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

Daily Scalp
(126079605)

Created by: SeekAlpha SeekAlpha
Started: 11/2019
Stocks
Last trade: 13 days ago
Trading style: Equity Momentum Short-term Reversal

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
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).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
6.1%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(9.8%)
Max Drawdown
272
Num Trades
55.1%
Win Trades
1.3 : 1
Profit Factor
22.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      (2%)+5.8%+3.7%
2020+9.7%(0.6%)(1.8%)(2.1%)(1.1%)(1.2%)(0.3%)                              +2.3%

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.

Trading Record

This strategy has placed 162 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/24/20 10:34 NBR NABORS INDUSTRIES LONG 250 36.27 6/24 11:20 35.74 0.62%
Trade id #129726347
Max drawdown($299)
Time6/24/20 10:53
Quant open125
Worst price34.58
Drawdown as % of equity-0.62%
($135)
Includes Typical Broker Commissions trade costs of $5.00
6/23/20 9:34 SKT TANGER FACTORY OUTLET LONG 800 7.21 6/24 9:33 6.93 0.55%
Trade id #129703266
Max drawdown($268)
Time6/24/20 0:00
Quant open800
Worst price6.88
Drawdown as % of equity-0.55%
($239)
Includes Typical Broker Commissions trade costs of $10.50
6/19/20 9:38 TRUE TRUECAR INC LONG 800 3.09 6/19 12:16 2.94 0.34%
Trade id #129658795
Max drawdown($164)
Time6/19/20 10:32
Quant open800
Worst price2.88
Drawdown as % of equity-0.34%
($125)
Includes Typical Broker Commissions trade costs of $5.00
6/18/20 9:40 SKT TANGER FACTORY OUTLET LONG 400 7.50 6/18 12:09 7.35 0.14%
Trade id #129635103
Max drawdown($68)
Time6/18/20 12:08
Quant open400
Worst price7.33
Drawdown as % of equity-0.14%
($68)
Includes Typical Broker Commissions trade costs of $8.00
6/17/20 11:25 HTZ HERTZ GLOBAL HOLDINGS INC LONG 800 2.03 6/17 15:34 1.99 0.21%
Trade id #129604886
Max drawdown($104)
Time6/17/20 11:32
Quant open800
Worst price1.90
Drawdown as % of equity-0.21%
($37)
Includes Typical Broker Commissions trade costs of $5.00
6/16/20 9:38 FNMA FANNIE MAE LONG 800 2.25 6/16 15:49 2.19 0.24%
Trade id #129577807
Max drawdown($120)
Time6/16/20 11:04
Quant open800
Worst price2.10
Drawdown as % of equity-0.24%
($53)
Includes Typical Broker Commissions trade costs of $5.00
6/16/20 9:57 TECS DIREXION DAILY TECHNOLOGY BEAR 3X LONG 300 21.97 6/16 11:03 22.87 0.1%
Trade id #129578392
Max drawdown($51)
Time6/16/20 10:18
Quant open300
Worst price21.80
Drawdown as % of equity-0.10%
$265
Includes Typical Broker Commissions trade costs of $6.00
6/15/20 9:34 DS DRIVE SHACK INC LONG 500 2.19 6/15 15:46 2.31 n/a $53
Includes Typical Broker Commissions trade costs of $10.00
6/10/20 14:50 OCN OCWEN FINANCIAL LONG 500 0.75 6/10 14:52 0.74 0.01%
Trade id #129475829
Max drawdown($3)
Time6/10/20 14:52
Quant open500
Worst price0.74
Drawdown as % of equity-0.01%
($13)
Includes Typical Broker Commissions trade costs of $10.00
6/10/20 14:50 ASNA ASCENA RETAIL GROUP LONG 400 2.16 6/10 14:52 2.15 0.01%
Trade id #129475831
Max drawdown($4)
Time6/10/20 14:52
Quant open400
Worst price2.15
Drawdown as % of equity-0.01%
($12)
Includes Typical Broker Commissions trade costs of $8.00
6/10/20 14:50 EPRT ESSENTIAL PROPERTIES REALTY TRUST INC LONG 35 17.72 6/10 14:52 17.68 0%
Trade id #129475827
Max drawdown($1)
Time6/10/20 14:52
Quant open35
Worst price17.68
Drawdown as % of equity-0.00%
($2)
Includes Typical Broker Commissions trade costs of $0.70
6/10/20 10:04 HTZ HERTZ GLOBAL HOLDINGS INC LONG 400 2.89 6/10 10:20 2.70 0.2%
Trade id #129468884
Max drawdown($96)
Time6/10/20 10:16
Quant open400
Worst price2.65
Drawdown as % of equity-0.20%
($84)
Includes Typical Broker Commissions trade costs of $8.00
5/28/20 10:15 DBX DROPBOX INC. CLASS A COMMON STOCK LONG 1,000 23.00 5/28 10:42 23.00 0.27%
Trade id #129237908
Max drawdown($129)
Time5/28/20 10:19
Quant open1,000
Worst price22.87
Drawdown as % of equity-0.27%
($5)
Includes Typical Broker Commissions trade costs of $5.00
5/27/20 9:40 FAZ DIREXION DAILY FINANCIAL BEAR LONG 400 19.13 5/27 15:40 19.29 0.16%
Trade id #129212418
Max drawdown($80)
Time5/27/20 9:46
Quant open400
Worst price18.93
Drawdown as % of equity-0.16%
$57
Includes Typical Broker Commissions trade costs of $8.00
5/22/20 10:12 NBR NABORS INDUSTRIES LONG 300 26.32 5/22 15:46 25.79 0.66%
Trade id #129150484
Max drawdown($321)
Time5/22/20 13:20
Quant open300
Worst price25.25
Drawdown as % of equity-0.66%
($167)
Includes Typical Broker Commissions trade costs of $6.00
5/22/20 9:46 PANW PALO ALTO NETWORKS LONG 50 239.28 5/22 9:56 242.35 n/a $153
Includes Typical Broker Commissions trade costs of $1.00
5/19/20 13:29 UDOW PROSHARES ULTRAPRO DOW30 LONG 1,000 55.84 5/19 14:56 55.69 0.16%
Trade id #129093643
Max drawdown($80)
Time5/19/20 14:04
Quant open500
Worst price55.56
Drawdown as % of equity-0.16%
($168)
Includes Typical Broker Commissions trade costs of $12.50
5/13/20 12:48 WFC WELLS FARGO LONG 300 22.29 5/13 14:50 22.18 0.1%
Trade id #129005426
Max drawdown($51)
Time5/13/20 14:05
Quant open300
Worst price22.12
Drawdown as % of equity-0.10%
($39)
Includes Typical Broker Commissions trade costs of $6.00
5/8/20 9:36 ROKU ROKU INC. CLASS A COMMON STOCK LONG 50 125.45 5/8 10:09 130.46 0.08%
Trade id #128924571
Max drawdown($37)
Time5/8/20 9:43
Quant open50
Worst price124.69
Drawdown as % of equity-0.08%
$250
Includes Typical Broker Commissions trade costs of $1.00
5/7/20 10:07 FAZ DIREXION DAILY FINANCIAL BEAR LONG 600 24.79 5/7 12:00 24.00 0.94%
Trade id #128906492
Max drawdown($462)
Time5/7/20 11:47
Quant open600
Worst price24.02
Drawdown as % of equity-0.94%
($483)
Includes Typical Broker Commissions trade costs of $8.50
4/29/20 9:53 EAT BRINKER INTERNATIONAL SHORT 200 25.15 4/29 14:30 24.79 0.42%
Trade id #128786939
Max drawdown($206)
Time4/29/20 10:46
Quant open200
Worst price26.18
Drawdown as % of equity-0.42%
$68
Includes Typical Broker Commissions trade costs of $4.00
4/29/20 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 125 15.28 4/29 12:41 14.78 0.12%
Trade id #128786052
Max drawdown($61)
Time4/29/20 12:40
Quant open125
Worst price14.79
Drawdown as % of equity-0.12%
($66)
Includes Typical Broker Commissions trade costs of $2.50
4/24/20 15:00 EWZ ISHARES MSCI BRAZIL ETF LONG 50 22.44 4/28 15:56 24.50 0.05%
Trade id #128733046
Max drawdown($24)
Time4/24/20 15:34
Quant open50
Worst price21.96
Drawdown as % of equity-0.05%
$102
Includes Typical Broker Commissions trade costs of $1.00
4/28/20 9:34 FAZ DIREXION DAILY FINANCIAL BEAR LONG 200 23.47 4/28 15:52 24.45 0.14%
Trade id #128768115
Max drawdown($68)
Time4/28/20 9:58
Quant open200
Worst price23.13
Drawdown as % of equity-0.14%
$192
Includes Typical Broker Commissions trade costs of $4.00
4/23/20 10:52 ALTM ALTUS MIDSTREAM CO LONG 800 0.67 4/24 12:55 0.67 0.09%
Trade id #128710077
Max drawdown($43)
Time4/23/20 12:51
Quant open800
Worst price0.61
Drawdown as % of equity-0.09%
($1)
Includes Typical Broker Commissions trade costs of $5.00
4/23/20 10:52 HPR HIGH POINT RESOURCES CORP LONG 2,000 0.27 4/24 12:54 0.27 0.14%
Trade id #128710063
Max drawdown($68)
Time4/23/20 13:46
Quant open2,000
Worst price0.24
Drawdown as % of equity-0.14%
($11)
Includes Typical Broker Commissions trade costs of $5.00
4/23/20 10:52 CPE CALLON PETROLEUM LONG 1,000 0.54 4/23 15:59 0.58 0.09%
Trade id #128710066
Max drawdown($43)
Time4/23/20 12:56
Quant open1,000
Worst price0.50
Drawdown as % of equity-0.09%
$34
Includes Typical Broker Commissions trade costs of $5.00
4/20/20 9:53 XLE ENERGY SELECT SECTOR SPDR LONG 30 33.02 4/23 10:41 34.98 0.1%
Trade id #128650921
Max drawdown($48)
Time4/21/20 0:00
Quant open30
Worst price31.39
Drawdown as % of equity-0.10%
$58
Includes Typical Broker Commissions trade costs of $0.60
4/22/20 9:36 EWW ISHARES MSCI MEXICO ETF LONG 30 27.27 4/23 10:41 27.18 0.04%
Trade id #128688662
Max drawdown($20)
Time4/23/20 0:00
Quant open30
Worst price26.58
Drawdown as % of equity-0.04%
($4)
Includes Typical Broker Commissions trade costs of $0.60
4/17/20 11:30 OXY OCCIDENTAL PETROLEUM LONG 100 13.00 4/23 10:41 13.99 0.3%
Trade id #128625431
Max drawdown($150)
Time4/21/20 0:00
Quant open100
Worst price11.50
Drawdown as % of equity-0.30%
$97
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    11/5/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    245.12
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    272
  • # Profitable
    150
  • % Profitable
    55.10%
  • Avg trade duration
    3.9 days
  • Max peak-to-valley drawdown
    9.81%
  • drawdown period
    March 05, 2020 - July 03, 2020
  • Cumul. Return
    6.1%
  • Avg win
    $176.99
  • Avg loss
    $174.91
  • Model Account Values (Raw)
  • Cash
    $50,854
  • Margin Used
    $0
  • Buying Power
    $50,854
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    1.05
  • Calmar Ratio
    2.574
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3.84%
  • Correlation to SP500
    0.02050
  • Return Percent SP500 (cumu) during strategy life
    2.30%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    9.1%
  • Slump
  • Current Slump as Pcnt Equity
    10.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.51%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.061%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    17.9%
  • 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 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)
    642
  • Popularity (Last 6 weeks)
    880
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    238
  • Popularity (7 days, Percentile 1000 scale)
    533
  • 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
    $175
  • Avg Win
    $177
  • Sum Trade PL (losers)
    $21,339.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $26,548.000
  • # Winners
    150
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    146
  • Win / Loss
  • # Losers
    122
  • % Winners
    55.1%
  • Frequency
  • Avg Position Time (mins)
    3675.00
  • Avg Position Time (hrs)
    61.25
  • Avg Trade Length
    2.6 days
  • Last Trade Ago
    13
  • Leverage
  • Daily leverage (average)
    0.88
  • Daily leverage (max)
    3.40
  • Regression
  • Alpha
    0.02
  • Beta
    0.01
  • Treynor Index
    4.21
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.18
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    7.430
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.436
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.031
  • Hold-and-Hope Ratio
    0.133
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19700
  • SD
    0.21913
  • Sharpe ratio (Glass type estimate)
    0.89901
  • Sharpe ratio (Hedges UMVUE)
    0.78090
  • df
    6.00000
  • t
    0.68663
  • p
    0.25898
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.75000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47781
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38485
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.39019
  • Upside Potential Ratio
    4.56326
  • Upside part of mean
    0.37611
  • Downside part of mean
    -0.17911
  • Upside SD
    0.19391
  • Downside SD
    0.08242
  • N nonnegative terms
    3.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.08700
  • Mean of criterion
    0.19700
  • SD of predictor
    0.30236
  • SD of criterion
    0.21913
  • Covariance
    -0.00447
  • r
    -0.06743
  • b (slope, estimate of beta)
    -0.04887
  • a (intercept, estimate of alpha)
    0.20125
  • Mean Square Error
    0.05736
  • DF error
    5.00000
  • t(b)
    -0.15111
  • p(b)
    0.55710
  • t(a)
    0.63922
  • p(a)
    0.27541
  • Lowerbound of 95% confidence interval for beta
    -0.88016
  • Upperbound of 95% confidence interval for beta
    0.78243
  • Lowerbound of 95% confidence interval for alpha
    -0.60810
  • Upperbound of 95% confidence interval for alpha
    1.01061
  • Treynor index (mean / b)
    -4.03143
  • Jensen alpha (a)
    0.20125
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17571
  • SD
    0.21029
  • Sharpe ratio (Glass type estimate)
    0.83559
  • Sharpe ratio (Hedges UMVUE)
    0.72581
  • df
    6.00000
  • t
    0.63819
  • p
    0.27346
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80463
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41033
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87303
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32466
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.09058
  • Upside Potential Ratio
    4.25798
  • Upside part of mean
    0.35789
  • Downside part of mean
    -0.18217
  • Upside SD
    0.18279
  • Downside SD
    0.08405
  • N nonnegative terms
    3.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.04445
  • Mean of criterion
    0.17571
  • SD of predictor
    0.32031
  • SD of criterion
    0.21029
  • Covariance
    -0.00545
  • r
    -0.08094
  • b (slope, estimate of beta)
    -0.05313
  • a (intercept, estimate of alpha)
    0.17808
  • Mean Square Error
    0.05272
  • DF error
    5.00000
  • t(b)
    -0.18157
  • p(b)
    0.56847
  • t(a)
    0.59181
  • p(a)
    0.28986
  • Lowerbound of 95% confidence interval for beta
    -0.80541
  • Upperbound of 95% confidence interval for beta
    0.69914
  • Lowerbound of 95% confidence interval for alpha
    -0.59545
  • Upperbound of 95% confidence interval for alpha
    0.95160
  • Treynor index (mean / b)
    -3.30697
  • Jensen alpha (a)
    0.17808
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08168
  • Expected Shortfall on VaR
    0.10446
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03741
  • Expected Shortfall on VaR
    0.06030
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.95181
  • Quartile 1
    0.97705
  • Median
    0.99892
  • Quartile 3
    1.04438
  • Maximum
    1.13762
  • Mean of quarter 1
    0.96054
  • Mean of quarter 2
    0.99188
  • Mean of quarter 3
    1.03755
  • Mean of quarter 4
    1.09442
  • Inter Quartile Range
    0.06733
  • 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
    2.00000
  • Minimum
    0.03073
  • Quartile 1
    0.03896
  • Median
    0.04718
  • Quartile 3
    0.05541
  • Maximum
    0.06364
  • Mean of quarter 1
    0.03073
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06364
  • Inter Quartile Range
    0.01645
  • 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)
    0.21621
  • Compounded annual return (geometric extrapolation)
    0.22583
  • Calmar ratio (compounded annual return / max draw down)
    3.54883
  • Compounded annual return / average of 25% largest draw downs
    3.54883
  • Compounded annual return / Expected Shortfall lognormal
    2.16203
  • 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
    0.14588
  • SD
    0.09840
  • Sharpe ratio (Glass type estimate)
    1.48250
  • Sharpe ratio (Hedges UMVUE)
    1.47603
  • df
    172.00000
  • t
    1.20467
  • p
    0.45426
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93668
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89747
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89306
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.51966
  • Upside Potential Ratio
    9.85473
  • Upside part of mean
    0.57055
  • Downside part of mean
    -0.42467
  • Upside SD
    0.07972
  • Downside SD
    0.05790
  • N nonnegative terms
    69.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    173.00000
  • Mean of predictor
    0.08736
  • Mean of criterion
    0.14588
  • SD of predictor
    0.40129
  • SD of criterion
    0.09840
  • Covariance
    0.00183
  • r
    0.04638
  • b (slope, estimate of beta)
    0.01137
  • a (intercept, estimate of alpha)
    0.14500
  • Mean Square Error
    0.00972
  • DF error
    171.00000
  • t(b)
    0.60718
  • p(b)
    0.47048
  • t(a)
    1.19416
  • p(a)
    0.44218
  • Lowerbound of 95% confidence interval for beta
    -0.02560
  • Upperbound of 95% confidence interval for beta
    0.04835
  • Lowerbound of 95% confidence interval for alpha
    -0.09461
  • Upperbound of 95% confidence interval for alpha
    0.38438
  • Treynor index (mean / b)
    12.82630
  • Jensen alpha (a)
    0.14489
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14103
  • SD
    0.09813
  • Sharpe ratio (Glass type estimate)
    1.43715
  • Sharpe ratio (Hedges UMVUE)
    1.43087
  • df
    172.00000
  • t
    1.16782
  • p
    0.45565
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85190
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98585
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.84760
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42225
  • Upside Potential Ratio
    9.74446
  • Upside part of mean
    0.56735
  • Downside part of mean
    -0.42632
  • Upside SD
    0.07912
  • Downside SD
    0.05822
  • N nonnegative terms
    69.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    173.00000
  • Mean of predictor
    0.00652
  • Mean of criterion
    0.14103
  • SD of predictor
    0.40441
  • SD of criterion
    0.09813
  • Covariance
    0.00202
  • r
    0.05078
  • b (slope, estimate of beta)
    0.01232
  • a (intercept, estimate of alpha)
    0.14095
  • Mean Square Error
    0.00966
  • DF error
    171.00000
  • t(b)
    0.66485
  • p(b)
    0.46769
  • t(a)
    1.16526
  • p(a)
    0.44357
  • Lowerbound of 95% confidence interval for beta
    -0.02426
  • Upperbound of 95% confidence interval for beta
    0.04890
  • Lowerbound of 95% confidence interval for alpha
    -0.09782
  • Upperbound of 95% confidence interval for alpha
    0.37972
  • Treynor index (mean / b)
    11.44620
  • Jensen alpha (a)
    0.14095
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00939
  • Expected Shortfall on VaR
    0.01189
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00417
  • Expected Shortfall on VaR
    0.00824
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    173.00000
  • Minimum
    0.98037
  • Quartile 1
    0.99847
  • Median
    1.00000
  • Quartile 3
    1.00204
  • Maximum
    1.02410
  • Mean of quarter 1
    0.99431
  • Mean of quarter 2
    0.99955
  • Mean of quarter 3
    1.00068
  • Mean of quarter 4
    1.00825
  • Inter Quartile Range
    0.00357
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.08092
  • Mean of outliers low
    0.98934
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.10405
  • Mean of outliers high
    1.01356
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09718
  • VaR(95%) (moments method)
    0.00450
  • Expected Shortfall (moments method)
    0.00671
  • Extreme Value Index (regression method)
    0.10404
  • VaR(95%) (regression method)
    0.00572
  • Expected Shortfall (regression method)
    0.00886
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00104
  • Median
    0.00377
  • Quartile 3
    0.02598
  • Maximum
    0.07150
  • Mean of quarter 1
    0.00061
  • Mean of quarter 2
    0.00286
  • Mean of quarter 3
    0.01156
  • Mean of quarter 4
    0.04955
  • Inter Quartile Range
    0.02494
  • 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
    0.07150
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.72621
  • VaR(95%) (moments method)
    0.05800
  • Expected Shortfall (moments method)
    0.06439
  • Extreme Value Index (regression method)
    0.78509
  • VaR(95%) (regression method)
    0.07364
  • Expected Shortfall (regression method)
    0.27349
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17872
  • Compounded annual return (geometric extrapolation)
    0.18404
  • Calmar ratio (compounded annual return / max draw down)
    2.57398
  • Compounded annual return / average of 25% largest draw downs
    3.71454
  • Compounded annual return / Expected Shortfall lognormal
    15.47470
  • 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
    0.03874
  • SD
    0.06650
  • Sharpe ratio (Glass type estimate)
    0.58259
  • Sharpe ratio (Hedges UMVUE)
    0.57922
  • df
    130.00000
  • t
    0.41195
  • p
    0.48195
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.19121
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.35421
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.19348
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35192
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99664
  • Upside Potential Ratio
    8.49134
  • Upside part of mean
    0.33009
  • Downside part of mean
    -0.29135
  • Upside SD
    0.05370
  • Downside SD
    0.03887
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01483
  • Mean of criterion
    0.03874
  • SD of predictor
    0.45983
  • SD of criterion
    0.06650
  • Covariance
    0.00166
  • r
    0.05438
  • b (slope, estimate of beta)
    0.00787
  • a (intercept, estimate of alpha)
    0.03863
  • Mean Square Error
    0.00444
  • DF error
    129.00000
  • t(b)
    0.61859
  • p(b)
    0.46540
  • t(a)
    0.40974
  • p(a)
    0.47705
  • Lowerbound of 95% confidence interval for beta
    -0.01729
  • Upperbound of 95% confidence interval for beta
    0.03302
  • Lowerbound of 95% confidence interval for alpha
    -0.14789
  • Upperbound of 95% confidence interval for alpha
    0.22515
  • Treynor index (mean / b)
    4.92598
  • Jensen alpha (a)
    0.03863
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03655
  • SD
    0.06629
  • Sharpe ratio (Glass type estimate)
    0.55137
  • Sharpe ratio (Hedges UMVUE)
    0.54818
  • df
    130.00000
  • t
    0.38988
  • p
    0.48291
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.22222
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32302
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32079
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93681
  • Upside Potential Ratio
    8.42270
  • Upside part of mean
    0.32863
  • Downside part of mean
    -0.29208
  • Upside SD
    0.05333
  • Downside SD
    0.03902
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09110
  • Mean of criterion
    0.03655
  • SD of predictor
    0.46336
  • SD of criterion
    0.06629
  • Covariance
    0.00186
  • r
    0.06056
  • b (slope, estimate of beta)
    0.00866
  • a (intercept, estimate of alpha)
    0.03734
  • Mean Square Error
    0.00441
  • DF error
    129.00000
  • t(b)
    0.68907
  • p(b)
    0.46147
  • t(a)
    0.39746
  • p(a)
    0.47774
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.01621
  • Upperbound of 95% confidence interval for beta
    0.03354
  • Lowerbound of 95% confidence interval for alpha
    -0.14854
  • Upperbound of 95% confidence interval for alpha
    0.22322
  • Treynor index (mean / b)
    4.21881
  • Jensen alpha (a)
    0.03734
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00658
  • Expected Shortfall on VaR
    0.00827
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00302
  • Expected Shortfall on VaR
    0.00585
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98892
  • Quartile 1
    0.99899
  • Median
    1.00000
  • Quartile 3
    1.00130
  • Maximum
    1.02206
  • Mean of quarter 1
    0.99622
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00028
  • Mean of quarter 4
    1.00488
  • Inter Quartile Range
    0.00231
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.99196
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.00943
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22568
  • VaR(95%) (moments method)
    0.00326
  • Expected Shortfall (moments method)
    0.00537
  • Extreme Value Index (regression method)
    0.11025
  • VaR(95%) (regression method)
    0.00366
  • Expected Shortfall (regression method)
    0.00563
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00078
  • Median
    0.00115
  • Quartile 3
    0.01156
  • Maximum
    0.07150
  • Mean of quarter 1
    0.00044
  • Mean of quarter 2
    0.00104
  • Mean of quarter 3
    0.00555
  • Mean of quarter 4
    0.04453
  • Inter Quartile Range
    0.01077
  • 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
    0.14286
  • Mean of outliers high
    0.07150
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -286241000
  • Max Equity Drawdown (num days)
    120
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06551
  • Compounded annual return (geometric extrapolation)
    0.06658
  • Calmar ratio (compounded annual return / max draw down)
    0.93118
  • Compounded annual return / average of 25% largest draw downs
    1.49513
  • Compounded annual return / Expected Shortfall lognormal
    8.04810

Strategy Description

- 10+ years trading experience
- Daily stock scalp trading
- Scale in and out trading style
- Risk no more than 1% for each position
- Stop loss is placed when a position is opened, subscribers should receive notification

Note: This is a day trading/scalp system and please keep a minimum balance of $25,000.

Deep Value (top 1%): https://collective2.com/details/125319676
Futures Operator (TOS certified): https://collective2.com/details/126205039

Summary Statistics

Strategy began
2019-11-05
Suggested Minimum Capital
$35,000
# Trades
272
# Profitable
150
% Profitable
55.1%
Net Dividends
Correlation S&P500
0.021
Sharpe Ratio
0.65
Sortino Ratio
1.05
Beta
0.01
Alpha
0.02
Leverage
0.88 Average
3.40 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.