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

SYSTEM FIVE
(138776971)

Created by: MartinPage MartinPage
Started: 01/2022
Stocks
Last trade: 714 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).
-7.7%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(10.8%)
Max Drawdown
54
Num Trades
61.1%
Win Trades
0.8 : 1
Profit Factor
7.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022(4.5%)+1.0%(0.7%)+1.1%  -    -    -    -    -    -    -    -  (3.2%)
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
4/14/22 9:30 ABBV ABBVIE INC LONG 31 157.85 4/14 9:51 159.79 0.04%
Trade id #140135962
Max drawdown($18)
Time4/14/22 9:33
Quant open31
Worst price157.26
Drawdown as % of equity-0.04%
$59
Includes Typical Broker Commissions trade costs of $0.62
4/12/22 9:30 NXST NEXSTAR MEDIA GROUP LONG 29 173.52 4/14 9:51 172.30 0.11%
Trade id #140108538
Max drawdown($52)
Time4/13/22 0:00
Quant open29
Worst price171.72
Drawdown as % of equity-0.11%
($36)
Includes Typical Broker Commissions trade costs of $0.58
4/12/22 9:30 VTR VENTAS LONG 83 60.44 4/14 9:51 61.26 n/a $66
Includes Typical Broker Commissions trade costs of $1.66
4/6/22 9:30 HWM HOWMET AEROSPACE INC LONG 147 34.22 4/14 9:50 35.60 0.23%
Trade id #140041871
Max drawdown($110)
Time4/7/22 0:00
Quant open147
Worst price33.47
Drawdown as % of equity-0.23%
$200
Includes Typical Broker Commissions trade costs of $2.94
4/7/22 9:30 CW CURTISS-WRIGHT LONG 34 146.72 4/14 9:30 150.35 0.08%
Trade id #140056347
Max drawdown($37)
Time4/8/22 0:00
Quant open34
Worst price145.63
Drawdown as % of equity-0.08%
$122
Includes Typical Broker Commissions trade costs of $0.68
4/6/22 9:30 CSL CARLISLE COMPANIES LONG 20 237.88 4/13 9:30 244.64 0.2%
Trade id #140041861
Max drawdown($97)
Time4/7/22 0:00
Quant open20
Worst price233.01
Drawdown as % of equity-0.20%
$135
Includes Typical Broker Commissions trade costs of $0.40
4/7/22 9:30 PXD PIONEER NATURAL RESOURCES LONG 20 243.36 4/11 9:30 252.66 0.25%
Trade id #140056351
Max drawdown($119)
Time4/7/22 12:31
Quant open20
Worst price237.37
Drawdown as % of equity-0.25%
$186
Includes Typical Broker Commissions trade costs of $0.40
4/7/22 9:30 DLR DIGITAL REALTY TRUST SHORT 33 148.49 4/8 9:30 148.11 0.03%
Trade id #140056359
Max drawdown($15)
Time4/7/22 15:47
Quant open33
Worst price148.97
Drawdown as % of equity-0.03%
$12
Includes Typical Broker Commissions trade costs of $0.66
4/6/22 9:30 AMT AMERICAN TOWER SHORT 19 261.19 4/7 15:10 266.77 0.32%
Trade id #140041880
Max drawdown($151)
Time4/6/22 15:57
Quant open19
Worst price269.14
Drawdown as % of equity-0.32%
($106)
Includes Typical Broker Commissions trade costs of $0.38
4/1/22 9:31 EXC EXELON SHORT 106 47.60 4/4 15:52 47.55 0.05%
Trade id #139990006
Max drawdown($23)
Time4/1/22 14:30
Quant open106
Worst price47.83
Drawdown as % of equity-0.05%
$3
Includes Typical Broker Commissions trade costs of $2.12
3/30/22 9:30 DHR DANAHER SHORT 16 295.15 3/31 15:26 296.02 0.19%
Trade id #139964115
Max drawdown($93)
Time3/31/22 9:58
Quant open16
Worst price300.96
Drawdown as % of equity-0.19%
($14)
Includes Typical Broker Commissions trade costs of $0.32
3/30/22 9:30 ORCL ORACLE CORP SHORT 59 83.96 3/30 14:57 83.26 0.05%
Trade id #139964119
Max drawdown($23)
Time3/30/22 9:34
Quant open59
Worst price84.36
Drawdown as % of equity-0.05%
$40
Includes Typical Broker Commissions trade costs of $1.18
3/15/22 9:30 ATVI ACTIVISION BLIZZARD LONG 63 79.43 3/29 9:30 80.15 0.14%
Trade id #139785639
Max drawdown($64)
Time3/21/22 0:00
Quant open63
Worst price78.41
Drawdown as % of equity-0.14%
$44
Includes Typical Broker Commissions trade costs of $1.26
3/23/22 9:30 AMZN AMAZON.COM SHORT 1 3274.10 3/24 9:30 3274.99 0.11%
Trade id #139886705
Max drawdown($53)
Time3/23/22 12:03
Quant open1
Worst price3327.40
Drawdown as % of equity-0.11%
($1)
Includes Typical Broker Commissions trade costs of $0.02
3/23/22 9:30 ANET ARISTA NETWORKS INC SHORT 36 134.78 3/23 15:44 133.60 0.15%
Trade id #139886694
Max drawdown($72)
Time3/23/22 12:03
Quant open36
Worst price136.80
Drawdown as % of equity-0.15%
$41
Includes Typical Broker Commissions trade costs of $0.72
3/8/22 9:31 GDDY GODADDY INC LONG 65 76.08 3/21 9:30 81.06 0.36%
Trade id #139692938
Max drawdown($170)
Time3/15/22 0:00
Quant open65
Worst price73.46
Drawdown as % of equity-0.36%
$323
Includes Typical Broker Commissions trade costs of $1.30
3/9/22 9:31 KO COCA-COLA LONG 86 59.82 3/15 9:30 59.08 0.42%
Trade id #139713114
Max drawdown($199)
Time3/10/22 0:00
Quant open86
Worst price57.50
Drawdown as % of equity-0.42%
($66)
Includes Typical Broker Commissions trade costs of $1.72
3/8/22 9:31 RTX RAYTHEON TECHNOLOGIES CORP LONG 51 98.01 3/10 9:30 98.17 0.36%
Trade id #139692941
Max drawdown($169)
Time3/8/22 15:59
Quant open51
Worst price94.69
Drawdown as % of equity-0.36%
$7
Includes Typical Broker Commissions trade costs of $1.02
2/15/22 9:30 VRTX VERTEX LONG 21 231.88 3/3 9:30 234.93 0.29%
Trade id #139395797
Max drawdown($138)
Time2/24/22 0:00
Quant open21
Worst price225.28
Drawdown as % of equity-0.29%
$64
Includes Typical Broker Commissions trade costs of $0.42
2/24/22 9:31 TSN TYSON FOODS LONG 54 90.31 3/2 9:30 94.30 0.24%
Trade id #139527065
Max drawdown($111)
Time2/24/22 13:03
Quant open54
Worst price88.24
Drawdown as % of equity-0.24%
$214
Includes Typical Broker Commissions trade costs of $1.08
2/22/22 9:31 SCHW CHARLES SCHWAB LONG 58 85.27 3/1 13:29 77.05 1%
Trade id #139486552
Max drawdown($477)
Time3/1/22 13:29
Quant open58
Worst price77.04
Drawdown as % of equity-1.00%
($478)
Includes Typical Broker Commissions trade costs of $1.16
2/23/22 9:31 BHF BRIGHTHOUSE FINANCIAL INC. LONG 94 54.24 3/1 13:18 48.10 1.22%
Trade id #139504534
Max drawdown($579)
Time3/1/22 13:18
Quant open94
Worst price48.08
Drawdown as % of equity-1.22%
($579)
Includes Typical Broker Commissions trade costs of $1.88
2/22/22 9:31 BDX BECTON DICKINSON LONG 18 264.95 2/28 9:31 268.54 0.07%
Trade id #139486561
Max drawdown($34)
Time2/22/22 15:25
Quant open18
Worst price263.06
Drawdown as % of equity-0.07%
$65
Includes Typical Broker Commissions trade costs of $0.36
2/23/22 9:31 DD DU PONT DE NEMOURS & CO LONG 64 78.45 2/28 9:31 76.75 0.85%
Trade id #139504523
Max drawdown($405)
Time2/24/22 0:00
Quant open64
Worst price72.11
Drawdown as % of equity-0.85%
($110)
Includes Typical Broker Commissions trade costs of $1.28
2/24/22 9:31 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 2 2161.61 2/24 9:31 2170.95 n/a $19
Includes Typical Broker Commissions trade costs of $0.04
2/11/22 9:31 GIS GENERAL MILLS LONG 74 67.22 2/22 9:31 68.08 0.15%
Trade id #139352891
Max drawdown($74)
Time2/16/22 0:00
Quant open74
Worst price66.22
Drawdown as % of equity-0.15%
$63
Includes Typical Broker Commissions trade costs of $1.48
2/14/22 9:31 PG PROCTER & GAMBLE LONG 32 156.14 2/16 9:31 156.83 0.18%
Trade id #139377865
Max drawdown($88)
Time2/14/22 11:14
Quant open32
Worst price153.36
Drawdown as % of equity-0.18%
$21
Includes Typical Broker Commissions trade costs of $0.64
2/10/22 9:31 XOM EXXON MOBIL LONG 63 78.72 2/14 9:31 79.58 0.12%
Trade id #139334687
Max drawdown($58)
Time2/10/22 15:49
Quant open63
Worst price77.79
Drawdown as % of equity-0.12%
$53
Includes Typical Broker Commissions trade costs of $1.26
2/11/22 9:31 WYNN WYNN RESORTS SHORT 53 94.25 2/11 15:18 91.97 0.24%
Trade id #139352894
Max drawdown($116)
Time2/11/22 10:44
Quant open53
Worst price96.45
Drawdown as % of equity-0.24%
$120
Includes Typical Broker Commissions trade costs of $1.06
2/9/22 9:31 TMUS T-MOBILE US INC. COMMON STOCK SHORT 40 126.63 2/10 14:57 125.19 0.15%
Trade id #139318526
Max drawdown($70)
Time2/9/22 15:53
Quant open40
Worst price128.39
Drawdown as % of equity-0.15%
$57
Includes Typical Broker Commissions trade costs of $0.80

Statistics

  • Strategy began
    1/2/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    809.98
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    54
  • # Profitable
    33
  • % Profitable
    61.10%
  • Avg trade duration
    7.5 days
  • Max peak-to-valley drawdown
    10.83%
  • drawdown period
    Jan 06, 2022 - Jan 24, 2022
  • Cumul. Return
    -3.2%
  • Avg win
    $106.79
  • Avg loss
    $218.05
  • Model Account Values (Raw)
  • Cash
    $49,093
  • Margin Used
    $0
  • Buying Power
    $49,093
  • Ratios
  • W:L ratio
    0.80:1
  • Sharpe Ratio
    -0.74
  • Sortino Ratio
    -0.94
  • Calmar Ratio
    -0.353
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.49%
  • Correlation to SP500
    0.10900
  • Return Percent SP500 (cumu) during strategy life
    10.17%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -7.7%
  • Slump
  • Current Slump as Pcnt Equity
    3.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • 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)
    -0.032%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    7.50%
  • 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
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $218
  • Avg Win
    $107
  • Sum Trade PL (losers)
    $4,579.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $3,524.000
  • # Winners
    33
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    146
  • Win / Loss
  • # Losers
    21
  • % Winners
    61.1%
  • Frequency
  • Avg Position Time (mins)
    10785.30
  • Avg Position Time (hrs)
    179.75
  • Avg Trade Length
    7.5 days
  • Last Trade Ago
    708
  • Leverage
  • Daily leverage (average)
    0.52
  • Daily leverage (max)
    1.55
  • Regression
  • Alpha
    -0.01
  • Beta
    0.02
  • Treynor Index
    -0.41
  • 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)
    -9.36
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -7.883
  • 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
    0.936
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.712
  • Hold-and-Hope Ratio
    -0.127
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08093
  • SD
    0.06915
  • Sharpe ratio (Glass type estimate)
    -1.17027
  • Sharpe ratio (Hedges UMVUE)
    -0.84681
  • df
    3.00000
  • t
    -0.67566
  • p
    0.72616
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.59498
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42496
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.30853
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61490
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.35306
  • Upside Potential Ratio
    0.95252
  • Upside part of mean
    0.05697
  • Downside part of mean
    -0.13790
  • Upside SD
    0.02356
  • Downside SD
    0.05981
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.34094
  • Mean of criterion
    -0.08093
  • SD of predictor
    0.16605
  • SD of criterion
    0.06915
  • Covariance
    0.00518
  • r
    0.45100
  • b (slope, estimate of beta)
    0.18782
  • a (intercept, estimate of alpha)
    -0.01689
  • Mean Square Error
    0.00571
  • DF error
    2.00000
  • t(b)
    0.71461
  • p(b)
    0.27450
  • t(a)
    -0.10646
  • p(a)
    0.53753
  • Lowerbound of 95% confidence interval for beta
    -0.94304
  • Upperbound of 95% confidence interval for beta
    1.31868
  • Lowerbound of 95% confidence interval for alpha
    -0.69953
  • Upperbound of 95% confidence interval for alpha
    0.66575
  • Treynor index (mean / b)
    -0.43087
  • Jensen alpha (a)
    -0.01689
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08283
  • SD
    0.06966
  • Sharpe ratio (Glass type estimate)
    -1.18909
  • Sharpe ratio (Hedges UMVUE)
    -0.86043
  • df
    3.00000
  • t
    -0.68652
  • p
    0.72916
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.61629
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41103
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.32429
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60344
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.36841
  • Upside Potential Ratio
    0.93450
  • Upside part of mean
    0.05656
  • Downside part of mean
    -0.13939
  • Upside SD
    0.02339
  • Downside SD
    0.06053
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.35564
  • Mean of criterion
    -0.08283
  • SD of predictor
    0.16670
  • SD of criterion
    0.06966
  • Covariance
    0.00521
  • r
    0.44855
  • b (slope, estimate of beta)
    0.18743
  • a (intercept, estimate of alpha)
    -0.01617
  • Mean Square Error
    0.00581
  • DF error
    2.00000
  • t(b)
    0.70976
  • p(b)
    0.27572
  • t(a)
    -0.09977
  • p(a)
    0.53519
  • Lowerbound of 95% confidence interval for beta
    -0.94881
  • Upperbound of 95% confidence interval for beta
    1.32368
  • Lowerbound of 95% confidence interval for alpha
    -0.71342
  • Upperbound of 95% confidence interval for alpha
    0.68109
  • Treynor index (mean / b)
    -0.44190
  • Jensen alpha (a)
    -0.01617
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03919
  • Expected Shortfall on VaR
    0.04720
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02678
  • Expected Shortfall on VaR
    0.04133
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.97110
  • Quartile 1
    0.98347
  • Median
    0.99894
  • Quartile 3
    1.01106
  • Maximum
    1.01336
  • Mean of quarter 1
    0.97110
  • Mean of quarter 2
    0.98759
  • Mean of quarter 3
    1.01029
  • Mean of quarter 4
    1.01336
  • Inter Quartile Range
    0.02759
  • 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
    1.00000
  • Minimum
    0.04095
  • Quartile 1
    0.04095
  • Median
    0.04095
  • Quartile 3
    0.04095
  • Maximum
    0.04095
  • 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)
    -0.05442
  • Compounded annual return (geometric extrapolation)
    -0.05344
  • Calmar ratio (compounded annual return / max draw down)
    -1.30498
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.13216
  • 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
    -0.06967
  • SD
    0.09353
  • Sharpe ratio (Glass type estimate)
    -0.74485
  • Sharpe ratio (Hedges UMVUE)
    -0.73942
  • df
    103.00000
  • t
    -0.46929
  • p
    0.52939
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.85564
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36943
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.85192
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37309
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.94451
  • Upside Potential Ratio
    4.18172
  • Upside part of mean
    0.30844
  • Downside part of mean
    -0.37811
  • Upside SD
    0.05694
  • Downside SD
    0.07376
  • N nonnegative terms
    41.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    104.00000
  • Mean of predictor
    -0.38503
  • Mean of criterion
    -0.06967
  • SD of predictor
    0.24290
  • SD of criterion
    0.09353
  • Covariance
    0.00469
  • r
    0.20628
  • b (slope, estimate of beta)
    0.07943
  • a (intercept, estimate of alpha)
    -0.06000
  • Mean Square Error
    0.00846
  • DF error
    102.00000
  • t(b)
    2.12909
  • p(b)
    0.39686
  • t(a)
    -0.26647
  • p(a)
    0.51319
  • Lowerbound of 95% confidence interval for beta
    0.00543
  • Upperbound of 95% confidence interval for beta
    0.15342
  • Lowerbound of 95% confidence interval for alpha
    -0.33001
  • Upperbound of 95% confidence interval for alpha
    0.25184
  • Treynor index (mean / b)
    -0.87711
  • Jensen alpha (a)
    -0.03908
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07403
  • SD
    0.09394
  • Sharpe ratio (Glass type estimate)
    -0.78801
  • Sharpe ratio (Hedges UMVUE)
    -0.78226
  • df
    103.00000
  • t
    -0.49648
  • p
    0.53109
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.89892
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32654
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.89496
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33044
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.99200
  • Upside Potential Ratio
    4.11141
  • Upside part of mean
    0.30680
  • Downside part of mean
    -0.38083
  • Upside SD
    0.05650
  • Downside SD
    0.07462
  • N nonnegative terms
    41.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    104.00000
  • Mean of predictor
    -0.41465
  • Mean of criterion
    -0.07403
  • SD of predictor
    0.24373
  • SD of criterion
    0.09394
  • Covariance
    0.00465
  • r
    0.20308
  • b (slope, estimate of beta)
    0.07827
  • a (intercept, estimate of alpha)
    -0.04157
  • Mean Square Error
    0.00854
  • DF error
    102.00000
  • t(b)
    2.09463
  • p(b)
    0.39846
  • t(a)
    -0.28178
  • p(a)
    0.51394
  • Lowerbound of 95% confidence interval for beta
    0.00415
  • Upperbound of 95% confidence interval for beta
    0.15239
  • Lowerbound of 95% confidence interval for alpha
    -0.33418
  • Upperbound of 95% confidence interval for alpha
    0.25104
  • Treynor index (mean / b)
    -0.94574
  • Jensen alpha (a)
    -0.04157
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00978
  • Expected Shortfall on VaR
    0.01218
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00366
  • Expected Shortfall on VaR
    0.00803
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    104.00000
  • Minimum
    0.96735
  • Quartile 1
    0.99990
  • Median
    1.00000
  • Quartile 3
    1.00063
  • Maximum
    1.02224
  • Mean of quarter 1
    0.99449
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00022
  • Mean of quarter 4
    1.00466
  • Inter Quartile Range
    0.00073
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.18269
  • Mean of outliers low
    0.99262
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.14423
  • Mean of outliers high
    1.00738
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13739
  • VaR(95%) (moments method)
    0.00260
  • Expected Shortfall (moments method)
    0.00441
  • Extreme Value Index (regression method)
    0.54898
  • VaR(95%) (regression method)
    0.00564
  • Expected Shortfall (regression method)
    0.01698
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.08322
  • Quartile 1
    0.08322
  • Median
    0.08322
  • Quartile 3
    0.08322
  • Maximum
    0.08322
  • 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)
    -0.04570
  • Compounded annual return (geometric extrapolation)
    -0.04507
  • Calmar ratio (compounded annual return / max draw down)
    -0.54157
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -3.70145
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00800
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -290795000
  • Max Equity Drawdown (num days)
    18

Strategy Description

Summary Statistics

Strategy began
2022-01-02
Suggested Minimum Capital
$5,000
# Trades
54
# Profitable
33
% Profitable
61.1%
Net Dividends
Correlation S&P500
0.109
Sharpe Ratio
-0.74
Sortino Ratio
-0.94
Beta
0.02
Alpha
-0.01
Leverage
0.52 Average
1.55 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.