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M1 Daily Profit
(126400779)

Created by: MommyTrades MommyTrades
Started: 11/2019
Stocks
Last trade: 110 days ago
Trading style: Equity Non-hedged Equity Momentum

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

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

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-49.1%
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.

(58.1%)
Max Drawdown
78
Num Trades
73.1%
Win Trades
0.5 : 1
Profit Factor
10.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                        -  +15.4%+15.4%
2020(0.4%)(0.6%)(1.4%)(54.8%)  -    -    -    -                          (55.9%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 195 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/8/20 11:02 SHOP SHOPIFY INC SHORT 100 412.30 4/17 15:28 568.85 104.32%
Trade id #128474496
Max drawdown($13,442)
Time4/17/20 10:44
Quant open79
Worst price582.46
Drawdown as % of equity-104.32%
($15,657)
Includes Typical Broker Commissions trade costs of $2.00
4/7/20 10:13 SHOP SHOPIFY INC LONG 25 379.50 4/7 10:31 382.50 0.36%
Trade id #128452811
Max drawdown($99)
Time4/7/20 10:26
Quant open25
Worst price375.51
Drawdown as % of equity-0.36%
$75
Includes Typical Broker Commissions trade costs of $0.50
4/2/20 9:49 SHOP SHOPIFY INC LONG 25 336.80 4/2 9:52 341.00 0.21%
Trade id #128376307
Max drawdown($56)
Time4/2/20 9:52
Quant open25
Worst price334.55
Drawdown as % of equity-0.21%
$105
Includes Typical Broker Commissions trade costs of $0.50
4/1/20 10:19 SHOP SHOPIFY INC SHORT 25 401.50 4/1 11:24 399.00 0.19%
Trade id #128358864
Max drawdown($52)
Time4/1/20 10:37
Quant open25
Worst price403.60
Drawdown as % of equity-0.19%
$63
Includes Typical Broker Commissions trade costs of $0.50
3/31/20 10:15 SHOP SHOPIFY INC SHORT 25 434.26 3/31 10:57 432.00 0.49%
Trade id #128337802
Max drawdown($133)
Time3/31/20 10:42
Quant open25
Worst price439.59
Drawdown as % of equity-0.49%
$57
Includes Typical Broker Commissions trade costs of $0.50
3/30/20 11:53 SHOP SHOPIFY INC SHORT 25 432.00 3/30 12:10 429.39 0.07%
Trade id #128317865
Max drawdown($20)
Time3/30/20 11:57
Quant open25
Worst price432.80
Drawdown as % of equity-0.07%
$65
Includes Typical Broker Commissions trade costs of $0.50
3/27/20 9:47 SHOP SHOPIFY INC LONG 25 421.30 3/27 9:50 423.40 0.05%
Trade id #128284624
Max drawdown($12)
Time3/27/20 9:50
Quant open25
Worst price420.81
Drawdown as % of equity-0.05%
$53
Includes Typical Broker Commissions trade costs of $0.50
3/26/20 9:36 SHOP SHOPIFY INC SHORT 25 469.15 3/26 9:41 467.00 0.08%
Trade id #128262817
Max drawdown($20)
Time3/26/20 9:40
Quant open25
Worst price469.99
Drawdown as % of equity-0.08%
$54
Includes Typical Broker Commissions trade costs of $0.50
3/25/20 9:34 SHOP SHOPIFY INC SHORT 50 454.00 3/25 9:40 451.00 1.08%
Trade id #128239926
Max drawdown($291)
Time3/25/20 9:38
Quant open50
Worst price459.82
Drawdown as % of equity-1.08%
$149
Includes Typical Broker Commissions trade costs of $1.00
3/23/20 10:10 SHOP SHOPIFY INC SHORT 50 375.74 3/23 10:23 373.10 1.59%
Trade id #128191076
Max drawdown($422)
Time3/23/20 10:15
Quant open50
Worst price384.18
Drawdown as % of equity-1.59%
$131
Includes Typical Broker Commissions trade costs of $1.00
3/20/20 10:32 SHOP SHOPIFY INC SHORT 50 367.88 3/20 10:41 365.70 0.68%
Trade id #128159562
Max drawdown($181)
Time3/20/20 10:38
Quant open50
Worst price371.51
Drawdown as % of equity-0.68%
$108
Includes Typical Broker Commissions trade costs of $1.00
3/20/20 9:40 SHOP SHOPIFY INC SHORT 25 352.00 3/20 9:50 348.00 0.36%
Trade id #128158042
Max drawdown($96)
Time3/20/20 9:43
Quant open25
Worst price355.85
Drawdown as % of equity-0.36%
$100
Includes Typical Broker Commissions trade costs of $0.50
3/19/20 15:21 SHOP SHOPIFY INC SHORT 25 342.00 3/19 15:22 340.00 n/a $50
Includes Typical Broker Commissions trade costs of $0.50
3/19/20 10:01 SHOP SHOPIFY INC SHORT 130 338.48 3/19 10:20 339.69 3.53%
Trade id #128137707
Max drawdown($942)
Time3/19/20 10:16
Quant open130
Worst price345.73
Drawdown as % of equity-3.53%
($160)
Includes Typical Broker Commissions trade costs of $2.60
3/18/20 10:07 SHOP SHOPIFY INC SHORT 50 354.70 3/18 10:09 351.71 n/a $149
Includes Typical Broker Commissions trade costs of $1.00
3/17/20 11:46 SHOP SHOPIFY INC LONG 50 344.78 3/17 11:47 345.76 n/a $48
Includes Typical Broker Commissions trade costs of $1.00
3/17/20 9:37 SHOP SHOPIFY INC SHORT 25 320.69 3/17 9:42 316.50 0.17%
Trade id #128084696
Max drawdown($45)
Time3/17/20 9:40
Quant open25
Worst price322.50
Drawdown as % of equity-0.17%
$105
Includes Typical Broker Commissions trade costs of $0.50
3/16/20 10:33 V VISA LONG 100 159.85 3/16 10:48 161.00 0.36%
Trade id #128064248
Max drawdown($96)
Time3/16/20 10:38
Quant open100
Worst price158.89
Drawdown as % of equity-0.36%
$113
Includes Typical Broker Commissions trade costs of $2.00
3/13/20 9:45 V VISA LONG 25 169.06 3/13 10:42 167.19 0.38%
Trade id #128027871
Max drawdown($99)
Time3/13/20 9:59
Quant open25
Worst price165.06
Drawdown as % of equity-0.38%
($48)
Includes Typical Broker Commissions trade costs of $0.50
3/12/20 9:32 V VISA LONG 25 159.39 3/12 11:09 162.20 0.23%
Trade id #128001156
Max drawdown($59)
Time3/12/20 9:53
Quant open25
Worst price156.99
Drawdown as % of equity-0.23%
$70
Includes Typical Broker Commissions trade costs of $0.50
3/11/20 9:32 AAPL APPLE LONG 50 278.27 3/11 10:34 276.40 0.66%
Trade id #127971211
Max drawdown($175)
Time3/11/20 10:30
Quant open50
Worst price274.75
Drawdown as % of equity-0.66%
($94)
Includes Typical Broker Commissions trade costs of $1.00
3/10/20 9:52 NFLX NETFLIX LONG 50 357.88 3/10 10:14 361.75 n/a $193
Includes Typical Broker Commissions trade costs of $1.00
3/9/20 9:33 MSFT MICROSOFT LONG 50 151.24 3/9 10:06 155.50 0.15%
Trade id #127918236
Max drawdown($38)
Time3/9/20 9:51
Quant open50
Worst price150.48
Drawdown as % of equity-0.15%
$212
Includes Typical Broker Commissions trade costs of $1.00
3/2/20 9:31 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 60 288.00 3/6 14:11 253.76 8.18%
Trade id #127802512
Max drawdown($2,146)
Time3/6/20 12:28
Quant open60
Worst price252.23
Drawdown as % of equity-8.18%
($2,056)
Includes Typical Broker Commissions trade costs of $1.20
3/6/20 9:35 REGN REGENERON PHARMACEUTICALS LONG 25 484.96 3/6 10:39 485.88 0.71%
Trade id #127888034
Max drawdown($185)
Time3/6/20 9:59
Quant open25
Worst price477.52
Drawdown as % of equity-0.71%
$23
Includes Typical Broker Commissions trade costs of $0.50
3/5/20 10:22 SHOP SHOPIFY INC LONG 50 502.60 3/5 11:08 505.57 0.94%
Trade id #127869222
Max drawdown($252)
Time3/5/20 10:46
Quant open50
Worst price497.55
Drawdown as % of equity-0.94%
$147
Includes Typical Broker Commissions trade costs of $1.00
2/27/20 11:15 OKTA OKTA INC. CL A COMMON STOCK LONG 25 125.50 3/2 15:53 133.20 0.62%
Trade id #127744170
Max drawdown($173)
Time2/28/20 0:00
Quant open25
Worst price118.58
Drawdown as % of equity-0.62%
$193
Includes Typical Broker Commissions trade costs of $0.50
2/27/20 9:50 NFLX NETFLIX LONG 30 375.33 2/27 10:01 383.89 0.06%
Trade id #127741165
Max drawdown($17)
Time2/27/20 9:51
Quant open30
Worst price374.74
Drawdown as % of equity-0.06%
$256
Includes Typical Broker Commissions trade costs of $0.60
2/26/20 11:54 BA BOEING SHORT 50 309.93 2/26 12:08 307.40 0.04%
Trade id #127723729
Max drawdown($10)
Time2/26/20 11:56
Quant open50
Worst price310.15
Drawdown as % of equity-0.04%
$126
Includes Typical Broker Commissions trade costs of $1.00
2/25/20 10:32 BA BOEING SHORT 80 315.96 2/25 10:51 315.28 0.19%
Trade id #127698519
Max drawdown($51)
Time2/25/20 10:49
Quant open80
Worst price316.60
Drawdown as % of equity-0.19%
$52
Includes Typical Broker Commissions trade costs of $1.60

Statistics

  • Strategy began
    11/27/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    248.92
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    78
  • # Profitable
    57
  • % Profitable
    73.10%
  • Avg trade duration
    7.6 hours
  • Max peak-to-valley drawdown
    58.1%
  • drawdown period
    Jan 22, 2020 - April 17, 2020
  • Cumul. Return
    -49.1%
  • Avg win
    $208.16
  • Avg loss
    $1,145
  • Model Account Values (Raw)
  • Cash
    $12,818
  • Margin Used
    $0
  • Buying Power
    $12,818
  • Ratios
  • W:L ratio
    0.49:1
  • Sharpe Ratio
    -1.78
  • Sortino Ratio
    -1.81
  • Calmar Ratio
    -1.269
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -52.83%
  • Correlation to SP500
    -0.11060
  • Return Percent SP500 (cumu) during strategy life
    4.85%
  • Return Statistics
  • Ann Return (w trading costs)
    -62.5%
  • Slump
  • Current Slump as Pcnt Equity
    138.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.78%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -50.260%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.491%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -62.0%
  • Automation
  • Percentage Signals Automated
    220.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    660
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    333
  • Management
  • No Subs Allowed Flag (1: no subs)
    1
  • Strat abandoned?
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,145
  • Avg Win
    $208
  • Sum Trade PL (losers)
    $24,047.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $11,865.000
  • # Winners
    57
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    21
  • % Winners
    73.1%
  • Frequency
  • Avg Position Time (mins)
    457.47
  • Avg Position Time (hrs)
    7.62
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    107
  • Leverage
  • Daily leverage (average)
    0.98
  • Daily leverage (max)
    2.54
  • Regression
  • Alpha
    -0.25
  • Beta
    -0.12
  • Treynor Index
    2.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.95
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -2.483
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.702
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.971
  • Hold-and-Hope Ratio
    -0.403
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.85882
  • SD
    0.83449
  • Sharpe ratio (Glass type estimate)
    -1.02915
  • Sharpe ratio (Hedges UMVUE)
    -0.86526
  • df
    5.00000
  • t
    -0.72772
  • p
    0.75029
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.82221
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85849
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.68847
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95795
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.10752
  • Upside Potential Ratio
    0.39278
  • Upside part of mean
    0.30458
  • Downside part of mean
    -1.16339
  • Upside SD
    0.20115
  • Downside SD
    0.77544
  • N nonnegative terms
    2.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.07747
  • Mean of criterion
    -0.85882
  • SD of predictor
    0.37649
  • SD of criterion
    0.83449
  • Covariance
    -0.10307
  • r
    -0.32809
  • b (slope, estimate of beta)
    -0.72721
  • a (intercept, estimate of alpha)
    -0.80248
  • Mean Square Error
    0.77677
  • DF error
    4.00000
  • t(b)
    -0.69462
  • p(b)
    0.73723
  • t(a)
    -0.64248
  • p(a)
    0.72223
  • Lowerbound of 95% confidence interval for beta
    -3.63450
  • Upperbound of 95% confidence interval for beta
    2.18008
  • Lowerbound of 95% confidence interval for alpha
    -4.27107
  • Upperbound of 95% confidence interval for alpha
    2.66611
  • Treynor index (mean / b)
    1.18098
  • Jensen alpha (a)
    -0.80248
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.36427
  • SD
    1.16529
  • Sharpe ratio (Glass type estimate)
    -1.17076
  • Sharpe ratio (Hedges UMVUE)
    -0.98431
  • df
    5.00000
  • t
    -0.82785
  • p
    0.77727
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.97798
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74254
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.82246
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85384
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.21954
  • Upside Potential Ratio
    0.25516
  • Upside part of mean
    0.28544
  • Downside part of mean
    -1.64971
  • Upside SD
    0.18776
  • Downside SD
    1.11867
  • N nonnegative terms
    2.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.01668
  • Mean of criterion
    -1.36427
  • SD of predictor
    0.38452
  • SD of criterion
    1.16529
  • Covariance
    -0.15360
  • r
    -0.34281
  • b (slope, estimate of beta)
    -1.03891
  • a (intercept, estimate of alpha)
    -1.34694
  • Mean Square Error
    1.49790
  • DF error
    4.00000
  • t(b)
    -0.72985
  • p(b)
    0.74704
  • t(a)
    -0.77813
  • p(a)
    0.76002
  • Lowerbound of 95% confidence interval for beta
    -4.99181
  • Upperbound of 95% confidence interval for beta
    2.91400
  • Lowerbound of 95% confidence interval for alpha
    -6.15391
  • Upperbound of 95% confidence interval for alpha
    3.46003
  • Treynor index (mean / b)
    1.31318
  • Jensen alpha (a)
    -1.34694
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.48675
  • Expected Shortfall on VaR
    0.55076
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.26497
  • Expected Shortfall on VaR
    0.52748
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.45464
  • Quartile 1
    0.98166
  • Median
    0.99808
  • Quartile 3
    1.00957
  • Maximum
    1.14418
  • Mean of quarter 1
    0.71573
  • Mean of quarter 2
    0.99615
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.07847
  • Inter Quartile Range
    0.02792
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.45464
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.14418
  • 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
    1.00000
  • Minimum
    0.55761
  • Quartile 1
    0.55761
  • Median
    0.55761
  • Quartile 3
    0.55761
  • Maximum
    0.55761
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.97472
  • Compounded annual return (geometric extrapolation)
    -0.73720
  • Calmar ratio (compounded annual return / max draw down)
    -1.32208
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.33851
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.20778
  • SD
    0.48732
  • Sharpe ratio (Glass type estimate)
    -2.47841
  • Sharpe ratio (Hedges UMVUE)
    -2.46430
  • df
    132.00000
  • t
    -1.76583
  • p
    0.57596
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.24083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.29322
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.23120
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30260
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.51663
  • Upside Potential Ratio
    1.56175
  • Upside part of mean
    0.74951
  • Downside part of mean
    -1.95729
  • Upside SD
    0.10460
  • Downside SD
    0.47992
  • N nonnegative terms
    59.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    133.00000
  • Mean of predictor
    0.12818
  • Mean of criterion
    -1.20778
  • SD of predictor
    0.45393
  • SD of criterion
    0.48732
  • Covariance
    -0.01943
  • r
    -0.08783
  • b (slope, estimate of beta)
    -0.09429
  • a (intercept, estimate of alpha)
    -1.19600
  • Mean Square Error
    0.23745
  • DF error
    131.00000
  • t(b)
    -1.00918
  • p(b)
    0.55584
  • t(a)
    -1.74801
  • p(a)
    0.59575
  • Lowerbound of 95% confidence interval for beta
    -0.27913
  • Upperbound of 95% confidence interval for beta
    0.09054
  • Lowerbound of 95% confidence interval for alpha
    -2.54887
  • Upperbound of 95% confidence interval for alpha
    0.15748
  • Treynor index (mean / b)
    12.80870
  • Jensen alpha (a)
    -1.19569
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.34417
  • SD
    0.53486
  • Sharpe ratio (Glass type estimate)
    -2.51313
  • Sharpe ratio (Hedges UMVUE)
    -2.49882
  • df
    132.00000
  • t
    -1.79057
  • p
    0.57700
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.27601
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.25907
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.26618
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26853
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.53968
  • Upside Potential Ratio
    1.40580
  • Upside part of mean
    0.74405
  • Downside part of mean
    -2.08822
  • Upside SD
    0.10342
  • Downside SD
    0.52927
  • N nonnegative terms
    59.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    133.00000
  • Mean of predictor
    0.02496
  • Mean of criterion
    -1.34417
  • SD of predictor
    0.45731
  • SD of criterion
    0.53486
  • Covariance
    -0.02224
  • r
    -0.09094
  • b (slope, estimate of beta)
    -0.10636
  • a (intercept, estimate of alpha)
    -1.34152
  • Mean Square Error
    0.28588
  • DF error
    131.00000
  • t(b)
    -1.04516
  • p(b)
    0.55781
  • t(a)
    -1.78764
  • p(a)
    0.59785
  • Lowerbound of 95% confidence interval for beta
    -0.30767
  • Upperbound of 95% confidence interval for beta
    0.09495
  • Lowerbound of 95% confidence interval for alpha
    -2.82607
  • Upperbound of 95% confidence interval for alpha
    0.14303
  • Treynor index (mean / b)
    12.63810
  • Jensen alpha (a)
    -1.34152
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05775
  • Expected Shortfall on VaR
    0.07060
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01775
  • Expected Shortfall on VaR
    0.04072
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    133.00000
  • Minimum
    0.77423
  • Quartile 1
    0.99950
  • Median
    1.00000
  • Quartile 3
    1.00326
  • Maximum
    1.03482
  • Mean of quarter 1
    0.97101
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00144
  • Mean of quarter 4
    1.01029
  • Inter Quartile Range
    0.00377
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.15790
  • Mean of outliers low
    0.95439
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    1.01664
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.16240
  • VaR(95%) (moments method)
    0.00924
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.84082
  • VaR(95%) (regression method)
    0.02651
  • Expected Shortfall (regression method)
    0.21462
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00156
  • Median
    0.00231
  • Quartile 3
    0.01160
  • Maximum
    0.57670
  • Mean of quarter 1
    0.00079
  • Mean of quarter 2
    0.00189
  • Mean of quarter 3
    0.00274
  • Mean of quarter 4
    0.29562
  • Inter Quartile Range
    0.01003
  • 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
    0.57670
  • 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)
    -0.96006
  • Compounded annual return (geometric extrapolation)
    -0.73187
  • Calmar ratio (compounded annual return / max draw down)
    -1.26907
  • Compounded annual return / average of 25% largest draw downs
    -2.47566
  • Compounded annual return / Expected Shortfall lognormal
    -10.36650
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.22579
  • SD
    0.49097
  • Sharpe ratio (Glass type estimate)
    -2.49667
  • Sharpe ratio (Hedges UMVUE)
    -2.48224
  • df
    130.00000
  • t
    -1.76542
  • p
    0.57651
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.28031
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.29631
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.27042
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30594
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.53489
  • Upside Potential Ratio
    1.57363
  • Upside part of mean
    0.76096
  • Downside part of mean
    -1.98675
  • Upside SD
    0.10539
  • Downside SD
    0.48357
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13859
  • Mean of criterion
    -1.22579
  • SD of predictor
    0.45736
  • SD of criterion
    0.49097
  • Covariance
    -0.01968
  • r
    -0.08764
  • b (slope, estimate of beta)
    -0.09408
  • a (intercept, estimate of alpha)
    -1.21275
  • Mean Square Error
    0.24105
  • DF error
    129.00000
  • t(b)
    -0.99928
  • p(b)
    0.55572
  • t(a)
    -1.74632
  • p(a)
    0.59637
  • Lowerbound of 95% confidence interval for beta
    -0.28037
  • Upperbound of 95% confidence interval for beta
    0.09220
  • Lowerbound of 95% confidence interval for alpha
    -2.58676
  • Upperbound of 95% confidence interval for alpha
    0.16126
  • Treynor index (mean / b)
    13.02870
  • Jensen alpha (a)
    -1.21275
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.36427
  • SD
    0.53886
  • Sharpe ratio (Glass type estimate)
    -2.53175
  • Sharpe ratio (Hedges UMVUE)
    -2.51712
  • df
    130.00000
  • t
    -1.79022
  • p
    0.57756
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.31586
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.26182
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.30576
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27152
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.55819
  • Upside Potential Ratio
    1.41649
  • Upside part of mean
    0.75540
  • Downside part of mean
    -2.11967
  • Upside SD
    0.10420
  • Downside SD
    0.53329
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03381
  • Mean of criterion
    -1.36427
  • SD of predictor
    0.46078
  • SD of criterion
    0.53886
  • Covariance
    -0.02254
  • r
    -0.09078
  • b (slope, estimate of beta)
    -0.10616
  • a (intercept, estimate of alpha)
    -1.36068
  • Mean Square Error
    0.29021
  • DF error
    129.00000
  • t(b)
    -1.03532
  • p(b)
    0.55771
  • t(a)
    -1.78599
  • p(a)
    0.59849
  • VAR (95 Confidence Intrvl)
    0.05800
  • Lowerbound of 95% confidence interval for beta
    -0.30904
  • Upperbound of 95% confidence interval for beta
    0.09672
  • Lowerbound of 95% confidence interval for alpha
    -2.86805
  • Upperbound of 95% confidence interval for alpha
    0.14669
  • Treynor index (mean / b)
    12.85070
  • Jensen alpha (a)
    -1.36068
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05820
  • Expected Shortfall on VaR
    0.07114
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01787
  • Expected Shortfall on VaR
    0.04102
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.77423
  • Quartile 1
    0.99945
  • Median
    1.00000
  • Quartile 3
    1.00327
  • Maximum
    1.03482
  • Mean of quarter 1
    0.97015
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00148
  • Mean of quarter 4
    1.01029
  • Inter Quartile Range
    0.00382
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.16031
  • Mean of outliers low
    0.95439
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.01664
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.16240
  • VaR(95%) (moments method)
    0.00942
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.84082
  • VaR(95%) (regression method)
    0.02697
  • Expected Shortfall (regression method)
    0.21746
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00156
  • Median
    0.00231
  • Quartile 3
    0.01160
  • Maximum
    0.57670
  • Mean of quarter 1
    0.00079
  • Mean of quarter 2
    0.00189
  • Mean of quarter 3
    0.00274
  • Mean of quarter 4
    0.29562
  • Inter Quartile Range
    0.01003
  • 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
    0.57670
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -281646000
  • Max Equity Drawdown (num days)
    86
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.97472
  • Compounded annual return (geometric extrapolation)
    -0.73720
  • Calmar ratio (compounded annual return / max draw down)
    -1.27832
  • Compounded annual return / average of 25% largest draw downs
    -2.49371
  • Compounded annual return / Expected Shortfall lognormal
    -10.36220

Strategy Description

After carefully re-evaluating my strategy - I have decided to trade stocks that offer good risk/reward and also get in names that are moving and have the tendency to give good results based on technical and chart patterns.

Any questions, please drop me a note.
Thanks

Ainee | Mommy

Summary Statistics

Strategy began
2019-11-27
Suggested Minimum Capital
$35,000
# Trades
78
# Profitable
57
% Profitable
73.1%
Correlation S&P500
-0.111
Sharpe Ratio
-1.78
Sortino Ratio
-1.81
Beta
-0.12
Alpha
-0.25
Leverage
0.98 Average
2.54 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.

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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.