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

T One
(128551067)

Created by: martinH martinH
Started: 04/2020
Stocks
Last trade: 2 days ago
Trading style: Equity Non-hedged Equity

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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
42.6%
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.

(14.9%)
Max Drawdown
96
Num Trades
70.8%
Win Trades
2.7 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                     +6.4%+5.9%+9.1%+5.4%+3.7%+3.3%+2.8%            +42.6%

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 8 hours.

Trading Record

This strategy has placed 224 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
10/20/20 9:30 MSFT MICROSOFT LONG 25 215.82 10/22 9:30 214.02 0.19%
Trade id #131790791
Max drawdown($68)
Time10/20/20 11:03
Quant open25
Worst price213.09
Drawdown as % of equity-0.19%
($46)
Includes Typical Broker Commissions trade costs of $0.50
10/20/20 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 60 82.42 10/22 9:30 81.36 0.22%
Trade id #131790780
Max drawdown($77)
Time10/21/20 0:00
Quant open60
Worst price81.13
Drawdown as % of equity-0.22%
($64)
Includes Typical Broker Commissions trade costs of $1.20
10/19/20 9:30 AAPL APPLE LONG 90 118.04 10/21 9:30 116.78 0.61%
Trade id #131764669
Max drawdown($216)
Time10/20/20 0:00
Quant open90
Worst price115.63
Drawdown as % of equity-0.61%
($116)
Includes Typical Broker Commissions trade costs of $1.80
10/19/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 48 142.74 10/21 9:30 138.85 0.83%
Trade id #131764612
Max drawdown($295)
Time10/20/20 0:00
Quant open48
Worst price136.59
Drawdown as % of equity-0.83%
($188)
Includes Typical Broker Commissions trade costs of $0.96
10/20/20 9:30 V VISA LONG 25 197.45 10/21 9:30 197.83 0.05%
Trade id #131790861
Max drawdown($18)
Time10/20/20 11:05
Quant open25
Worst price196.71
Drawdown as % of equity-0.05%
$10
Includes Typical Broker Commissions trade costs of $0.50
10/8/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 65 136.96 10/14 9:30 155.17 0.29%
Trade id #131587862
Max drawdown($103)
Time10/8/20 10:25
Quant open35
Worst price133.54
Drawdown as % of equity-0.29%
$1,183
Includes Typical Broker Commissions trade costs of $1.30
10/5/20 9:30 AAPL APPLE LONG 46 113.99 10/6 9:30 115.79 0.03%
Trade id #131514255
Max drawdown($9)
Time10/5/20 9:33
Quant open46
Worst price113.78
Drawdown as % of equity-0.03%
$82
Includes Typical Broker Commissions trade costs of $0.92
9/29/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 102 128.76 10/6 9:30 133.92 0.83%
Trade id #131412484
Max drawdown($292)
Time10/2/20 0:00
Quant open66
Worst price124.33
Drawdown as % of equity-0.83%
$525
Includes Typical Broker Commissions trade costs of $2.04
10/5/20 9:30 MSFT MICROSOFT LONG 25 207.46 10/6 9:30 208.95 0.03%
Trade id #131514222
Max drawdown($11)
Time10/5/20 9:35
Quant open25
Worst price206.98
Drawdown as % of equity-0.03%
$37
Includes Typical Broker Commissions trade costs of $0.50
9/29/20 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 90 75.80 10/1 9:30 79.32 0.25%
Trade id #131412469
Max drawdown($85)
Time9/29/20 11:49
Quant open45
Worst price74.26
Drawdown as % of equity-0.25%
$315
Includes Typical Broker Commissions trade costs of $1.80
9/10/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 112 126.29 9/25 9:30 115.74 5.28%
Trade id #131106015
Max drawdown($1,762)
Time9/21/20 0:00
Quant open68
Worst price108.10
Drawdown as % of equity-5.28%
($1,183)
Includes Typical Broker Commissions trade costs of $2.24
9/21/20 9:30 V VISA LONG 50 198.43 9/23 9:30 200.86 0.4%
Trade id #131267554
Max drawdown($131)
Time9/21/20 10:40
Quant open25
Worst price194.70
Drawdown as % of equity-0.40%
$120
Includes Typical Broker Commissions trade costs of $1.00
9/21/20 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 86 72.84 9/23 9:30 75.24 0.49%
Trade id #131267307
Max drawdown($162)
Time9/21/20 11:26
Quant open43
Worst price69.29
Drawdown as % of equity-0.49%
$205
Includes Typical Broker Commissions trade costs of $1.72
9/21/20 9:30 AAPL APPLE LONG 45 104.37 9/22 9:30 112.74 n/a $376
Includes Typical Broker Commissions trade costs of $0.90
9/21/20 9:30 MSFT MICROSOFT LONG 25 196.98 9/22 9:30 205.26 0.05%
Trade id #131267268
Max drawdown($15)
Time9/21/20 10:38
Quant open25
Worst price196.38
Drawdown as % of equity-0.05%
$207
Includes Typical Broker Commissions trade costs of $0.50
9/14/20 9:30 FB FACEBOOK LONG 57 269.97 9/18 15:59 261.26 2.16%
Trade id #131157823
Max drawdown($751)
Time9/17/20 0:00
Quant open38
Worst price250.19
Drawdown as % of equity-2.16%
($498)
Includes Typical Broker Commissions trade costs of $1.14
9/15/20 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 27 242.73 9/17 9:30 221.24 1.89%
Trade id #131178578
Max drawdown($658)
Time9/17/20 9:30
Quant open27
Worst price218.32
Drawdown as % of equity-1.89%
($581)
Includes Typical Broker Commissions trade costs of $0.54
9/14/20 9:30 AAPL APPLE LONG 45 114.75 9/15 9:30 118.50 0.25%
Trade id #131157841
Max drawdown($87)
Time9/14/20 13:32
Quant open45
Worst price112.80
Drawdown as % of equity-0.25%
$168
Includes Typical Broker Commissions trade costs of $0.90
9/14/20 9:30 V VISA LONG 25 203.35 9/15 9:30 206.75 n/a $85
Includes Typical Broker Commissions trade costs of $0.50
9/8/20 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 80 77.57 9/10 9:30 80.68 0.38%
Trade id #131057548
Max drawdown($130)
Time9/8/20 15:05
Quant open40
Worst price75.60
Drawdown as % of equity-0.38%
$247
Includes Typical Broker Commissions trade costs of $1.60
9/9/20 9:30 AAPL APPLE LONG 44 117.48 9/10 9:30 119.71 0.28%
Trade id #131084180
Max drawdown($97)
Time9/9/20 9:39
Quant open44
Worst price115.26
Drawdown as % of equity-0.28%
$97
Includes Typical Broker Commissions trade costs of $0.88
9/8/20 9:30 MSFT MICROSOFT LONG 48 204.63 9/9 15:59 211.52 0.3%
Trade id #131057604
Max drawdown($104)
Time9/8/20 16:00
Quant open48
Worst price202.45
Drawdown as % of equity-0.30%
$330
Includes Typical Broker Commissions trade costs of $0.96
9/8/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 48 123.26 9/9 9:30 129.07 0.28%
Trade id #131057659
Max drawdown($95)
Time9/8/20 15:59
Quant open24
Worst price121.06
Drawdown as % of equity-0.28%
$278
Includes Typical Broker Commissions trade costs of $0.96
9/8/20 9:30 V VISA LONG 25 200.75 9/9 9:30 204.29 0.11%
Trade id #131057638
Max drawdown($38)
Time9/8/20 11:55
Quant open25
Worst price199.21
Drawdown as % of equity-0.11%
$89
Includes Typical Broker Commissions trade costs of $0.50
9/4/20 9:30 HD HOME DEPOT LONG 19 275.59 9/8 15:59 269.65 0.71%
Trade id #130999772
Max drawdown($242)
Time9/8/20 9:44
Quant open19
Worst price262.81
Drawdown as % of equity-0.71%
($113)
Includes Typical Broker Commissions trade costs of $0.38
8/31/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 55 158.67 9/2 15:59 175.30 0.14%
Trade id #130892171
Max drawdown($46)
Time8/31/20 9:36
Quant open55
Worst price157.82
Drawdown as % of equity-0.14%
$914
Includes Typical Broker Commissions trade costs of $1.10
8/20/20 9:30 HD HOME DEPOT LONG 72 283.19 9/2 15:59 285.72 0.13%
Trade id #130706704
Max drawdown($42)
Time8/21/20 0:00
Quant open18
Worst price278.42
Drawdown as % of equity-0.13%
$181
Includes Typical Broker Commissions trade costs of $1.44
9/1/20 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 80 84.78 9/2 9:30 87.41 0.02%
Trade id #130917669
Max drawdown($7)
Time9/1/20 9:33
Quant open40
Worst price83.35
Drawdown as % of equity-0.02%
$208
Includes Typical Broker Commissions trade costs of $1.60
8/26/20 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 24 262.57 8/28 9:30 255.08 0.97%
Trade id #130793801
Max drawdown($329)
Time8/27/20 0:00
Quant open24
Worst price248.84
Drawdown as % of equity-0.97%
($180)
Includes Typical Broker Commissions trade costs of $0.48
8/25/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 46 145.23 8/26 9:30 149.27 0.06%
Trade id #130774677
Max drawdown($20)
Time8/25/20 9:33
Quant open23
Worst price142.20
Drawdown as % of equity-0.06%
$185
Includes Typical Broker Commissions trade costs of $0.92

Statistics

  • Strategy began
    4/14/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    194.45
  • Age
    6 months ago
  • What it trades
    Stocks
  • # Trades
    96
  • # Profitable
    68
  • % Profitable
    70.80%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    14.94%
  • drawdown period
    April 17, 2020 - April 28, 2020
  • Cumul. Return
    42.6%
  • Avg win
    $276.34
  • Avg loss
    $248.57
  • Model Account Values (Raw)
  • Cash
    $23,971
  • Margin Used
    $0
  • Buying Power
    $23,761
  • Ratios
  • W:L ratio
    2.71:1
  • Sharpe Ratio
    2.27
  • Sortino Ratio
    3.55
  • Calmar Ratio
    8.906
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    20.83%
  • Correlation to SP500
    0.42620
  • Return Percent SP500 (cumu) during strategy life
    21.76%
  • Return Statistics
  • Ann Return (w trading costs)
    92.5%
  • Slump
  • Current Slump as Pcnt Equity
    2.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.426%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    106.4%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    875
  • Popularity (Last 6 weeks)
    988
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    963
  • Popularity (7 days, Percentile 1000 scale)
    970
  • 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
    $249
  • Avg Win
    $276
  • Sum Trade PL (losers)
    $6,960.000
  • AUM
  • AUM (AutoTrader num accounts)
    5
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $18,791.000
  • # Winners
    68
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    30
  • AUM
  • AUM (AutoTrader live capital)
    148138
  • Win / Loss
  • # Losers
    28
  • % Winners
    70.8%
  • Frequency
  • Avg Position Time (mins)
    4294.35
  • Avg Position Time (hrs)
    71.57
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.09
  • Daily leverage (max)
    3.11
  • Regression
  • Alpha
    0.12
  • Beta
    0.44
  • Treynor Index
    0.38
  • 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)
    0.96
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.730
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.393
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.588
  • Hold-and-Hope Ratio
    0.599
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.71624
  • SD
    0.05291
  • Sharpe ratio (Glass type estimate)
    13.53770
  • Sharpe ratio (Hedges UMVUE)
    11.38180
  • df
    5.00000
  • t
    9.57262
  • p
    0.00011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    4.96739
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80242
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    18.96120
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.71624
  • Downside part of mean
    0.00000
  • Upside SD
    0.21233
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.39020
  • Mean of criterion
    0.71624
  • SD of predictor
    0.09945
  • SD of criterion
    0.05291
  • Covariance
    -0.00078
  • r
    -0.14791
  • b (slope, estimate of beta)
    -0.07869
  • a (intercept, estimate of alpha)
    0.74694
  • Mean Square Error
    0.00342
  • DF error
    4.00000
  • t(b)
    -0.29912
  • p(b)
    0.61013
  • t(a)
    5.66548
  • p(a)
    0.00239
  • Lowerbound of 95% confidence interval for beta
    -0.80925
  • Upperbound of 95% confidence interval for beta
    0.65187
  • Lowerbound of 95% confidence interval for alpha
    0.38082
  • Upperbound of 95% confidence interval for alpha
    1.11307
  • Treynor index (mean / b)
    -9.10185
  • Jensen alpha (a)
    0.74694
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69307
  • SD
    0.04985
  • Sharpe ratio (Glass type estimate)
    13.90340
  • Sharpe ratio (Hedges UMVUE)
    11.68930
  • df
    5.00000
  • t
    9.83121
  • p
    0.00009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    5.12983
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93221
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    19.44640
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.69307
  • Downside part of mean
    0.00000
  • Upside SD
    0.20518
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.37926
  • Mean of criterion
    0.69307
  • SD of predictor
    0.09609
  • SD of criterion
    0.04985
  • Covariance
    -0.00071
  • r
    -0.14807
  • b (slope, estimate of beta)
    -0.07681
  • a (intercept, estimate of alpha)
    0.72220
  • Mean Square Error
    0.00304
  • DF error
    4.00000
  • t(b)
    -0.29943
  • p(b)
    0.61024
  • t(a)
    5.79308
  • p(a)
    0.00221
  • Lowerbound of 95% confidence interval for beta
    -0.78919
  • Upperbound of 95% confidence interval for beta
    0.63557
  • Lowerbound of 95% confidence interval for alpha
    0.37601
  • Upperbound of 95% confidence interval for alpha
    1.06840
  • Treynor index (mean / b)
    -9.02282
  • Jensen alpha (a)
    0.72220
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.03467
  • Expected Shortfall on VaR
    -0.02849
  • 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
    6.00000
  • Minimum
    1.04152
  • Quartile 1
    1.05140
  • Median
    1.06254
  • Quartile 3
    1.07305
  • Maximum
    1.08125
  • Mean of quarter 1
    1.04542
  • Mean of quarter 2
    1.05766
  • Mean of quarter 3
    1.06742
  • Mean of quarter 4
    1.07809
  • Inter Quartile Range
    0.02165
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.86806
  • Compounded annual return (geometric extrapolation)
    1.05645
  • 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
  • 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
    0.63825
  • SD
    0.21536
  • Sharpe ratio (Glass type estimate)
    2.96368
  • Sharpe ratio (Hedges UMVUE)
    2.94742
  • df
    137.00000
  • t
    2.15090
  • p
    0.38557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.68166
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.67047
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.71170
  • Upside Potential Ratio
    10.44190
  • Upside part of mean
    1.41448
  • Downside part of mean
    -0.77623
  • Upside SD
    0.17102
  • Downside SD
    0.13546
  • N nonnegative terms
    82.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    138.00000
  • Mean of predictor
    0.36936
  • Mean of criterion
    0.63825
  • SD of predictor
    0.21532
  • SD of criterion
    0.21536
  • Covariance
    0.01973
  • r
    0.42542
  • b (slope, estimate of beta)
    0.42549
  • a (intercept, estimate of alpha)
    0.48100
  • Mean Square Error
    0.03826
  • DF error
    136.00000
  • t(b)
    5.48208
  • p(b)
    0.28729
  • t(a)
    1.77491
  • p(a)
    0.42477
  • Lowerbound of 95% confidence interval for beta
    0.27200
  • Upperbound of 95% confidence interval for beta
    0.57898
  • Lowerbound of 95% confidence interval for alpha
    -0.05493
  • Upperbound of 95% confidence interval for alpha
    1.01712
  • Treynor index (mean / b)
    1.50004
  • Jensen alpha (a)
    0.48109
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61440
  • SD
    0.21553
  • Sharpe ratio (Glass type estimate)
    2.85062
  • Sharpe ratio (Hedges UMVUE)
    2.83498
  • df
    137.00000
  • t
    2.06885
  • p
    0.38976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12394
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.56714
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11361
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.55636
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.43771
  • Upside Potential Ratio
    10.11180
  • Upside part of mean
    1.39999
  • Downside part of mean
    -0.78559
  • Upside SD
    0.16849
  • Downside SD
    0.13845
  • N nonnegative terms
    82.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    138.00000
  • Mean of predictor
    0.34590
  • Mean of criterion
    0.61440
  • SD of predictor
    0.21653
  • SD of criterion
    0.21553
  • Covariance
    0.01979
  • r
    0.42404
  • b (slope, estimate of beta)
    0.42208
  • a (intercept, estimate of alpha)
    0.46841
  • Mean Square Error
    0.03838
  • DF error
    136.00000
  • t(b)
    5.46026
  • p(b)
    0.28798
  • t(a)
    1.72675
  • p(a)
    0.42677
  • Lowerbound of 95% confidence interval for beta
    0.26921
  • Upperbound of 95% confidence interval for beta
    0.57495
  • Lowerbound of 95% confidence interval for alpha
    -0.06804
  • Upperbound of 95% confidence interval for alpha
    1.00485
  • Treynor index (mean / b)
    1.45566
  • Jensen alpha (a)
    0.46841
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01937
  • Expected Shortfall on VaR
    0.02480
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00574
  • Expected Shortfall on VaR
    0.01301
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    138.00000
  • Minimum
    0.93617
  • Quartile 1
    0.99774
  • Median
    1.00117
  • Quartile 3
    1.00662
  • Maximum
    1.05586
  • Mean of quarter 1
    0.98890
  • Mean of quarter 2
    0.99978
  • Mean of quarter 3
    1.00338
  • Mean of quarter 4
    1.01806
  • Inter Quartile Range
    0.00889
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02899
  • Mean of outliers low
    0.96072
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    1.02905
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60805
  • VaR(95%) (moments method)
    0.00989
  • Expected Shortfall (moments method)
    0.02888
  • Extreme Value Index (regression method)
    0.50830
  • VaR(95%) (regression method)
    0.00613
  • Expected Shortfall (regression method)
    0.01322
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00680
  • Median
    0.01092
  • Quartile 3
    0.01959
  • Maximum
    0.10115
  • Mean of quarter 1
    0.00265
  • Mean of quarter 2
    0.00929
  • Mean of quarter 3
    0.01590
  • Mean of quarter 4
    0.05156
  • Inter Quartile Range
    0.01279
  • 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
    0.11765
  • Mean of outliers high
    0.08087
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.58904
  • VaR(95%) (moments method)
    0.05708
  • Expected Shortfall (moments method)
    0.14685
  • Extreme Value Index (regression method)
    1.79280
  • VaR(95%) (regression method)
    0.05749
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.76433
  • Compounded annual return (geometric extrapolation)
    0.90087
  • Calmar ratio (compounded annual return / max draw down)
    8.90586
  • Compounded annual return / average of 25% largest draw downs
    17.47110
  • Compounded annual return / Expected Shortfall lognormal
    36.33030
  • 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
    0.74390
  • SD
    0.18343
  • Sharpe ratio (Glass type estimate)
    4.05554
  • Sharpe ratio (Hedges UMVUE)
    4.03210
  • df
    130.00000
  • t
    2.86770
  • p
    0.37804
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.23276
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.86324
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.21729
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.84690
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.78706
  • Upside Potential Ratio
    13.98700
  • Upside part of mean
    1.33618
  • Downside part of mean
    -0.59228
  • Upside SD
    0.16240
  • Downside SD
    0.09553
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.42176
  • Mean of criterion
    0.74390
  • SD of predictor
    0.20647
  • SD of criterion
    0.18343
  • Covariance
    0.01478
  • r
    0.39032
  • b (slope, estimate of beta)
    0.34677
  • a (intercept, estimate of alpha)
    0.59764
  • Mean Square Error
    0.02874
  • DF error
    129.00000
  • t(b)
    4.81516
  • p(b)
    0.25798
  • t(a)
    2.47299
  • p(a)
    0.36559
  • Lowerbound of 95% confidence interval for beta
    0.20428
  • Upperbound of 95% confidence interval for beta
    0.48925
  • Lowerbound of 95% confidence interval for alpha
    0.11950
  • Upperbound of 95% confidence interval for alpha
    1.07579
  • Treynor index (mean / b)
    2.14523
  • Jensen alpha (a)
    0.59764
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72624
  • SD
    0.18230
  • Sharpe ratio (Glass type estimate)
    3.98366
  • Sharpe ratio (Hedges UMVUE)
    3.96063
  • df
    130.00000
  • t
    2.81687
  • p
    0.38008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.16253
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.78997
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14733
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.77394
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.49674
  • Upside Potential Ratio
    13.65800
  • Upside part of mean
    1.32311
  • Downside part of mean
    -0.59687
  • Upside SD
    0.16003
  • Downside SD
    0.09687
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40008
  • Mean of criterion
    0.72624
  • SD of predictor
    0.20772
  • SD of criterion
    0.18230
  • Covariance
    0.01471
  • r
    0.38836
  • b (slope, estimate of beta)
    0.34085
  • a (intercept, estimate of alpha)
    0.58988
  • Mean Square Error
    0.02844
  • DF error
    129.00000
  • t(b)
    4.78664
  • p(b)
    0.25913
  • t(a)
    2.45581
  • p(a)
    0.36647
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    0.19996
  • Upperbound of 95% confidence interval for beta
    0.48173
  • Lowerbound of 95% confidence interval for alpha
    0.11464
  • Upperbound of 95% confidence interval for alpha
    1.06511
  • Treynor index (mean / b)
    2.13070
  • Jensen alpha (a)
    0.58988
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01563
  • Expected Shortfall on VaR
    0.02024
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00434
  • Expected Shortfall on VaR
    0.00967
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95446
  • Quartile 1
    0.99833
  • Median
    1.00122
  • Quartile 3
    1.00640
  • Maximum
    1.05586
  • Mean of quarter 1
    0.99150
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00334
  • Mean of quarter 4
    1.01701
  • Inter Quartile Range
    0.00807
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97323
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.02811
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49430
  • VaR(95%) (moments method)
    0.00762
  • Expected Shortfall (moments method)
    0.01774
  • Extreme Value Index (regression method)
    0.06776
  • VaR(95%) (regression method)
    0.00521
  • Expected Shortfall (regression method)
    0.00748
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00536
  • Median
    0.01092
  • Quartile 3
    0.01832
  • Maximum
    0.06059
  • Mean of quarter 1
    0.00196
  • Mean of quarter 2
    0.00883
  • Mean of quarter 3
    0.01558
  • Mean of quarter 4
    0.03117
  • Inter Quartile Range
    0.01296
  • 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
    0.05882
  • Mean of outliers high
    0.06059
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.50130
  • VaR(95%) (moments method)
    0.03604
  • Expected Shortfall (moments method)
    0.06902
  • Extreme Value Index (regression method)
    1.21143
  • VaR(95%) (regression method)
    0.03116
  • 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?
    -293314000
  • Max Equity Drawdown (num days)
    11
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.91602
  • Compounded annual return (geometric extrapolation)
    1.12580
  • Calmar ratio (compounded annual return / max draw down)
    18.57930
  • Compounded annual return / average of 25% largest draw downs
    36.11400
  • Compounded annual return / Expected Shortfall lognormal
    55.61240

Strategy Description

Simple stock strategy trading leverages ETFs (like TQQQ) and some very liquid stocks.

This strategy reflects my basic automatic strategies on my IB account and includes more than 5 independent strategies.

Some strategies will trade the same stocks but with different rules or styles (some strategies might be qualified as trend-following, others as contrarian).
New strategies will be added to this pool of strategies if they increase the overall reward/risk ratio as calculated by (Annual Return/Max Drawdown) based on several years of backtets.
All strategies are backtested over a long period of time and must be consistently profitable each year and under different market regimes.

Trading algorithms are rather straightforward and based mostly on volatility measures or market sentiment.
Buy / Sell order are issued to be placed at Market Open or Market Close

I personnaly trade this strategy on my IB account with CFDs (in Europe, we cannot trade US ETFs due to PRIIPS).
Backtest since 2012 available upon request.

Summary Statistics

Strategy began
2020-04-14
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 3.7%
Rank # 
#25
# Trades
96
# Profitable
68
% Profitable
70.8%
Net Dividends
Correlation S&P500
0.426
Sharpe Ratio
2.27
Sortino Ratio
3.55
Beta
0.44
Alpha
0.12
Leverage
1.09 Average
3.11 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.