Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

Move North Stock Fund
(107529017)

Created by: MoveNorth MoveNorth
Started: 11/2016
Stocks
Last trade: 8 days ago
Trading style: Equity Hedged Equity Momentum

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $50.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
20.0%
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.

(35.4%)
Max Drawdown
150
Num Trades
44.0%
Win Trades
2.3 : 1
Profit Factor
71.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      (0.2%)+1.5%+1.3%
2017+1.3%+1.0%+6.1%+3.4%+13.3%+1.0%+1.0%+0.5%+4.2%+2.7%+0.5%+0.8%+41.3%
2018+10.4%(4.2%)(1.7%)+0.6%+6.1%(2.7%)(3.2%)+9.8%+0.3%(12.2%)+0.7%(6.8%)(5.1%)
2019+2.4%+4.3%(2%)+4.7%(9%)+7.7%+5.1%(3.7%)(3.1%)(1.1%)+4.6%+2.5%+11.6%
2020+1.0%+1.1%(20.3%)+11.4%+9.2%+8.9%+11.5%+8.0%                        +29.8%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 200 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/21/20 9:30 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 35 91.00 6/26 9:30 138.45 0.58%
Trade id #128671450
Max drawdown($185)
Time4/21/20 15:07
Quant open35
Worst price85.69
Drawdown as % of equity-0.58%
$1,660
Includes Typical Broker Commissions trade costs of $0.70
4/21/20 9:30 EXEL EXELIXIS LONG 210 24.36 6/19 9:30 22.67 1.45%
Trade id #128671351
Max drawdown($578)
Time6/11/20 0:00
Quant open210
Worst price21.61
Drawdown as % of equity-1.45%
($360)
Includes Typical Broker Commissions trade costs of $4.20
2/26/20 12:07 SPY SPDR S&P 500 LONG 74 273.74 6/4 9:30 311.11 14.45%
Trade id #127724095
Max drawdown($4,105)
Time3/23/20 0:00
Quant open74
Worst price218.26
Drawdown as % of equity-14.45%
$2,764
Includes Typical Broker Commissions trade costs of $1.48
1/14/20 9:30 TDOC TELADOC HEALTH INC LONG 20 95.77 4/30 9:30 166.65 0.13%
Trade id #126983114
Max drawdown($52)
Time1/15/20 0:00
Quant open20
Worst price93.15
Drawdown as % of equity-0.13%
$1,418
Includes Typical Broker Commissions trade costs of $0.40
5/8/19 9:30 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 68 56.58 3/19/20 9:30 75.58 0.36%
Trade id #123571807
Max drawdown($129)
Time5/13/19 0:00
Quant open34
Worst price49.58
Drawdown as % of equity-0.36%
$1,291
Includes Typical Broker Commissions trade costs of $1.36
2/1/19 9:30 NOW SERVICENOW LONG 15 248.87 3/13/20 9:30 277.41 0.11%
Trade id #122312613
Max drawdown($40)
Time10/23/19 0:00
Quant open8
Worst price213.99
Drawdown as % of equity-0.11%
$428
Includes Typical Broker Commissions trade costs of $0.30
1/9/20 9:30 PLAB PHOTRONICS LONG 128 15.20 3/13 9:30 10.67 1.93%
Trade id #126928987
Max drawdown($661)
Time3/12/20 0:00
Quant open128
Worst price10.03
Drawdown as % of equity-1.93%
($583)
Includes Typical Broker Commissions trade costs of $2.56
11/25/19 9:30 STNE STONECO LTD. CLASS A COMMON SHARES LONG 184 42.40 3/13/20 9:30 32.71 6.59%
Trade id #126351500
Max drawdown($2,253)
Time3/12/20 0:00
Quant open184
Worst price30.15
Drawdown as % of equity-6.59%
($1,787)
Includes Typical Broker Commissions trade costs of $3.68
3/29/19 9:30 HZNP HORIZON THERAPIES PUBLIC LTD LONG 70 26.12 3/13/20 9:30 28.11 0.64%
Trade id #123125048
Max drawdown($240)
Time7/8/19 0:00
Quant open70
Worst price22.69
Drawdown as % of equity-0.64%
$138
Includes Typical Broker Commissions trade costs of $1.40
12/2/19 9:30 ROK ROCKWELL AUTOMATION LONG 10 196.68 3/10/20 9:32 158.26 1.14%
Trade id #126438991
Max drawdown($452)
Time3/9/20 0:00
Quant open10
Worst price151.45
Drawdown as % of equity-1.14%
($384)
Includes Typical Broker Commissions trade costs of $0.20
2/12/20 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 50 93.92 3/10 9:30 81.98 1.81%
Trade id #127474029
Max drawdown($717)
Time3/9/20 0:00
Quant open50
Worst price79.58
Drawdown as % of equity-1.81%
($598)
Includes Typical Broker Commissions trade costs of $1.00
12/16/19 9:30 CIEN CIENA CORPORTION LONG 47 41.72 3/10/20 9:30 40.00 0.5%
Trade id #126637395
Max drawdown($196)
Time2/28/20 0:00
Quant open47
Worst price37.54
Drawdown as % of equity-0.50%
($82)
Includes Typical Broker Commissions trade costs of $0.94
11/25/19 9:30 SPLK SPLUNK INC LONG 14 139.64 3/10/20 9:30 132.27 0.51%
Trade id #126351487
Max drawdown($200)
Time3/9/20 0:00
Quant open14
Worst price125.31
Drawdown as % of equity-0.51%
($103)
Includes Typical Broker Commissions trade costs of $0.28
4/18/19 9:30 QCOM QUALCOMM LONG 22 78.72 3/10/20 9:30 74.80 0.91%
Trade id #123356544
Max drawdown($307)
Time5/29/19 0:00
Quant open22
Worst price64.76
Drawdown as % of equity-0.91%
($86)
Includes Typical Broker Commissions trade costs of $0.44
8/15/19 9:30 MTH MERITAGE HOMES LONG 60 66.58 3/10/20 9:30 58.73 1.41%
Trade id #124948061
Max drawdown($558)
Time3/9/20 0:00
Quant open60
Worst price57.27
Drawdown as % of equity-1.41%
($472)
Includes Typical Broker Commissions trade costs of $1.20
1/23/20 9:30 LX LEXINFINTECH HOLDINGS LTD. AMERICAN DEPOSITARY SHA LONG 120 16.43 3/3 9:30 11.30 1.7%
Trade id #127171987
Max drawdown($657)
Time3/2/20 0:00
Quant open120
Worst price10.95
Drawdown as % of equity-1.70%
($618)
Includes Typical Broker Commissions trade costs of $2.40
1/31/19 9:30 MRCY MERCURY SYSTEMS LONG 30 59.00 2/12/20 9:30 83.83 0.13%
Trade id #122289083
Max drawdown($44)
Time2/4/19 0:00
Quant open30
Worst price57.51
Drawdown as % of equity-0.13%
$744
Includes Typical Broker Commissions trade costs of $0.60
1/30/19 9:30 WWD WOODWARD LONG 20 86.75 2/12/20 9:30 117.84 0.11%
Trade id #122265132
Max drawdown($37)
Time1/30/19 10:22
Quant open20
Worst price84.87
Drawdown as % of equity-0.11%
$622
Includes Typical Broker Commissions trade costs of $0.40
4/15/19 9:30 DIS WALT DISNEY LONG 28 136.42 2/12/20 9:30 141.34 0.72%
Trade id #123312562
Max drawdown($248)
Time10/3/19 0:00
Quant open28
Worst price127.54
Drawdown as % of equity-0.72%
$137
Includes Typical Broker Commissions trade costs of $0.56
8/23/19 15:52 TGT TARGET LONG 38 106.28 2/7/20 9:30 114.19 0.01%
Trade id #125066401
Max drawdown($2)
Time8/23/19 15:57
Quant open19
Worst price103.25
Drawdown as % of equity-0.01%
$300
Includes Typical Broker Commissions trade costs of $0.76
11/5/18 9:30 SBUX STARBUCKS LONG 26 64.00 2/7/20 9:30 85.76 0.28%
Trade id #120726167
Max drawdown($93)
Time12/24/18 0:00
Quant open26
Worst price60.42
Drawdown as % of equity-0.28%
$565
Includes Typical Broker Commissions trade costs of $0.52
8/15/19 9:30 SPY SPDR S&P 500 LONG 7 284.89 1/14/20 9:30 327.47 0.05%
Trade id #124948012
Max drawdown($17)
Time8/15/19 13:55
Quant open7
Worst price282.39
Drawdown as % of equity-0.05%
$298
Includes Typical Broker Commissions trade costs of $0.14
8/23/19 9:30 FLY FLY LEASING LONG 192 20.73 1/14/20 9:30 19.50 0.98%
Trade id #125056659
Max drawdown($351)
Time10/7/19 0:00
Quant open192
Worst price18.90
Drawdown as % of equity-0.98%
($240)
Includes Typical Broker Commissions trade costs of $3.84
4/29/19 9:30 PRO PROS HOLDINGS LONG 36 50.53 10/29 9:30 51.60 0.5%
Trade id #123461918
Max drawdown($181)
Time10/25/19 0:00
Quant open36
Worst price45.48
Drawdown as % of equity-0.50%
$38
Includes Typical Broker Commissions trade costs of $0.72
7/22/19 9:30 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 44 85.54 9/9 9:30 76.11 1.21%
Trade id #124561661
Max drawdown($450)
Time9/6/19 0:00
Quant open44
Worst price75.31
Drawdown as % of equity-1.21%
($416)
Includes Typical Broker Commissions trade costs of $0.88
2/1/19 9:30 FLWS 1-800 FLOWERS.COM LONG 107 16.20 8/26 9:30 15.21 0.33%
Trade id #122312747
Max drawdown($123)
Time8/23/19 0:00
Quant open107
Worst price15.05
Drawdown as % of equity-0.33%
($108)
Includes Typical Broker Commissions trade costs of $2.14
2/15/19 9:30 YETI YETI HOLDINGS INC LONG 78 22.30 8/15 9:31 27.99 0.11%
Trade id #122541630
Max drawdown($38)
Time2/15/19 9:30
Quant open78
Worst price21.81
Drawdown as % of equity-0.11%
$442
Includes Typical Broker Commissions trade costs of $1.56
11/7/18 9:30 GLDD GREAT LAKES DREDGE & DOCK LONG 268 6.87 8/15/19 9:30 10.13 0.58%
Trade id #120792096
Max drawdown($209)
Time11/7/18 9:30
Quant open268
Worst price6.09
Drawdown as % of equity-0.58%
$869
Includes Typical Broker Commissions trade costs of $5.36
5/6/19 9:30 ACA ARCOSA INC LONG 50 36.19 8/12 9:30 32.88 0.46%
Trade id #123540106
Max drawdown($169)
Time5/6/19 9:30
Quant open50
Worst price32.80
Drawdown as % of equity-0.46%
($167)
Includes Typical Broker Commissions trade costs of $1.00
2/15/19 9:30 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 17 102.34 8/8 9:30 119.24 0.15%
Trade id #122541525
Max drawdown($53)
Time2/15/19 9:30
Quant open17
Worst price99.20
Drawdown as % of equity-0.15%
$287
Includes Typical Broker Commissions trade costs of $0.34

Statistics

  • Strategy began
    11/28/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1349.23
  • Age
    45 months ago
  • What it trades
    Stocks
  • # Trades
    150
  • # Profitable
    66
  • % Profitable
    44.00%
  • Avg trade duration
    146.1 days
  • Max peak-to-valley drawdown
    35.43%
  • drawdown period
    Feb 21, 2020 - March 23, 2020
  • Annual Return (Compounded)
    20.0%
  • Avg win
    $707.35
  • Avg loss
    $247.88
  • Model Account Values (Raw)
  • Cash
    $18,431
  • Margin Used
    $0
  • Buying Power
    $31,706
  • Ratios
  • W:L ratio
    2.32:1
  • Sharpe Ratio
    0.82
  • Sortino Ratio
    1.07
  • Calmar Ratio
    0.692
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    44.53%
  • Correlation to SP500
    0.60300
  • Return Percent SP500 (cumu) during strategy life
    52.21%
  • Return Statistics
  • Ann Return (w trading costs)
    20.0%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    -3.680%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.200%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.50%
  • Chance of 20% account loss
    3.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    551
  • Popularity (Last 6 weeks)
    827
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    931
  • Popularity (7 days, Percentile 1000 scale)
    634
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $248
  • Avg Win
    $707
  • Sum Trade PL (losers)
    $20,822.000
  • Age
  • Num Months filled monthly returns table
    46
  • Win / Loss
  • Sum Trade PL (winners)
    $46,685.000
  • # Winners
    66
  • Num Months Winners
    33
  • Dividends
  • Dividends Received in Model Acct
    777
  • Win / Loss
  • # Losers
    84
  • % Winners
    44.0%
  • Frequency
  • Avg Position Time (mins)
    210395.00
  • Avg Position Time (hrs)
    3506.58
  • Avg Trade Length
    146.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.89
  • Daily leverage (max)
    1.39
  • Regression
  • Alpha
    0.03
  • Beta
    0.54
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    12.25
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    17.76
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.56
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.430
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.197
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.250
  • Hold-and-Hope Ratio
    0.736
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18393
  • SD
    0.24107
  • Sharpe ratio (Glass type estimate)
    0.76298
  • Sharpe ratio (Hedges UMVUE)
    0.74926
  • df
    42.00000
  • t
    1.44430
  • p
    0.07804
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80665
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79698
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06498
  • Upside Potential Ratio
    2.21630
  • Upside part of mean
    0.38277
  • Downside part of mean
    -0.19884
  • Upside SD
    0.17249
  • Downside SD
    0.17271
  • N nonnegative terms
    29.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.11214
  • Mean of criterion
    0.18393
  • SD of predictor
    0.23485
  • SD of criterion
    0.24107
  • Covariance
    0.04705
  • r
    0.83105
  • b (slope, estimate of beta)
    0.85303
  • a (intercept, estimate of alpha)
    0.08827
  • Mean Square Error
    0.01842
  • DF error
    41.00000
  • t(b)
    9.56742
  • p(b)
    -0.00000
  • t(a)
    1.21952
  • p(a)
    0.11481
  • Lowerbound of 95% confidence interval for beta
    0.67297
  • Upperbound of 95% confidence interval for beta
    1.03310
  • Lowerbound of 95% confidence interval for alpha
    -0.05791
  • Upperbound of 95% confidence interval for alpha
    0.23445
  • Treynor index (mean / b)
    0.21562
  • Jensen alpha (a)
    0.08827
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15152
  • SD
    0.25794
  • Sharpe ratio (Glass type estimate)
    0.58744
  • Sharpe ratio (Hedges UMVUE)
    0.57688
  • df
    42.00000
  • t
    1.11201
  • p
    0.13623
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45891
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46583
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61960
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75898
  • Upside Potential Ratio
    1.84303
  • Upside part of mean
    0.36794
  • Downside part of mean
    -0.21642
  • Upside SD
    0.16444
  • Downside SD
    0.19964
  • N nonnegative terms
    29.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.08139
  • Mean of criterion
    0.15152
  • SD of predictor
    0.25694
  • SD of criterion
    0.25794
  • Covariance
    0.05757
  • r
    0.86864
  • b (slope, estimate of beta)
    0.87199
  • a (intercept, estimate of alpha)
    0.08055
  • Mean Square Error
    0.01673
  • DF error
    41.00000
  • t(b)
    11.22630
  • p(b)
    -0.00000
  • t(a)
    1.17385
  • p(a)
    0.12361
  • Lowerbound of 95% confidence interval for beta
    0.71512
  • Upperbound of 95% confidence interval for beta
    1.02885
  • Lowerbound of 95% confidence interval for alpha
    -0.05803
  • Upperbound of 95% confidence interval for alpha
    0.21913
  • Treynor index (mean / b)
    0.17377
  • Jensen alpha (a)
    0.08055
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10403
  • Expected Shortfall on VaR
    0.13115
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02704
  • Expected Shortfall on VaR
    0.06468
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.70650
  • Quartile 1
    0.98832
  • Median
    1.01689
  • Quartile 3
    1.05343
  • Maximum
    1.13446
  • Mean of quarter 1
    0.93994
  • Mean of quarter 2
    1.00536
  • Mean of quarter 3
    1.03651
  • Mean of quarter 4
    1.09053
  • Inter Quartile Range
    0.06511
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.70650
  • 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)
    0.44307
  • VaR(95%) (moments method)
    0.04865
  • Expected Shortfall (moments method)
    0.10524
  • Extreme Value Index (regression method)
    0.68883
  • VaR(95%) (regression method)
    0.04988
  • Expected Shortfall (regression method)
    0.17001
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00249
  • Quartile 1
    0.06173
  • Median
    0.07620
  • Quartile 3
    0.15709
  • Maximum
    0.29350
  • Mean of quarter 1
    0.03211
  • Mean of quarter 2
    0.07620
  • Mean of quarter 3
    0.15709
  • Mean of quarter 4
    0.29350
  • Inter Quartile Range
    0.09536
  • 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)
    0.25175
  • Compounded annual return (geometric extrapolation)
    0.19653
  • Calmar ratio (compounded annual return / max draw down)
    0.66962
  • Compounded annual return / average of 25% largest draw downs
    0.66962
  • Compounded annual return / Expected Shortfall lognormal
    1.49856
  • 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
    0.18787
  • SD
    0.17516
  • Sharpe ratio (Glass type estimate)
    1.07259
  • Sharpe ratio (Hedges UMVUE)
    1.07175
  • df
    951.00000
  • t
    2.04457
  • p
    0.02059
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04299
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10166
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04241
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10108
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41255
  • Upside Potential Ratio
    7.87342
  • Upside part of mean
    1.04720
  • Downside part of mean
    -0.85933
  • Upside SD
    0.11443
  • Downside SD
    0.13301
  • N nonnegative terms
    556.00000
  • N negative terms
    396.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    952.00000
  • Mean of predictor
    0.10941
  • Mean of criterion
    0.18787
  • SD of predictor
    0.20751
  • SD of criterion
    0.17516
  • Covariance
    0.02143
  • r
    0.58962
  • b (slope, estimate of beta)
    0.49770
  • a (intercept, estimate of alpha)
    0.13300
  • Mean Square Error
    0.02004
  • DF error
    950.00000
  • t(b)
    22.50050
  • p(b)
    0.00000
  • t(a)
    1.79581
  • p(a)
    0.03642
  • Lowerbound of 95% confidence interval for beta
    0.45429
  • Upperbound of 95% confidence interval for beta
    0.54111
  • Lowerbound of 95% confidence interval for alpha
    -0.01238
  • Upperbound of 95% confidence interval for alpha
    0.27923
  • Treynor index (mean / b)
    0.37749
  • Jensen alpha (a)
    0.13342
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17226
  • SD
    0.17700
  • Sharpe ratio (Glass type estimate)
    0.97325
  • Sharpe ratio (Hedges UMVUE)
    0.97248
  • df
    951.00000
  • t
    1.85521
  • p
    0.03194
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05612
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00215
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05665
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00162
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26474
  • Upside Potential Ratio
    7.64028
  • Upside part of mean
    1.04062
  • Downside part of mean
    -0.86836
  • Upside SD
    0.11339
  • Downside SD
    0.13620
  • N nonnegative terms
    556.00000
  • N negative terms
    396.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    952.00000
  • Mean of predictor
    0.08771
  • Mean of criterion
    0.17226
  • SD of predictor
    0.20877
  • SD of criterion
    0.17700
  • Covariance
    0.02205
  • r
    0.59673
  • b (slope, estimate of beta)
    0.50591
  • a (intercept, estimate of alpha)
    0.12789
  • Mean Square Error
    0.02019
  • DF error
    950.00000
  • t(b)
    22.92040
  • p(b)
    0.00000
  • t(a)
    1.71492
  • p(a)
    0.04334
  • Lowerbound of 95% confidence interval for beta
    0.46259
  • Upperbound of 95% confidence interval for beta
    0.54923
  • Lowerbound of 95% confidence interval for alpha
    -0.01846
  • Upperbound of 95% confidence interval for alpha
    0.27424
  • Treynor index (mean / b)
    0.34050
  • Jensen alpha (a)
    0.12789
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01718
  • Expected Shortfall on VaR
    0.02165
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00655
  • Expected Shortfall on VaR
    0.01428
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    952.00000
  • Minimum
    0.89117
  • Quartile 1
    0.99648
  • Median
    1.00145
  • Quartile 3
    1.00629
  • Maximum
    1.04232
  • Mean of quarter 1
    0.98809
  • Mean of quarter 2
    0.99922
  • Mean of quarter 3
    1.00372
  • Mean of quarter 4
    1.01226
  • Inter Quartile Range
    0.00980
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.03782
  • Mean of outliers low
    0.96900
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.02101
  • Mean of outliers high
    1.02734
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30704
  • VaR(95%) (moments method)
    0.01075
  • Expected Shortfall (moments method)
    0.01894
  • Extreme Value Index (regression method)
    0.09861
  • VaR(95%) (regression method)
    0.01119
  • Expected Shortfall (regression method)
    0.01689
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00234
  • Median
    0.00645
  • Quartile 3
    0.02174
  • Maximum
    0.32041
  • Mean of quarter 1
    0.00139
  • Mean of quarter 2
    0.00397
  • Mean of quarter 3
    0.01584
  • Mean of quarter 4
    0.09541
  • Inter Quartile Range
    0.01940
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10811
  • Mean of outliers high
    0.17101
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.75593
  • VaR(95%) (moments method)
    0.09348
  • Expected Shortfall (moments method)
    0.41199
  • Extreme Value Index (regression method)
    1.02982
  • VaR(95%) (regression method)
    0.10213
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29435
  • Compounded annual return (geometric extrapolation)
    0.22161
  • Calmar ratio (compounded annual return / max draw down)
    0.69163
  • Compounded annual return / average of 25% largest draw downs
    2.32260
  • Compounded annual return / Expected Shortfall lognormal
    10.23510
  • 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
    0.45067
  • SD
    0.32826
  • Sharpe ratio (Glass type estimate)
    1.37290
  • Sharpe ratio (Hedges UMVUE)
    1.36497
  • df
    130.00000
  • t
    0.97079
  • p
    0.45758
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40646
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41180
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.14173
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74812
  • Upside Potential Ratio
    8.04004
  • Upside part of mean
    2.07276
  • Downside part of mean
    -1.62209
  • Upside SD
    0.20309
  • Downside SD
    0.25781
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08124
  • Mean of criterion
    0.45067
  • SD of predictor
    0.45965
  • SD of criterion
    0.32826
  • Covariance
    0.09532
  • r
    0.63173
  • b (slope, estimate of beta)
    0.45115
  • a (intercept, estimate of alpha)
    0.41402
  • Mean Square Error
    0.06526
  • DF error
    129.00000
  • t(b)
    9.25588
  • p(b)
    0.12647
  • t(a)
    1.14598
  • p(a)
    0.43620
  • Lowerbound of 95% confidence interval for beta
    0.35472
  • Upperbound of 95% confidence interval for beta
    0.54759
  • Lowerbound of 95% confidence interval for alpha
    -0.30079
  • Upperbound of 95% confidence interval for alpha
    1.12883
  • Treynor index (mean / b)
    0.99894
  • Jensen alpha (a)
    0.41402
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39547
  • SD
    0.33462
  • Sharpe ratio (Glass type estimate)
    1.18185
  • Sharpe ratio (Hedges UMVUE)
    1.17502
  • df
    130.00000
  • t
    0.83569
  • p
    0.46345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95520
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95050
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47924
  • Upside Potential Ratio
    7.67639
  • Upside part of mean
    2.05226
  • Downside part of mean
    -1.65679
  • Upside SD
    0.20059
  • Downside SD
    0.26735
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02462
  • Mean of criterion
    0.39547
  • SD of predictor
    0.46323
  • SD of criterion
    0.33462
  • Covariance
    0.09942
  • r
    0.64140
  • b (slope, estimate of beta)
    0.46333
  • a (intercept, estimate of alpha)
    0.40688
  • Mean Square Error
    0.06642
  • DF error
    129.00000
  • t(b)
    9.49545
  • p(b)
    0.12172
  • t(a)
    1.11637
  • p(a)
    0.43783
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.36679
  • Upperbound of 95% confidence interval for beta
    0.55987
  • Lowerbound of 95% confidence interval for alpha
    -0.31422
  • Upperbound of 95% confidence interval for alpha
    1.12798
  • Treynor index (mean / b)
    0.85354
  • Jensen alpha (a)
    0.40688
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03197
  • Expected Shortfall on VaR
    0.04027
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01124
  • Expected Shortfall on VaR
    0.02528
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89117
  • Quartile 1
    0.99341
  • Median
    1.00336
  • Quartile 3
    1.01396
  • Maximum
    1.04232
  • Mean of quarter 1
    0.97698
  • Mean of quarter 2
    0.99943
  • Mean of quarter 3
    1.00898
  • Mean of quarter 4
    1.02214
  • Inter Quartile Range
    0.02054
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.93744
  • 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)
    0.50880
  • VaR(95%) (moments method)
    0.02260
  • Expected Shortfall (moments method)
    0.05239
  • Extreme Value Index (regression method)
    0.14401
  • VaR(95%) (regression method)
    0.01887
  • Expected Shortfall (regression method)
    0.02879
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00237
  • Quartile 1
    0.00489
  • Median
    0.01188
  • Quartile 3
    0.01661
  • Maximum
    0.32041
  • Mean of quarter 1
    0.00307
  • Mean of quarter 2
    0.00829
  • Mean of quarter 3
    0.01548
  • Mean of quarter 4
    0.16870
  • Inter Quartile Range
    0.01172
  • 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
    0.16667
  • Mean of outliers high
    0.32041
  • 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?
    -259735000
  • Max Equity Drawdown (num days)
    31
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.47153
  • Compounded annual return (geometric extrapolation)
    0.52711
  • Calmar ratio (compounded annual return / max draw down)
    1.64510
  • Compounded annual return / average of 25% largest draw downs
    3.12450
  • Compounded annual return / Expected Shortfall lognormal
    13.08940

Strategy Description

Move North Stock Fund is an actively managed, hypothetical portfolio of stocks and exchange traded funds (ETFs). The fund is not managed using an automated trading algorithm. Instead, I perform fundamental and technical analysis of individual stocks and ETFs and buy those that exhibit characteristics which, according to my research, often lead to significant capital gains in the near future (typically between 2-3 months to 2-3 years). I apply selling rules for profit taking and in order to control risk.

The goal of the fund is to provide long term investors with superior risk-adjusted returns compared to stock market indices. While I encourage you to examine the fund’s historical performance when deciding whether to subscribe, note that past performance is no guarantee of future results.

The fund consists of only long positions, but it may hold inverse ETFs and long call options. Depending on market conditions the fund may also hold bond and commodity ETFs, stay largely in cash, or use margin. All orders are decided upon and placed after the close of the market.

Summary Statistics

Strategy began
2016-11-28
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.9%
Rank # 
#44
# Trades
150
# Profitable
66
% Profitable
44.0%
Net Dividends
Correlation S&P500
0.603
Sharpe Ratio
0.82
Sortino Ratio
1.07
Beta
0.54
Alpha
0.03
Leverage
0.89 Average
1.39 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.