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

test strategy 01
(124724798)

Created by: jkll jkll
Started: 08/2019
Stocks
Last trade: 1,383 days ago
Trading style: 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 $63.00 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
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.
14.9%
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.

(34.5%)
Max Drawdown
82
Num Trades
52.4%
Win Trades
2.0 : 1
Profit Factor
12.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +18.8%  -  +1.9%+3.4%+20.0%+50.1%
2020(1.3%)(11.9%)+1.7%+31.7%+16.6%(6.3%)  -    -    -    -    -    -  +27.2%
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

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

Trading Record

This strategy has placed 129 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1466 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/23/20 10:04 ERX DIREXION DAILY ENERGY BULL 2X LONG 418 13.17 6/15 10:40 15.47 2.08%
Trade id #128708814
Max drawdown($308)
Time4/27/20 0:00
Quant open418
Worst price12.43
Drawdown as % of equity-2.08%
$952
Includes Typical Broker Commissions trade costs of $8.36
4/22/20 11:11 TQQQ PROSHARES ULTRAPRO QQQ LONG 114 61.30 6/15 10:40 82.27 0.07%
Trade id #128690628
Max drawdown($10)
Time4/24/20 0:00
Quant open114
Worst price61.21
Drawdown as % of equity-0.07%
$2,389
Includes Typical Broker Commissions trade costs of $2.28
4/22/20 11:11 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 338 20.80 6/15 10:40 27.84 4.3%
Trade id #128690617
Max drawdown($659)
Time5/14/20 0:00
Quant open338
Worst price18.85
Drawdown as % of equity-4.30%
$2,372
Includes Typical Broker Commissions trade costs of $6.76
4/21/20 9:41 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 10 300.99 4/21 9:47 297.00 0.38%
Trade id #128671959
Max drawdown($55)
Time4/21/20 9:47
Quant open10
Worst price295.48
Drawdown as % of equity-0.38%
($40)
Includes Typical Broker Commissions trade costs of $0.20
4/16/20 9:44 APTO APTOSE BIOSCIENCES INC. COMMO LONG 588 8.54 4/20 14:29 8.30 4.37%
Trade id #128595598
Max drawdown($593)
Time4/16/20 12:38
Quant open588
Worst price7.53
Drawdown as % of equity-4.37%
($146)
Includes Typical Broker Commissions trade costs of $5.00
4/16/20 10:31 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 350 19.45 4/20 14:29 21.18 1.68%
Trade id #128597255
Max drawdown($228)
Time4/16/20 12:37
Quant open250
Worst price18.45
Drawdown as % of equity-1.68%
$599
Includes Typical Broker Commissions trade costs of $7.00
4/16/20 9:51 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 350 19.83 4/16 9:59 19.34 0.68%
Trade id #128595822
Max drawdown($97)
Time4/16/20 9:59
Quant open350
Worst price19.55
Drawdown as % of equity-0.68%
($179)
Includes Typical Broker Commissions trade costs of $7.00
4/13/20 13:46 TSLA TESLA INC. LONG 11 631.39 4/15 15:56 729.25 n/a $1,076
Includes Typical Broker Commissions trade costs of $0.22
4/13/20 13:45 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 650 21.39 4/15 15:56 19.95 8.38%
Trade id #128539965
Max drawdown($1,190)
Time4/15/20 12:14
Quant open620
Worst price19.51
Drawdown as % of equity-8.38%
($939)
Includes Typical Broker Commissions trade costs of $5.30
4/13/20 13:45 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 620 11.30 4/13 13:45 11.29 0.04%
Trade id #128539948
Max drawdown($6)
Time4/13/20 13:45
Quant open620
Worst price11.29
Drawdown as % of equity-0.04%
($11)
Includes Typical Broker Commissions trade costs of $5.00
4/13/20 11:53 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 644 21.71 4/13 12:32 21.73 0.46%
Trade id #128537632
Max drawdown($64)
Time4/13/20 12:01
Quant open644
Worst price21.61
Drawdown as % of equity-0.46%
$8
Includes Typical Broker Commissions trade costs of $5.00
4/9/20 13:40 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 644 23.88 4/13 10:36 21.87 11.09%
Trade id #128501058
Max drawdown($1,532)
Time4/13/20 10:26
Quant open644
Worst price21.50
Drawdown as % of equity-11.09%
($1,299)
Includes Typical Broker Commissions trade costs of $5.00
4/7/20 12:08 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 54.10 4/9 13:39 55.16 6.47%
Trade id #128456936
Max drawdown($930)
Time4/7/20 15:55
Quant open300
Worst price51.00
Drawdown as % of equity-6.47%
$312
Includes Typical Broker Commissions trade costs of $6.00
4/7/20 11:10 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 52.67 4/7 11:52 53.71 0.36%
Trade id #128454335
Max drawdown($53)
Time4/7/20 11:14
Quant open200
Worst price52.40
Drawdown as % of equity-0.36%
$204
Includes Typical Broker Commissions trade costs of $4.00
4/3/20 13:23 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 48.65 4/7 10:18 53.41 0.05%
Trade id #128408590
Max drawdown($7)
Time4/3/20 14:13
Quant open6
Worst price40.86
Drawdown as % of equity-0.05%
$948
Includes Typical Broker Commissions trade costs of $4.00
4/2/20 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 125 44.25 4/3 10:02 44.59 1.88%
Trade id #128391901
Max drawdown($260)
Time4/3/20 0:00
Quant open75
Worst price40.86
Drawdown as % of equity-1.88%
$41
Includes Typical Broker Commissions trade costs of $2.50
4/2/20 13:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 42.55 4/2 14:04 42.04 0.9%
Trade id #128381644
Max drawdown($126)
Time4/2/20 14:04
Quant open200
Worst price41.92
Drawdown as % of equity-0.90%
($106)
Includes Typical Broker Commissions trade costs of $4.00
4/2/20 9:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 220 43.19 4/2 13:32 42.39 1.62%
Trade id #128376068
Max drawdown($229)
Time4/2/20 13:31
Quant open220
Worst price42.15
Drawdown as % of equity-1.62%
($180)
Includes Typical Broker Commissions trade costs of $4.40
4/1/20 12:41 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 300 21.59 4/1 15:57 22.02 0.39%
Trade id #128362210
Max drawdown($54)
Time4/1/20 14:07
Quant open200
Worst price21.26
Drawdown as % of equity-0.39%
$122
Includes Typical Broker Commissions trade costs of $6.00
4/1/20 14:51 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 5 362.12 4/1 15:57 364.88 0.01%
Trade id #128364441
Max drawdown($1)
Time4/1/20 15:55
Quant open5
Worst price361.92
Drawdown as % of equity-0.01%
$14
Includes Typical Broker Commissions trade costs of $0.10
4/1/20 12:40 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 200 21.49 4/1 12:41 21.51 0.03%
Trade id #128362197
Max drawdown($4)
Time4/1/20 12:41
Quant open200
Worst price21.51
Drawdown as % of equity-0.03%
($8)
Includes Typical Broker Commissions trade costs of $4.00
4/1/20 10:43 TQQQ PROSHARES ULTRAPRO QQQ LONG 60 44.78 4/1 12:40 42.91 0.85%
Trade id #128359385
Max drawdown($119)
Time4/1/20 12:40
Quant open60
Worst price42.79
Drawdown as % of equity-0.85%
($113)
Includes Typical Broker Commissions trade costs of $1.20
3/26/20 10:01 TQQQ PROSHARES ULTRAPRO QQQ LONG 60 47.18 3/31 13:14 48.95 0.55%
Trade id #128263863
Max drawdown($77)
Time3/27/20 0:00
Quant open30
Worst price43.79
Drawdown as % of equity-0.55%
$105
Includes Typical Broker Commissions trade costs of $1.20
3/24/20 13:47 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 152 9.67 3/30 12:25 9.09 0.9%
Trade id #128226121
Max drawdown($128)
Time3/27/20 0:00
Quant open52
Worst price7.20
Drawdown as % of equity-0.90%
($92)
Includes Typical Broker Commissions trade costs of $3.04
3/25/20 11:09 TQQQ PROSHARES ULTRAPRO QQQ LONG 10 43.82 3/25 15:42 45.76 0.08%
Trade id #128242921
Max drawdown($11)
Time3/25/20 11:47
Quant open10
Worst price42.66
Drawdown as % of equity-0.08%
$19
Includes Typical Broker Commissions trade costs of $0.20
3/23/20 9:40 QQQ POWERSHARES QQQ LONG 5 167.83 3/23 15:54 171.26 0.1%
Trade id #128190181
Max drawdown($14)
Time3/23/20 11:47
Quant open5
Worst price164.93
Drawdown as % of equity-0.10%
$17
Includes Typical Broker Commissions trade costs of $0.10
3/20/20 12:56 QQQ POWERSHARES QQQ SHORT 5 178.40 3/23 9:34 170.71 0.02%
Trade id #128163643
Max drawdown($3)
Time3/20/20 13:12
Quant open5
Worst price179.05
Drawdown as % of equity-0.02%
$38
Includes Typical Broker Commissions trade costs of $0.10
3/20/20 12:55 QQQ POWERSHARES QQQ LONG 80 178.08 3/20 12:55 178.54 n/a $35
Includes Typical Broker Commissions trade costs of $1.60
3/20/20 10:16 TQQQ PROSHARES ULTRAPRO QQQ LONG 60 42.26 3/20 11:18 42.47 0.15%
Trade id #128159153
Max drawdown($20)
Time3/20/20 10:21
Quant open60
Worst price41.92
Drawdown as % of equity-0.15%
$12
Includes Typical Broker Commissions trade costs of $1.20
3/19/20 10:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 41.77 3/20 9:44 41.11 9.64%
Trade id #128138771
Max drawdown($1,334)
Time3/20/20 0:00
Quant open200
Worst price35.10
Drawdown as % of equity-9.64%
($137)
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    8/1/2019
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1697.08
  • Age
    57 months ago
  • What it trades
    Stocks
  • # Trades
    82
  • # Profitable
    43
  • % Profitable
    52.40%
  • Avg trade duration
    4.4 days
  • Max peak-to-valley drawdown
    34.47%
  • drawdown period
    Feb 19, 2020 - Feb 27, 2020
  • Annual Return (Compounded)
    14.9%
  • Avg win
    $476.23
  • Avg loss
    $258.00
  • Model Account Values (Raw)
  • Cash
    $20,412
  • Margin Used
    $0
  • Buying Power
    $20,412
  • Ratios
  • W:L ratio
    2.04:1
  • Sharpe Ratio
    0.54
  • Sortino Ratio
    0.83
  • Calmar Ratio
    2.277
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    13.76%
  • Correlation to SP500
    0.17420
  • Return Percent SP500 (cumu) during strategy life
    77.90%
  • Return Statistics
  • Ann Return (w trading costs)
    14.9%
  • Slump
  • Current Slump as Pcnt Equity
    14.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.81%
  • 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)
    0.149%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    $258
  • Avg Win
    $476
  • Sum Trade PL (losers)
    $10,062.000
  • Age
  • Num Months filled monthly returns table
    56
  • Win / Loss
  • Sum Trade PL (winners)
    $20,478.000
  • # Winners
    43
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    -2
  • Win / Loss
  • # Losers
    39
  • % Winners
    52.4%
  • Frequency
  • Avg Position Time (mins)
    6310.47
  • Avg Position Time (hrs)
    105.17
  • Avg Trade Length
    4.4 days
  • Last Trade Ago
    1378
  • Leverage
  • Daily leverage (average)
    1.48
  • Daily leverage (max)
    4.34
  • Regression
  • Alpha
    0.03
  • Beta
    0.18
  • Treynor Index
    0.22
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.13
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    1.961
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.245
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.340
  • Hold-and-Hope Ratio
    0.510
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57025
  • SD
    0.37268
  • Sharpe ratio (Glass type estimate)
    1.53014
  • Sharpe ratio (Hedges UMVUE)
    1.45212
  • df
    15.00000
  • t
    1.76685
  • p
    0.24357
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27486
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.28927
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32302
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22725
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.82837
  • Upside Potential Ratio
    6.12077
  • Upside part of mean
    0.72289
  • Downside part of mean
    -0.15264
  • Upside SD
    0.37863
  • Downside SD
    0.11811
  • N nonnegative terms
    8.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.31555
  • Mean of criterion
    0.57025
  • SD of predictor
    0.29023
  • SD of criterion
    0.37268
  • Covariance
    0.00542
  • r
    0.05008
  • b (slope, estimate of beta)
    0.06431
  • a (intercept, estimate of alpha)
    0.54996
  • Mean Square Error
    0.14844
  • DF error
    14.00000
  • t(b)
    0.18761
  • p(b)
    0.47496
  • t(a)
    1.56795
  • p(a)
    0.30675
  • Lowerbound of 95% confidence interval for beta
    -0.67083
  • Upperbound of 95% confidence interval for beta
    0.79944
  • Lowerbound of 95% confidence interval for alpha
    -0.20233
  • Upperbound of 95% confidence interval for alpha
    1.30225
  • Treynor index (mean / b)
    8.86786
  • Jensen alpha (a)
    0.54996
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50012
  • SD
    0.34022
  • Sharpe ratio (Glass type estimate)
    1.46997
  • Sharpe ratio (Hedges UMVUE)
    1.39502
  • df
    15.00000
  • t
    1.69738
  • p
    0.25150
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22347
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37424
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16428
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.02672
  • Upside Potential Ratio
    5.31281
  • Upside part of mean
    0.65985
  • Downside part of mean
    -0.15973
  • Upside SD
    0.33754
  • Downside SD
    0.12420
  • N nonnegative terms
    8.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.27178
  • Mean of criterion
    0.50012
  • SD of predictor
    0.29168
  • SD of criterion
    0.34022
  • Covariance
    0.00557
  • r
    0.05613
  • b (slope, estimate of beta)
    0.06547
  • a (intercept, estimate of alpha)
    0.48232
  • Mean Square Error
    0.12363
  • DF error
    14.00000
  • t(b)
    0.21036
  • p(b)
    0.47193
  • t(a)
    1.52618
  • p(a)
    0.31116
  • Lowerbound of 95% confidence interval for beta
    -0.60209
  • Upperbound of 95% confidence interval for beta
    0.73304
  • Lowerbound of 95% confidence interval for alpha
    -0.19550
  • Upperbound of 95% confidence interval for alpha
    1.16015
  • Treynor index (mean / b)
    7.63842
  • Jensen alpha (a)
    0.48232
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11296
  • Expected Shortfall on VaR
    0.14807
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02865
  • Expected Shortfall on VaR
    0.06204
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.89021
  • Quartile 1
    1.00000
  • Median
    1.00788
  • Quartile 3
    1.08741
  • Maximum
    1.33285
  • Mean of quarter 1
    0.95378
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.04939
  • Mean of quarter 4
    1.19623
  • Inter Quartile Range
    0.08741
  • 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
    0.06250
  • Mean of outliers high
    1.33285
  • 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)
    -2.11493
  • VaR(95%) (regression method)
    0.15580
  • Expected Shortfall (regression method)
    0.16370
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07511
  • Quartile 1
    0.08378
  • Median
    0.09245
  • Quartile 3
    0.10112
  • Maximum
    0.10978
  • Mean of quarter 1
    0.07511
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10978
  • Inter Quartile Range
    0.01734
  • 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)
    0.76642
  • Compounded annual return (geometric extrapolation)
    0.69558
  • Calmar ratio (compounded annual return / max draw down)
    6.33581
  • Compounded annual return / average of 25% largest draw downs
    6.33581
  • Compounded annual return / Expected Shortfall lognormal
    4.69751
  • 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
    0.55759
  • SD
    0.39778
  • Sharpe ratio (Glass type estimate)
    1.40176
  • Sharpe ratio (Hedges UMVUE)
    1.39886
  • df
    363.00000
  • t
    1.65224
  • p
    0.04967
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26515
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06676
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26708
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.06480
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23231
  • Upside Potential Ratio
    6.18343
  • Upside part of mean
    1.54452
  • Downside part of mean
    -0.98693
  • Upside SD
    0.31079
  • Downside SD
    0.24978
  • N nonnegative terms
    113.00000
  • N negative terms
    251.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    364.00000
  • Mean of predictor
    0.44425
  • Mean of criterion
    0.55759
  • SD of predictor
    0.37563
  • SD of criterion
    0.39778
  • Covariance
    0.02853
  • r
    0.19096
  • b (slope, estimate of beta)
    0.20222
  • a (intercept, estimate of alpha)
    0.46800
  • Mean Square Error
    0.15288
  • DF error
    362.00000
  • t(b)
    3.70141
  • p(b)
    0.00012
  • t(a)
    1.40632
  • p(a)
    0.08024
  • Lowerbound of 95% confidence interval for beta
    0.09478
  • Upperbound of 95% confidence interval for beta
    0.30967
  • Lowerbound of 95% confidence interval for alpha
    -0.18634
  • Upperbound of 95% confidence interval for alpha
    1.12185
  • Treynor index (mean / b)
    2.75730
  • Jensen alpha (a)
    0.46776
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47884
  • SD
    0.39551
  • Sharpe ratio (Glass type estimate)
    1.21068
  • Sharpe ratio (Hedges UMVUE)
    1.20818
  • df
    363.00000
  • t
    1.42702
  • p
    0.07722
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45526
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87506
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45697
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87333
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82684
  • Upside Potential Ratio
    5.71857
  • Upside part of mean
    1.49892
  • Downside part of mean
    -1.02008
  • Upside SD
    0.29694
  • Downside SD
    0.26211
  • N nonnegative terms
    113.00000
  • N negative terms
    251.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    364.00000
  • Mean of predictor
    0.37331
  • Mean of criterion
    0.47884
  • SD of predictor
    0.37673
  • SD of criterion
    0.39551
  • Covariance
    0.02865
  • r
    0.19227
  • b (slope, estimate of beta)
    0.20186
  • a (intercept, estimate of alpha)
    0.40349
  • Mean Square Error
    0.15106
  • DF error
    362.00000
  • t(b)
    3.72767
  • p(b)
    0.00011
  • t(a)
    1.22133
  • p(a)
    0.11138
  • Lowerbound of 95% confidence interval for beta
    0.09537
  • Upperbound of 95% confidence interval for beta
    0.30834
  • Lowerbound of 95% confidence interval for alpha
    -0.24619
  • Upperbound of 95% confidence interval for alpha
    1.05317
  • Treynor index (mean / b)
    2.37221
  • Jensen alpha (a)
    0.40349
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03764
  • Expected Shortfall on VaR
    0.04737
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01034
  • Expected Shortfall on VaR
    0.02321
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    364.00000
  • Minimum
    0.86233
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00220
  • Maximum
    1.15107
  • Mean of quarter 1
    0.98523
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00027
  • Mean of quarter 4
    1.02345
  • Inter Quartile Range
    0.00220
  • Number outliers low
    43.00000
  • Percentage of outliers low
    0.11813
  • Mean of outliers low
    0.96935
  • Number of outliers high
    66.00000
  • Percentage of outliers high
    0.18132
  • Mean of outliers high
    1.03096
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.27334
  • VaR(95%) (moments method)
    0.00662
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.54656
  • VaR(95%) (regression method)
    0.01286
  • Expected Shortfall (regression method)
    0.04416
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00044
  • Quartile 1
    0.00492
  • Median
    0.00861
  • Quartile 3
    0.08409
  • Maximum
    0.28978
  • Mean of quarter 1
    0.00193
  • Mean of quarter 2
    0.00707
  • Mean of quarter 3
    0.03532
  • Mean of quarter 4
    0.18090
  • Inter Quartile Range
    0.07917
  • 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
    0.06667
  • Mean of outliers high
    0.28978
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.23637
  • VaR(95%) (moments method)
    0.20233
  • Expected Shortfall (moments method)
    0.24294
  • Extreme Value Index (regression method)
    0.58653
  • VaR(95%) (regression method)
    0.25083
  • Expected Shortfall (regression method)
    0.55466
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73554
  • Compounded annual return (geometric extrapolation)
    0.65989
  • Calmar ratio (compounded annual return / max draw down)
    2.27716
  • Compounded annual return / average of 25% largest draw downs
    3.64771
  • Compounded annual return / Expected Shortfall lognormal
    13.92910
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.71255
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38888
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.63675
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38837
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6831390000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.03800
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -326614000000000001536696617271296.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -354474000
  • Max Equity Drawdown (num days)
    8
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Hgk

Summary Statistics

Strategy began
2019-08-01
Suggested Minimum Capital
$15,000
# Trades
82
# Profitable
43
% Profitable
52.4%
Net Dividends
Correlation S&P500
0.174
Sharpe Ratio
0.54
Sortino Ratio
0.83
Beta
0.18
Alpha
0.03
Leverage
1.48 Average
4.34 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.

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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.