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This is an archived track record. This track record was archived on 7/21/20 9:40 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Enterprise Stocks
(129554895)

Created by: Marcel Marcel
Started: 06/2020
Stocks
Last trade: 1,346 days ago
Trading style: Equity Non-hedged Equity Trend-following

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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
-0.8%
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.

(4.9%)
Max Drawdown
59
Num Trades
54.2%
Win Trades
0.8 : 1
Profit Factor
0.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   (2.1%)(1.1%)  -    -    -    -    -  (3.1%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/9/20 15:23 GLD SPDR GOLD SHARES LONG 25 169.40 7/21 9:40 172.54 0.04%
Trade id #129999560
Max drawdown($20)
Time7/10/20 0:00
Quant open25
Worst price168.57
Drawdown as % of equity-0.04%
$79
Includes Typical Broker Commissions trade costs of $0.50
7/9/20 15:19 ASHR XTRADERS HVST CSI 300 LONG 100 34.97 7/21 9:40 33.95 0.45%
Trade id #129999449
Max drawdown($217)
Time7/16/20 0:00
Quant open100
Worst price32.80
Drawdown as % of equity-0.45%
($104)
Includes Typical Broker Commissions trade costs of $2.00
6/23/20 15:36 KSU KANSAS CITY SOUTHERN LONG 2 148.43 7/21 9:40 157.48 0.03%
Trade id #129710786
Max drawdown($15)
Time6/25/20 0:00
Quant open2
Worst price140.86
Drawdown as % of equity-0.03%
$18
Includes Typical Broker Commissions trade costs of $0.04
7/14/20 9:53 TQQQ PROSHARES ULTRAPRO QQQ SHORT 200 104.66 7/14 9:57 105.80 0.74%
Trade id #130070101
Max drawdown($362)
Time7/14/20 9:57
Quant open200
Worst price106.47
Drawdown as % of equity-0.74%
($232)
Includes Typical Broker Commissions trade costs of $4.00
7/7/20 10:45 CLGX CORELOGIC INC. SHORT 30 68.40 7/13 15:52 65.79 0.06%
Trade id #129945970
Max drawdown($28)
Time7/8/20 0:00
Quant open30
Worst price69.36
Drawdown as % of equity-0.06%
$77
Includes Typical Broker Commissions trade costs of $0.60
7/2/20 10:21 QRVO QORVO INC. COMMON STOCK LONG 20 112.70 7/13 15:39 111.28 0.09%
Trade id #129878194
Max drawdown($44)
Time7/9/20 0:00
Quant open20
Worst price110.47
Drawdown as % of equity-0.09%
($29)
Includes Typical Broker Commissions trade costs of $0.40
6/29/20 12:46 HRTX HERON THERAPEUTICS INC. COMMO LONG 40 14.72 7/13 15:34 15.76 0.06%
Trade id #129805428
Max drawdown($29)
Time6/29/20 15:07
Quant open40
Worst price13.99
Drawdown as % of equity-0.06%
$40
Includes Typical Broker Commissions trade costs of $0.80
6/30/20 15:38 CIEN CIENA CORPORTION LONG 35 55.50 7/13 15:34 52.63 0.21%
Trade id #129828307
Max drawdown($103)
Time7/13/20 15:34
Quant open35
Worst price52.54
Drawdown as % of equity-0.21%
($102)
Includes Typical Broker Commissions trade costs of $0.70
7/9/20 15:10 AMAT APPLIED MATERIALS LONG 40 63.44 7/13 15:34 61.85 0.14%
Trade id #129999212
Max drawdown($67)
Time7/13/20 15:34
Quant open40
Worst price61.76
Drawdown as % of equity-0.14%
($65)
Includes Typical Broker Commissions trade costs of $0.80
7/9/20 13:27 AMCX AMC NETWORKS LONG 75 23.34 7/13 15:34 25.09 0.07%
Trade id #129997273
Max drawdown($36)
Time7/10/20 0:00
Quant open75
Worst price22.85
Drawdown as % of equity-0.07%
$130
Includes Typical Broker Commissions trade costs of $1.50
7/9/20 14:53 AIG AMERICAN INTERNATIONAL LONG 100 28.47 7/13 15:33 30.09 0.1%
Trade id #129998830
Max drawdown($49)
Time7/9/20 15:59
Quant open100
Worst price27.98
Drawdown as % of equity-0.10%
$160
Includes Typical Broker Commissions trade costs of $2.00
7/6/20 10:39 TWTR TWITTER INC LONG 200 34.09 7/13 15:33 34.18 0.13%
Trade id #129924672
Max drawdown($61)
Time7/7/20 0:00
Quant open100
Worst price31.77
Drawdown as % of equity-0.13%
$14
Includes Typical Broker Commissions trade costs of $4.00
6/15/20 11:38 GILD GILEAD SCIENCES LONG 30 75.17 7/13 15:33 77.19 0.04%
Trade id #129558963
Max drawdown($20)
Time6/18/20 0:00
Quant open15
Worst price73.01
Drawdown as % of equity-0.04%
$59
Includes Typical Broker Commissions trade costs of $0.60
6/15/20 11:02 EVRG EVERGY INC. LONG 50 60.02 7/13 15:33 61.38 0.1%
Trade id #129558099
Max drawdown($49)
Time6/26/20 0:00
Quant open30
Worst price57.60
Drawdown as % of equity-0.10%
$67
Includes Typical Broker Commissions trade costs of $1.00
6/15/20 10:50 PFE PFIZER LONG 200 34.25 7/13 15:33 35.33 0.14%
Trade id #129557844
Max drawdown($68)
Time6/26/20 0:00
Quant open50
Worst price31.61
Drawdown as % of equity-0.14%
$213
Includes Typical Broker Commissions trade costs of $4.00
7/10/20 11:41 FSLY FASTLY INC SHORT 50 94.82 7/13 15:29 83.72 0.03%
Trade id #130017800
Max drawdown($15)
Time7/10/20 11:46
Quant open20
Worst price99.48
Drawdown as % of equity-0.03%
$554
Includes Typical Broker Commissions trade costs of $1.00
6/30/20 15:37 DIS WALT DISNEY LONG 20 114.94 7/13 15:27 117.18 n/a $45
Includes Typical Broker Commissions trade costs of $0.40
6/30/20 15:35 WMT WALMART INC LONG 20 124.74 7/13 15:27 130.17 0.02%
Trade id #129828231
Max drawdown($7)
Time7/6/20 0:00
Quant open8
Worst price118.22
Drawdown as % of equity-0.02%
$109
Includes Typical Broker Commissions trade costs of $0.40
7/2/20 10:22 MSFT MICROSOFT LONG 10 208.47 7/13 15:26 209.46 0.01%
Trade id #129878227
Max drawdown($6)
Time7/2/20 16:00
Quant open5
Worst price205.79
Drawdown as % of equity-0.01%
$10
Includes Typical Broker Commissions trade costs of $0.20
7/2/20 10:23 KKR KKR & CO INC LONG 70 31.54 7/13 15:25 34.32 0.12%
Trade id #129878260
Max drawdown($60)
Time7/7/20 0:00
Quant open70
Worst price30.67
Drawdown as % of equity-0.12%
$194
Includes Typical Broker Commissions trade costs of $1.40
7/9/20 12:25 JD JD.COM INC LONG 150 66.73 7/13 15:25 62.88 1.26%
Trade id #129995888
Max drawdown($625)
Time7/13/20 14:36
Quant open150
Worst price62.56
Drawdown as % of equity-1.26%
($581)
Includes Typical Broker Commissions trade costs of $3.00
7/9/20 12:20 BABA ALIBABA GROUP HOLDING LIMITED LONG 50 260.85 7/13 15:23 252.65 0.84%
Trade id #129995790
Max drawdown($413)
Time7/13/20 15:23
Quant open50
Worst price252.59
Drawdown as % of equity-0.84%
($411)
Includes Typical Broker Commissions trade costs of $1.00
7/2/20 10:20 QCOM QUALCOMM LONG 25 92.07 7/13 15:22 92.37 0.03%
Trade id #129878178
Max drawdown($15)
Time7/9/20 0:00
Quant open25
Worst price91.44
Drawdown as % of equity-0.03%
$7
Includes Typical Broker Commissions trade costs of $0.50
7/9/20 14:54 BSX BOSTON SCIENTIFIC LONG 75 34.48 7/13 15:20 34.64 0.03%
Trade id #129998857
Max drawdown($15)
Time7/10/20 0:00
Quant open75
Worst price34.28
Drawdown as % of equity-0.03%
$11
Includes Typical Broker Commissions trade costs of $1.50
6/25/20 10:37 NEM NEWMONT CORP LONG 50 60.19 7/13 15:20 60.43 0.02%
Trade id #129756404
Max drawdown($9)
Time6/26/20 0:00
Quant open15
Worst price57.69
Drawdown as % of equity-0.02%
$11
Includes Typical Broker Commissions trade costs of $1.00
7/10/20 10:00 PCG PACIFIC GAS & ELECTRIC CO. LONG 1,100 8.86 7/13 15:18 9.13 0.13%
Trade id #130015536
Max drawdown($65)
Time7/10/20 10:30
Quant open500
Worst price8.58
Drawdown as % of equity-0.13%
$283
Includes Typical Broker Commissions trade costs of $13.50
7/13/20 14:01 SPAQ HORIZON KINETICS SPAC ACTIVE ETF LONG 200 17.31 7/13 14:11 16.52 0.36%
Trade id #130052140
Max drawdown($182)
Time7/13/20 14:11
Quant open200
Worst price16.40
Drawdown as % of equity-0.36%
($162)
Includes Typical Broker Commissions trade costs of $4.00
7/13/20 10:36 SPAQ HORIZON KINETICS SPAC ACTIVE ETF LONG 100 20.00 7/13 13:51 17.05 0.59%
Trade id #130047290
Max drawdown($298)
Time7/13/20 13:51
Quant open100
Worst price17.01
Drawdown as % of equity-0.59%
($297)
Includes Typical Broker Commissions trade costs of $2.00
6/15/20 11:04 JPM JPMORGAN CHASE LONG 11 100.91 7/9 12:42 92.37 0.2%
Trade id #129558204
Max drawdown($98)
Time6/26/20 0:00
Quant open11
Worst price92.00
Drawdown as % of equity-0.20%
($94)
Includes Typical Broker Commissions trade costs of $0.22
7/9/20 10:55 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 350 43.31 7/9 11:35 43.11 n/a $64
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    6/15/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1377.89
  • Age
    46 months ago
  • What it trades
    Stocks
  • # Trades
    59
  • # Profitable
    32
  • % Profitable
    54.20%
  • Avg trade duration
    8.0 days
  • Max peak-to-valley drawdown
    4.93%
  • drawdown period
    July 13, 2020 - July 16, 2020
  • Annual Return (Compounded)
    -0.8%
  • Avg win
    $123.00
  • Avg loss
    $188.07
  • Model Account Values (Raw)
  • Cash
    $48,864
  • Margin Used
    $0
  • Buying Power
    $48,864
  • Ratios
  • W:L ratio
    0.78:1
  • Sharpe Ratio
    -1.43
  • Sortino Ratio
    -1.75
  • Calmar Ratio
    -0.788
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -73.82%
  • Correlation to SP500
    -0.02350
  • Return Percent SP500 (cumu) during strategy life
    71.24%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -0.8%
  • Slump
  • Current Slump as Pcnt Equity
    4.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • 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)
    -0.008%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.6%
  • Automation
  • Percentage Signals Automated
    1.39%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $188
  • Avg Win
    $123
  • Sum Trade PL (losers)
    $5,078.000
  • Age
  • Num Months filled monthly returns table
    46
  • Win / Loss
  • Sum Trade PL (winners)
    $3,936.000
  • # Winners
    32
  • Num Months Winners
    0
  • Dividends
  • Dividends Received in Model Acct
    4
  • Win / Loss
  • # Losers
    27
  • % Winners
    54.2%
  • Frequency
  • Avg Position Time (mins)
    11483.00
  • Avg Position Time (hrs)
    191.38
  • Avg Trade Length
    8.0 days
  • Last Trade Ago
    1342
  • Leverage
  • Daily leverage (average)
    0.77
  • Daily leverage (max)
    1.95
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    3.25
  • 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)
    0.49
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -5.183
  • 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
    0.331
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.035
  • Hold-and-Hope Ratio
    -0.193
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04957
  • SD
    0.02238
  • Sharpe ratio (Glass type estimate)
    -2.21452
  • Sharpe ratio (Hedges UMVUE)
    -2.07266
  • df
    12.00000
  • t
    -2.30495
  • p
    0.77698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.25405
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.10008
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.13023
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01510
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.91897
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.04957
  • Upside SD
    0.00000
  • Downside SD
    0.02583
  • N nonnegative terms
    0.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.36997
  • Mean of criterion
    -0.04957
  • SD of predictor
    0.23452
  • SD of criterion
    0.02238
  • Covariance
    -0.00044
  • r
    -0.08467
  • b (slope, estimate of beta)
    -0.00808
  • a (intercept, estimate of alpha)
    -0.04658
  • Mean Square Error
    0.00054
  • DF error
    11.00000
  • t(b)
    -0.28184
  • p(b)
    0.60835
  • t(a)
    -1.88062
  • p(a)
    0.95663
  • Lowerbound of 95% confidence interval for beta
    -0.07119
  • Upperbound of 95% confidence interval for beta
    0.05503
  • Lowerbound of 95% confidence interval for alpha
    -0.10109
  • Upperbound of 95% confidence interval for alpha
    0.00793
  • Treynor index (mean / b)
    6.13362
  • Jensen alpha (a)
    -0.04658
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04979
  • SD
    0.02265
  • Sharpe ratio (Glass type estimate)
    -2.19842
  • Sharpe ratio (Hedges UMVUE)
    -2.05759
  • df
    12.00000
  • t
    -2.28818
  • p
    0.77558
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.23541
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.08682
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.11273
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00245
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.90926
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.04979
  • Upside SD
    0.00000
  • Downside SD
    0.02608
  • N nonnegative terms
    0.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.33730
  • Mean of criterion
    -0.04979
  • SD of predictor
    0.24459
  • SD of criterion
    0.02265
  • Covariance
    -0.00048
  • r
    -0.08723
  • b (slope, estimate of beta)
    -0.00808
  • a (intercept, estimate of alpha)
    -0.04706
  • Mean Square Error
    0.00056
  • DF error
    11.00000
  • t(b)
    -0.29041
  • p(b)
    0.61155
  • t(a)
    -1.92049
  • p(a)
    0.95946
  • Lowerbound of 95% confidence interval for beta
    -0.06929
  • Upperbound of 95% confidence interval for beta
    0.05314
  • Lowerbound of 95% confidence interval for alpha
    -0.10100
  • Upperbound of 95% confidence interval for alpha
    0.00687
  • Treynor index (mean / b)
    6.16428
  • Jensen alpha (a)
    -0.04706
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01479
  • Expected Shortfall on VaR
    0.01748
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01395
  • Expected Shortfall on VaR
    0.02346
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.97669
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.99414
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.15385
  • Mean of outliers low
    0.98829
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.02343
  • Quartile 1
    0.02343
  • Median
    0.02343
  • Quartile 3
    0.02343
  • Maximum
    0.02343
  • 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)
    -0.02162
  • Compounded annual return (geometric extrapolation)
    -0.02164
  • Calmar ratio (compounded annual return / max draw down)
    -0.92392
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.23841
  • 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
    -0.04873
  • SD
    0.02745
  • Sharpe ratio (Glass type estimate)
    -1.77517
  • Sharpe ratio (Hedges UMVUE)
    -1.77060
  • df
    292.00000
  • t
    -1.87725
  • p
    0.96926
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.63262
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.08526
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.62954
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08833
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.13420
  • Upside Potential Ratio
    1.26279
  • Upside part of mean
    0.02883
  • Downside part of mean
    -0.07756
  • Upside SD
    0.01545
  • Downside SD
    0.02283
  • N nonnegative terms
    8.00000
  • N negative terms
    285.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    293.00000
  • Mean of predictor
    0.46671
  • Mean of criterion
    -0.04873
  • SD of predictor
    0.26937
  • SD of criterion
    0.02745
  • Covariance
    -0.00027
  • r
    -0.03675
  • b (slope, estimate of beta)
    -0.00374
  • a (intercept, estimate of alpha)
    -0.04700
  • Mean Square Error
    0.00076
  • DF error
    291.00000
  • t(b)
    -0.62731
  • p(b)
    0.73453
  • t(a)
    -1.79773
  • p(a)
    0.96337
  • Lowerbound of 95% confidence interval for beta
    -0.01549
  • Upperbound of 95% confidence interval for beta
    0.00800
  • Lowerbound of 95% confidence interval for alpha
    -0.09841
  • Upperbound of 95% confidence interval for alpha
    0.00445
  • Treynor index (mean / b)
    13.01200
  • Jensen alpha (a)
    -0.04698
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04910
  • SD
    0.02757
  • Sharpe ratio (Glass type estimate)
    -1.78103
  • Sharpe ratio (Hedges UMVUE)
    -1.77645
  • df
    292.00000
  • t
    -1.88345
  • p
    0.96968
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.63852
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.07943
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.63542
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08252
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.13186
  • Upside Potential Ratio
    1.24644
  • Upside part of mean
    0.02871
  • Downside part of mean
    -0.07781
  • Upside SD
    0.01537
  • Downside SD
    0.02303
  • N nonnegative terms
    8.00000
  • N negative terms
    285.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    293.00000
  • Mean of predictor
    0.42994
  • Mean of criterion
    -0.04910
  • SD of predictor
    0.27050
  • SD of criterion
    0.02757
  • Covariance
    -0.00027
  • r
    -0.03677
  • b (slope, estimate of beta)
    -0.00375
  • a (intercept, estimate of alpha)
    -0.04749
  • Mean Square Error
    0.00076
  • DF error
    291.00000
  • t(b)
    -0.62759
  • p(b)
    0.73462
  • t(a)
    -1.81102
  • p(a)
    0.96442
  • Lowerbound of 95% confidence interval for beta
    -0.01550
  • Upperbound of 95% confidence interval for beta
    0.00800
  • Lowerbound of 95% confidence interval for alpha
    -0.09911
  • Upperbound of 95% confidence interval for alpha
    0.00412
  • Treynor index (mean / b)
    13.10370
  • Jensen alpha (a)
    -0.04749
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00298
  • Expected Shortfall on VaR
    0.00369
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00101
  • Expected Shortfall on VaR
    0.00223
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    293.00000
  • Minimum
    0.97870
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01262
  • Mean of quarter 1
    0.99924
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00046
  • Inter Quartile Range
    0.00000
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.06143
  • Mean of outliers low
    0.99686
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.03754
  • Mean of outliers high
    1.00303
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15246
  • VaR(95%) (moments method)
    0.00063
  • Expected Shortfall (moments method)
    0.00181
  • Extreme Value Index (regression method)
    0.14271
  • VaR(95%) (regression method)
    0.00065
  • Expected Shortfall (regression method)
    0.00302
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.02662
  • Quartile 1
    0.02662
  • Median
    0.02662
  • Quartile 3
    0.02662
  • Maximum
    0.02662
  • 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)
    -0.02095
  • Compounded annual return (geometric extrapolation)
    -0.02097
  • Calmar ratio (compounded annual return / max draw down)
    -0.78790
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -5.67807
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61573
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.35691
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.55145
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.35860
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6835590000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00300
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    96606999999999983876477619798016.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • 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?
    -366842000
  • Max Equity Drawdown (num days)
    3
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Summary Statistics

Strategy began
2020-06-15
Suggested Minimum Capital
$15,000
# Trades
59
# Profitable
32
% Profitable
54.2%
Net Dividends
Correlation S&P500
-0.024
Sharpe Ratio
-1.43
Sortino Ratio
-1.75
Beta
-0.00
Alpha
-0.01
Leverage
0.77 Average
1.95 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.