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Aduna Capital II
(129695001)

Created by: AlfonsoAduna AlfonsoAduna
Started: 06/2020
Stocks
Last trade: 4 days ago
Trading style: Equity Momentum Sector Rotation

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 $25.00 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
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).
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
21.0%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(15.9%)
Max Drawdown
95
Num Trades
73.7%
Win Trades
4.3 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   (0.7%)+6.5%+15.8%(8.2%)+7.7%            +21.1%

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/1/20 15:57 DOG2119B43 DOG Feb19'21 43 call LONG 1 3.10 9/21 10:54 3.50 0.02%
Trade id #130928913
Max drawdown($30)
Time9/2/20 0:00
Quant open1
Worst price2.80
Drawdown as % of equity-0.02%
$38
Includes Typical Broker Commissions trade costs of $2.00
8/6/20 13:26 DOG2119B46 DOG Feb19'21 46 call LONG 2 3.00 9/21 10:53 2.60 0.16%
Trade id #130494618
Max drawdown($180)
Time9/18/20 0:00
Quant open2
Worst price2.10
Drawdown as % of equity-0.16%
($83)
Includes Typical Broker Commissions trade costs of $2.80
8/6/20 13:24 PSQ2115A18 PSQ Jan15'21 18 call LONG 3 1.15 9/21 10:53 1.25 0.11%
Trade id #130494598
Max drawdown($129)
Time8/31/20 0:00
Quant open3
Worst price0.72
Drawdown as % of equity-0.11%
$26
Includes Typical Broker Commissions trade costs of $4.20
6/30/20 9:30 IDXX IDEXX LABORATORIES LONG 5 327.61 9/15 14:14 370.60 0.02%
Trade id #129819295
Max drawdown($16)
Time6/30/20 10:04
Quant open5
Worst price324.38
Drawdown as % of equity-0.02%
$215
Includes Typical Broker Commissions trade costs of $0.10
6/26/20 9:30 KMB KIMBERLY-CLARK LONG 10 138.99 9/15 14:13 147.24 0.03%
Trade id #129772831
Max drawdown($29)
Time6/26/20 15:36
Quant open10
Worst price136.00
Drawdown as % of equity-0.03%
$83
Includes Typical Broker Commissions trade costs of $0.20
6/25/20 14:40 LRLCY L'OREAL CO ADR LONG 50 63.43 9/15 14:13 67.00 0%
Trade id #129761606
Max drawdown($3)
Time6/25/20 14:47
Quant open30
Worst price63.11
Drawdown as % of equity-0.00%
$178
Includes Typical Broker Commissions trade costs of $1.00
6/26/20 9:30 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 4 260.52 9/15 14:13 400.91 0.11%
Trade id #129772812
Max drawdown($122)
Time8/11/20 0:00
Quant open4
Worst price230.00
Drawdown as % of equity-0.11%
$562
Includes Typical Broker Commissions trade costs of $0.08
6/25/20 14:38 LB L BRANDS INC LONG 30 14.03 9/15 14:13 29.12 0.01%
Trade id #129761589
Max drawdown($9)
Time6/26/20 0:00
Quant open30
Worst price13.71
Drawdown as % of equity-0.01%
$452
Includes Typical Broker Commissions trade costs of $0.60
6/25/20 14:36 NFLX NETFLIX LONG 4 461.98 9/15 14:13 495.37 0.13%
Trade id #129761565
Max drawdown($119)
Time6/29/20 0:00
Quant open4
Worst price432.14
Drawdown as % of equity-0.13%
$134
Includes Typical Broker Commissions trade costs of $0.08
6/29/20 9:31 COTY COTY INC SHORT 100 4.81 9/15 14:12 3.26 0%
Trade id #129800252
Max drawdown($1)
Time6/29/20 13:39
Quant open100
Worst price4.82
Drawdown as % of equity-0.00%
$153
Includes Typical Broker Commissions trade costs of $2.00
7/1/20 9:31 MCD MCDONALD'S LONG 10 184.95 8/26 14:11 214.07 0.02%
Trade id #129842296
Max drawdown($23)
Time7/9/20 0:00
Quant open10
Worst price182.62
Drawdown as % of equity-0.02%
$291
Includes Typical Broker Commissions trade costs of $0.20
7/1/20 9:31 PEP PEPSICO LONG 20 132.53 8/26 14:11 138.02 0.02%
Trade id #129842313
Max drawdown($24)
Time7/10/20 0:00
Quant open20
Worst price131.28
Drawdown as % of equity-0.02%
$110
Includes Typical Broker Commissions trade costs of $0.40
6/26/20 9:30 TWTR TWITTER INC LONG 50 31.12 8/26 14:11 41.01 0.15%
Trade id #129772817
Max drawdown($144)
Time6/29/20 0:00
Quant open50
Worst price28.23
Drawdown as % of equity-0.15%
$494
Includes Typical Broker Commissions trade costs of $1.00
7/21/20 14:24 FOX FOX CORP CLASS B LONG 70 25.18 8/26 14:11 27.22 0.06%
Trade id #130193959
Max drawdown($63)
Time8/5/20 0:00
Quant open70
Worst price24.28
Drawdown as % of equity-0.06%
$142
Includes Typical Broker Commissions trade costs of $1.40
7/9/20 15:53 T AT&T LONG 100 29.52 8/26 14:11 29.93 0.03%
Trade id #130000479
Max drawdown($32)
Time7/28/20 0:00
Quant open100
Worst price29.20
Drawdown as % of equity-0.03%
$39
Includes Typical Broker Commissions trade costs of $2.00
6/24/20 9:31 ADDYY ADIDAS AG LONG 20 135.11 8/26 14:10 151.49 0.13%
Trade id #129723173
Max drawdown($120)
Time6/29/20 0:00
Quant open20
Worst price129.08
Drawdown as % of equity-0.13%
$328
Includes Typical Broker Commissions trade costs of $0.40
6/24/20 9:31 TMUS T-MOBILE US INC. COMMON STOCK LONG 40 105.61 8/26 14:10 115.52 0.08%
Trade id #129723171
Max drawdown($87)
Time7/16/20 0:00
Quant open40
Worst price103.43
Drawdown as % of equity-0.08%
$395
Includes Typical Broker Commissions trade costs of $0.80
6/24/20 9:31 NKE NIKE LONG 20 100.94 8/26 14:10 111.93 0.15%
Trade id #129723159
Max drawdown($147)
Time6/26/20 0:00
Quant open20
Worst price93.57
Drawdown as % of equity-0.15%
$220
Includes Typical Broker Commissions trade costs of $0.40
6/24/20 9:31 A AGILENT TECHNOLOGIES LONG 20 89.08 8/26 14:10 99.44 0.09%
Trade id #129723166
Max drawdown($85)
Time6/25/20 0:00
Quant open20
Worst price84.80
Drawdown as % of equity-0.09%
$207
Includes Typical Broker Commissions trade costs of $0.40
6/24/20 9:31 SLV ISHARES SILVER TRUST LONG 100 16.36 8/26 14:09 25.13 0.01%
Trade id #129723137
Max drawdown($12)
Time6/24/20 11:44
Quant open100
Worst price16.24
Drawdown as % of equity-0.01%
$875
Includes Typical Broker Commissions trade costs of $2.00
6/24/20 9:30 DNKN DUNKIN BRANDS GROUP LONG 60 64.50 8/26 14:09 74.25 0.19%
Trade id #129723113
Max drawdown($192)
Time6/26/20 0:00
Quant open60
Worst price61.28
Drawdown as % of equity-0.19%
$584
Includes Typical Broker Commissions trade costs of $1.20
6/24/20 9:30 LOW LOWE'S COMPANIES LONG 40 133.27 8/26 14:06 157.16 0.17%
Trade id #129723117
Max drawdown($173)
Time6/26/20 0:00
Quant open40
Worst price128.93
Drawdown as % of equity-0.17%
$955
Includes Typical Broker Commissions trade costs of $0.80
6/24/20 9:30 ED CONSOLIDATED EDISON LONG 30 70.32 8/26 14:06 70.83 0.02%
Trade id #129723106
Max drawdown($15)
Time6/25/20 0:00
Quant open30
Worst price69.81
Drawdown as % of equity-0.02%
$14
Includes Typical Broker Commissions trade costs of $0.60
6/23/20 14:51 VRT VERTIV HOLDINGS LLC LONG 20 13.46 8/26 14:06 16.76 0.03%
Trade id #129710103
Max drawdown($27)
Time6/26/20 0:00
Quant open20
Worst price12.09
Drawdown as % of equity-0.03%
$66
Includes Typical Broker Commissions trade costs of $0.40
6/23/20 14:48 BMY BRISTOL-MYERS SQUIBB LONG 20 58.91 8/26 14:06 62.13 0.05%
Trade id #129710056
Max drawdown($44)
Time6/26/20 0:00
Quant open20
Worst price56.67
Drawdown as % of equity-0.05%
$64
Includes Typical Broker Commissions trade costs of $0.40
6/23/20 14:04 GOOGL ALPHABET INC CLASS A LONG 3 1471.03 8/26 14:06 1641.42 0.38%
Trade id #129709199
Max drawdown($358)
Time6/29/20 0:00
Quant open3
Worst price1351.65
Drawdown as % of equity-0.38%
$511
Includes Typical Broker Commissions trade costs of $0.06
6/23/20 14:00 LVMHF LVMH MOET HENN L VUT LONG 10 444.50 8/26 14:06 472.48 0.19%
Trade id #129709112
Max drawdown($186)
Time6/24/20 0:00
Quant open10
Worst price425.84
Drawdown as % of equity-0.19%
$280
Includes Typical Broker Commissions trade costs of $0.20
6/23/20 13:55 CPRI CAPRI HOLDINGS LTD LONG 100 15.98 8/26 14:05 16.07 0.2%
Trade id #129709026
Max drawdown($218)
Time8/4/20 0:00
Quant open100
Worst price13.80
Drawdown as % of equity-0.20%
$7
Includes Typical Broker Commissions trade costs of $2.00
6/23/20 13:45 KR KROGER LONG 100 31.99 8/26 14:05 35.59 0.02%
Trade id #129708879
Max drawdown($22)
Time6/23/20 14:47
Quant open100
Worst price31.77
Drawdown as % of equity-0.02%
$359
Includes Typical Broker Commissions trade costs of $2.00
6/23/20 13:46 BBY BEST BUY LONG 40 85.72 8/26 14:05 106.43 0.12%
Trade id #129708886
Max drawdown($115)
Time6/25/20 0:00
Quant open40
Worst price82.84
Drawdown as % of equity-0.12%
$827
Includes Typical Broker Commissions trade costs of $0.80

Statistics

  • Strategy began
    6/22/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    124.95
  • Age
    125 days ago
  • What it trades
    Stocks
  • # Trades
    95
  • # Profitable
    70
  • % Profitable
    73.70%
  • Avg trade duration
    76.6 days
  • Max peak-to-valley drawdown
    15.87%
  • drawdown period
    Sept 02, 2020 - Sept 24, 2020
  • Cumul. Return
    21.0%
  • Avg win
    $390.96
  • Avg loss
    $261.88
  • Model Account Values (Raw)
  • Cash
    $3,742
  • Margin Used
    $590
  • Buying Power
    $9,551
  • Ratios
  • W:L ratio
    4.28:1
  • Sharpe Ratio
    2.13
  • Sortino Ratio
    2.93
  • Calmar Ratio
    5.198
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    9.82%
  • Correlation to SP500
    0.58510
  • Return Percent SP500 (cumu) during strategy life
    11.15%
  • Return Statistics
  • Ann Return (w trading costs)
    72.3%
  • Slump
  • Current Slump as Pcnt Equity
    2.90%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.42%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.210%
  • Instruments
  • Percent Trades Options
    0.03%
  • Percent Trades Stocks
    0.97%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    75.2%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    933
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    896
  • Popularity (7 days, Percentile 1000 scale)
    475
  • 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
    $262
  • Avg Win
    $391
  • Sum Trade PL (losers)
    $6,547.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $27,367.000
  • # Winners
    70
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    680
  • Win / Loss
  • # Losers
    25
  • % Winners
    73.7%
  • Frequency
  • Avg Position Time (mins)
    110310.00
  • Avg Position Time (hrs)
    1838.50
  • Avg Trade Length
    76.6 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    1.64
  • Daily leverage (max)
    2.12
  • Regression
  • Alpha
    0.09
  • Beta
    0.72
  • Treynor Index
    0.21
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.04
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.211
  • 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
    0.390
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.443
  • Hold-and-Hope Ratio
    1.009
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50189
  • SD
    0.17562
  • Sharpe ratio (Glass type estimate)
    2.85785
  • Sharpe ratio (Hedges UMVUE)
    2.06795
  • df
    3.00000
  • t
    1.64998
  • p
    0.09875
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32447
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.74153
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70860
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.84449
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.63731
  • Upside Potential Ratio
    10.36940
  • Upside part of mean
    0.60254
  • Downside part of mean
    -0.10064
  • Upside SD
    0.20186
  • Downside SD
    0.05811
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.27169
  • Mean of criterion
    0.50189
  • SD of predictor
    0.11547
  • SD of criterion
    0.17562
  • Covariance
    0.02007
  • r
    0.98966
  • b (slope, estimate of beta)
    1.50519
  • a (intercept, estimate of alpha)
    0.09294
  • Mean Square Error
    0.00095
  • DF error
    2.00000
  • t(b)
    9.75675
  • p(b)
    0.00517
  • t(a)
    1.36844
  • p(a)
    0.15231
  • Lowerbound of 95% confidence interval for beta
    0.84141
  • Upperbound of 95% confidence interval for beta
    2.16897
  • Lowerbound of 95% confidence interval for alpha
    -0.19928
  • Upperbound of 95% confidence interval for alpha
    0.38516
  • Treynor index (mean / b)
    0.33344
  • Jensen alpha (a)
    0.09294
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47960
  • SD
    0.17231
  • Sharpe ratio (Glass type estimate)
    2.78341
  • Sharpe ratio (Hedges UMVUE)
    2.01408
  • df
    3.00000
  • t
    1.60700
  • p
    0.10321
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36749
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.63794
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74378
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.77193
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.13373
  • Upside Potential Ratio
    9.86578
  • Upside part of mean
    0.58173
  • Downside part of mean
    -0.10213
  • Upside SD
    0.19483
  • Downside SD
    0.05896
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.26319
  • Mean of criterion
    0.47960
  • SD of predictor
    0.11433
  • SD of criterion
    0.17231
  • Covariance
    0.01951
  • r
    0.99029
  • b (slope, estimate of beta)
    1.49245
  • a (intercept, estimate of alpha)
    0.08680
  • Mean Square Error
    0.00086
  • DF error
    2.00000
  • t(b)
    10.07220
  • p(b)
    0.00486
  • t(a)
    1.35496
  • p(a)
    0.15409
  • Lowerbound of 95% confidence interval for beta
    0.85490
  • Upperbound of 95% confidence interval for beta
    2.13000
  • Lowerbound of 95% confidence interval for alpha
    -0.18884
  • Upperbound of 95% confidence interval for alpha
    0.36244
  • Treynor index (mean / b)
    0.32135
  • Jensen alpha (a)
    0.08680
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04099
  • Expected Shortfall on VaR
    0.06055
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01191
  • Expected Shortfall on VaR
    0.02625
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.96878
  • Quartile 1
    1.03716
  • Median
    1.06612
  • Quartile 3
    1.07311
  • Maximum
    1.07559
  • Mean of quarter 1
    0.96878
  • Mean of quarter 2
    1.05996
  • Mean of quarter 3
    1.07228
  • Mean of quarter 4
    1.07559
  • Inter Quartile Range
    0.03594
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.96878
  • 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
    0.03122
  • Quartile 1
    0.03122
  • Median
    0.03122
  • Quartile 3
    0.03122
  • Maximum
    0.03122
  • 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)
    0.55296
  • Compounded annual return (geometric extrapolation)
    0.66115
  • Calmar ratio (compounded annual return / max draw down)
    21.17710
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    10.91830
  • 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
    0.54942
  • SD
    0.22254
  • Sharpe ratio (Glass type estimate)
    2.46880
  • Sharpe ratio (Hedges UMVUE)
    2.44770
  • df
    88.00000
  • t
    1.43890
  • p
    0.07686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92053
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.84437
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93451
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.82990
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.46607
  • Upside Potential Ratio
    10.42470
  • Upside part of mean
    1.65245
  • Downside part of mean
    -1.10303
  • Upside SD
    0.15810
  • Downside SD
    0.15851
  • N nonnegative terms
    59.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    89.00000
  • Mean of predictor
    0.29927
  • Mean of criterion
    0.54942
  • SD of predictor
    0.17880
  • SD of criterion
    0.22254
  • Covariance
    0.02248
  • r
    0.56506
  • b (slope, estimate of beta)
    0.70331
  • a (intercept, estimate of alpha)
    0.33900
  • Mean Square Error
    0.03410
  • DF error
    87.00000
  • t(b)
    6.38820
  • p(b)
    0.00000
  • t(a)
    1.06403
  • p(a)
    0.14513
  • Lowerbound of 95% confidence interval for beta
    0.48449
  • Upperbound of 95% confidence interval for beta
    0.92214
  • Lowerbound of 95% confidence interval for alpha
    -0.29420
  • Upperbound of 95% confidence interval for alpha
    0.97208
  • Treynor index (mean / b)
    0.78119
  • Jensen alpha (a)
    0.33894
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52422
  • SD
    0.22334
  • Sharpe ratio (Glass type estimate)
    2.34713
  • Sharpe ratio (Hedges UMVUE)
    2.32707
  • df
    88.00000
  • t
    1.36799
  • p
    0.08740
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04004
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.72118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05328
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.70742
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.25649
  • Upside Potential Ratio
    10.18750
  • Upside part of mean
    1.63996
  • Downside part of mean
    -1.11574
  • Upside SD
    0.15639
  • Downside SD
    0.16098
  • N nonnegative terms
    59.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    89.00000
  • Mean of predictor
    0.28319
  • Mean of criterion
    0.52422
  • SD of predictor
    0.17948
  • SD of criterion
    0.22334
  • Covariance
    0.02264
  • r
    0.56486
  • b (slope, estimate of beta)
    0.70290
  • a (intercept, estimate of alpha)
    0.32516
  • Mean Square Error
    0.03436
  • DF error
    87.00000
  • t(b)
    6.38474
  • p(b)
    0.00000
  • t(a)
    1.01756
  • p(a)
    0.15585
  • Lowerbound of 95% confidence interval for beta
    0.48408
  • Upperbound of 95% confidence interval for beta
    0.92172
  • Lowerbound of 95% confidence interval for alpha
    -0.30998
  • Upperbound of 95% confidence interval for alpha
    0.96031
  • Treynor index (mean / b)
    0.74580
  • Jensen alpha (a)
    0.32516
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02048
  • Expected Shortfall on VaR
    0.02610
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00729
  • Expected Shortfall on VaR
    0.01609
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    89.00000
  • Minimum
    0.94970
  • Quartile 1
    0.99708
  • Median
    1.00412
  • Quartile 3
    1.01009
  • Maximum
    1.04431
  • Mean of quarter 1
    0.98420
  • Mean of quarter 2
    1.00140
  • Mean of quarter 3
    1.00705
  • Mean of quarter 4
    1.01698
  • Inter Quartile Range
    0.01301
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.06742
  • Mean of outliers low
    0.97015
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01124
  • Mean of outliers high
    1.04431
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.71575
  • VaR(95%) (moments method)
    0.01016
  • Expected Shortfall (moments method)
    0.01157
  • Extreme Value Index (regression method)
    -0.14333
  • VaR(95%) (regression method)
    0.01656
  • Expected Shortfall (regression method)
    0.02305
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00072
  • Quartile 1
    0.00165
  • Median
    0.00476
  • Quartile 3
    0.01824
  • Maximum
    0.14178
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00336
  • Mean of quarter 3
    0.01272
  • Mean of quarter 4
    0.06604
  • Inter Quartile Range
    0.01659
  • 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
    0.09091
  • Mean of outliers high
    0.14178
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.45733
  • VaR(95%) (moments method)
    0.06735
  • Expected Shortfall (moments method)
    0.15106
  • Extreme Value Index (regression method)
    2.40880
  • VaR(95%) (regression method)
    0.17405
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60730
  • Compounded annual return (geometric extrapolation)
    0.73694
  • Calmar ratio (compounded annual return / max draw down)
    5.19764
  • Compounded annual return / average of 25% largest draw downs
    11.15860
  • Compounded annual return / Expected Shortfall lognormal
    28.23400
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -303004000
  • Max Equity Drawdown (num days)
    22

Strategy Description

Look's for stocks that will out perform in the next 2-5 years.
70% will be ETF's 30% in stocks.

Summary Statistics

Strategy began
2020-06-22
Suggested Minimum Capital
$100,000
Rank at C2 
#70
# Trades
95
# Profitable
70
% Profitable
73.7%
Net Dividends
Correlation S&P500
0.585
Sharpe Ratio
2.13
Sortino Ratio
2.93
Beta
0.72
Alpha
0.09
Leverage
1.64 Average
2.12 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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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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