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Long/Short Strategy
(118633841)

Created by: NBTK NBTK
Started: 06/2018
Stocks
Last trade: 6 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 $100.00 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.
29.3%
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.

(57.3%)
Max Drawdown
317
Num Trades
61.5%
Win Trades
1.4 : 1
Profit Factor
65.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                   (0.5%)+0.5%(3.8%)(17.9%)+25.0%(5.4%)+13.1%+5.6%
2019+5.5%+11.1%+12.2%+8.6%+4.5%+6.2%(4.5%)+1.8%+2.3%+0.7%+18.1%+7.2%+101.1%
2020(7.3%)(12.5%)(12.9%)+5.7%                                                (25.3%)

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 120 hours.

Trading Record

This strategy has placed 498 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/21/20 15:01 SYNA SYNAPTICS LONG 300 70.77 3/12 12:10 61.41 8.13%
Trade id #127131764
Max drawdown($3,230)
Time3/12/20 12:10
Quant open250
Worst price57.85
Drawdown as % of equity-8.13%
($2,816)
Includes Typical Broker Commissions trade costs of $6.00
2/24/20 10:27 ON ON SEMICONDUCTOR CORP LONG 450 18.90 3/11 15:25 15.00 3.82%
Trade id #127678443
Max drawdown($1,752)
Time3/11/20 15:24
Quant open450
Worst price15.01
Drawdown as % of equity-3.82%
($1,762)
Includes Typical Broker Commissions trade costs of $9.00
2/24/20 11:15 LH LABORATORY CORPORATION LONG 125 184.70 3/11 15:05 154.84 7.93%
Trade id #127679643
Max drawdown($3,708)
Time3/11/20 15:05
Quant open125
Worst price155.03
Drawdown as % of equity-7.93%
($3,735)
Includes Typical Broker Commissions trade costs of $2.50
9/5/19 10:48 VICR VICOR LONG 700 38.78 3/11/20 11:20 43.63 0.66%
Trade id #125232843
Max drawdown($378)
Time10/3/19 0:00
Quant open150
Worst price28.69
Drawdown as % of equity-0.66%
$3,386
Includes Typical Broker Commissions trade costs of $14.00
2/6/20 15:58 MNKD MANNKIND LONG 5,500 1.48 3/10 9:48 1.20 2.47%
Trade id #127402730
Max drawdown($1,456)
Time2/28/20 0:00
Quant open5,500
Worst price1.22
Drawdown as % of equity-2.47%
($1,579)
Includes Typical Broker Commissions trade costs of $35.00
3/5/20 12:27 NCR NCR LONG 200 23.84 3/9 15:50 19.49 1.65%
Trade id #127872742
Max drawdown($862)
Time3/9/20 15:50
Quant open200
Worst price19.54
Drawdown as % of equity-1.65%
($874)
Includes Typical Broker Commissions trade costs of $4.00
3/5/20 12:28 DISH DISH NETWORK LONG 150 32.43 3/9 9:33 26.46 1.48%
Trade id #127872773
Max drawdown($865)
Time3/9/20 9:31
Quant open150
Worst price26.66
Drawdown as % of equity-1.48%
($898)
Includes Typical Broker Commissions trade costs of $3.00
2/20/20 9:54 AMBA AMBARELLA INC LONG 250 63.35 3/5 12:09 51.99 4.46%
Trade id #127617577
Max drawdown($2,811)
Time3/5/20 12:09
Quant open250
Worst price52.11
Drawdown as % of equity-4.46%
($2,847)
Includes Typical Broker Commissions trade costs of $5.00
2/24/20 10:09 STNE STONECO LTD. CLASS A COMMON SHARES LONG 150 42.18 3/2 11:49 42.41 0.87%
Trade id #127677981
Max drawdown($513)
Time2/28/20 0:00
Quant open150
Worst price38.75
Drawdown as % of equity-0.87%
$32
Includes Typical Broker Commissions trade costs of $3.00
2/19/20 10:04 COP CONOCOPHILLIPS LONG 100 58.89 2/27 9:36 48.98 1.55%
Trade id #127596123
Max drawdown($986)
Time2/27/20 9:36
Quant open100
Worst price49.03
Drawdown as % of equity-1.55%
($994)
Includes Typical Broker Commissions trade costs of $2.00
2/24/20 10:36 TRIP TRIPADVISOR LONG 250 26.93 2/27 9:30 22.72 1.31%
Trade id #127678662
Max drawdown($851)
Time2/26/20 0:00
Quant open250
Worst price23.53
Drawdown as % of equity-1.31%
($1,059)
Includes Typical Broker Commissions trade costs of $5.00
2/25/20 10:37 SPCE VIRGIN GALACTIC HOLDINGS INC SHORT 150 35.84 2/26 9:42 32.64 0.07%
Trade id #127698719
Max drawdown($48)
Time2/25/20 10:45
Quant open150
Worst price36.16
Drawdown as % of equity-0.07%
$477
Includes Typical Broker Commissions trade costs of $3.00
2/3/20 11:40 PLNT PLANET FITNESS INC SHORT 150 83.52 2/26 9:32 77.64 1%
Trade id #127337133
Max drawdown($742)
Time2/20/20 0:00
Quant open150
Worst price88.47
Drawdown as % of equity-1.00%
$879
Includes Typical Broker Commissions trade costs of $3.00
1/27/20 14:49 SPR SPIRIT AEROSYSTEMS HLDNGS LONG 200 69.42 2/25 10:21 61.45 2.24%
Trade id #127238321
Max drawdown($1,579)
Time2/24/20 0:00
Quant open200
Worst price61.52
Drawdown as % of equity-2.24%
($1,597)
Includes Typical Broker Commissions trade costs of $4.00
2/14/20 9:30 ANET ARISTA NETWORKS INC SHORT 100 222.28 2/24 10:10 214.08 0.87%
Trade id #127512655
Max drawdown($647)
Time2/20/20 0:00
Quant open100
Worst price228.76
Drawdown as % of equity-0.87%
$818
Includes Typical Broker Commissions trade costs of $2.00
2/20/20 9:42 STNE STONECO LTD. CLASS A COMMON SHARES SHORT 150 43.42 2/24 10:08 42.20 0.08%
Trade id #127617244
Max drawdown($62)
Time2/20/20 10:51
Quant open75
Worst price44.03
Drawdown as % of equity-0.08%
$181
Includes Typical Broker Commissions trade costs of $3.00
2/12/20 11:03 AAXN AXON ENTERPRISE INC SHORT 125 87.76 2/24 10:08 84.97 0.37%
Trade id #127476946
Max drawdown($275)
Time2/19/20 0:00
Quant open100
Worst price90.10
Drawdown as % of equity-0.37%
$347
Includes Typical Broker Commissions trade costs of $2.50
2/18/20 11:21 RL RALPH LAUREN LONG 75 120.69 2/24 9:32 108.61 0.4%
Trade id #127575266
Max drawdown($291)
Time2/21/20 0:00
Quant open75
Worst price116.80
Drawdown as % of equity-0.40%
($908)
Includes Typical Broker Commissions trade costs of $1.50
1/27/20 15:18 LITE LUMENTUM HOLDINGS INC LONG 100 78.41 2/24 9:31 77.99 0.08%
Trade id #127238829
Max drawdown($56)
Time1/31/20 0:00
Quant open75
Worst price75.61
Drawdown as % of equity-0.08%
($44)
Includes Typical Broker Commissions trade costs of $2.00
2/3/20 11:46 TPX TEMPUR SEALY INTERNATIONAL SHORT 75 91.40 2/21 15:24 91.33 0.88%
Trade id #127337759
Max drawdown($673)
Time2/13/20 0:00
Quant open75
Worst price100.39
Drawdown as % of equity-0.88%
$5
Includes Typical Broker Commissions trade costs of $1.50
2/13/20 15:21 HQY HEALTHEQUITY INC. COMMON STOC SHORT 75 74.97 2/19 9:43 85.23 0.99%
Trade id #127500888
Max drawdown($732)
Time2/19/20 9:43
Quant open75
Worst price84.73
Drawdown as % of equity-0.99%
($772)
Includes Typical Broker Commissions trade costs of $1.50
1/9/20 10:43 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK SHORT 300 60.00 2/19 9:39 67.54 3.01%
Trade id #126930705
Max drawdown($2,232)
Time2/19/20 9:39
Quant open300
Worst price67.44
Drawdown as % of equity-3.01%
($2,268)
Includes Typical Broker Commissions trade costs of $6.00
1/24/20 11:23 CPE CALLON PETROLEUM LONG 1,500 3.18 2/18 11:12 2.75 0.84%
Trade id #127208940
Max drawdown($634)
Time2/18/20 10:55
Quant open1,500
Worst price2.76
Drawdown as % of equity-0.84%
($664)
Includes Typical Broker Commissions trade costs of $15.00
2/7/20 15:02 GOOGL ALPHABET INC CLASS A LONG 5 1479.30 2/14 9:38 1515.85 0.03%
Trade id #127418226
Max drawdown($20)
Time2/10/20 0:00
Quant open5
Worst price1475.20
Drawdown as % of equity-0.03%
$183
Includes Typical Broker Commissions trade costs of $0.10
2/5/20 9:55 CYBR CYBERARK SOFTWARE LTD. ORDINAR SHORT 75 141.44 2/13 14:02 120.00 0.11%
Trade id #127372958
Max drawdown($76)
Time2/5/20 10:03
Quant open75
Worst price142.47
Drawdown as % of equity-0.11%
$1,607
Includes Typical Broker Commissions trade costs of $1.50
1/27/20 14:20 ZS ZSCALER INC. COMMON STOCK SHORT 150 56.31 2/13 12:35 62.00 1.12%
Trade id #127237958
Max drawdown($849)
Time2/13/20 12:29
Quant open150
Worst price61.97
Drawdown as % of equity-1.12%
($857)
Includes Typical Broker Commissions trade costs of $3.00
12/31/19 11:24 SWCH SWITCH INC SHORT 300 15.62 2/12/20 11:28 17.09 0.55%
Trade id #126803361
Max drawdown($406)
Time2/12/20 9:34
Quant open300
Worst price16.97
Drawdown as % of equity-0.55%
($449)
Includes Typical Broker Commissions trade costs of $6.00
1/29/20 10:53 STNE STONECO LTD. CLASS A COMMON SHARES SHORT 200 43.46 2/12 10:46 39.88 0.5%
Trade id #127268363
Max drawdown($342)
Time2/3/20 0:00
Quant open150
Worst price45.72
Drawdown as % of equity-0.50%
$712
Includes Typical Broker Commissions trade costs of $4.00
1/27/20 14:10 WDAY WORKDAY SHORT 75 184.60 2/5 9:30 197.60 1.24%
Trade id #127237766
Max drawdown($854)
Time2/4/20 0:00
Quant open75
Worst price195.99
Drawdown as % of equity-1.24%
($977)
Includes Typical Broker Commissions trade costs of $1.50
12/19/19 14:53 MNKD MANNKIND LONG 10,000 1.38 1/31/20 13:45 1.47 1.01%
Trade id #126692316
Max drawdown($749)
Time1/2/20 0:00
Quant open7,500
Worst price1.25
Drawdown as % of equity-1.01%
$844
Includes Typical Broker Commissions trade costs of $15.00

Statistics

  • Strategy began
    6/25/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    651.22
  • Age
    22 months ago
  • What it trades
    Stocks
  • # Trades
    317
  • # Profitable
    195
  • % Profitable
    61.50%
  • Avg trade duration
    37.4 days
  • Max peak-to-valley drawdown
    57.3%
  • drawdown period
    Jan 13, 2020 - March 18, 2020
  • Annual Return (Compounded)
    29.3%
  • Avg win
    $426.02
  • Avg loss
    $494.48
  • Model Account Values (Raw)
  • Cash
    $779
  • Margin Used
    $0
  • Buying Power
    $8,756
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    0.5
  • Sortino Ratio
    0.7
  • Calmar Ratio
    0.554
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    60.51%
  • Correlation to SP500
    0.56320
  • Return Percent SP500 (cumu) during strategy life
    -1.96%
  • Return Statistics
  • Ann Return (w trading costs)
    29.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.49%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.13%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.293%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    33.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    46.50%
  • Chance of 20% account loss
    17.00%
  • Chance of 30% account loss
    8.00%
  • Chance of 40% account loss
    n/a
  • Chance of 100% 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 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)
    628
  • Popularity (Last 6 weeks)
    928
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    248
  • Popularity (7 days, Percentile 1000 scale)
    770
  • 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
    $494
  • Avg Win
    $426
  • Sum Trade PL (losers)
    $60,326.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $83,073.000
  • # Winners
    195
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    647
  • AUM
  • AUM (AutoTrader live capital)
    86320
  • Win / Loss
  • # Losers
    122
  • % Winners
    61.5%
  • Frequency
  • Avg Position Time (mins)
    53814.00
  • Avg Position Time (hrs)
    896.90
  • Avg Trade Length
    37.4 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    1.49
  • Daily leverage (max)
    2.30
  • Regression
  • Alpha
    0.07
  • Beta
    0.97
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    14.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.71
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.704
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.782
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.122
  • Hold-and-Hope Ratio
    0.160
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31288
  • SD
    0.47179
  • Sharpe ratio (Glass type estimate)
    0.66317
  • Sharpe ratio (Hedges UMVUE)
    0.63659
  • df
    19.00000
  • t
    0.85615
  • p
    0.37807
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87786
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18726
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89503
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16820
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97660
  • Upside Potential Ratio
    2.41315
  • Upside part of mean
    0.77311
  • Downside part of mean
    -0.46024
  • Upside SD
    0.34202
  • Downside SD
    0.32038
  • N nonnegative terms
    13.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    -0.00012
  • Mean of criterion
    0.31288
  • SD of predictor
    0.21050
  • SD of criterion
    0.47179
  • Covariance
    0.03729
  • r
    0.37550
  • b (slope, estimate of beta)
    0.84159
  • a (intercept, estimate of alpha)
    0.31298
  • Mean Square Error
    0.20183
  • DF error
    18.00000
  • t(b)
    1.71888
  • p(b)
    0.31225
  • t(a)
    0.89941
  • p(a)
    0.39631
  • Lowerbound of 95% confidence interval for beta
    -0.18705
  • Upperbound of 95% confidence interval for beta
    1.87023
  • Lowerbound of 95% confidence interval for alpha
    -0.41811
  • Upperbound of 95% confidence interval for alpha
    1.04408
  • Treynor index (mean / b)
    0.37177
  • Jensen alpha (a)
    0.31298
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19639
  • SD
    0.50052
  • Sharpe ratio (Glass type estimate)
    0.39237
  • Sharpe ratio (Hedges UMVUE)
    0.37664
  • df
    19.00000
  • t
    0.50655
  • p
    0.42668
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13594
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91054
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14626
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89954
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51873
  • Upside Potential Ratio
    1.90042
  • Upside part of mean
    0.71949
  • Downside part of mean
    -0.52310
  • Upside SD
    0.31285
  • Downside SD
    0.37860
  • N nonnegative terms
    13.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    -0.02256
  • Mean of criterion
    0.19639
  • SD of predictor
    0.22123
  • SD of criterion
    0.50052
  • Covariance
    0.05123
  • r
    0.46269
  • b (slope, estimate of beta)
    1.04681
  • a (intercept, estimate of alpha)
    0.22001
  • Mean Square Error
    0.20783
  • DF error
    18.00000
  • t(b)
    2.21429
  • p(b)
    0.26866
  • t(a)
    0.62275
  • p(a)
    0.42739
  • Lowerbound of 95% confidence interval for beta
    0.05360
  • Upperbound of 95% confidence interval for beta
    2.04002
  • Lowerbound of 95% confidence interval for alpha
    -0.52222
  • Upperbound of 95% confidence interval for alpha
    0.96223
  • Treynor index (mean / b)
    0.18761
  • Jensen alpha (a)
    0.22001
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19852
  • Expected Shortfall on VaR
    0.24442
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06791
  • Expected Shortfall on VaR
    0.15082
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.66004
  • Quartile 1
    0.96426
  • Median
    1.04383
  • Quartile 3
    1.10215
  • Maximum
    1.28166
  • Mean of quarter 1
    0.85796
  • Mean of quarter 2
    1.00313
  • Mean of quarter 3
    1.07881
  • Mean of quarter 4
    1.17371
  • Inter Quartile Range
    0.13789
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.66004
  • 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)
    0.57369
  • VaR(95%) (moments method)
    0.13481
  • Expected Shortfall (moments method)
    0.37241
  • Extreme Value Index (regression method)
    1.54098
  • VaR(95%) (regression method)
    0.18647
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.09631
  • Quartile 1
    0.16138
  • Median
    0.22645
  • Quartile 3
    0.29642
  • Maximum
    0.36640
  • Mean of quarter 1
    0.09631
  • Mean of quarter 2
    0.22645
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.36640
  • Inter Quartile Range
    0.13504
  • 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)
    0.27197
  • Compounded annual return (geometric extrapolation)
    0.25144
  • Calmar ratio (compounded annual return / max draw down)
    0.68626
  • Compounded annual return / average of 25% largest draw downs
    0.68626
  • Compounded annual return / Expected Shortfall lognormal
    1.02874
  • 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
    0.30565
  • SD
    0.41453
  • Sharpe ratio (Glass type estimate)
    0.73734
  • Sharpe ratio (Hedges UMVUE)
    0.73612
  • df
    454.00000
  • t
    0.97168
  • p
    0.16586
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75110
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22501
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75193
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22417
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06708
  • Upside Potential Ratio
    7.52536
  • Upside part of mean
    2.15554
  • Downside part of mean
    -1.84989
  • Upside SD
    0.29962
  • Downside SD
    0.28644
  • N nonnegative terms
    242.00000
  • N negative terms
    213.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    455.00000
  • Mean of predictor
    -0.00504
  • Mean of criterion
    0.30565
  • SD of predictor
    0.26111
  • SD of criterion
    0.41453
  • Covariance
    0.05764
  • r
    0.53249
  • b (slope, estimate of beta)
    0.84537
  • a (intercept, estimate of alpha)
    0.31000
  • Mean Square Error
    0.12339
  • DF error
    453.00000
  • t(b)
    13.38970
  • p(b)
    -0.00000
  • t(a)
    1.16268
  • p(a)
    0.12279
  • Lowerbound of 95% confidence interval for beta
    0.72129
  • Upperbound of 95% confidence interval for beta
    0.96944
  • Lowerbound of 95% confidence interval for alpha
    -0.21391
  • Upperbound of 95% confidence interval for alpha
    0.83374
  • Treynor index (mean / b)
    0.36156
  • Jensen alpha (a)
    0.30991
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21981
  • SD
    0.41473
  • Sharpe ratio (Glass type estimate)
    0.53000
  • Sharpe ratio (Hedges UMVUE)
    0.52913
  • df
    454.00000
  • t
    0.69844
  • p
    0.24263
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95796
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95855
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01680
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73726
  • Upside Potential Ratio
    7.08654
  • Upside part of mean
    2.11276
  • Downside part of mean
    -1.89295
  • Upside SD
    0.28795
  • Downside SD
    0.29814
  • N nonnegative terms
    242.00000
  • N negative terms
    213.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    455.00000
  • Mean of predictor
    -0.03933
  • Mean of criterion
    0.21981
  • SD of predictor
    0.26283
  • SD of criterion
    0.41473
  • Covariance
    0.05840
  • r
    0.53572
  • b (slope, estimate of beta)
    0.84530
  • a (intercept, estimate of alpha)
    0.25305
  • Mean Square Error
    0.12291
  • DF error
    453.00000
  • t(b)
    13.50320
  • p(b)
    -0.00000
  • t(a)
    0.95118
  • p(a)
    0.17101
  • Lowerbound of 95% confidence interval for beta
    0.72228
  • Upperbound of 95% confidence interval for beta
    0.96832
  • Lowerbound of 95% confidence interval for alpha
    -0.26977
  • Upperbound of 95% confidence interval for alpha
    0.77588
  • Treynor index (mean / b)
    0.26003
  • Jensen alpha (a)
    0.25305
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04046
  • Expected Shortfall on VaR
    0.05064
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01529
  • Expected Shortfall on VaR
    0.03277
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    455.00000
  • Minimum
    0.84931
  • Quartile 1
    0.99309
  • Median
    1.00100
  • Quartile 3
    1.01091
  • Maximum
    1.17114
  • Mean of quarter 1
    0.97458
  • Mean of quarter 2
    0.99753
  • Mean of quarter 3
    1.00555
  • Mean of quarter 4
    1.02748
  • Inter Quartile Range
    0.01783
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.05055
  • Mean of outliers low
    0.93498
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.03956
  • Mean of outliers high
    1.07025
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58915
  • VaR(95%) (moments method)
    0.02537
  • Expected Shortfall (moments method)
    0.06858
  • Extreme Value Index (regression method)
    0.39102
  • VaR(95%) (regression method)
    0.02394
  • Expected Shortfall (regression method)
    0.04728
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00042
  • Quartile 1
    0.00456
  • Median
    0.01052
  • Quartile 3
    0.02892
  • Maximum
    0.50751
  • Mean of quarter 1
    0.00182
  • Mean of quarter 2
    0.00777
  • Mean of quarter 3
    0.01952
  • Mean of quarter 4
    0.16134
  • Inter Quartile Range
    0.02436
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.16129
  • Mean of outliers high
    0.23324
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.65260
  • VaR(95%) (moments method)
    0.14110
  • Expected Shortfall (moments method)
    0.47077
  • Extreme Value Index (regression method)
    0.84525
  • VaR(95%) (regression method)
    0.22725
  • Expected Shortfall (regression method)
    1.66745
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30953
  • Compounded annual return (geometric extrapolation)
    0.28109
  • Calmar ratio (compounded annual return / max draw down)
    0.55386
  • Compounded annual return / average of 25% largest draw downs
    1.74221
  • Compounded annual return / Expected Shortfall lognormal
    5.55086
  • 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
    -0.06981
  • SD
    0.53881
  • Sharpe ratio (Glass type estimate)
    -0.12957
  • Sharpe ratio (Hedges UMVUE)
    -0.12882
  • df
    130.00000
  • t
    -0.09162
  • p
    0.50402
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.90118
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64253
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.90067
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64303
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17852
  • Upside Potential Ratio
    6.51335
  • Upside part of mean
    2.54709
  • Downside part of mean
    -2.61691
  • Upside SD
    0.36769
  • Downside SD
    0.39106
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09988
  • Mean of criterion
    -0.06981
  • SD of predictor
    0.42241
  • SD of criterion
    0.53881
  • Covariance
    0.17637
  • r
    0.77490
  • b (slope, estimate of beta)
    0.98845
  • a (intercept, estimate of alpha)
    0.02891
  • Mean Square Error
    0.11689
  • DF error
    129.00000
  • t(b)
    13.92410
  • p(b)
    0.06189
  • t(a)
    0.05979
  • p(a)
    0.49665
  • Lowerbound of 95% confidence interval for beta
    0.84800
  • Upperbound of 95% confidence interval for beta
    1.12890
  • Lowerbound of 95% confidence interval for alpha
    -0.92783
  • Upperbound of 95% confidence interval for alpha
    0.98565
  • Treynor index (mean / b)
    -0.07063
  • Jensen alpha (a)
    0.02891
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21454
  • SD
    0.54111
  • Sharpe ratio (Glass type estimate)
    -0.39648
  • Sharpe ratio (Hedges UMVUE)
    -0.39419
  • df
    130.00000
  • t
    -0.28035
  • p
    0.51229
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.16798
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37647
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.16641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37803
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.52332
  • Upside Potential Ratio
    6.05797
  • Upside part of mean
    2.48349
  • Downside part of mean
    -2.69803
  • Upside SD
    0.35025
  • Downside SD
    0.40996
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.18935
  • Mean of criterion
    -0.21454
  • SD of predictor
    0.42586
  • SD of criterion
    0.54111
  • Covariance
    0.17893
  • r
    0.77648
  • b (slope, estimate of beta)
    0.98661
  • a (intercept, estimate of alpha)
    -0.02772
  • Mean Square Error
    0.11716
  • DF error
    129.00000
  • t(b)
    13.99550
  • p(b)
    0.06126
  • t(a)
    -0.05725
  • p(a)
    0.50321
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    0.84713
  • Upperbound of 95% confidence interval for beta
    1.12608
  • Lowerbound of 95% confidence interval for alpha
    -0.98584
  • Upperbound of 95% confidence interval for alpha
    0.93039
  • Treynor index (mean / b)
    -0.21745
  • Jensen alpha (a)
    -0.02772
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05428
  • Expected Shortfall on VaR
    0.06732
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02138
  • Expected Shortfall on VaR
    0.04544
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.84931
  • Quartile 1
    0.99271
  • Median
    1.00102
  • Quartile 3
    1.01207
  • Maximum
    1.17114
  • Mean of quarter 1
    0.96353
  • Mean of quarter 2
    0.99713
  • Mean of quarter 3
    1.00674
  • Mean of quarter 4
    1.03217
  • Inter Quartile Range
    0.01937
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.93071
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.07429
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45014
  • VaR(95%) (moments method)
    0.03012
  • Expected Shortfall (moments method)
    0.06633
  • Extreme Value Index (regression method)
    0.26061
  • VaR(95%) (regression method)
    0.03584
  • Expected Shortfall (regression method)
    0.06495
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00119
  • Quartile 1
    0.00820
  • Median
    0.01598
  • Quartile 3
    0.02410
  • Maximum
    0.50751
  • Mean of quarter 1
    0.00416
  • Mean of quarter 2
    0.01308
  • Mean of quarter 3
    0.01984
  • Mean of quarter 4
    0.18709
  • Inter Quartile Range
    0.01591
  • 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
    0.09091
  • Mean of outliers high
    0.50751
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.47035
  • VaR(95%) (moments method)
    0.17901
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    8.90241
  • VaR(95%) (regression method)
    5.12073
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -245530000
  • Max Equity Drawdown (num days)
    65
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.17819
  • Compounded annual return (geometric extrapolation)
    -0.17025
  • Calmar ratio (compounded annual return / max draw down)
    -0.33546
  • Compounded annual return / average of 25% largest draw downs
    -0.91000
  • Compounded annual return / Expected Shortfall lognormal
    -2.52878

Strategy Description

PLEASE NOTE THERE IS A MINIMUM INVESTMENT PERIOD OF 90 DAYS ASSOCIATED WITH THIS STRATEGY. ANY INVESTOR THAT UNSUBSCRIBES FROM STRATEGY IN LESS THAN 90 DAYS WILL BE UNSUBBED IF THEY ATTEMPT TO RE-ENTER STRATEGY. THIS IS NOT A TRADING STRATEGY.

The strategy utilizes technical/fundamental analysis to determine long/short stock trades. The portfolio can be long, short, or long/short depending on the current market environment. The strategy tends to be concentrated in only 10-20 holdings across long/short positions.

The Long/Short strategy is an aggressive growth strategy and investors should be willing to tolerate periods of volatility. The trading strategy can see periods of volatility due to periodic concentration in some positions, either long or short.

Margin is required to emulate the trading strategy.

Trading stops are utilized to limit downside in each position. On average the strategy's total downside risk is targeted at 15-20% of the value of the total holdings, with some positions above and some positions below this average level.

While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose money, we do make an effort to control risk.

Summary Statistics

Strategy began
2018-06-25
Suggested Minimum Capital
$35,000
# Trades
317
# Profitable
195
% Profitable
61.5%
Net Dividends
Correlation S&P500
0.563
Sharpe Ratio
0.50
Sortino Ratio
0.70
Beta
0.97
Alpha
0.07
Leverage
1.49 Average
2.30 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.