0.21655
  • a (intercept, estimate of alpha)
    0.06149
  • Mean Square Error
    0.05426
  • DF error
    10.00000
  • t(b)
    0.20961
  • p(b)
    0.41909
  • t(a)
    0.18797
  • p(a)
    0.42733
  • Lowerbound of 95% confidence interval for beta
    -2.08535
  • Upperbound of 95% confidence interval for beta
    2.51845
  • Lowerbound of 95% confidence interval for alpha
    -0.66736
  • Upperbound of 95% confidence interval for alpha
    0.79034
  • Treynor index (mean / b)
    0.50623
  • Jensen alpha (a)
    0.06149
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09204
  • Expected Shortfall on VaR
    0.11585
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03666
  • Expected Shortfall on VaR
    0.06290
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.92979
  • Quartile 1
    0.98433
  • Median
    0.99357
  • Quartile 3
    1.00767
  • Maximum
    1.18728
  • Mean of quarter 1
    0.96016
  • Mean of quarter 2
    0.98956
  • Mean of quarter 3
    1.00191
  • Mean of quarter 4
    1.10238
  • Inter Quartile Range
    0.02335
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.92979
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.14702
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.74315
  • VaR(95%) (moments method)
    0.04247
  • Expected Shortfall (moments method)
    0.04931
  • Extreme Value Index (regression method)
    0.88584
  • VaR(95%) (regression method)
    0.06845
  • Expected Shortfall (regression method)
    0.58317
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04786
  • Quartile 1
    0.05795
  • Median
    0.06805
  • Quartile 3
    0.07814
  • Maximum
    0.08824
  • Mean of quarter 1
    0.04786
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08824
  • Inter Quartile Range
    0.02019
  • 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)
    0.14744
  • Compounded annual return (geometric extrapolation)
    0.14744
  • Calmar ratio (compounded annual return / max draw down)
    1.67092
  • Compounded annual return / average of 25% largest draw downs
    1.67092
  • Compounded annual return / Expected Shortfall lognormal
    1.27269
  • 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
    0.11598
  • SD
    0.13619
  • Sharpe ratio (Glass type estimate)
    0.85158
  • Sharpe ratio (Hedges UMVUE)
    0.84916
  • df
    264.00000
  • t
    0.85645
  • p
    0.19626
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09938
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80100
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10102
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79934
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.39434
  • Upside Potential Ratio
    9.14673
  • Upside part of mean
    0.76081
  • Downside part of mean
    -0.64483
  • Upside SD
    0.10776
  • Downside SD
    0.08318
  • N nonnegative terms
    121.00000
  • N negative terms
    144.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    265.00000
  • Mean of predictor
    0.23732
  • Mean of criterion
    0.11598
  • SD of predictor
    0.12511
  • SD of criterion
    0.13619
  • Covariance
    0.00132
  • r
    0.07754
  • b (slope, estimate of beta)
    0.08441
  • a (intercept, estimate of alpha)
    0.07900
  • Mean Square Error
    0.01851
  • DF error
    263.00000
  • t(b)
    1.26124
  • p(b)
    0.10417
  • t(a)
    0.70448
  • p(a)
    0.24088
  • Lowerbound of 95% confidence interval for beta
    -0.04737
  • Upperbound of 95% confidence interval for beta
    0.21618
  • Lowerbound of 95% confidence interval for alpha
    -0.17223
  • Upperbound of 95% confidence interval for alpha
    0.36412
  • Treynor index (mean / b)
    1.37408
  • Jensen alpha (a)
    0.09595
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10675
  • SD
    0.13570
  • Sharpe ratio (Glass type estimate)
    0.78665
  • Sharpe ratio (Hedges UMVUE)
    0.78441
  • df
    264.00000
  • t
    0.79114
  • p
    0.21479
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16406
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73592
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16558
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73439
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27238
  • Upside Potential Ratio
    8.99916
  • Upside part of mean
    0.75501
  • Downside part of mean
    -0.64826
  • Upside SD
    0.10654
  • Downside SD
    0.08390
  • N nonnegative terms
    121.00000
  • N negative terms
    144.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    265.00000
  • Mean of predictor
    0.22939
  • Mean of criterion
    0.10675
  • SD of predictor
    0.12521
  • SD of criterion
    0.13570
  • Covariance
    0.00134
  • r
    0.07879
  • b (slope, estimate of beta)
    0.08540
  • a (intercept, estimate of alpha)
    0.08716
  • Mean Square Error
    0.01837
  • DF error
    263.00000
  • t(b)
    1.28182
  • p(b)
    0.10052
  • t(a)
    0.64263
  • p(a)
    0.26051
  • Lowerbound of 95% confidence interval for beta
    -0.04578
  • Upperbound of 95% confidence interval for beta
    0.21658
  • Lowerbound of 95% confidence interval for alpha
    -0.17990
  • Upperbound of 95% confidence interval for alpha
    0.35422
  • Treynor index (mean / b)
    1.25002
  • Jensen alpha (a)
    0.08716
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01329
  • Expected Shortfall on VaR
    0.01674
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00596
  • Expected Shortfall on VaR
    0.01165
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    265.00000
  • Minimum
    0.96539
  • Quartile 1
    0.99715
  • Median
    1.00000
  • Quartile 3
    1.00302
  • Maximum
    1.04322
  • Mean of quarter 1
    0.99169
  • Mean of quarter 2
    0.99878
  • Mean of quarter 3
    1.00116
  • Mean of quarter 4
    1.01070
  • Inter Quartile Range
    0.00586
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.03396
  • Mean of outliers low
    0.98029
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.07925
  • Mean of outliers high
    1.02027
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02183
  • VaR(95%) (moments method)
    0.00707
  • Expected Shortfall (moments method)
    0.00960
  • Extreme Value Index (regression method)
    0.14106
  • VaR(95%) (regression method)
    0.00802
  • Expected Shortfall (regression method)
    0.01219
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00246
  • Quartile 1
    0.01072
  • Median
    0.01276
  • Quartile 3
    0.05474
  • Maximum
    0.13841
  • Mean of quarter 1
    0.00595
  • Mean of quarter 2
    0.01164
  • Mean of quarter 3
    0.03262
  • Mean of quarter 4
    0.10089
  • Inter Quartile Range
    0.04401
  • 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
    0.12500
  • Mean of outliers high
    0.13841
  • 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)
    0.14426
  • Compounded annual return (geometric extrapolation)
    0.14414
  • Calmar ratio (compounded annual return / max draw down)
    1.04146
  • Compounded annual return / average of 25% largest draw downs
    1.42874
  • Compounded annual return / Expected Shortfall lognormal
    8.61114
  • 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
    0.01105
  • SD
    0.13128
  • Sharpe ratio (Glass type estimate)
    0.08415
  • Sharpe ratio (Hedges UMVUE)
    0.08367
  • df
    130.00000
  • t
    0.05951
  • p
    0.49739
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68779
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85549
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12637
  • Upside Potential Ratio
    7.93908
  • Upside part of mean
    0.69402
  • Downside part of mean
    -0.68297
  • Upside SD
    0.09727
  • Downside SD
    0.08742
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17729
  • Mean of criterion
    0.01105
  • SD of predictor
    0.11345
  • SD of criterion
    0.13128
  • Covariance
    -0.00130
  • r
    -0.08714
  • b (slope, estimate of beta)
    -0.10083
  • a (intercept, estimate of alpha)
    0.02892
  • Mean Square Error
    0.01724
  • DF error
    129.00000
  • t(b)
    -0.99346
  • p(b)
    0.55540
  • t(a)
    0.15505
  • p(a)
    0.49131
  • Lowerbound of 95% confidence interval for beta
    -0.30163
  • Upperbound of 95% confidence interval for beta
    0.09997
  • Lowerbound of 95% confidence interval for alpha
    -0.34014
  • Upperbound of 95% confidence interval for alpha
    0.39798
  • Treynor index (mean / b)
    -0.10957
  • Jensen alpha (a)
    0.02892
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00251
  • SD
    0.13115
  • Sharpe ratio (Glass type estimate)
    0.01912
  • Sharpe ratio (Hedges UMVUE)
    0.01900
  • df
    130.00000
  • t
    0.01352
  • p
    0.49941
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.75269
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79092
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.75280
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79081
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02841
  • Upside Potential Ratio
    7.81042
  • Upside part of mean
    0.68928
  • Downside part of mean
    -0.68677
  • Upside SD
    0.09634
  • Downside SD
    0.08825
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17081
  • Mean of criterion
    0.00251
  • SD of predictor
    0.11362
  • SD of criterion
    0.13115
  • Covariance
    -0.00128
  • r
    -0.08598
  • b (slope, estimate of beta)
    -0.09924
  • a (intercept, estimate of alpha)
    0.01946
  • Mean Square Error
    0.01721
  • DF error
    129.00000
  • t(b)
    -0.98016
  • p(b)
    0.55467
  • t(a)
    0.10444
  • p(a)
    0.49415
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    -0.29957
  • Upperbound of 95% confidence interval for beta
    0.10109
  • Lowerbound of 95% confidence interval for alpha
    -0.34916
  • Upperbound of 95% confidence interval for alpha
    0.38808
  • Treynor index (mean / b)
    -0.02526
  • Jensen alpha (a)
    0.01946
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01323
  • Expected Shortfall on VaR
    0.01656
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00620
  • Expected Shortfall on VaR
    0.01212
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96539
  • Quartile 1
    0.99655
  • Median
    1.00000
  • Quartile 3
    1.00286
  • Maximum
    1.02943
  • Mean of quarter 1
    0.99132
  • Mean of quarter 2
    0.99855
  • Mean of quarter 3
    1.00104
  • Mean of quarter 4
    1.00971
  • Inter Quartile Range
    0.00631
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97857
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01898
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07315
  • VaR(95%) (moments method)
    0.00809
  • Expected Shortfall (moments method)
    0.01139
  • Extreme Value Index (regression method)
    0.23232
  • VaR(95%) (regression method)
    0.00875
  • Expected Shortfall (regression method)
    0.01384
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00201
  • Quartile 1
    0.00758
  • Median
    0.01030
  • Quartile 3
    0.04296
  • Maximum
    0.13841
  • Mean of quarter 1
    0.00201
  • Mean of quarter 2
    0.00944
  • Mean of quarter 3
    0.01115
  • Mean of quarter 4
    0.13841
  • Inter Quartile Range
    0.03538
  • 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
    0.25000
  • Mean of outliers high
    0.13841
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -496761000
  • Max Equity Drawdown (num days)
    147
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03065
  • Compounded annual return (geometric extrapolation)
    0.03088
  • Calmar ratio (compounded annual return / max draw down)
    0.22312
  • Compounded annual return / average of 25% largest draw downs
    0.22312
  • Compounded annual return / Expected Shortfall lognormal
    1.86472

Strategy Description

Here are the distinctions that make this system unique:

-The system is long only (can be traded in a retirement account).
-The system only trades liquid US stocks (no ETFs, so can be traded in Europe)
-Fewer and more concentrated trades
-A "tighter" method of selling winning positions
-Sells into strength more often
-Trades can be entered intra-day

Summary Statistics

Strategy began
2020-11-22
Suggested Minimum Capital
$15,000
# Trades
223
# Profitable
83
% Profitable
37.2%
Net Dividends
Correlation S&P500
0.040
Sharpe Ratio
0.24
Sortino Ratio
0.37
Beta
0.02
Alpha
0.01
Leverage
1.21 Average
2.03 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.