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USTX-SHUN
(123334826)

Created by: mka mka
Started: 04/2019
Stocks
Last trade: 11 days ago

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 $99.00 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.

30.7%
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.

(15.6%)
Max Drawdown
132
Num Trades
62.1%
Win Trades
3.0 : 1
Profit Factor
81.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     +3.5%(14.2%)+23.2%+2.0%+6.0%+1.0%+2.8%(1.5%)+2.5%+24.1%
2020+3.9%+2.5%                                                            +6.5%

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 120 hours.

Trading Record

This strategy has placed 56 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/11/20 9:54 LMT LOCKHEED MARTIN LONG 18 441.04 2/12 10:24 435.20 0.18%
Trade id #127455919
Max drawdown($115)
Time2/12/20 0:00
Quant open18
Worst price434.60
Drawdown as % of equity-0.18%
($105)
Includes Typical Broker Commissions trade costs of $0.36
1/7/20 10:18 PM PHILIP MORRIS LONG 81 86.68 2/11 9:54 88.42 0.15%
Trade id #126898368
Max drawdown($97)
Time1/31/20 0:00
Quant open19
Worst price82.27
Drawdown as % of equity-0.15%
$139
Includes Typical Broker Commissions trade costs of $1.62
1/29/20 10:05 OXY OCCIDENTAL PETROLEUM LONG 22 41.00 2/11 9:53 42.17 0.05%
Trade id #127266943
Max drawdown($34)
Time1/30/20 0:00
Quant open22
Worst price39.42
Drawdown as % of equity-0.05%
$26
Includes Typical Broker Commissions trade costs of $0.44
1/29/20 10:05 WFC WELLS FARGO LONG 160 47.56 2/11 9:53 48.17 0.2%
Trade id #127266939
Max drawdown($129)
Time1/31/20 0:00
Quant open160
Worst price46.75
Drawdown as % of equity-0.20%
$95
Includes Typical Broker Commissions trade costs of $3.20
1/29/20 10:05 WBA WALGREEN BOOTS ALLIANCE INC. LONG 123 52.72 2/11 9:53 53.33 0.4%
Trade id #127266931
Max drawdown($253)
Time1/31/20 0:00
Quant open123
Worst price50.66
Drawdown as % of equity-0.40%
$73
Includes Typical Broker Commissions trade costs of $2.46
1/29/20 10:05 SLV ISHARES SILVER TRUST LONG 603 16.35 2/11 9:53 16.54 0.07%
Trade id #127266936
Max drawdown($42)
Time1/29/20 12:17
Quant open603
Worst price16.28
Drawdown as % of equity-0.07%
$110
Includes Typical Broker Commissions trade costs of $5.00
1/29/20 10:05 SPG SIMON PROPERTY GROUP LONG 39 140.20 2/11 9:53 142.36 0.62%
Trade id #127266933
Max drawdown($397)
Time2/4/20 0:00
Quant open39
Worst price130.01
Drawdown as % of equity-0.62%
$83
Includes Typical Broker Commissions trade costs of $0.78
1/29/20 10:05 HAL HALLIBURTON LONG 89 22.09 2/11 9:53 21.62 0.12%
Trade id #127266954
Max drawdown($79)
Time1/30/20 0:00
Quant open89
Worst price21.20
Drawdown as % of equity-0.12%
($44)
Includes Typical Broker Commissions trade costs of $1.78
1/29/20 10:05 TLT ISHARES 20+ YEAR TREASURY BOND LONG 69 144.02 2/11 9:53 144.39 0.23%
Trade id #127266948
Max drawdown($146)
Time2/5/20 0:00
Quant open69
Worst price141.90
Drawdown as % of equity-0.23%
$25
Includes Typical Broker Commissions trade costs of $1.38
1/29/20 10:05 GILD GILEAD SCIENCES LONG 134 64.45 2/7 10:18 68.97 0.39%
Trade id #127266952
Max drawdown($247)
Time1/31/20 0:00
Quant open134
Worst price62.60
Drawdown as % of equity-0.39%
$603
Includes Typical Broker Commissions trade costs of $2.68
1/29/20 10:05 CL COLGATE-PALMOLIVE LONG 140 69.65 2/5 10:20 75.24 0.24%
Trade id #127266945
Max drawdown($152)
Time1/30/20 0:00
Quant open140
Worst price68.56
Drawdown as % of equity-0.24%
$780
Includes Typical Broker Commissions trade costs of $2.80
1/17/20 9:59 JNJ JOHNSON & JOHNSON LONG 11 148.60 1/29 10:05 150.08 0.04%
Trade id #127063629
Max drawdown($28)
Time1/22/20 0:00
Quant open11
Worst price146.00
Drawdown as % of equity-0.04%
$16
Includes Typical Broker Commissions trade costs of $0.22
1/17/20 9:59 NKE NIKE LONG 8 104.11 1/29 10:05 100.21 0.08%
Trade id #127063644
Max drawdown($48)
Time1/27/20 0:00
Quant open8
Worst price98.01
Drawdown as % of equity-0.08%
($31)
Includes Typical Broker Commissions trade costs of $0.16
1/17/20 9:59 MS MORGAN STANLEY LONG 23 56.87 1/29 10:05 53.84 0.14%
Trade id #127063642
Max drawdown($92)
Time1/27/20 0:00
Quant open23
Worst price52.86
Drawdown as % of equity-0.14%
($70)
Includes Typical Broker Commissions trade costs of $0.46
1/7/20 10:18 BMY BRISTOL-MYERS SQUIBB LONG 185 65.60 1/29 10:05 65.54 0.43%
Trade id #126898362
Max drawdown($271)
Time1/27/20 0:00
Quant open108
Worst price63.09
Drawdown as % of equity-0.43%
($16)
Includes Typical Broker Commissions trade costs of $3.70
1/24/20 10:06 INTC INTEL LONG 140 68.53 1/24 13:20 68.71 0.17%
Trade id #127200921
Max drawdown($107)
Time1/24/20 10:21
Quant open140
Worst price67.76
Drawdown as % of equity-0.17%
$22
Includes Typical Broker Commissions trade costs of $2.80
1/17/20 9:59 LMT LOCKHEED MARTIN LONG 7 426.95 1/24 10:15 431.96 0.04%
Trade id #127063636
Max drawdown($27)
Time1/21/20 0:00
Quant open7
Worst price423.01
Drawdown as % of equity-0.04%
$35
Includes Typical Broker Commissions trade costs of $0.14
1/7/20 10:18 UNH UNITEDHEALTH GROUP LONG 14 291.46 1/24 10:15 297.68 0.06%
Trade id #126898370
Max drawdown($36)
Time1/14/20 0:00
Quant open8
Worst price284.25
Drawdown as % of equity-0.06%
$87
Includes Typical Broker Commissions trade costs of $0.28
1/7/20 10:18 LLY ELI LILLY LONG 70 140.17 1/24 10:14 141.32 0.01%
Trade id #126898364
Max drawdown($6)
Time1/8/20 0:00
Quant open9
Worst price132.01
Drawdown as % of equity-0.01%
$79
Includes Typical Broker Commissions trade costs of $1.40
1/7/20 10:18 RTN RAYTHEON CO LONG 35 227.33 1/24 10:13 231.42 0.02%
Trade id #126898373
Max drawdown($10)
Time1/7/20 10:33
Quant open18
Worst price224.39
Drawdown as % of equity-0.02%
$142
Includes Typical Broker Commissions trade costs of $0.70
1/7/20 10:18 NEE NEXTERA ENERGY LONG 31 247.54 1/24 10:13 259.83 0%
Trade id #126898379
Max drawdown($2)
Time1/7/20 10:21
Quant open13
Worst price240.17
Drawdown as % of equity-0.00%
$380
Includes Typical Broker Commissions trade costs of $0.62
1/7/20 10:18 AAPL APPLE LONG 31 308.91 1/24 10:12 320.94 0.02%
Trade id #126898382
Max drawdown($11)
Time1/8/20 0:00
Quant open10
Worst price297.16
Drawdown as % of equity-0.02%
$372
Includes Typical Broker Commissions trade costs of $0.62
1/17/20 9:59 AMGN AMGEN LONG 8 240.54 1/24 10:09 229.57 0.14%
Trade id #127063634
Max drawdown($91)
Time1/24/20 10:05
Quant open8
Worst price229.09
Drawdown as % of equity-0.14%
($88)
Includes Typical Broker Commissions trade costs of $0.16
1/7/20 10:18 AGN ALLERGAN INC LONG 77 192.18 1/24 10:05 190.19 0.28%
Trade id #126898359
Max drawdown($178)
Time1/24/20 10:05
Quant open55
Worst price188.93
Drawdown as % of equity-0.28%
($155)
Includes Typical Broker Commissions trade costs of $1.54
1/15/20 11:07 TGT TARGET LONG 15 115.86 1/17 9:59 117.27 0.01%
Trade id #127016773
Max drawdown($4)
Time1/15/20 11:16
Quant open15
Worst price115.56
Drawdown as % of equity-0.01%
$21
Includes Typical Broker Commissions trade costs of $0.30
1/7/20 10:18 TLT ISHARES 20+ YEAR TREASURY BOND LONG 181 138.10 1/15 11:07 139.30 0.63%
Trade id #126898388
Max drawdown($397)
Time1/9/20 0:00
Quant open181
Worst price135.91
Drawdown as % of equity-0.63%
$213
Includes Typical Broker Commissions trade costs of $3.62
1/7/20 10:18 NKE NIKE LONG 16 102.59 1/15 11:07 103.02 0.05%
Trade id #126898376
Max drawdown($29)
Time1/10/20 0:00
Quant open16
Worst price100.76
Drawdown as % of equity-0.05%
$7
Includes Typical Broker Commissions trade costs of $0.32
1/7/20 10:18 HAL HALLIBURTON LONG 36 24.99 1/15 11:07 23.64 0.09%
Trade id #126898385
Max drawdown($58)
Time1/14/20 0:00
Quant open36
Worst price23.37
Drawdown as % of equity-0.09%
($50)
Includes Typical Broker Commissions trade costs of $0.72
8/28/19 10:37 GLD SPDR GOLD SHARES LONG 325 142.34 1/6/20 13:56 147.28 2.7%
Trade id #125122088
Max drawdown($1,611)
Time11/12/19 0:00
Quant open215
Worst price136.19
Drawdown as % of equity-2.70%
$1,599
Includes Typical Broker Commissions trade costs of $6.50
12/3/19 10:48 CVS CVS HEALTH CORP LONG 32 74.16 12/11 10:57 73.02 0.08%
Trade id #126459804
Max drawdown($48)
Time12/10/19 0:00
Quant open32
Worst price72.64
Drawdown as % of equity-0.08%
($37)
Includes Typical Broker Commissions trade costs of $0.64

Statistics

  • Strategy began
    4/16/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    312.69
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    132
  • # Profitable
    82
  • % Profitable
    62.10%
  • Avg trade duration
    16.6 days
  • Max peak-to-valley drawdown
    15.58%
  • drawdown period
    May 01, 2019 - May 31, 2019
  • Cumul. Return
    30.7%
  • Avg win
    $301.90
  • Avg loss
    $175.70
  • Model Account Values (Raw)
  • Cash
    $40,944
  • Margin Used
    $0
  • Buying Power
    $40,892
  • Ratios
  • W:L ratio
    2.98:1
  • Sharpe Ratio
    1.73
  • Sortino Ratio
    4
  • Calmar Ratio
    3.062
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    15.92%
  • Correlation to SP500
    0.12390
  • Return Percent SP500 (cumu) during strategy life
    14.82%
  • Return Statistics
  • Ann Return (w trading costs)
    36.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.307%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    39.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    8069.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    881
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    958
  • Popularity (7 days, Percentile 1000 scale)
    710
  • 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
    $176
  • Avg Win
    $303
  • Sum Trade PL (losers)
    $8,810.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $24,814.000
  • # Winners
    82
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    702
  • Win / Loss
  • # Losers
    50
  • % Winners
    62.1%
  • Frequency
  • Avg Position Time (mins)
    23933.40
  • Avg Position Time (hrs)
    398.89
  • Avg Trade Length
    16.6 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.92
  • Daily leverage (max)
    1.87
  • Regression
  • Alpha
    0.08
  • Beta
    0.16
  • Treynor Index
    0.56
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    24.13
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    40.07
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.12
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.545
  • 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
    0.467
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.378
  • Hold-and-Hope Ratio
    0.669
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36471
  • SD
    0.25405
  • Sharpe ratio (Glass type estimate)
    1.43558
  • Sharpe ratio (Hedges UMVUE)
    1.31194
  • df
    9.00000
  • t
    1.31050
  • p
    0.11124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84447
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64403
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91899
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54288
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.38172
  • Upside Potential Ratio
    4.61515
  • Upside part of mean
    0.49773
  • Downside part of mean
    -0.13302
  • Upside SD
    0.23988
  • Downside SD
    0.10785
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.16286
  • Mean of criterion
    0.36471
  • SD of predictor
    0.08899
  • SD of criterion
    0.25405
  • Covariance
    0.00041
  • r
    0.01815
  • b (slope, estimate of beta)
    0.05183
  • a (intercept, estimate of alpha)
    0.35627
  • Mean Square Error
    0.07258
  • DF error
    8.00000
  • t(b)
    0.05136
  • p(b)
    0.48015
  • t(a)
    1.05467
  • p(a)
    0.16119
  • Lowerbound of 95% confidence interval for beta
    -2.27520
  • Upperbound of 95% confidence interval for beta
    2.37885
  • Lowerbound of 95% confidence interval for alpha
    -0.42270
  • Upperbound of 95% confidence interval for alpha
    1.13524
  • Treynor index (mean / b)
    7.03712
  • Jensen alpha (a)
    0.35627
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33167
  • SD
    0.24317
  • Sharpe ratio (Glass type estimate)
    1.36394
  • Sharpe ratio (Hedges UMVUE)
    1.24647
  • df
    9.00000
  • t
    1.24510
  • p
    0.12227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97644
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46938
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93173
  • Upside Potential Ratio
    4.15954
  • Upside part of mean
    0.47057
  • Downside part of mean
    -0.13890
  • Upside SD
    0.22268
  • Downside SD
    0.11313
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.15789
  • Mean of criterion
    0.33167
  • SD of predictor
    0.08853
  • SD of criterion
    0.24317
  • Covariance
    0.00018
  • r
    0.00820
  • b (slope, estimate of beta)
    0.02251
  • a (intercept, estimate of alpha)
    0.32811
  • Mean Square Error
    0.06652
  • DF error
    8.00000
  • t(b)
    0.02318
  • p(b)
    0.49104
  • t(a)
    1.02074
  • p(a)
    0.16862
  • Lowerbound of 95% confidence interval for beta
    -2.21677
  • Upperbound of 95% confidence interval for beta
    2.26179
  • Lowerbound of 95% confidence interval for alpha
    -0.41314
  • Upperbound of 95% confidence interval for alpha
    1.06937
  • Treynor index (mean / b)
    14.73280
  • Jensen alpha (a)
    0.32811
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08408
  • Expected Shortfall on VaR
    0.11026
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01709
  • Expected Shortfall on VaR
    0.04093
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.90466
  • Quartile 1
    1.00446
  • Median
    1.01798
  • Quartile 3
    1.06005
  • Maximum
    1.19053
  • Mean of quarter 1
    0.96538
  • Mean of quarter 2
    1.01482
  • Mean of quarter 3
    1.03281
  • Mean of quarter 4
    1.11194
  • Inter Quartile Range
    0.05559
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.90466
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.19053
  • 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)
    1.89174
  • VaR(95%) (regression method)
    0.13264
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01001
  • Quartile 1
    0.03134
  • Median
    0.05268
  • Quartile 3
    0.07401
  • Maximum
    0.09534
  • Mean of quarter 1
    0.01001
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09534
  • Inter Quartile Range
    0.04267
  • 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)
    0.41925
  • Compounded annual return (geometric extrapolation)
    0.43272
  • Calmar ratio (compounded annual return / max draw down)
    4.53859
  • Compounded annual return / average of 25% largest draw downs
    4.53859
  • Compounded annual return / Expected Shortfall lognormal
    3.92471
  • 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
    0.34517
  • SD
    0.15727
  • Sharpe ratio (Glass type estimate)
    2.19475
  • Sharpe ratio (Hedges UMVUE)
    2.18723
  • df
    219.00000
  • t
    2.01116
  • p
    0.02277
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04356
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.34104
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03856
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.33590
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.16962
  • Upside Potential Ratio
    12.38090
  • Upside part of mean
    0.82665
  • Downside part of mean
    -0.48149
  • Upside SD
    0.14359
  • Downside SD
    0.06677
  • N nonnegative terms
    126.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    220.00000
  • Mean of predictor
    0.14690
  • Mean of criterion
    0.34517
  • SD of predictor
    0.12266
  • SD of criterion
    0.15727
  • Covariance
    0.00249
  • r
    0.12888
  • b (slope, estimate of beta)
    0.16525
  • a (intercept, estimate of alpha)
    0.32100
  • Mean Square Error
    0.02443
  • DF error
    218.00000
  • t(b)
    1.91895
  • p(b)
    0.02815
  • t(a)
    1.87597
  • p(a)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    -0.00447
  • Upperbound of 95% confidence interval for beta
    0.33498
  • Lowerbound of 95% confidence interval for alpha
    -0.01624
  • Upperbound of 95% confidence interval for alpha
    0.65802
  • Treynor index (mean / b)
    2.08871
  • Jensen alpha (a)
    0.32089
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33302
  • SD
    0.15334
  • Sharpe ratio (Glass type estimate)
    2.17174
  • Sharpe ratio (Hedges UMVUE)
    2.16430
  • df
    219.00000
  • t
    1.99007
  • p
    0.02391
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.31782
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01583
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.31276
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.95405
  • Upside Potential Ratio
    12.14950
  • Upside part of mean
    0.81670
  • Downside part of mean
    -0.48368
  • Upside SD
    0.13896
  • Downside SD
    0.06722
  • N nonnegative terms
    126.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    220.00000
  • Mean of predictor
    0.13933
  • Mean of criterion
    0.33302
  • SD of predictor
    0.12301
  • SD of criterion
    0.15334
  • Covariance
    0.00255
  • r
    0.13509
  • b (slope, estimate of beta)
    0.16841
  • a (intercept, estimate of alpha)
    0.30955
  • Mean Square Error
    0.02319
  • DF error
    218.00000
  • t(b)
    2.01310
  • p(b)
    0.02267
  • t(a)
    1.85813
  • p(a)
    0.03225
  • Lowerbound of 95% confidence interval for beta
    0.00353
  • Upperbound of 95% confidence interval for beta
    0.33328
  • Lowerbound of 95% confidence interval for alpha
    -0.01879
  • Upperbound of 95% confidence interval for alpha
    0.63789
  • Treynor index (mean / b)
    1.97745
  • Jensen alpha (a)
    0.30955
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01421
  • Expected Shortfall on VaR
    0.01810
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00378
  • Expected Shortfall on VaR
    0.00790
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    220.00000
  • Minimum
    0.97692
  • Quartile 1
    0.99800
  • Median
    1.00073
  • Quartile 3
    1.00323
  • Maximum
    1.10141
  • Mean of quarter 1
    0.99340
  • Mean of quarter 2
    0.99953
  • Mean of quarter 3
    1.00196
  • Mean of quarter 4
    1.01080
  • Inter Quartile Range
    0.00523
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.04545
  • Mean of outliers low
    0.98512
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.05455
  • Mean of outliers high
    1.02684
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24802
  • VaR(95%) (moments method)
    0.00597
  • Expected Shortfall (moments method)
    0.00992
  • Extreme Value Index (regression method)
    0.23340
  • VaR(95%) (regression method)
    0.00674
  • Expected Shortfall (regression method)
    0.01129
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00176
  • Median
    0.00618
  • Quartile 3
    0.01667
  • Maximum
    0.14197
  • Mean of quarter 1
    0.00089
  • Mean of quarter 2
    0.00483
  • Mean of quarter 3
    0.01026
  • Mean of quarter 4
    0.04627
  • Inter Quartile Range
    0.01491
  • 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
    0.05556
  • Mean of outliers high
    0.14197
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.82048
  • VaR(95%) (moments method)
    0.05531
  • Expected Shortfall (moments method)
    0.29609
  • Extreme Value Index (regression method)
    3.35653
  • VaR(95%) (regression method)
    0.07041
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42158
  • Compounded annual return (geometric extrapolation)
    0.43465
  • Calmar ratio (compounded annual return / max draw down)
    3.06163
  • Compounded annual return / average of 25% largest draw downs
    9.39367
  • Compounded annual return / Expected Shortfall lognormal
    24.01680
  • 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
    0.22379
  • SD
    0.06570
  • Sharpe ratio (Glass type estimate)
    3.40627
  • Sharpe ratio (Hedges UMVUE)
    3.38658
  • df
    130.00000
  • t
    2.40860
  • p
    0.39666
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.20236
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.18879
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.55655
  • Upside Potential Ratio
    14.13410
  • Upside part of mean
    0.48242
  • Downside part of mean
    -0.25864
  • Upside SD
    0.05753
  • Downside SD
    0.03413
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25875
  • Mean of criterion
    0.22379
  • SD of predictor
    0.10687
  • SD of criterion
    0.06570
  • Covariance
    0.00028
  • r
    0.04016
  • b (slope, estimate of beta)
    0.02469
  • a (intercept, estimate of alpha)
    0.21740
  • Mean Square Error
    0.00434
  • DF error
    129.00000
  • t(b)
    0.45652
  • p(b)
    0.47444
  • t(a)
    2.30685
  • p(a)
    0.37413
  • Lowerbound of 95% confidence interval for beta
    -0.08231
  • Upperbound of 95% confidence interval for beta
    0.13169
  • Lowerbound of 95% confidence interval for alpha
    0.03094
  • Upperbound of 95% confidence interval for alpha
    0.40386
  • Treynor index (mean / b)
    9.06426
  • Jensen alpha (a)
    0.21740
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22154
  • SD
    0.06547
  • Sharpe ratio (Glass type estimate)
    3.38383
  • Sharpe ratio (Hedges UMVUE)
    3.36427
  • df
    130.00000
  • t
    2.39273
  • p
    0.39731
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57545
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.17965
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56246
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.16608
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.47126
  • Upside Potential Ratio
    14.04250
  • Upside part of mean
    0.48073
  • Downside part of mean
    -0.25919
  • Upside SD
    0.05717
  • Downside SD
    0.03423
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25291
  • Mean of criterion
    0.22154
  • SD of predictor
    0.10708
  • SD of criterion
    0.06547
  • Covariance
    0.00028
  • r
    0.03981
  • b (slope, estimate of beta)
    0.02434
  • a (intercept, estimate of alpha)
    0.21538
  • Mean Square Error
    0.00431
  • DF error
    129.00000
  • t(b)
    0.45254
  • p(b)
    0.47466
  • t(a)
    2.29462
  • p(a)
    0.37476
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.08208
  • Upperbound of 95% confidence interval for beta
    0.13077
  • Lowerbound of 95% confidence interval for alpha
    0.02967
  • Upperbound of 95% confidence interval for alpha
    0.40109
  • Treynor index (mean / b)
    9.10095
  • Jensen alpha (a)
    0.21538
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00579
  • Expected Shortfall on VaR
    0.00747
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00197
  • Expected Shortfall on VaR
    0.00406
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99053
  • Quartile 1
    0.99891
  • Median
    1.00060
  • Quartile 3
    1.00257
  • Maximum
    1.02363
  • Mean of quarter 1
    0.99653
  • Mean of quarter 2
    0.99986
  • Mean of quarter 3
    1.00155
  • Mean of quarter 4
    1.00593
  • Inter Quartile Range
    0.00367
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.99160
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01513
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00976
  • VaR(95%) (moments method)
    0.00298
  • Expected Shortfall (moments method)
    0.00408
  • Extreme Value Index (regression method)
    0.14265
  • VaR(95%) (regression method)
    0.00318
  • Expected Shortfall (regression method)
    0.00477
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00107
  • Median
    0.00845
  • Quartile 3
    0.01667
  • Maximum
    0.02278
  • Mean of quarter 1
    0.00066
  • Mean of quarter 2
    0.00394
  • Mean of quarter 3
    0.01161
  • Mean of quarter 4
    0.01972
  • Inter Quartile Range
    0.01560
  • 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)
    0.05407
  • VaR(95%) (moments method)
    0.02120
  • Expected Shortfall (moments method)
    0.02363
  • Extreme Value Index (regression method)
    4.18477
  • VaR(95%) (regression method)
    0.03133
  • 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?
    -256240000
  • Max Equity Drawdown (num days)
    30
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26567
  • Compounded annual return (geometric extrapolation)
    0.28331
  • Calmar ratio (compounded annual return / max draw down)
    12.43480
  • Compounded annual return / average of 25% largest draw downs
    14.36620
  • Compounded annual return / Expected Shortfall lognormal
    37.93500

Strategy Description

Our team manages the strategies prefixed ‘USTX’ on C2. Highlights for USTX-SHUN are
- Our portfolios are comprised of (long) Stocks only, no futures or options
- Fully automated
- Uses a proprietary strategy-development and portfolio-management framework
- USTX-SHUN trades SP100 stocks plus ETFS like GLD, SLV and DBO, as well as TLT
- Rebalances every week or every two-weeks under normal (low volatility) market conditions

Summary Statistics

Strategy began
2019-04-16
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 4.2%
Rank # 
#28
# Trades
132
# Profitable
82
% Profitable
62.1%
Net Dividends
Correlation S&P500
0.124
Sharpe Ratio
1.73
Sortino Ratio
4.00
Beta
0.16
Alpha
0.08
Leverage
0.92 Average
1.87 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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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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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.