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C2Star App SuperBands
(124343595)

Created by: BWorldOmnimedia BWorldOmnimedia
Started: 07/2019
Stocks
Last trade: 15 days ago
Trading style: Equity Sector: Technology Short-term Reversal

Subscriptions not available

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

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

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
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).
43.2%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(17.2%)
Max Drawdown
177
Num Trades
57.6%
Win Trades
2.0 : 1
Profit Factor
46.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                          (0.4%)+8.3%(0.7%)+14.1%+7.9%(0.4%)+31.5%
2020+4.1%+5.1%(6.9%)(0.2%)+15.3%(0.2%)  -  (0.4%)+1.8%                  +18.4%

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 450 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 128 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/8/20 9:40 AMAT APPLIED MATERIALS LONG 255 55.87 9/9 9:30 56.61 0.19%
Trade id #131059193
Max drawdown($139)
Time9/8/20 15:08
Quant open255
Worst price55.32
Drawdown as % of equity-0.19%
$184
Includes Typical Broker Commissions trade costs of $5.10
9/8/20 9:30 CDNS CADENCE DESIGN SYSTEMS LONG 21 99.09 9/9 9:30 102.39 n/a $69
Includes Typical Broker Commissions trade costs of $0.42
9/8/20 9:30 KLAC KLA CORP LONG 44 179.38 9/9 9:30 178.92 0.33%
Trade id #131057532
Max drawdown($244)
Time9/8/20 15:09
Quant open44
Worst price173.82
Drawdown as % of equity-0.33%
($22)
Includes Typical Broker Commissions trade costs of $0.88
9/8/20 9:32 TSLA TESLA INC. LONG 60 345.66 9/9 9:30 356.60 1.34%
Trade id #131058014
Max drawdown($999)
Time9/8/20 16:00
Quant open60
Worst price329.00
Drawdown as % of equity-1.34%
$656
Includes Typical Broker Commissions trade costs of $1.20
9/8/20 9:37 LRCX LAM RESEARCH LONG 63 305.78 9/9 9:30 310.96 0.3%
Trade id #131058699
Max drawdown($225)
Time9/8/20 15:57
Quant open63
Worst price302.19
Drawdown as % of equity-0.30%
$326
Includes Typical Broker Commissions trade costs of $1.26
9/8/20 9:30 MRNA MODERNA INC. COMMON STOCK LONG 365 55.80 9/9 9:30 56.03 0.73%
Trade id #131057734
Max drawdown($549)
Time9/8/20 15:57
Quant open365
Worst price54.29
Drawdown as % of equity-0.73%
$79
Includes Typical Broker Commissions trade costs of $7.30
5/19/20 13:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,359 79.33 5/19 14:57 78.26 1.08%
Trade id #129093949
Max drawdown($842)
Time5/19/20 14:57
Quant open1,359
Worst price78.71
Drawdown as % of equity-1.08%
($1,459)
Includes Typical Broker Commissions trade costs of $5.00
5/15/20 15:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,497 72.24 5/15 15:43 71.93 0.84%
Trade id #129047430
Max drawdown($670)
Time5/15/20 15:43
Quant open1,497
Worst price71.79
Drawdown as % of equity-0.84%
($466)
Includes Typical Broker Commissions trade costs of $5.00
5/15/20 13:03 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,493 71.44 5/15 13:10 71.63 0.26%
Trade id #129044747
Max drawdown($206)
Time5/15/20 13:07
Quant open1,493
Worst price71.30
Drawdown as % of equity-0.26%
$284
Includes Typical Broker Commissions trade costs of $5.00
5/15/20 12:42 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,493 71.05 5/15 13:02 71.39 1.1%
Trade id #129044413
Max drawdown($865)
Time5/15/20 12:48
Quant open1,493
Worst price70.47
Drawdown as % of equity-1.10%
$507
Includes Typical Broker Commissions trade costs of $5.00
5/15/20 12:13 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,515 70.20 5/15 12:24 70.80 0.48%
Trade id #129043898
Max drawdown($374)
Time5/15/20 12:16
Quant open1,515
Worst price69.95
Drawdown as % of equity-0.48%
$909
Includes Typical Broker Commissions trade costs of $5.00
5/15/20 10:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,527 69.90 5/15 10:52 69.51 0.76%
Trade id #129041446
Max drawdown($591)
Time5/15/20 10:52
Quant open1,527
Worst price69.51
Drawdown as % of equity-0.76%
($596)
Includes Typical Broker Commissions trade costs of $5.00
5/15/20 10:28 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,533 70.07 5/15 10:47 69.72 0.97%
Trade id #129040894
Max drawdown($761)
Time5/15/20 10:37
Quant open1,533
Worst price69.57
Drawdown as % of equity-0.97%
($534)
Includes Typical Broker Commissions trade costs of $5.00
5/14/20 15:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,518 69.84 5/14 15:25 70.44 0.1%
Trade id #129027399
Max drawdown($80)
Time5/14/20 15:22
Quant open1,518
Worst price69.79
Drawdown as % of equity-0.10%
$906
Includes Typical Broker Commissions trade costs of $5.00
5/14/20 12:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,528 69.13 5/14 13:27 69.44 0.89%
Trade id #129025252
Max drawdown($687)
Time5/14/20 13:09
Quant open1,528
Worst price68.68
Drawdown as % of equity-0.89%
$469
Includes Typical Broker Commissions trade costs of $5.00
5/14/20 12:38 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,528 68.40 5/14 12:55 68.92 1.08%
Trade id #129024841
Max drawdown($832)
Time5/14/20 12:48
Quant open1,528
Worst price67.86
Drawdown as % of equity-1.08%
$790
Includes Typical Broker Commissions trade costs of $5.00
5/14/20 11:39 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,510 68.10 5/14 12:24 68.30 1.94%
Trade id #129023150
Max drawdown($1,479)
Time5/14/20 12:09
Quant open1,510
Worst price67.12
Drawdown as % of equity-1.94%
$297
Includes Typical Broker Commissions trade costs of $5.00
5/14/20 11:29 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,521 67.78 5/14 11:32 68.35 n/a $862
Includes Typical Broker Commissions trade costs of $5.00
5/7/20 12:22 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,414 72.23 5/7 13:14 72.71 0.21%
Trade id #128910152
Max drawdown($153)
Time5/7/20 12:25
Quant open1,414
Worst price72.12
Drawdown as % of equity-0.21%
$675
Includes Typical Broker Commissions trade costs of $5.00
5/6/20 13:29 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,488 70.63 5/6 15:59 69.31 3.42%
Trade id #128894247
Max drawdown($2,568)
Time5/6/20 15:51
Quant open1,488
Worst price68.90
Drawdown as % of equity-3.42%
($1,960)
Includes Typical Broker Commissions trade costs of $5.00
5/6/20 10:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,508 70.62 5/6 11:50 69.72 1.7%
Trade id #128890222
Max drawdown($1,331)
Time5/6/20 11:26
Quant open1,508
Worst price69.74
Drawdown as % of equity-1.70%
($1,366)
Includes Typical Broker Commissions trade costs of $5.00
5/4/20 11:03 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,480 64.08 5/6 9:40 70.15 1.98%
Trade id #128856560
Max drawdown($1,361)
Time5/4/20 13:18
Quant open1,480
Worst price63.16
Drawdown as % of equity-1.98%
$8,979
Includes Typical Broker Commissions trade costs of $5.00
5/4/20 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,467 62.47 5/4 10:52 63.90 0.31%
Trade id #128854482
Max drawdown($208)
Time5/4/20 9:44
Quant open1,467
Worst price62.33
Drawdown as % of equity-0.31%
$2,093
Includes Typical Broker Commissions trade costs of $5.00
5/1/20 9:31 LRCX LAM RESEARCH LONG 72 232.32 5/4 9:31 233.98 0.28%
Trade id #128826217
Max drawdown($189)
Time5/1/20 10:24
Quant open72
Worst price229.69
Drawdown as % of equity-0.28%
$119
Includes Typical Broker Commissions trade costs of $1.44
3/17/20 9:54 EXC EXELON LONG 400 29.84 3/18 9:30 33.85 0.25%
Trade id #128085393
Max drawdown($167)
Time3/17/20 10:22
Quant open400
Worst price29.42
Drawdown as % of equity-0.25%
$1,597
Includes Typical Broker Commissions trade costs of $8.00
3/17/20 10:15 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 11 181.75 3/18 9:30 185.66 0.36%
Trade id #128086133
Max drawdown($286)
Time3/18/20 0:00
Quant open11
Worst price155.67
Drawdown as % of equity-0.36%
$43
Includes Typical Broker Commissions trade costs of $0.22
3/17/20 9:52 LRCX LAM RESEARCH LONG 93 210.46 3/18 9:30 203.44 3.36%
Trade id #128085348
Max drawdown($2,704)
Time3/18/20 0:00
Quant open93
Worst price181.38
Drawdown as % of equity-3.36%
($655)
Includes Typical Broker Commissions trade costs of $1.86
3/17/20 9:37 ISRG INTUITIVE SURGICAL LONG 40 392.14 3/18 9:30 399.50 1.2%
Trade id #128084673
Max drawdown($963)
Time3/18/20 0:00
Quant open40
Worst price368.06
Drawdown as % of equity-1.20%
$293
Includes Typical Broker Commissions trade costs of $0.80
3/17/20 9:31 TSLA TESLA INC. LONG 25 435.59 3/18 9:30 389.00 2.64%
Trade id #128084437
Max drawdown($2,127)
Time3/18/20 0:00
Quant open25
Worst price350.51
Drawdown as % of equity-2.64%
($1,166)
Includes Typical Broker Commissions trade costs of $0.50
3/17/20 10:00 AMAT APPLIED MATERIALS LONG 150 39.92 3/18 9:30 40.57 0.61%
Trade id #128085626
Max drawdown($491)
Time3/18/20 0:00
Quant open150
Worst price36.64
Drawdown as % of equity-0.61%
$95
Includes Typical Broker Commissions trade costs of $3.00

Statistics

  • Strategy began
    7/5/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    447.5
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    177
  • # Profitable
    102
  • % Profitable
    57.60%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    17.17%
  • drawdown period
    March 17, 2020 - May 01, 2020
  • Annual Return (Compounded)
    43.2%
  • Avg win
    $607.77
  • Avg loss
    $413.93
  • Model Account Values (Raw)
  • Cash
    $80,948
  • Margin Used
    $0
  • Buying Power
    $80,948
  • Ratios
  • W:L ratio
    2.00:1
  • Sharpe Ratio
    1.45
  • Sortino Ratio
    2.42
  • Calmar Ratio
    5.579
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    47.22%
  • Correlation to SP500
    0.15910
  • Return Percent SP500 (cumu) during strategy life
    8.57%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    43.2%
  • Slump
  • Current Slump as Pcnt Equity
    3.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.43%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.432%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    48.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    16.00%
  • 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
    7554.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    542
  • Popularity (Last 6 weeks)
    740
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    814
  • Popularity (7 days, Percentile 1000 scale)
    537
  • 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
    $414
  • Avg Win
    $608
  • Sum Trade PL (losers)
    $31,045.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $61,993.000
  • # Winners
    102
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    75
  • % Winners
    57.6%
  • Frequency
  • Avg Position Time (mins)
    2057.52
  • Avg Position Time (hrs)
    34.29
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.82
  • Daily leverage (max)
    4.12
  • Regression
  • Alpha
    0.10
  • Beta
    0.11
  • Treynor Index
    0.94
  • 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)
    -1.36
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.869
  • 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
    0.549
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.109
  • Hold-and-Hope Ratio
    0.258
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49701
  • SD
    0.28026
  • Sharpe ratio (Glass type estimate)
    1.77337
  • Sharpe ratio (Hedges UMVUE)
    1.64916
  • df
    11.00000
  • t
    1.77337
  • p
    0.05191
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35373
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.83076
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42842
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72674
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.09989
  • Upside Potential Ratio
    5.43549
  • Upside part of mean
    0.65892
  • Downside part of mean
    -0.16191
  • Upside SD
    0.27909
  • Downside SD
    0.12122
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.12293
  • Mean of criterion
    0.49701
  • SD of predictor
    0.21351
  • SD of criterion
    0.28026
  • Covariance
    0.01480
  • r
    0.24728
  • b (slope, estimate of beta)
    0.32459
  • a (intercept, estimate of alpha)
    0.45711
  • Mean Square Error
    0.08112
  • DF error
    10.00000
  • t(b)
    0.80703
  • p(b)
    0.21921
  • t(a)
    1.58128
  • p(a)
    0.07245
  • Lowerbound of 95% confidence interval for beta
    -0.57157
  • Upperbound of 95% confidence interval for beta
    1.22075
  • Lowerbound of 95% confidence interval for alpha
    -0.18699
  • Upperbound of 95% confidence interval for alpha
    1.10120
  • Treynor index (mean / b)
    1.53119
  • Jensen alpha (a)
    0.45711
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45290
  • SD
    0.26837
  • Sharpe ratio (Glass type estimate)
    1.68762
  • Sharpe ratio (Hedges UMVUE)
    1.56942
  • df
    11.00000
  • t
    1.68762
  • p
    0.05980
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42606
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.73419
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49735
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63619
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.55673
  • Upside Potential Ratio
    4.88680
  • Upside part of mean
    0.62227
  • Downside part of mean
    -0.16937
  • Upside SD
    0.25865
  • Downside SD
    0.12734
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.10081
  • Mean of criterion
    0.45290
  • SD of predictor
    0.21743
  • SD of criterion
    0.26837
  • Covariance
    0.01473
  • r
    0.25244
  • b (slope, estimate of beta)
    0.31157
  • a (intercept, estimate of alpha)
    0.42149
  • Mean Square Error
    0.07417
  • DF error
    10.00000
  • t(b)
    0.82500
  • p(b)
    0.21431
  • t(a)
    1.53271
  • p(a)
    0.07818
  • Lowerbound of 95% confidence interval for beta
    -0.52991
  • Upperbound of 95% confidence interval for beta
    1.15305
  • Lowerbound of 95% confidence interval for alpha
    -0.19124
  • Upperbound of 95% confidence interval for alpha
    1.03422
  • Treynor index (mean / b)
    1.45360
  • Jensen alpha (a)
    0.42149
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08578
  • Expected Shortfall on VaR
    0.11454
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01236
  • Expected Shortfall on VaR
    0.03453
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.89319
  • Quartile 1
    1.01456
  • Median
    1.04195
  • Quartile 3
    1.07021
  • Maximum
    1.21412
  • Mean of quarter 1
    0.95057
  • Mean of quarter 2
    1.02781
  • Mean of quarter 3
    1.05364
  • Mean of quarter 4
    1.14296
  • Inter Quartile Range
    0.05564
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.89319
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.21412
  • 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)
    -1.07625
  • VaR(95%) (regression method)
    0.12892
  • Expected Shortfall (regression method)
    0.14599
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05045
  • Quartile 1
    0.06454
  • Median
    0.07863
  • Quartile 3
    0.09272
  • Maximum
    0.10681
  • Mean of quarter 1
    0.05045
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10681
  • Inter Quartile Range
    0.02818
  • 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)
    0.61738
  • Compounded annual return (geometric extrapolation)
    0.61738
  • Calmar ratio (compounded annual return / max draw down)
    5.78035
  • Compounded annual return / average of 25% largest draw downs
    5.78035
  • Compounded annual return / Expected Shortfall lognormal
    5.39004
  • 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
    0.46669
  • SD
    0.22469
  • Sharpe ratio (Glass type estimate)
    2.07706
  • Sharpe ratio (Hedges UMVUE)
    2.07124
  • df
    268.00000
  • t
    2.10462
  • p
    0.01813
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13290
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01744
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12902
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01347
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.48910
  • Upside Potential Ratio
    7.32133
  • Upside part of mean
    0.97928
  • Downside part of mean
    -0.51259
  • Upside SD
    0.18231
  • Downside SD
    0.13376
  • N nonnegative terms
    80.00000
  • N negative terms
    189.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    269.00000
  • Mean of predictor
    0.10937
  • Mean of criterion
    0.46669
  • SD of predictor
    0.33743
  • SD of criterion
    0.22469
  • Covariance
    0.01082
  • r
    0.14271
  • b (slope, estimate of beta)
    0.09502
  • a (intercept, estimate of alpha)
    0.45600
  • Mean Square Error
    0.04964
  • DF error
    267.00000
  • t(b)
    2.35595
  • p(b)
    0.00960
  • t(a)
    2.07473
  • p(a)
    0.01948
  • Lowerbound of 95% confidence interval for beta
    0.01561
  • Upperbound of 95% confidence interval for beta
    0.17444
  • Lowerbound of 95% confidence interval for alpha
    0.02328
  • Upperbound of 95% confidence interval for alpha
    0.88932
  • Treynor index (mean / b)
    4.91128
  • Jensen alpha (a)
    0.45630
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44127
  • SD
    0.22370
  • Sharpe ratio (Glass type estimate)
    1.97260
  • Sharpe ratio (Hedges UMVUE)
    1.96708
  • df
    268.00000
  • t
    1.99878
  • p
    0.02332
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02934
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02563
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90853
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.20119
  • Upside Potential Ratio
    6.98693
  • Upside part of mean
    0.96311
  • Downside part of mean
    -0.52185
  • Upside SD
    0.17775
  • Downside SD
    0.13784
  • N nonnegative terms
    80.00000
  • N negative terms
    189.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    269.00000
  • Mean of predictor
    0.05215
  • Mean of criterion
    0.44127
  • SD of predictor
    0.33973
  • SD of criterion
    0.22370
  • Covariance
    0.01086
  • r
    0.14292
  • b (slope, estimate of beta)
    0.09410
  • a (intercept, estimate of alpha)
    0.43636
  • Mean Square Error
    0.04920
  • DF error
    267.00000
  • t(b)
    2.35949
  • p(b)
    0.00951
  • t(a)
    1.99323
  • p(a)
    0.02363
  • Lowerbound of 95% confidence interval for beta
    0.01558
  • Upperbound of 95% confidence interval for beta
    0.17263
  • Lowerbound of 95% confidence interval for alpha
    0.00533
  • Upperbound of 95% confidence interval for alpha
    0.86739
  • Treynor index (mean / b)
    4.68915
  • Jensen alpha (a)
    0.43636
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02083
  • Expected Shortfall on VaR
    0.02645
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00543
  • Expected Shortfall on VaR
    0.01221
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    269.00000
  • Minimum
    0.91212
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00047
  • Maximum
    1.09691
  • Mean of quarter 1
    0.99255
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.01509
  • Inter Quartile Range
    0.00047
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.14870
  • Mean of outliers low
    0.98744
  • Number of outliers high
    58.00000
  • Percentage of outliers high
    0.21561
  • Mean of outliers high
    1.01731
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.09120
  • VaR(95%) (moments method)
    0.00439
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.58305
  • VaR(95%) (regression method)
    0.00713
  • Expected Shortfall (regression method)
    0.02649
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00344
  • Median
    0.02164
  • Quartile 3
    0.03547
  • Maximum
    0.10731
  • Mean of quarter 1
    0.00129
  • Mean of quarter 2
    0.01291
  • Mean of quarter 3
    0.02712
  • Mean of quarter 4
    0.06902
  • Inter Quartile Range
    0.03204
  • 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
    0.13333
  • Mean of outliers high
    0.09759
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.51187
  • VaR(95%) (moments method)
    0.07585
  • Expected Shortfall (moments method)
    0.08865
  • Extreme Value Index (regression method)
    -0.32721
  • VaR(95%) (regression method)
    0.09083
  • Expected Shortfall (regression method)
    0.11005
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60274
  • Compounded annual return (geometric extrapolation)
    0.59867
  • Calmar ratio (compounded annual return / max draw down)
    5.57910
  • Compounded annual return / average of 25% largest draw downs
    8.67444
  • Compounded annual return / Expected Shortfall lognormal
    22.63130
  • 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
    0.31260
  • SD
    0.23258
  • Sharpe ratio (Glass type estimate)
    1.34404
  • Sharpe ratio (Hedges UMVUE)
    1.33628
  • df
    130.00000
  • t
    0.95038
  • p
    0.45847
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43511
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.11812
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44029
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11284
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21160
  • Upside Potential Ratio
    6.04062
  • Upside part of mean
    0.85381
  • Downside part of mean
    -0.54122
  • Upside SD
    0.18460
  • Downside SD
    0.14135
  • N nonnegative terms
    29.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03098
  • Mean of criterion
    0.31260
  • SD of predictor
    0.46755
  • SD of criterion
    0.23258
  • Covariance
    0.01139
  • r
    0.10478
  • b (slope, estimate of beta)
    0.05212
  • a (intercept, estimate of alpha)
    0.31099
  • Mean Square Error
    0.05392
  • DF error
    129.00000
  • t(b)
    1.19666
  • p(b)
    0.43342
  • t(a)
    0.94703
  • p(a)
    0.44716
  • Lowerbound of 95% confidence interval for beta
    -0.03406
  • Upperbound of 95% confidence interval for beta
    0.13830
  • Lowerbound of 95% confidence interval for alpha
    -0.33872
  • Upperbound of 95% confidence interval for alpha
    0.96069
  • Treynor index (mean / b)
    5.99735
  • Jensen alpha (a)
    0.31099
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28574
  • SD
    0.23155
  • Sharpe ratio (Glass type estimate)
    1.23405
  • Sharpe ratio (Hedges UMVUE)
    1.22692
  • df
    130.00000
  • t
    0.87260
  • p
    0.46185
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54411
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00762
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54890
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00273
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94753
  • Upside Potential Ratio
    5.70749
  • Upside part of mean
    0.83739
  • Downside part of mean
    -0.55165
  • Upside SD
    0.17886
  • Downside SD
    0.14672
  • N nonnegative terms
    29.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07841
  • Mean of criterion
    0.28574
  • SD of predictor
    0.47075
  • SD of criterion
    0.23155
  • Covariance
    0.01140
  • r
    0.10462
  • b (slope, estimate of beta)
    0.05146
  • a (intercept, estimate of alpha)
    0.28977
  • Mean Square Error
    0.05344
  • DF error
    129.00000
  • t(b)
    1.19476
  • p(b)
    0.43352
  • t(a)
    0.88633
  • p(a)
    0.45052
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    -0.03376
  • Upperbound of 95% confidence interval for beta
    0.13667
  • Lowerbound of 95% confidence interval for alpha
    -0.35707
  • Upperbound of 95% confidence interval for alpha
    0.93662
  • Treynor index (mean / b)
    5.55303
  • Jensen alpha (a)
    0.28977
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02219
  • Expected Shortfall on VaR
    0.02800
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00614
  • Expected Shortfall on VaR
    0.01365
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91212
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.09691
  • Mean of quarter 1
    0.99213
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01303
  • Inter Quartile Range
    0.00000
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.98819
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.22901
  • Mean of outliers high
    1.01434
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.25752
  • VaR(95%) (moments method)
    0.00208
  • Expected Shortfall (moments method)
    0.00303
  • Extreme Value Index (regression method)
    0.17245
  • VaR(95%) (regression method)
    0.00873
  • Expected Shortfall (regression method)
    0.01792
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00244
  • Quartile 1
    0.01513
  • Median
    0.02286
  • Quartile 3
    0.03421
  • Maximum
    0.08788
  • Mean of quarter 1
    0.00552
  • Mean of quarter 2
    0.02225
  • Mean of quarter 3
    0.02435
  • Mean of quarter 4
    0.06597
  • Inter Quartile Range
    0.01909
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.08788
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -280611000
  • Max Equity Drawdown (num days)
    45
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33958
  • Compounded annual return (geometric extrapolation)
    0.36840
  • Calmar ratio (compounded annual return / max draw down)
    4.19234
  • Compounded annual return / average of 25% largest draw downs
    5.58405
  • Compounded annual return / Expected Shortfall lognormal
    13.15600

Strategy Description

SuperBands is a Quantacula Studio Algorithm that Uses Bollinger Bands and Linear Regressions to Buy Dips in NASDAQ-100 Survivorship Bias Free Current NASDAQ-100 Constituents featured now that will place Limits at or near the price when triggered in the Algorithm's Buy Limit Price that meet the conditions of the Strategy.

This Strategy was Presented to the Kentucky Math Association at Centre College as a Junior majoring in Financial Economics and minor in mathematics in May 2005 and was not feasible without the Software Packages Updates And Feature Requests Made on the Developer's Website.

Features of the System Allow the Strategy to Buy Dips but only when the Dips do not Gap Below the Limit Prices and This Feature is an update to the model presented in 2005.

What Each Subscriber can Expect is to buy on dips while ignoring Gaps Down and Sell on the Open the Next Day with a Market Order.

Recommended to trade at ANY Supported Collective2 Broker but the system requires Commission Free Execution to Be Profitable for Each Subscriber.

Happy Trading!--

BWorldOmnimedia

Summary Statistics

Strategy began
2019-07-05
Suggested Minimum Capital
$15,000
Rank at C2 
#122
# Trades
177
# Profitable
102
% Profitable
57.6%
Correlation S&P500
0.159
Sharpe Ratio
1.45
Sortino Ratio
2.42
Beta
0.11
Alpha
0.10
Leverage
1.82 Average
4.12 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.