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DASH STOCKS
(128310623)

Created by: DanielEgede DanielEgede
Started: 03/2020
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following

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 $120.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
68.2%
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.

(17.4%)
Max Drawdown
42
Num Trades
81.0%
Win Trades
31.4 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +0.3%+10.9%+8.5%+7.4%+6.6%+6.0%(3.6%)(1%)+20.4%      +68.2%

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 24 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/23/20 9:30 TSLA TESLA INC. LONG 8 354.57 9/29 15:26 419.60 0.43%
Trade id #130236648
Max drawdown($305)
Time8/11/20 0:00
Quant open5
Worst price273.00
Drawdown as % of equity-0.43%
$520
Includes Typical Broker Commissions trade costs of $0.16
7/13/20 9:36 NIO NIO INC LONG 350 14.73 9/29 14:24 20.69 1.71%
Trade id #130045430
Max drawdown($1,054)
Time7/17/20 0:00
Quant open200
Worst price10.46
Drawdown as % of equity-1.71%
$2,080
Includes Typical Broker Commissions trade costs of $7.00
9/3/20 10:21 CIEN CIENA CORPORTION LONG 20 45.21 9/29 14:24 40.35 0.22%
Trade id #130978056
Max drawdown($140)
Time9/24/20 0:00
Quant open20
Worst price38.20
Drawdown as % of equity-0.22%
($97)
Includes Typical Broker Commissions trade costs of $0.40
8/19/20 9:32 TWOU 2U INC. COMMON STOCK LONG 50 39.59 9/29 14:23 35.42 0.6%
Trade id #130685364
Max drawdown($394)
Time9/18/20 0:00
Quant open50
Worst price31.70
Drawdown as % of equity-0.60%
($210)
Includes Typical Broker Commissions trade costs of $1.00
9/9/20 14:19 VZ VERIZON COMMUNICATIONS LONG 5 60.64 9/29 14:23 59.39 0.02%
Trade id #131091982
Max drawdown($9)
Time9/24/20 0:00
Quant open5
Worst price58.65
Drawdown as % of equity-0.02%
($6)
Includes Typical Broker Commissions trade costs of $0.10
8/3/20 15:21 CSCO CISCO SYSTEMS LONG 15 47.21 9/29 14:23 39.26 0.23%
Trade id #130429550
Max drawdown($144)
Time9/24/20 0:00
Quant open15
Worst price37.60
Drawdown as % of equity-0.23%
($119)
Includes Typical Broker Commissions trade costs of $0.30
6/10/20 13:33 ILMN ILLUMINA LONG 4 351.70 9/29 14:22 305.72 0.56%
Trade id #129474167
Max drawdown($365)
Time9/21/20 0:00
Quant open4
Worst price260.42
Drawdown as % of equity-0.56%
($184)
Includes Typical Broker Commissions trade costs of $0.08
8/11/20 10:44 TPX TEMPUR SEALY INTERNATIONAL LONG 50 86.58 9/29 14:18 88.82 0.42%
Trade id #130559842
Max drawdown($298)
Time9/4/20 0:00
Quant open40
Worst price79.50
Drawdown as % of equity-0.42%
$111
Includes Typical Broker Commissions trade costs of $1.00
9/28/20 14:13 CHGG CHEGG INC LONG 10 71.20 9/29 14:17 71.61 0.01%
Trade id #131399929
Max drawdown($9)
Time9/29/20 0:00
Quant open10
Worst price70.23
Drawdown as % of equity-0.01%
$4
Includes Typical Broker Commissions trade costs of $0.20
9/14/20 12:47 SQ SQUARE INC LONG 20 143.81 9/29 14:15 165.81 0.08%
Trade id #131163808
Max drawdown($50)
Time9/21/20 0:00
Quant open10
Worst price139.31
Drawdown as % of equity-0.08%
$440
Includes Typical Broker Commissions trade costs of $0.40
9/8/20 13:48 MCD MCDONALD'S LONG 5 216.06 9/29 14:14 219.88 0.02%
Trade id #131070209
Max drawdown($13)
Time9/8/20 15:59
Quant open5
Worst price213.35
Drawdown as % of equity-0.02%
$19
Includes Typical Broker Commissions trade costs of $0.10
8/7/20 9:34 WM WASTE MANAGEMENT LONG 20 112.21 9/29 14:14 113.70 0.06%
Trade id #130510080
Max drawdown($39)
Time9/24/20 0:00
Quant open20
Worst price110.25
Drawdown as % of equity-0.06%
$30
Includes Typical Broker Commissions trade costs of $0.40
9/4/20 10:32 TRU TRANSUNION LONG 10 84.21 9/29 14:13 84.78 0.07%
Trade id #131003455
Max drawdown($46)
Time9/24/20 0:00
Quant open10
Worst price79.56
Drawdown as % of equity-0.07%
$6
Includes Typical Broker Commissions trade costs of $0.20
8/28/20 11:46 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 1 491.60 9/29 14:13 501.97 0.12%
Trade id #130870667
Max drawdown($83)
Time9/11/20 0:00
Quant open1
Worst price408.53
Drawdown as % of equity-0.12%
$10
Includes Typical Broker Commissions trade costs of $0.02
7/14/20 11:37 MSFT MICROSOFT LONG 10 204.18 9/4 10:33 208.53 0.11%
Trade id #130073041
Max drawdown($66)
Time7/24/20 0:00
Quant open10
Worst price197.51
Drawdown as % of equity-0.11%
$44
Includes Typical Broker Commissions trade costs of $0.20
3/30/20 9:43 TRU TRANSUNION LONG 155 75.88 9/4 10:31 84.20 0.99%
Trade id #128314256
Max drawdown($492)
Time4/3/20 0:00
Quant open75
Worst price58.76
Drawdown as % of equity-0.99%
$1,287
Includes Typical Broker Commissions trade costs of $3.10
7/6/20 10:35 MCD MCDONALD'S LONG 16 197.48 9/4 10:30 214.22 0.01%
Trade id #129924576
Max drawdown($4)
Time7/9/20 0:00
Quant open2
Worst price182.62
Drawdown as % of equity-0.01%
$268
Includes Typical Broker Commissions trade costs of $0.32
7/23/20 9:31 NVR NVR LONG 2 3896.25 9/4 10:29 3936.00 0.22%
Trade id #130236705
Max drawdown($141)
Time7/24/20 0:00
Quant open1
Worst price3658.00
Drawdown as % of equity-0.22%
$80
Includes Typical Broker Commissions trade costs of $0.04
7/23/20 9:33 TWTR TWITTER INC LONG 40 38.41 8/28 11:00 40.77 0.07%
Trade id #130236769
Max drawdown($49)
Time8/4/20 0:00
Quant open20
Worst price35.65
Drawdown as % of equity-0.07%
$93
Includes Typical Broker Commissions trade costs of $0.80
7/31/20 10:31 ZEN ZENDESK INC LONG 10 89.56 8/27 10:53 92.10 0.06%
Trade id #130388970
Max drawdown($43)
Time8/11/20 0:00
Quant open10
Worst price85.19
Drawdown as % of equity-0.06%
$25
Includes Typical Broker Commissions trade costs of $0.20
6/10/20 13:38 CIEN CIENA CORPORTION LONG 45 53.48 8/25 12:06 57.39 0.1%
Trade id #129474244
Max drawdown($63)
Time7/14/20 0:00
Quant open40
Worst price51.93
Drawdown as % of equity-0.10%
$175
Includes Typical Broker Commissions trade costs of $0.90
7/27/20 14:50 V VISA LONG 10 197.12 8/20 9:33 200.25 0.11%
Trade id #130299413
Max drawdown($76)
Time7/31/20 0:00
Quant open10
Worst price189.44
Drawdown as % of equity-0.11%
$31
Includes Typical Broker Commissions trade costs of $0.20
7/31/20 9:42 EL ESTEE LAUDER COS LONG 10 193.59 8/20 9:32 195.91 0.01%
Trade id #130387314
Max drawdown($6)
Time7/31/20 10:20
Quant open10
Worst price192.92
Drawdown as % of equity-0.01%
$23
Includes Typical Broker Commissions trade costs of $0.20
5/18/20 9:55 V VISA LONG 30 189.54 7/14 11:19 190.01 0.12%
Trade id #129067271
Max drawdown($71)
Time6/15/20 0:00
Quant open20
Worst price186.21
Drawdown as % of equity-0.12%
$13
Includes Typical Broker Commissions trade costs of $0.60
6/5/20 13:45 EXEL EXELIXIS LONG 100 22.49 7/14 11:17 23.26 0.13%
Trade id #129386126
Max drawdown($79)
Time6/12/20 0:00
Quant open100
Worst price21.70
Drawdown as % of equity-0.13%
$75
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    3/30/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    243.48
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    42
  • # Profitable
    34
  • % Profitable
    81.00%
  • Avg trade duration
    70.2 days
  • Max peak-to-valley drawdown
    17.36%
  • drawdown period
    Sept 03, 2020 - Sept 24, 2020
  • Cumul. Return
    68.2%
  • Avg win
    $1,066
  • Avg loss
    $148.25
  • Model Account Values (Raw)
  • Cash
    $83
  • Margin Used
    $0
  • Buying Power
    $30,418
  • Ratios
  • W:L ratio
    31.37:1
  • Sharpe Ratio
    2.44
  • Sortino Ratio
    3.71
  • Calmar Ratio
    7.917
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    29.73%
  • Correlation to SP500
    0.48140
  • Return Percent SP500 (cumu) during strategy life
    38.52%
  • Return Statistics
  • Ann Return (w trading costs)
    115.9%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.682%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    122.9%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    859
  • Popularity (Last 6 weeks)
    886
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    897
  • Popularity (7 days, Percentile 1000 scale)
    774
  • 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
    $148
  • Avg Win
    $1,066
  • Sum Trade PL (losers)
    $1,186.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $36,256.000
  • # Winners
    34
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    472
  • Win / Loss
  • # Losers
    8
  • % Winners
    81.0%
  • Frequency
  • Avg Position Time (mins)
    101023.00
  • Avg Position Time (hrs)
    1683.71
  • Avg Trade Length
    70.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.88
  • Daily leverage (max)
    1.32
  • Regression
  • Alpha
    0.14
  • Beta
    0.53
  • Treynor Index
    0.40
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.04
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.305
  • 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
    0.182
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.502
  • Hold-and-Hope Ratio
    3.205
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65860
  • SD
    0.16699
  • Sharpe ratio (Glass type estimate)
    3.94391
  • Sharpe ratio (Hedges UMVUE)
    3.42579
  • df
    6.00000
  • t
    3.01221
  • p
    0.01182
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48831
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.22116
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20984
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.64173
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.63580
  • Upside Potential Ratio
    12.94520
  • Upside part of mean
    0.73271
  • Downside part of mean
    -0.07411
  • Upside SD
    0.23842
  • Downside SD
    0.05660
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.39029
  • Mean of criterion
    0.65860
  • SD of predictor
    0.19099
  • SD of criterion
    0.16699
  • Covariance
    0.02767
  • r
    0.86769
  • b (slope, estimate of beta)
    0.75865
  • a (intercept, estimate of alpha)
    0.36251
  • Mean Square Error
    0.00827
  • DF error
    5.00000
  • t(b)
    3.90300
  • p(b)
    0.00569
  • t(a)
    2.56773
  • p(a)
    0.02509
  • Lowerbound of 95% confidence interval for beta
    0.25897
  • Upperbound of 95% confidence interval for beta
    1.25833
  • Lowerbound of 95% confidence interval for alpha
    -0.00042
  • Upperbound of 95% confidence interval for alpha
    0.72543
  • Treynor index (mean / b)
    0.86812
  • Jensen alpha (a)
    0.36251
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62861
  • SD
    0.16248
  • Sharpe ratio (Glass type estimate)
    3.86895
  • Sharpe ratio (Hedges UMVUE)
    3.36068
  • df
    6.00000
  • t
    2.95496
  • p
    0.01272
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44004
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.11968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16680
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.55455
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.89000
  • Upside Potential Ratio
    12.19940
  • Upside part of mean
    0.70418
  • Downside part of mean
    -0.07558
  • Upside SD
    0.22853
  • Downside SD
    0.05772
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.36856
  • Mean of criterion
    0.62861
  • SD of predictor
    0.18496
  • SD of criterion
    0.16248
  • Covariance
    0.02617
  • r
    0.87075
  • b (slope, estimate of beta)
    0.76488
  • a (intercept, estimate of alpha)
    0.34670
  • Mean Square Error
    0.00766
  • DF error
    5.00000
  • t(b)
    3.95968
  • p(b)
    0.00537
  • t(a)
    2.57002
  • p(a)
    0.02502
  • Lowerbound of 95% confidence interval for beta
    0.26831
  • Upperbound of 95% confidence interval for beta
    1.26145
  • Lowerbound of 95% confidence interval for alpha
    -0.00009
  • Upperbound of 95% confidence interval for alpha
    0.69350
  • Treynor index (mean / b)
    0.82184
  • Jensen alpha (a)
    0.34670
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02446
  • Expected Shortfall on VaR
    0.04325
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00474
  • Expected Shortfall on VaR
    0.01431
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.95910
  • Quartile 1
    1.04860
  • Median
    1.07063
  • Quartile 3
    1.08189
  • Maximum
    1.10978
  • Mean of quarter 1
    1.00287
  • Mean of quarter 2
    1.06060
  • Mean of quarter 3
    1.08171
  • Mean of quarter 4
    1.09592
  • Inter Quartile Range
    0.03328
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.95910
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.04090
  • Quartile 1
    0.04090
  • Median
    0.04090
  • Quartile 3
    0.04090
  • Maximum
    0.04090
  • 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)
    0.79994
  • Compounded annual return (geometric extrapolation)
    0.92806
  • Calmar ratio (compounded annual return / max draw down)
    22.69030
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    21.45870
  • 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
    0.79758
  • SD
    0.26474
  • Sharpe ratio (Glass type estimate)
    3.01271
  • Sharpe ratio (Hedges UMVUE)
    2.99963
  • df
    173.00000
  • t
    2.45516
  • p
    0.38384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58258
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.43431
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57390
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.42535
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.66724
  • Upside Potential Ratio
    11.67740
  • Upside part of mean
    1.99553
  • Downside part of mean
    -1.19796
  • Upside SD
    0.20714
  • Downside SD
    0.17089
  • N nonnegative terms
    108.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    174.00000
  • Mean of predictor
    0.49220
  • Mean of criterion
    0.79758
  • SD of predictor
    0.24161
  • SD of criterion
    0.26474
  • Covariance
    0.03041
  • r
    0.47548
  • b (slope, estimate of beta)
    0.52098
  • a (intercept, estimate of alpha)
    0.54100
  • Mean Square Error
    0.05456
  • DF error
    172.00000
  • t(b)
    7.08838
  • p(b)
    0.26226
  • t(a)
    1.87321
  • p(a)
    0.42930
  • Lowerbound of 95% confidence interval for beta
    0.37591
  • Upperbound of 95% confidence interval for beta
    0.66606
  • Lowerbound of 95% confidence interval for alpha
    -0.02908
  • Upperbound of 95% confidence interval for alpha
    1.11137
  • Treynor index (mean / b)
    1.53091
  • Jensen alpha (a)
    0.54115
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76151
  • SD
    0.26476
  • Sharpe ratio (Glass type estimate)
    2.87627
  • Sharpe ratio (Hedges UMVUE)
    2.86378
  • df
    173.00000
  • t
    2.34398
  • p
    0.38888
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44817
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.29622
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.28768
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.37381
  • Upside Potential Ratio
    11.33960
  • Upside part of mean
    1.97431
  • Downside part of mean
    -1.21280
  • Upside SD
    0.20394
  • Downside SD
    0.17411
  • N nonnegative terms
    108.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    174.00000
  • Mean of predictor
    0.46270
  • Mean of criterion
    0.76151
  • SD of predictor
    0.24169
  • SD of criterion
    0.26476
  • Covariance
    0.03052
  • r
    0.47698
  • b (slope, estimate of beta)
    0.52252
  • a (intercept, estimate of alpha)
    0.51975
  • Mean Square Error
    0.05446
  • DF error
    172.00000
  • t(b)
    7.11744
  • p(b)
    0.26151
  • t(a)
    1.80230
  • p(a)
    0.43193
  • Lowerbound of 95% confidence interval for beta
    0.37761
  • Upperbound of 95% confidence interval for beta
    0.66743
  • Lowerbound of 95% confidence interval for alpha
    -0.04947
  • Upperbound of 95% confidence interval for alpha
    1.08896
  • Treynor index (mean / b)
    1.45738
  • Jensen alpha (a)
    0.51975
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02371
  • Expected Shortfall on VaR
    0.03034
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00863
  • Expected Shortfall on VaR
    0.01860
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    174.00000
  • Minimum
    0.93734
  • Quartile 1
    0.99417
  • Median
    1.00410
  • Quartile 3
    1.01154
  • Maximum
    1.05966
  • Mean of quarter 1
    0.98335
  • Mean of quarter 2
    0.99977
  • Mean of quarter 3
    1.00757
  • Mean of quarter 4
    1.02194
  • Inter Quartile Range
    0.01738
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02299
  • Mean of outliers low
    0.95147
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01724
  • Mean of outliers high
    1.05349
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31959
  • VaR(95%) (moments method)
    0.01638
  • Expected Shortfall (moments method)
    0.02871
  • Extreme Value Index (regression method)
    0.43539
  • VaR(95%) (regression method)
    0.01622
  • Expected Shortfall (regression method)
    0.03202
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00296
  • Quartile 1
    0.00768
  • Median
    0.01782
  • Quartile 3
    0.03148
  • Maximum
    0.15185
  • Mean of quarter 1
    0.00457
  • Mean of quarter 2
    0.01126
  • Mean of quarter 3
    0.02488
  • Mean of quarter 4
    0.07505
  • Inter Quartile Range
    0.02380
  • 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
    0.06250
  • Mean of outliers high
    0.15185
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.22612
  • VaR(95%) (moments method)
    0.07874
  • Expected Shortfall (moments method)
    0.12545
  • Extreme Value Index (regression method)
    1.20771
  • VaR(95%) (regression method)
    0.11325
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.03780
  • Compounded annual return (geometric extrapolation)
    1.20212
  • Calmar ratio (compounded annual return / max draw down)
    7.91662
  • Compounded annual return / average of 25% largest draw downs
    16.01860
  • Compounded annual return / Expected Shortfall lognormal
    39.61580
  • 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
    0.71194
  • SD
    0.29220
  • Sharpe ratio (Glass type estimate)
    2.43648
  • Sharpe ratio (Hedges UMVUE)
    2.42239
  • df
    130.00000
  • t
    1.72285
  • p
    0.42530
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35560
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.21945
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36501
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.20979
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.72265
  • Upside Potential Ratio
    11.07770
  • Upside part of mean
    2.11858
  • Downside part of mean
    -1.40663
  • Upside SD
    0.22381
  • Downside SD
    0.19125
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35901
  • Mean of criterion
    0.71194
  • SD of predictor
    0.20245
  • SD of criterion
    0.29220
  • Covariance
    0.03023
  • r
    0.51099
  • b (slope, estimate of beta)
    0.73754
  • a (intercept, estimate of alpha)
    0.44716
  • Mean Square Error
    0.06358
  • DF error
    129.00000
  • t(b)
    6.75180
  • p(b)
    0.18946
  • t(a)
    1.24649
  • p(a)
    0.43069
  • Lowerbound of 95% confidence interval for beta
    0.52141
  • Upperbound of 95% confidence interval for beta
    0.95366
  • Lowerbound of 95% confidence interval for alpha
    -0.26260
  • Upperbound of 95% confidence interval for alpha
    1.15693
  • Treynor index (mean / b)
    0.96530
  • Jensen alpha (a)
    0.44716
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66861
  • SD
    0.29227
  • Sharpe ratio (Glass type estimate)
    2.28762
  • Sharpe ratio (Hedges UMVUE)
    2.27439
  • df
    130.00000
  • t
    1.61759
  • p
    0.42977
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50235
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.06897
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51117
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.05995
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.42900
  • Upside Potential Ratio
    10.73850
  • Upside part of mean
    2.09386
  • Downside part of mean
    -1.42525
  • Upside SD
    0.22013
  • Downside SD
    0.19499
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33821
  • Mean of criterion
    0.66861
  • SD of predictor
    0.20395
  • SD of criterion
    0.29227
  • Covariance
    0.03038
  • r
    0.50973
  • b (slope, estimate of beta)
    0.73046
  • a (intercept, estimate of alpha)
    0.42156
  • Mean Square Error
    0.06372
  • DF error
    129.00000
  • t(b)
    6.72920
  • p(b)
    0.19016
  • t(a)
    1.17470
  • p(a)
    0.43462
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.51569
  • Upperbound of 95% confidence interval for beta
    0.94524
  • Lowerbound of 95% confidence interval for alpha
    -0.28847
  • Upperbound of 95% confidence interval for alpha
    1.13159
  • Treynor index (mean / b)
    0.91532
  • Jensen alpha (a)
    0.42156
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02678
  • Expected Shortfall on VaR
    0.03408
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01081
  • Expected Shortfall on VaR
    0.02253
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93734
  • Quartile 1
    0.99277
  • Median
    1.00401
  • Quartile 3
    1.01261
  • Maximum
    1.05966
  • Mean of quarter 1
    0.98109
  • Mean of quarter 2
    0.99848
  • Mean of quarter 3
    1.00789
  • Mean of quarter 4
    1.02399
  • Inter Quartile Range
    0.01984
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.95147
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.05349
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45830
  • VaR(95%) (moments method)
    0.02055
  • Expected Shortfall (moments method)
    0.04203
  • Extreme Value Index (regression method)
    0.47326
  • VaR(95%) (regression method)
    0.01849
  • Expected Shortfall (regression method)
    0.03713
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00296
  • Quartile 1
    0.00675
  • Median
    0.02503
  • Quartile 3
    0.04298
  • Maximum
    0.15185
  • Mean of quarter 1
    0.00452
  • Mean of quarter 2
    0.01454
  • Mean of quarter 3
    0.03347
  • Mean of quarter 4
    0.08758
  • Inter Quartile Range
    0.03622
  • 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
    0.10000
  • Mean of outliers high
    0.15185
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.56286
  • VaR(95%) (moments method)
    0.09904
  • Expected Shortfall (moments method)
    0.11556
  • Extreme Value Index (regression method)
    1.01361
  • VaR(95%) (regression method)
    0.17216
  • 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?
    -333499000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.83319
  • Compounded annual return (geometric extrapolation)
    1.00675
  • Calmar ratio (compounded annual return / max draw down)
    6.62997
  • Compounded annual return / average of 25% largest draw downs
    11.49490
  • Compounded annual return / Expected Shortfall lognormal
    29.54310

Strategy Description

Summary Statistics

Strategy began
2020-03-30
Suggested Minimum Capital
$15,000
Rank at C2 
#68
# Trades
42
# Profitable
34
% Profitable
81.0%
Net Dividends
Correlation S&P500
0.481
Sharpe Ratio
2.44
Sortino Ratio
3.71
Beta
0.53
Alpha
0.14
Leverage
0.88 Average
1.32 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.