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

Blue Fund
(129778450)

Created by: OakSpringCapital OakSpringCapital
Started: 06/2020
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
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).
8.9%
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.

(7.7%)
Max Drawdown
1242
Num Trades
56.5%
Win Trades
1.2 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   +0.7%+8.5%(3.6%)+0.6%+4.1%(2.8%)+0.7%+8.0%
2021+0.9%                                                                  +0.9%

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.

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

Trading Record

This strategy has placed 1,510 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 80 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/8/21 15:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 15 189.48 1/11 15:27 181.23 0.23%
Trade id #133282721
Max drawdown($127)
Time1/11/21 15:23
Quant open15
Worst price181.01
Drawdown as % of equity-0.23%
($124)
Includes Typical Broker Commissions trade costs of $0.30
1/8/21 15:35 AMD ADVANCED MICRO DEVICES INC. C LONG 31 94.50 1/11 15:27 97.29 0.04%
Trade id #133282716
Max drawdown($22)
Time1/11/21 9:30
Quant open31
Worst price93.76
Drawdown as % of equity-0.04%
$85
Includes Typical Broker Commissions trade costs of $0.62
1/8/21 15:35 BIDU BAIDU LONG 12 237.50 1/11 15:27 220.46 0.38%
Trade id #133282709
Max drawdown($206)
Time1/11/21 15:27
Quant open12
Worst price220.33
Drawdown as % of equity-0.38%
($204)
Includes Typical Broker Commissions trade costs of $0.24
1/8/21 15:34 NTES NETEASE LONG 58 114.16 1/11 15:27 109.35 0.53%
Trade id #133282703
Max drawdown($287)
Time1/11/21 9:43
Quant open58
Worst price109.20
Drawdown as % of equity-0.53%
($280)
Includes Typical Broker Commissions trade costs of $1.16
1/8/21 15:34 DXCM DEXCOM SHORT 7 386.11 1/11 15:27 365.37 0.04%
Trade id #133282699
Max drawdown($19)
Time1/8/21 15:54
Quant open7
Worst price388.95
Drawdown as % of equity-0.04%
$145
Includes Typical Broker Commissions trade costs of $0.14
1/8/21 15:34 CTAS CINTAS SHORT 8 350.48 1/11 15:27 341.60 0.01%
Trade id #133282697
Max drawdown($6)
Time1/11/21 9:31
Quant open8
Worst price351.32
Drawdown as % of equity-0.01%
$71
Includes Typical Broker Commissions trade costs of $0.16
1/8/21 15:34 PAYX PAYCHEX SHORT 31 91.96 1/11 15:27 90.84 0.02%
Trade id #133282693
Max drawdown($8)
Time1/8/21 15:50
Quant open31
Worst price92.24
Drawdown as % of equity-0.02%
$34
Includes Typical Broker Commissions trade costs of $0.62
1/8/21 15:34 ZBH ZIMMER BIOMET HOLDINGS INC SHORT 18 159.07 1/11 15:27 158.46 0.01%
Trade id #133282691
Max drawdown($4)
Time1/8/21 15:59
Quant open18
Worst price159.32
Drawdown as % of equity-0.01%
$11
Includes Typical Broker Commissions trade costs of $0.36
1/8/21 15:34 ITW ILLINOIS TOOL WORKS SHORT 14 208.10 1/11 15:27 208.73 0.05%
Trade id #133282689
Max drawdown($27)
Time1/11/21 12:56
Quant open14
Worst price210.04
Drawdown as % of equity-0.05%
($9)
Includes Typical Broker Commissions trade costs of $0.28
1/8/21 15:33 INFO IHS MARKIT LTD. COMMON SHARES SHORT 32 90.00 1/11 15:27 87.75 0.02%
Trade id #133282685
Max drawdown($9)
Time1/8/21 15:50
Quant open32
Worst price90.30
Drawdown as % of equity-0.02%
$71
Includes Typical Broker Commissions trade costs of $0.64
1/8/21 15:33 ENB ENBRIDGE SHORT 87 33.29 1/11 15:27 33.24 0.01%
Trade id #133282682
Max drawdown($6)
Time1/8/21 15:59
Quant open87
Worst price33.37
Drawdown as % of equity-0.01%
$2
Includes Typical Broker Commissions trade costs of $1.74
1/8/21 15:33 SYY SYSCO SHORT 37 77.16 1/11 15:27 77.78 0.11%
Trade id #133282674
Max drawdown($62)
Time1/11/21 12:03
Quant open37
Worst price78.84
Drawdown as % of equity-0.11%
($24)
Includes Typical Broker Commissions trade costs of $0.74
1/8/21 15:33 GM GENERAL MOTORS SHORT 67 43.06 1/11 15:27 45.04 0.27%
Trade id #133282669
Max drawdown($148)
Time1/11/21 14:58
Quant open67
Worst price45.28
Drawdown as % of equity-0.27%
($134)
Includes Typical Broker Commissions trade costs of $1.34
1/8/21 15:33 TRP TC ENERGY CORP SHORT 68 42.32 1/11 15:27 42.12 0.03%
Trade id #133282660
Max drawdown($15)
Time1/8/21 15:59
Quant open68
Worst price42.55
Drawdown as % of equity-0.03%
$13
Includes Typical Broker Commissions trade costs of $1.36
1/8/21 15:33 CSX CSX SHORT 30 95.96 1/11 15:27 95.84 0.09%
Trade id #133282655
Max drawdown($47)
Time1/11/21 12:30
Quant open30
Worst price97.54
Drawdown as % of equity-0.09%
$3
Includes Typical Broker Commissions trade costs of $0.60
1/8/21 15:33 APH AMPHENOL SHORT 21 135.12 1/11 15:27 135.59 0.02%
Trade id #133282648
Max drawdown($13)
Time1/11/21 15:02
Quant open21
Worst price135.75
Drawdown as % of equity-0.02%
($10)
Includes Typical Broker Commissions trade costs of $0.42
1/8/21 15:32 VOD VODAFONE GROUP PLC AMERICAN DE SHORT 186 17.50 1/11 15:27 17.41 0.01%
Trade id #133282643
Max drawdown($7)
Time1/8/21 15:58
Quant open186
Worst price17.54
Drawdown as % of equity-0.01%
$13
Includes Typical Broker Commissions trade costs of $3.72
1/8/21 15:32 ABEV AMBEV S.A. SHORT 928 3.11 1/11 15:26 2.97 n/a $125
Includes Typical Broker Commissions trade costs of $5.00
1/7/21 15:58 EMR EMERSON ELECTRIC LONG 37 82.14 1/8 15:32 81.43 0.1%
Trade id #133252977
Max drawdown($56)
Time1/8/21 13:59
Quant open37
Worst price80.60
Drawdown as % of equity-0.10%
($27)
Includes Typical Broker Commissions trade costs of $0.74
1/7/21 15:58 PNC PNC FINANCIAL SERVICES SHORT 19 159.15 1/8 15:32 158.21 0%
Trade id #133252973
Max drawdown($1)
Time1/8/21 9:44
Quant open19
Worst price159.22
Drawdown as % of equity-0.00%
$18
Includes Typical Broker Commissions trade costs of $0.38
1/7/21 15:58 MNST MONSTER BEVERAGE LONG 33 93.43 1/8 15:32 94.60 0.03%
Trade id #133252968
Max drawdown($15)
Time1/8/21 10:30
Quant open33
Worst price92.95
Drawdown as % of equity-0.03%
$38
Includes Typical Broker Commissions trade costs of $0.66
1/7/21 15:58 CB CHUBB LONG 20 155.81 1/8 15:31 154.75 0.09%
Trade id #133252971
Max drawdown($49)
Time1/8/21 13:44
Quant open20
Worst price153.33
Drawdown as % of equity-0.09%
($21)
Includes Typical Broker Commissions trade costs of $0.40
1/7/21 15:58 VOD VODAFONE GROUP PLC AMERICAN DE SHORT 172 17.74 1/8 15:31 17.52 n/a $35
Includes Typical Broker Commissions trade costs of $3.44
1/7/21 15:58 SOXL DIREXION DAILY SEMICONDCT BULL SHORT 6 540.15 1/8 15:31 531.36 0.32%
Trade id #133252964
Max drawdown($173)
Time1/8/21 0:00
Quant open6
Worst price569.13
Drawdown as % of equity-0.32%
$53
Includes Typical Broker Commissions trade costs of $0.12
1/7/21 15:58 CTSH COGNIZANT TECH SOLUTION SHORT 38 80.99 1/8 15:31 81.93 0.07%
Trade id #133252955
Max drawdown($40)
Time1/8/21 15:07
Quant open38
Worst price82.06
Drawdown as % of equity-0.07%
($37)
Includes Typical Broker Commissions trade costs of $0.76
1/7/21 15:58 FAZ DIREXION DAILY FINANCIAL BEAR LONG 494 6.18 1/8 15:31 6.26 0.04%
Trade id #133252958
Max drawdown($19)
Time1/8/21 0:00
Quant open494
Worst price6.14
Drawdown as % of equity-0.04%
$30
Includes Typical Broker Commissions trade costs of $9.88
1/7/21 15:58 ABB ABB SHORT 102 30.06 1/8 15:31 30.14 0.07%
Trade id #133252954
Max drawdown($38)
Time1/8/21 11:00
Quant open102
Worst price30.44
Drawdown as % of equity-0.07%
($10)
Includes Typical Broker Commissions trade costs of $2.04
1/7/21 15:58 NVDA NVIDIA SHORT 6 534.63 1/8 15:31 527.59 0.02%
Trade id #133252947
Max drawdown($13)
Time1/8/21 9:30
Quant open6
Worst price536.84
Drawdown as % of equity-0.02%
$42
Includes Typical Broker Commissions trade costs of $0.12
1/7/21 15:58 WDAY WORKDAY SHORT 13 226.29 1/8 15:31 227.01 0.08%
Trade id #133252949
Max drawdown($40)
Time1/8/21 10:14
Quant open13
Worst price229.43
Drawdown as % of equity-0.08%
($9)
Includes Typical Broker Commissions trade costs of $0.26
1/7/21 15:58 DELL DELL TECHNOLOGIES INC SHORT 40 76.29 1/8 15:31 76.65 0.08%
Trade id #133252953
Max drawdown($44)
Time1/8/21 9:57
Quant open40
Worst price77.41
Drawdown as % of equity-0.08%
($15)
Includes Typical Broker Commissions trade costs of $0.80

Statistics

  • Strategy began
    6/26/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    206.95
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    1242
  • # Profitable
    702
  • % Profitable
    56.50%
  • Avg trade duration
    1.3 days
  • Max peak-to-valley drawdown
    7.67%
  • drawdown period
    July 15, 2020 - Sept 21, 2020
  • Cumul. Return
    8.9%
  • Avg win
    $68.54
  • Avg loss
    $74.71
  • Model Account Values (Raw)
  • Cash
    $57,512
  • Margin Used
    $0
  • Buying Power
    $57,512
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    1.01
  • Sortino Ratio
    1.44
  • Calmar Ratio
    5.597
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -16.29%
  • Correlation to SP500
    -0.02570
  • Return Percent SP500 (cumu) during strategy life
    25.23%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    16.1%
  • Slump
  • Current Slump as Pcnt Equity
    3.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.089%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    27.8%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    459
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    818
  • Popularity (7 days, Percentile 1000 scale)
    0
  • 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
    $75
  • Avg Win
    $69
  • Sum Trade PL (losers)
    $40,346.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $48,112.000
  • # Winners
    702
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    -254
  • Win / Loss
  • # Losers
    540
  • % Winners
    56.5%
  • Frequency
  • Avg Position Time (mins)
    1909.42
  • Avg Position Time (hrs)
    31.82
  • Avg Trade Length
    1.3 days
  • Last Trade Ago
    8
  • Leverage
  • Daily leverage (average)
    1.07
  • Daily leverage (max)
    1.72
  • Regression
  • Alpha
    0.04
  • Beta
    -0.02
  • Treynor Index
    -2.12
  • 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)
    -0.10
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    26.636
  • 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
    0.458
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.384
  • Hold-and-Hope Ratio
    0.037
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25130
  • SD
    0.16016
  • Sharpe ratio (Glass type estimate)
    1.56907
  • Sharpe ratio (Hedges UMVUE)
    1.31920
  • df
    5.00000
  • t
    1.10950
  • p
    0.15885
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42724
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.43028
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57069
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20908
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.46566
  • Upside Potential Ratio
    9.22356
  • Upside part of mean
    0.31048
  • Downside part of mean
    -0.05917
  • Upside SD
    0.15971
  • Downside SD
    0.03366
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.41823
  • Mean of criterion
    0.25130
  • SD of predictor
    0.15997
  • SD of criterion
    0.16016
  • Covariance
    0.01017
  • r
    0.39679
  • b (slope, estimate of beta)
    0.39726
  • a (intercept, estimate of alpha)
    0.08516
  • Mean Square Error
    0.02702
  • DF error
    4.00000
  • t(b)
    0.86456
  • p(b)
    0.21802
  • t(a)
    0.28235
  • p(a)
    0.39584
  • Lowerbound of 95% confidence interval for beta
    -0.87874
  • Upperbound of 95% confidence interval for beta
    1.67326
  • Lowerbound of 95% confidence interval for alpha
    -0.75238
  • Upperbound of 95% confidence interval for alpha
    0.92270
  • Treynor index (mean / b)
    0.63259
  • Jensen alpha (a)
    0.08516
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23819
  • SD
    0.15353
  • Sharpe ratio (Glass type estimate)
    1.55146
  • Sharpe ratio (Hedges UMVUE)
    1.30439
  • df
    5.00000
  • t
    1.09705
  • p
    0.16131
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44082
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.40983
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58291
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19169
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.01604
  • Upside Potential Ratio
    8.77183
  • Upside part of mean
    0.29780
  • Downside part of mean
    -0.05961
  • Upside SD
    0.15237
  • Downside SD
    0.03395
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.40007
  • Mean of criterion
    0.23819
  • SD of predictor
    0.15640
  • SD of criterion
    0.15353
  • Covariance
    0.00975
  • r
    0.40602
  • b (slope, estimate of beta)
    0.39856
  • a (intercept, estimate of alpha)
    0.07874
  • Mean Square Error
    0.02461
  • DF error
    4.00000
  • t(b)
    0.88857
  • p(b)
    0.21222
  • t(a)
    0.27595
  • p(a)
    0.39813
  • Lowerbound of 95% confidence interval for beta
    -0.84703
  • Upperbound of 95% confidence interval for beta
    1.64415
  • Lowerbound of 95% confidence interval for alpha
    -0.71362
  • Upperbound of 95% confidence interval for alpha
    0.87109
  • Treynor index (mean / b)
    0.59763
  • Jensen alpha (a)
    0.07874
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05167
  • Expected Shortfall on VaR
    0.06894
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00873
  • Expected Shortfall on VaR
    0.01789
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.97951
  • Quartile 1
    0.99748
  • Median
    1.00550
  • Quartile 3
    1.03807
  • Maximum
    1.10538
  • Mean of quarter 1
    0.98754
  • Mean of quarter 2
    1.00322
  • Mean of quarter 3
    1.00777
  • Mean of quarter 4
    1.07678
  • Inter Quartile Range
    0.04060
  • 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
    0.16667
  • Mean of outliers high
    1.10538
  • 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
    0.00444
  • Quartile 1
    0.00845
  • Median
    0.01247
  • Quartile 3
    0.01648
  • Maximum
    0.02049
  • Mean of quarter 1
    0.00444
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02049
  • Inter Quartile Range
    0.00803
  • 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)
    0.28461
  • Compounded annual return (geometric extrapolation)
    0.30486
  • Calmar ratio (compounded annual return / max draw down)
    14.87720
  • Compounded annual return / average of 25% largest draw downs
    14.87720
  • Compounded annual return / Expected Shortfall lognormal
    4.42196
  • 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
    0.23029
  • SD
    0.11629
  • Sharpe ratio (Glass type estimate)
    1.98029
  • Sharpe ratio (Hedges UMVUE)
    1.96996
  • df
    144.00000
  • t
    1.47320
  • p
    0.43907
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66761
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62140
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67445
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61436
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.82527
  • Upside Potential Ratio
    9.35886
  • Upside part of mean
    0.76285
  • Downside part of mean
    -0.53256
  • Upside SD
    0.08360
  • Downside SD
    0.08151
  • N nonnegative terms
    77.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    145.00000
  • Mean of predictor
    0.39239
  • Mean of criterion
    0.23029
  • SD of predictor
    0.16429
  • SD of criterion
    0.11629
  • Covariance
    -0.00017
  • r
    -0.00915
  • b (slope, estimate of beta)
    -0.00648
  • a (intercept, estimate of alpha)
    0.23300
  • Mean Square Error
    0.01362
  • DF error
    143.00000
  • t(b)
    -0.10943
  • p(b)
    0.50582
  • t(a)
    1.46833
  • p(a)
    0.42261
  • Lowerbound of 95% confidence interval for beta
    -0.12348
  • Upperbound of 95% confidence interval for beta
    0.11052
  • Lowerbound of 95% confidence interval for alpha
    -0.08061
  • Upperbound of 95% confidence interval for alpha
    0.54627
  • Treynor index (mean / b)
    -35.55320
  • Jensen alpha (a)
    0.23283
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22343
  • SD
    0.11664
  • Sharpe ratio (Glass type estimate)
    1.91552
  • Sharpe ratio (Hedges UMVUE)
    1.90553
  • df
    144.00000
  • t
    1.42502
  • p
    0.44104
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55611
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54930
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.70997
  • Upside Potential Ratio
    9.20964
  • Upside part of mean
    0.75930
  • Downside part of mean
    -0.53587
  • Upside SD
    0.08309
  • Downside SD
    0.08245
  • N nonnegative terms
    77.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    145.00000
  • Mean of predictor
    0.37862
  • Mean of criterion
    0.22343
  • SD of predictor
    0.16471
  • SD of criterion
    0.11664
  • Covariance
    -0.00018
  • r
    -0.00942
  • b (slope, estimate of beta)
    -0.00667
  • a (intercept, estimate of alpha)
    0.22595
  • Mean Square Error
    0.01370
  • DF error
    143.00000
  • t(b)
    -0.11268
  • p(b)
    0.50600
  • t(a)
    1.42182
  • p(a)
    0.42501
  • Lowerbound of 95% confidence interval for beta
    -0.12372
  • Upperbound of 95% confidence interval for beta
    0.11038
  • Lowerbound of 95% confidence interval for alpha
    -0.08818
  • Upperbound of 95% confidence interval for alpha
    0.54009
  • Treynor index (mean / b)
    -33.48610
  • Jensen alpha (a)
    0.22595
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01094
  • Expected Shortfall on VaR
    0.01391
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00441
  • Expected Shortfall on VaR
    0.00942
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    145.00000
  • Minimum
    0.96119
  • Quartile 1
    0.99845
  • Median
    1.00050
  • Quartile 3
    1.00454
  • Maximum
    1.02147
  • Mean of quarter 1
    0.99272
  • Mean of quarter 2
    0.99955
  • Mean of quarter 3
    1.00260
  • Mean of quarter 4
    1.00931
  • Inter Quartile Range
    0.00609
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.05517
  • Mean of outliers low
    0.98342
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03448
  • Mean of outliers high
    1.01707
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05227
  • VaR(95%) (moments method)
    0.00483
  • Expected Shortfall (moments method)
    0.00669
  • Extreme Value Index (regression method)
    0.24767
  • VaR(95%) (regression method)
    0.00621
  • Expected Shortfall (regression method)
    0.01086
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00628
  • Median
    0.01377
  • Quartile 3
    0.03273
  • Maximum
    0.05106
  • Mean of quarter 1
    0.00206
  • Mean of quarter 2
    0.01368
  • Mean of quarter 3
    0.01386
  • Mean of quarter 4
    0.04504
  • Inter Quartile Range
    0.02644
  • 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)
    0.26965
  • Compounded annual return (geometric extrapolation)
    0.28574
  • Calmar ratio (compounded annual return / max draw down)
    5.59654
  • Compounded annual return / average of 25% largest draw downs
    6.34472
  • Compounded annual return / Expected Shortfall lognormal
    20.54200
  • 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
    0.04640
  • SD
    0.10932
  • Sharpe ratio (Glass type estimate)
    0.42441
  • Sharpe ratio (Hedges UMVUE)
    0.42196
  • df
    130.00000
  • t
    0.30010
  • p
    0.48684
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.34860
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19597
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.35033
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19424
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55086
  • Upside Potential Ratio
    7.26946
  • Upside part of mean
    0.61227
  • Downside part of mean
    -0.56587
  • Upside SD
    0.06909
  • Downside SD
    0.08422
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30312
  • Mean of criterion
    0.04640
  • SD of predictor
    0.16535
  • SD of criterion
    0.10932
  • Covariance
    -0.00087
  • r
    -0.04814
  • b (slope, estimate of beta)
    -0.03183
  • a (intercept, estimate of alpha)
    0.05604
  • Mean Square Error
    0.01202
  • DF error
    129.00000
  • t(b)
    -0.54746
  • p(b)
    0.53064
  • t(a)
    0.35922
  • p(a)
    0.47988
  • Lowerbound of 95% confidence interval for beta
    -0.14687
  • Upperbound of 95% confidence interval for beta
    0.08321
  • Lowerbound of 95% confidence interval for alpha
    -0.25264
  • Upperbound of 95% confidence interval for alpha
    0.36473
  • Treynor index (mean / b)
    -1.45761
  • Jensen alpha (a)
    0.05604
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04042
  • SD
    0.10987
  • Sharpe ratio (Glass type estimate)
    0.36788
  • Sharpe ratio (Hedges UMVUE)
    0.36575
  • df
    130.00000
  • t
    0.26013
  • p
    0.48860
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.40489
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13944
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.40641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13791
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.47435
  • Upside Potential Ratio
    7.15687
  • Upside part of mean
    0.60983
  • Downside part of mean
    -0.56942
  • Upside SD
    0.06874
  • Downside SD
    0.08521
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28930
  • Mean of criterion
    0.04042
  • SD of predictor
    0.16586
  • SD of criterion
    0.10987
  • Covariance
    -0.00088
  • r
    -0.04817
  • b (slope, estimate of beta)
    -0.03191
  • a (intercept, estimate of alpha)
    0.04965
  • Mean Square Error
    0.01214
  • DF error
    129.00000
  • t(b)
    -0.54779
  • p(b)
    0.53066
  • t(a)
    0.31684
  • p(a)
    0.48225
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.14717
  • Upperbound of 95% confidence interval for beta
    0.08335
  • Lowerbound of 95% confidence interval for alpha
    -0.26040
  • Upperbound of 95% confidence interval for alpha
    0.35970
  • Treynor index (mean / b)
    -1.26656
  • Jensen alpha (a)
    0.04965
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01095
  • Expected Shortfall on VaR
    0.01375
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00493
  • Expected Shortfall on VaR
    0.01032
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96119
  • Quartile 1
    0.99745
  • Median
    1.00000
  • Quartile 3
    1.00375
  • Maximum
    1.01656
  • Mean of quarter 1
    0.99236
  • Mean of quarter 2
    0.99928
  • Mean of quarter 3
    1.00190
  • Mean of quarter 4
    1.00764
  • Inter Quartile Range
    0.00630
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98159
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01521
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48264
  • VaR(95%) (moments method)
    0.00787
  • Expected Shortfall (moments method)
    0.01712
  • Extreme Value Index (regression method)
    0.38479
  • VaR(95%) (regression method)
    0.00676
  • Expected Shortfall (regression method)
    0.01245
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00382
  • Quartile 1
    0.01230
  • Median
    0.01386
  • Quartile 3
    0.02796
  • Maximum
    0.04666
  • Mean of quarter 1
    0.00737
  • Mean of quarter 2
    0.01377
  • Mean of quarter 3
    0.01691
  • Mean of quarter 4
    0.04284
  • Inter Quartile Range
    0.01566
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -297581000
  • Max Equity Drawdown (num days)
    68
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06951
  • Compounded annual return (geometric extrapolation)
    0.07071
  • Calmar ratio (compounded annual return / max draw down)
    1.51554
  • Compounded annual return / average of 25% largest draw downs
    1.65076
  • Compounded annual return / Expected Shortfall lognormal
    5.14342

Strategy Description

Summary Statistics

Strategy began
2020-06-26
Suggested Minimum Capital
$35,000
Rank at C2 
#133
# Trades
1242
# Profitable
702
% Profitable
56.5%
Net Dividends
Correlation S&P500
-0.026
Sharpe Ratio
1.01
Sortino Ratio
1.44
Beta
-0.02
Alpha
0.04
Leverage
1.07 Average
1.72 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.