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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 10/09/2020
Most recent certification approved 10/14/20 9:42 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 30%
# trading signals issued by system since certification 10
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 0
Percent signals followed since 10/09/2020 0%
This information was last updated 10/14/20 9:42 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 10/09/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Alpha Capital Compound
(127924250)

Created by: AlphaCapital AlphaCapital
Started: 03/2020
Stocks
Last trade: Yesterday
Trading style: Equity Sector Rotation 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
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
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).
96.9%
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.

(14.3%)
Max Drawdown
222
Num Trades
71.6%
Win Trades
3.0 : 1
Profit Factor
87.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              (3.5%)+15.5%+9.8%+15.4%+15.0%+4.5%+9.9%+5.4%            +96.9%

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 241 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/14/20 13:52 BWA BORGWARNER LONG 259 38.63 10/19 9:30 38.66 0.23%
Trade id #131698261
Max drawdown($233)
Time10/15/20 0:00
Quant open259
Worst price37.73
Drawdown as % of equity-0.23%
$3
Includes Typical Broker Commissions trade costs of $5.18
10/13/20 9:53 AEO AMERICAN EAGLE LONG 676 14.78 10/16 9:30 15.33 0.08%
Trade id #131666591
Max drawdown($81)
Time10/13/20 10:18
Quant open676
Worst price14.66
Drawdown as % of equity-0.08%
$366
Includes Typical Broker Commissions trade costs of $5.00
10/12/20 11:02 NYT NEW YORK TIMES LONG 232 43.08 10/15 9:30 44.74 0.11%
Trade id #131646684
Max drawdown($107)
Time10/12/20 12:00
Quant open232
Worst price42.62
Drawdown as % of equity-0.11%
$380
Includes Typical Broker Commissions trade costs of $4.64
10/1/20 9:34 DEN DENBURY INC LONG 569 17.67 10/14 9:30 17.14 0.87%
Trade id #131457954
Max drawdown($808)
Time10/2/20 0:00
Quant open569
Worst price16.25
Drawdown as % of equity-0.87%
($307)
Includes Typical Broker Commissions trade costs of $5.00
10/9/20 13:22 DPZ DOMINO'S PIZZA LONG 25 389.08 10/14 9:30 408.38 0.06%
Trade id #131619964
Max drawdown($61)
Time10/9/20 15:09
Quant open25
Worst price386.64
Drawdown as % of equity-0.06%
$482
Includes Typical Broker Commissions trade costs of $0.50
10/8/20 9:34 EA ELECTRONIC ARTS LONG 80 125.01 10/12 9:30 128.73 0.05%
Trade id #131588340
Max drawdown($47)
Time10/8/20 10:58
Quant open80
Worst price124.42
Drawdown as % of equity-0.05%
$295
Includes Typical Broker Commissions trade costs of $1.60
10/6/20 10:15 CHD CHURCH & DWIGHT COMPANY LONG 111 90.17 10/12 9:30 92.69 0.09%
Trade id #131540094
Max drawdown($86)
Time10/6/20 15:29
Quant open111
Worst price89.39
Drawdown as % of equity-0.09%
$278
Includes Typical Broker Commissions trade costs of $2.22
10/6/20 9:30 MNST MONSTER BEVERAGE LONG 384 78.10 10/12 9:30 82.03 0.26%
Trade id #131538036
Max drawdown($243)
Time10/6/20 15:50
Quant open255
Worst price77.35
Drawdown as % of equity-0.26%
$1,502
Includes Typical Broker Commissions trade costs of $7.68
10/2/20 9:30 LBTYA LIBERTY GLOBAL PLC CLASS A ORD LONG 486 20.32 10/8 9:30 21.01 0.28%
Trade id #131483213
Max drawdown($262)
Time10/2/20 10:01
Quant open486
Worst price19.78
Drawdown as % of equity-0.28%
$325
Includes Typical Broker Commissions trade costs of $9.72
10/6/20 9:30 DXCM DEXCOM LONG 26 379.67 10/8 9:30 396.66 0.17%
Trade id #131538038
Max drawdown($162)
Time10/6/20 15:46
Quant open26
Worst price373.41
Drawdown as % of equity-0.17%
$441
Includes Typical Broker Commissions trade costs of $0.52
9/16/20 9:32 PDD PINDUODUO INC. AMERICAN DEPOSITARY SHARES LONG 379 78.67 10/8 9:30 75.11 3.57%
Trade id #131198503
Max drawdown($3,327)
Time10/5/20 0:00
Quant open379
Worst price69.89
Drawdown as % of equity-3.57%
($1,357)
Includes Typical Broker Commissions trade costs of $7.58
10/2/20 9:30 MOS MOSAIC LONG 569 17.35 10/6 9:30 19.50 n/a $1,218
Includes Typical Broker Commissions trade costs of $5.00
10/1/20 10:12 BMRN BIOMARIN PHARMACEUTICAL LONG 131 76.08 10/6 9:30 76.68 0.32%
Trade id #131459573
Max drawdown($298)
Time10/2/20 0:00
Quant open131
Worst price73.80
Drawdown as % of equity-0.32%
$76
Includes Typical Broker Commissions trade costs of $2.62
9/29/20 9:35 CNX CNX RESOURCES CORP LONG 999 10.00 10/6 9:30 9.87 1.04%
Trade id #131412770
Max drawdown($969)
Time10/2/20 0:00
Quant open999
Worst price9.03
Drawdown as % of equity-1.04%
($135)
Includes Typical Broker Commissions trade costs of $5.00
10/2/20 9:30 FAST FASTENAL LONG 223 44.13 10/6 9:30 45.70 0.01%
Trade id #131483208
Max drawdown($6)
Time10/2/20 9:33
Quant open223
Worst price44.10
Drawdown as % of equity-0.01%
$346
Includes Typical Broker Commissions trade costs of $4.46
10/2/20 9:30 LYB LYONDELLBASELL INDUSTRIES LONG 149 67.02 10/5 9:30 73.25 n/a $925
Includes Typical Broker Commissions trade costs of $2.98
9/29/20 9:44 NTES NETEASE LONG 44 90.98 10/2 9:30 91.47 n/a $20
Includes Typical Broker Commissions trade costs of $0.88
9/24/20 9:30 GILD GILEAD SCIENCES LONG 317 62.67 10/1 9:30 63.20 0.36%
Trade id #131339027
Max drawdown($324)
Time9/24/20 15:37
Quant open317
Worst price61.65
Drawdown as % of equity-0.36%
$162
Includes Typical Broker Commissions trade costs of $6.34
9/23/20 9:58 SIRI SIRIUS XM HOLDINGS INC. COMMON LONG 1,946 5.14 9/29 9:30 5.30 0.41%
Trade id #131313870
Max drawdown($366)
Time9/24/20 0:00
Quant open1,946
Worst price4.95
Drawdown as % of equity-0.41%
$316
Includes Typical Broker Commissions trade costs of $5.00
9/24/20 9:30 TSLA TESLA INC. LONG 27 363.80 9/29 9:30 416.00 0.38%
Trade id #131339029
Max drawdown($337)
Time9/24/20 9:38
Quant open27
Worst price351.30
Drawdown as % of equity-0.38%
$1,408
Includes Typical Broker Commissions trade costs of $0.54
9/23/20 14:16 EMN EASTMAN CHEMICAL LONG 127 77.98 9/29 9:30 78.44 0.32%
Trade id #131322048
Max drawdown($287)
Time9/24/20 0:00
Quant open127
Worst price75.72
Drawdown as % of equity-0.32%
$55
Includes Typical Broker Commissions trade costs of $2.54
9/23/20 10:08 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 6 1674.00 9/29 9:30 1700.15 0.49%
Trade id #131314301
Max drawdown($437)
Time9/24/20 0:00
Quant open6
Worst price1601.01
Drawdown as % of equity-0.49%
$157
Includes Typical Broker Commissions trade costs of $0.12
9/22/20 9:30 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 336 29.65 9/29 9:30 29.68 0.4%
Trade id #131289508
Max drawdown($365)
Time9/25/20 0:00
Quant open336
Worst price28.56
Drawdown as % of equity-0.40%
$4
Includes Typical Broker Commissions trade costs of $6.72
9/17/20 9:30 FB FACEBOOK LONG 38 258.82 9/29 9:30 257.59 0.64%
Trade id #131219582
Max drawdown($558)
Time9/21/20 0:00
Quant open38
Worst price244.13
Drawdown as % of equity-0.64%
($48)
Includes Typical Broker Commissions trade costs of $0.76
9/17/20 9:30 MRVL MARVELL TECHNOLOGY LONG 265 37.32 9/29 9:30 39.98 0.09%
Trade id #131219575
Max drawdown($84)
Time9/24/20 0:00
Quant open265
Worst price37.00
Drawdown as % of equity-0.09%
$701
Includes Typical Broker Commissions trade costs of $5.30
9/23/20 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 179 55.88 9/28 9:30 56.96 0.28%
Trade id #131312328
Max drawdown($250)
Time9/24/20 0:00
Quant open179
Worst price54.48
Drawdown as % of equity-0.28%
$190
Includes Typical Broker Commissions trade costs of $3.58
9/23/20 9:35 CERN CERNER LONG 146 68.63 9/28 9:30 70.05 0.31%
Trade id #131312583
Max drawdown($274)
Time9/24/20 0:00
Quant open146
Worst price66.75
Drawdown as % of equity-0.31%
$204
Includes Typical Broker Commissions trade costs of $2.92
8/31/20 9:30 DLTR DOLLAR TREE STORES LONG 218 91.50 9/25 9:30 87.28 1.78%
Trade id #130892149
Max drawdown($1,546)
Time9/21/20 0:00
Quant open218
Worst price84.41
Drawdown as % of equity-1.78%
($926)
Includes Typical Broker Commissions trade costs of $4.36
9/17/20 9:30 MELI MERCADOLIBRE LONG 10 979.99 9/23 9:30 1072.72 0.23%
Trade id #131219586
Max drawdown($201)
Time9/17/20 12:49
Quant open10
Worst price959.87
Drawdown as % of equity-0.23%
$927
Includes Typical Broker Commissions trade costs of $0.20
8/31/20 9:30 EBAY EBAY LONG 184 54.00 9/23 9:30 51.08 1.36%
Trade id #130892143
Max drawdown($1,207)
Time9/17/20 0:00
Quant open184
Worst price47.44
Drawdown as % of equity-1.36%
($541)
Includes Typical Broker Commissions trade costs of $3.68

Statistics

  • Strategy began
    3/9/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    224.67
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    222
  • # Profitable
    159
  • % Profitable
    71.60%
  • Avg trade duration
    6.9 days
  • Max peak-to-valley drawdown
    14.29%
  • drawdown period
    Sept 03, 2020 - Sept 08, 2020
  • Cumul. Return
    96.9%
  • Avg win
    $472.38
  • Avg loss
    $401.48
  • Model Account Values (Raw)
  • Cash
    $62,942
  • Margin Used
    $0
  • Buying Power
    $61,040
  • Ratios
  • W:L ratio
    3.01:1
  • Sharpe Ratio
    3.01
  • Sortino Ratio
    4.95
  • Calmar Ratio
    22.092
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    72.12%
  • Correlation to SP500
    0.21450
  • Return Percent SP500 (cumu) during strategy life
    24.77%
  • Return Statistics
  • Ann Return (w trading costs)
    196.3%
  • Slump
  • Current Slump as Pcnt Equity
    2.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -0.040%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.969%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    208.4%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    989
  • Popularity (Last 6 weeks)
    996
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    988
  • Popularity (7 days, Percentile 1000 scale)
    995
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    30%
  • Win / Loss
  • Avg Loss
    $401
  • Avg Win
    $472
  • Sum Trade PL (losers)
    $25,293.000
  • AUM
  • AUM (AutoTrader num accounts)
    34
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $75,109.000
  • # Winners
    159
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    504
  • AUM
  • AUM (AutoTrader live capital)
    2219310
  • Win / Loss
  • # Losers
    63
  • % Winners
    71.6%
  • Frequency
  • Avg Position Time (mins)
    9911.78
  • Avg Position Time (hrs)
    165.20
  • Avg Trade Length
    6.9 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.41
  • Daily leverage (max)
    2.94
  • Regression
  • Alpha
    0.30
  • Beta
    0.18
  • Treynor Index
    1.80
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.51
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.441
  • 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
    0.730
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.025
  • Hold-and-Hope Ratio
    0.411
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.28399
  • SD
    0.39381
  • Sharpe ratio (Glass type estimate)
    3.26044
  • Sharpe ratio (Hedges UMVUE)
    2.83210
  • df
    6.00000
  • t
    2.49020
  • p
    0.02357
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03839
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.30988
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19329
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.85749
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.90530
  • Upside Potential Ratio
    23.75050
  • Upside part of mean
    1.39215
  • Downside part of mean
    -0.10816
  • Upside SD
    0.51661
  • Downside SD
    0.05862
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.39157
  • Mean of criterion
    1.28399
  • SD of predictor
    0.14162
  • SD of criterion
    0.39381
  • Covariance
    0.03186
  • r
    0.57133
  • b (slope, estimate of beta)
    1.58869
  • a (intercept, estimate of alpha)
    0.66191
  • Mean Square Error
    0.12536
  • DF error
    5.00000
  • t(b)
    1.55660
  • p(b)
    0.09015
  • t(a)
    1.08146
  • p(a)
    0.16443
  • Lowerbound of 95% confidence interval for beta
    -1.03499
  • Upperbound of 95% confidence interval for beta
    4.21237
  • Lowerbound of 95% confidence interval for alpha
    -0.91149
  • Upperbound of 95% confidence interval for alpha
    2.23531
  • Treynor index (mean / b)
    0.80821
  • Jensen alpha (a)
    0.66191
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.16276
  • SD
    0.35693
  • Sharpe ratio (Glass type estimate)
    3.25769
  • Sharpe ratio (Hedges UMVUE)
    2.82971
  • df
    6.00000
  • t
    2.48810
  • p
    0.02364
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03657
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.30625
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19496
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.85439
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.56410
  • Upside Potential Ratio
    21.40910
  • Upside part of mean
    1.27241
  • Downside part of mean
    -0.10965
  • Upside SD
    0.46726
  • Downside SD
    0.05943
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.37643
  • Mean of criterion
    1.16276
  • SD of predictor
    0.13664
  • SD of criterion
    0.35693
  • Covariance
    0.02859
  • r
    0.58617
  • b (slope, estimate of beta)
    1.53112
  • a (intercept, estimate of alpha)
    0.58640
  • Mean Square Error
    0.10035
  • DF error
    5.00000
  • t(b)
    1.61779
  • p(b)
    0.08332
  • t(a)
    1.07251
  • p(a)
    0.16625
  • Lowerbound of 95% confidence interval for beta
    -0.90184
  • Upperbound of 95% confidence interval for beta
    3.96408
  • Lowerbound of 95% confidence interval for alpha
    -0.81915
  • Upperbound of 95% confidence interval for alpha
    1.99195
  • Treynor index (mean / b)
    0.75942
  • Jensen alpha (a)
    0.58640
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07001
  • Expected Shortfall on VaR
    0.10856
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01443
  • Expected Shortfall on VaR
    0.02969
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.96814
  • Quartile 1
    1.03488
  • Median
    1.10393
  • Quartile 3
    1.18044
  • Maximum
    1.26258
  • Mean of quarter 1
    0.97078
  • Mean of quarter 2
    1.10013
  • Mean of quarter 3
    1.12877
  • Mean of quarter 4
    1.24735
  • Inter Quartile Range
    0.14556
  • 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
    0.02657
  • Quartile 1
    0.02789
  • Median
    0.02922
  • Quartile 3
    0.03054
  • Maximum
    0.03186
  • Mean of quarter 1
    0.02657
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03186
  • Inter Quartile Range
    0.00265
  • 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)
    1.71911
  • Compounded annual return (geometric extrapolation)
    2.28926
  • Calmar ratio (compounded annual return / max draw down)
    71.84470
  • Compounded annual return / average of 25% largest draw downs
    71.84470
  • Compounded annual return / Expected Shortfall lognormal
    21.08740
  • 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
    1.16706
  • SD
    0.32437
  • Sharpe ratio (Glass type estimate)
    3.59795
  • Sharpe ratio (Hedges UMVUE)
    3.58095
  • df
    159.00000
  • t
    2.81167
  • p
    0.36255
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.05350
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.13150
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04220
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.11971
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.11457
  • Upside Potential Ratio
    12.61060
  • Upside part of mean
    2.40693
  • Downside part of mean
    -1.23987
  • Upside SD
    0.27079
  • Downside SD
    0.19087
  • N nonnegative terms
    88.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    160.00000
  • Mean of predictor
    0.41321
  • Mean of criterion
    1.16706
  • SD of predictor
    0.39565
  • SD of criterion
    0.32437
  • Covariance
    0.02778
  • r
    0.21644
  • b (slope, estimate of beta)
    0.17745
  • a (intercept, estimate of alpha)
    1.09400
  • Mean Square Error
    0.10092
  • DF error
    158.00000
  • t(b)
    2.78668
  • p(b)
    0.39178
  • t(a)
    2.68488
  • p(a)
    0.39556
  • Lowerbound of 95% confidence interval for beta
    0.05168
  • Upperbound of 95% confidence interval for beta
    0.30321
  • Lowerbound of 95% confidence interval for alpha
    0.28915
  • Upperbound of 95% confidence interval for alpha
    1.89833
  • Treynor index (mean / b)
    6.57696
  • Jensen alpha (a)
    1.09374
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.11237
  • SD
    0.32373
  • Sharpe ratio (Glass type estimate)
    3.43609
  • Sharpe ratio (Hedges UMVUE)
    3.41985
  • df
    159.00000
  • t
    2.68518
  • p
    0.36837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.89455
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.96713
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88378
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.95593
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.68207
  • Upside Potential Ratio
    12.11100
  • Upside part of mean
    2.37094
  • Downside part of mean
    -1.25857
  • Upside SD
    0.26560
  • Downside SD
    0.19577
  • N nonnegative terms
    88.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    160.00000
  • Mean of predictor
    0.33449
  • Mean of criterion
    1.11237
  • SD of predictor
    0.39832
  • SD of criterion
    0.32373
  • Covariance
    0.02814
  • r
    0.21823
  • b (slope, estimate of beta)
    0.17736
  • a (intercept, estimate of alpha)
    1.05304
  • Mean Square Error
    0.10044
  • DF error
    158.00000
  • t(b)
    2.81083
  • p(b)
    0.39089
  • t(a)
    2.59304
  • p(a)
    0.39898
  • Lowerbound of 95% confidence interval for beta
    0.05273
  • Upperbound of 95% confidence interval for beta
    0.30199
  • Lowerbound of 95% confidence interval for alpha
    0.25095
  • Upperbound of 95% confidence interval for alpha
    1.85514
  • Treynor index (mean / b)
    6.27171
  • Jensen alpha (a)
    1.05304
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02825
  • Expected Shortfall on VaR
    0.03631
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00998
  • Expected Shortfall on VaR
    0.02148
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    160.00000
  • Minimum
    0.91792
  • Quartile 1
    0.99575
  • Median
    1.00115
  • Quartile 3
    1.01354
  • Maximum
    1.06007
  • Mean of quarter 1
    0.98212
  • Mean of quarter 2
    0.99928
  • Mean of quarter 3
    1.00664
  • Mean of quarter 4
    1.03021
  • Inter Quartile Range
    0.01778
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02500
  • Mean of outliers low
    0.94474
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.05000
  • Mean of outliers high
    1.05109
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24416
  • VaR(95%) (moments method)
    0.01317
  • Expected Shortfall (moments method)
    0.01678
  • Extreme Value Index (regression method)
    0.30893
  • VaR(95%) (regression method)
    0.01823
  • Expected Shortfall (regression method)
    0.03396
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00254
  • Quartile 1
    0.00748
  • Median
    0.01522
  • Quartile 3
    0.03601
  • Maximum
    0.09631
  • Mean of quarter 1
    0.00414
  • Mean of quarter 2
    0.00944
  • Mean of quarter 3
    0.02544
  • Mean of quarter 4
    0.07217
  • Inter Quartile Range
    0.02853
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.08917
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.42251
  • VaR(95%) (moments method)
    0.07376
  • Expected Shortfall (moments method)
    0.07377
  • Extreme Value Index (regression method)
    -0.75926
  • VaR(95%) (regression method)
    0.08213
  • Expected Shortfall (regression method)
    0.08915
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.64801
  • Compounded annual return (geometric extrapolation)
    2.12763
  • Calmar ratio (compounded annual return / max draw down)
    22.09190
  • Compounded annual return / average of 25% largest draw downs
    29.48220
  • Compounded annual return / Expected Shortfall lognormal
    58.60280
  • 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
    1.39082
  • SD
    0.35312
  • Sharpe ratio (Glass type estimate)
    3.93871
  • Sharpe ratio (Hedges UMVUE)
    3.91594
  • df
    130.00000
  • t
    2.78509
  • p
    0.38135
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.11863
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.74421
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10356
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.72832
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.64321
  • Upside Potential Ratio
    13.50500
  • Upside part of mean
    2.82741
  • Downside part of mean
    -1.43659
  • Upside SD
    0.29545
  • Downside SD
    0.20936
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34669
  • Mean of criterion
    1.39082
  • SD of predictor
    0.21362
  • SD of criterion
    0.35312
  • Covariance
    0.03062
  • r
    0.40587
  • b (slope, estimate of beta)
    0.67089
  • a (intercept, estimate of alpha)
    1.15823
  • Mean Square Error
    0.10496
  • DF error
    129.00000
  • t(b)
    5.04386
  • p(b)
    0.24890
  • t(a)
    2.51525
  • p(a)
    0.36343
  • Lowerbound of 95% confidence interval for beta
    0.40773
  • Upperbound of 95% confidence interval for beta
    0.93406
  • Lowerbound of 95% confidence interval for alpha
    0.24715
  • Upperbound of 95% confidence interval for alpha
    2.06930
  • Treynor index (mean / b)
    2.07308
  • Jensen alpha (a)
    1.15823
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.32548
  • SD
    0.35260
  • Sharpe ratio (Glass type estimate)
    3.75914
  • Sharpe ratio (Hedges UMVUE)
    3.73741
  • df
    130.00000
  • t
    2.65812
  • p
    0.38648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.94295
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.56127
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92863
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.54620
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.17070
  • Upside Potential Ratio
    12.96350
  • Upside part of mean
    2.78459
  • Downside part of mean
    -1.45911
  • Upside SD
    0.28973
  • Downside SD
    0.21480
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32362
  • Mean of criterion
    1.32548
  • SD of predictor
    0.21494
  • SD of criterion
    0.35260
  • Covariance
    0.03071
  • r
    0.40514
  • b (slope, estimate of beta)
    0.66460
  • a (intercept, estimate of alpha)
    1.11040
  • Mean Square Error
    0.10473
  • DF error
    129.00000
  • t(b)
    5.03302
  • p(b)
    0.24932
  • t(a)
    2.41575
  • p(a)
    0.36852
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    0.40334
  • Upperbound of 95% confidence interval for beta
    0.92586
  • Lowerbound of 95% confidence interval for alpha
    0.20097
  • Upperbound of 95% confidence interval for alpha
    2.01983
  • Treynor index (mean / b)
    1.99440
  • Jensen alpha (a)
    1.11040
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03030
  • Expected Shortfall on VaR
    0.03906
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01022
  • Expected Shortfall on VaR
    0.02225
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91792
  • Quartile 1
    0.99248
  • Median
    1.00458
  • Quartile 3
    1.01705
  • Maximum
    1.06007
  • Mean of quarter 1
    0.97999
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00934
  • Mean of quarter 4
    1.03288
  • Inter Quartile Range
    0.02457
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.92727
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.05822
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36554
  • VaR(95%) (moments method)
    0.02049
  • Expected Shortfall (moments method)
    0.03736
  • Extreme Value Index (regression method)
    0.40341
  • VaR(95%) (regression method)
    0.02202
  • Expected Shortfall (regression method)
    0.04243
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00254
  • Quartile 1
    0.00735
  • Median
    0.01369
  • Quartile 3
    0.03907
  • Maximum
    0.09631
  • Mean of quarter 1
    0.00414
  • Mean of quarter 2
    0.00944
  • Mean of quarter 3
    0.02381
  • Mean of quarter 4
    0.07217
  • Inter Quartile Range
    0.03172
  • 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
    0.05263
  • Mean of outliers high
    0.09631
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.42251
  • VaR(95%) (moments method)
    0.07376
  • Expected Shortfall (moments method)
    0.07377
  • Extreme Value Index (regression method)
    -0.75926
  • VaR(95%) (regression method)
    0.08272
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.08949
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -265726000
  • Max Equity Drawdown (num days)
    5
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.93472
  • Compounded annual return (geometric extrapolation)
    2.87050
  • Calmar ratio (compounded annual return / max draw down)
    29.80530
  • Compounded annual return / average of 25% largest draw downs
    39.77600
  • Compounded annual return / Expected Shortfall lognormal
    73.49200

Strategy Description

This system uses a very unique two stage filtration system. The first filter calculates, compares and then ranks the entire universe of stocks against one another to find the STRONGEST stocks in the Index using a distinct set of parameters. The second filter, is looking for a timing trigger to enter at just the right time to catch the explosive move up.

Average hold period is around 3 days.

You can view all of my systems performances right here:https://drive.google.com/drive/folders/1fhUehjXO0XwvExiPQHaTgl-7-QivD98f?usp=sharing

This system holds a max of 12 positions.

Summary Statistics

Strategy began
2020-03-09
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 1.2%
Rank # 
#8
# Trades
222
# Profitable
159
% Profitable
71.6%
Net Dividends
Correlation S&P500
0.214
Sharpe Ratio
3.01
Sortino Ratio
4.95
Beta
0.18
Alpha
0.30
Leverage
1.41 Average
2.94 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.