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These are hypothetical performance results that have certain inherent limitations. Learn more

SP100 Short Term Swing
(75976336)

Created by: CDRing CDRing
Started: 08/2012
Stocks
Last trade: 2 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $69.00 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.

13.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(19.6%)
Max Drawdown
1590
Num Trades
69.2%
Win Trades
1.6 : 1
Profit Factor
69.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +0.4%+3.4%+3.4%(0.5%)+4.6%+11.8%
2013(0.1%)+3.2%+2.5%+2.9%  -  +4.9%+3.1%+0.1%+2.0%+3.3%+3.2%+0.5%+28.5%
2014(5.5%)+3.9%+0.5%+3.8%+4.1%+3.1%(3.5%)+3.2%(0.3%)+2.0%+1.3%+1.9%+14.8%
2015+2.1%+3.4%(0.3%)(0.9%)+5.7%(1.7%)+1.7%+4.5%(0.2%)+2.8%(0.6%)+2.8%+20.9%
2016(9.1%)(0.1%)+1.4%+0.4%+3.2%+0.2%(0.7%)(4.1%)+3.1%+0.2%+0.4%+0.2%(5.5%)
2017+4.0%+1.8%(2.7%)+2.2%+2.0%+1.0%+3.8%(1.2%)+1.4%(1.9%)+1.6%+2.5%+15.1%
2018(1.8%)(7.2%)(0.1%)+0.8%+2.4%+0.9%+2.9%+5.3%+3.6%(10.3%)+6.6%(5.9%)(4.2%)
2019+0.1%+0.1%(0.3%)+0.4%(5.4%)+4.6%+2.8%(0.1%)+1.3%+1.6%  -  +1.6%+6.6%
2020(2%)+0.9%(0.3%)+0.7%+3.7%+5.3%+4.7%+11.5%+4.8%(1%)            +31.5%

Model Account Details

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

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

Trading Record

This strategy has placed 2,157 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/16/20 9:30 ABT ABBOTT LABORATORIES LONG 410 107.73 10/23 9:32 109.64 0.41%
Trade id #131734316
Max drawdown($1,219)
Time10/21/20 0:00
Quant open410
Worst price104.75
Drawdown as % of equity-0.41%
$775
Includes Typical Broker Commissions trade costs of $8.20
10/20/20 9:30 SBUX STARBUCKS LONG 505 88.68 10/23 9:30 89.80 0.17%
Trade id #131790788
Max drawdown($494)
Time10/22/20 0:00
Quant open505
Worst price87.70
Drawdown as % of equity-0.17%
$561
Includes Typical Broker Commissions trade costs of $5.00
10/20/20 9:30 FB FACEBOOK LONG 165 263.06 10/22 9:30 279.87 0.01%
Trade id #131790772
Max drawdown($29)
Time10/20/20 9:37
Quant open165
Worst price262.88
Drawdown as % of equity-0.01%
$2,771
Includes Typical Broker Commissions trade costs of $3.30
10/15/20 9:30 NKE NIKE LONG 345 126.50 10/16 9:30 129.52 n/a $1,035
Includes Typical Broker Commissions trade costs of $6.90
10/7/20 9:30 CMCSA COMCAST LONG 985 44.98 10/13 9:32 46.08 0.24%
Trade id #131561456
Max drawdown($709)
Time10/7/20 10:13
Quant open985
Worst price44.26
Drawdown as % of equity-0.24%
$1,079
Includes Typical Broker Commissions trade costs of $5.00
10/7/20 9:30 ADBE ADOBE INC LONG 90 484.59 10/8 9:30 499.05 0.04%
Trade id #131561488
Max drawdown($108)
Time10/7/20 9:33
Quant open90
Worst price483.39
Drawdown as % of equity-0.04%
$1,299
Includes Typical Broker Commissions trade costs of $1.80
9/24/20 9:30 CAT CATERPILLAR LONG 290 144.02 10/2 9:30 144.27 0.13%
Trade id #131339032
Max drawdown($374)
Time9/24/20 9:38
Quant open290
Worst price142.73
Drawdown as % of equity-0.13%
$67
Includes Typical Broker Commissions trade costs of $5.80
9/25/20 9:30 ABT ABBOTT LABORATORIES LONG 420 100.56 9/30 9:31 105.98 0.03%
Trade id #131361195
Max drawdown($92)
Time9/25/20 9:39
Quant open420
Worst price100.34
Drawdown as % of equity-0.03%
$2,268
Includes Typical Broker Commissions trade costs of $8.40
9/24/20 9:30 SPY2020W288 SPY Nov20'20 288 put LONG 8 5.15 9/29 9:30 2.80 0.68%
Trade id #131339076
Max drawdown($1,971)
Time9/28/20 0:00
Quant open8
Worst price2.69
Drawdown as % of equity-0.68%
($1,895)
Includes Typical Broker Commissions trade costs of $11.50
9/22/20 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 740 55.78 9/29 9:30 57.07 0.34%
Trade id #131289514
Max drawdown($962)
Time9/24/20 0:00
Quant open740
Worst price54.48
Drawdown as % of equity-0.34%
$950
Includes Typical Broker Commissions trade costs of $5.00
9/24/20 9:30 HD HOME DEPOT LONG 155 265.71 9/29 9:30 273.40 0.1%
Trade id #131339082
Max drawdown($283)
Time9/24/20 10:44
Quant open155
Worst price263.88
Drawdown as % of equity-0.10%
$1,189
Includes Typical Broker Commissions trade costs of $3.10
9/24/20 9:30 MCD MCDONALD'S LONG 195 214.75 9/29 9:30 220.42 0.08%
Trade id #131339103
Max drawdown($226)
Time9/24/20 9:34
Quant open195
Worst price213.59
Drawdown as % of equity-0.08%
$1,102
Includes Typical Broker Commissions trade costs of $3.90
9/24/20 9:30 JNJ JOHNSON & JOHNSON LONG 290 144.35 9/29 9:30 147.60 0.1%
Trade id #131339058
Max drawdown($292)
Time9/24/20 11:20
Quant open290
Worst price143.34
Drawdown as % of equity-0.10%
$937
Includes Typical Broker Commissions trade costs of $5.80
9/25/20 9:31 LOW LOWE'S COMPANIES LONG 265 157.90 9/29 9:30 163.48 0.12%
Trade id #131361309
Max drawdown($344)
Time9/25/20 10:12
Quant open265
Worst price156.60
Drawdown as % of equity-0.12%
$1,474
Includes Typical Broker Commissions trade costs of $5.30
9/24/20 9:30 V VISA LONG 215 194.23 9/29 9:30 200.58 0.08%
Trade id #131339081
Max drawdown($236)
Time9/24/20 9:34
Quant open215
Worst price193.13
Drawdown as % of equity-0.08%
$1,361
Includes Typical Broker Commissions trade costs of $4.30
9/25/20 9:30 TMO THERMO FISHER SCIENTIFIC LONG 100 415.77 9/29 9:30 430.77 0.11%
Trade id #131361201
Max drawdown($297)
Time9/25/20 10:12
Quant open100
Worst price412.80
Drawdown as % of equity-0.11%
$1,498
Includes Typical Broker Commissions trade costs of $2.00
9/21/20 9:30 NEE NEXTERA ENERGY LONG 150 275.00 9/28 9:30 283.46 0.19%
Trade id #131267292
Max drawdown($515)
Time9/21/20 10:21
Quant open150
Worst price271.56
Drawdown as % of equity-0.19%
$1,266
Includes Typical Broker Commissions trade costs of $3.00
9/22/20 9:30 NKE NIKE LONG 365 113.10 9/24 9:30 126.44 0.03%
Trade id #131289516
Max drawdown($91)
Time9/22/20 9:52
Quant open365
Worst price112.85
Drawdown as % of equity-0.03%
$4,862
Includes Typical Broker Commissions trade costs of $7.30
9/8/20 9:30 ABT ABBOTT LABORATORIES LONG 400 102.87 9/15 9:31 107.00 0.06%
Trade id #131057609
Max drawdown($176)
Time9/8/20 9:45
Quant open400
Worst price102.43
Drawdown as % of equity-0.06%
$1,644
Includes Typical Broker Commissions trade costs of $8.00
9/8/20 9:30 HD HOME DEPOT LONG 150 267.11 9/15 9:30 283.04 0.23%
Trade id #131057635
Max drawdown($645)
Time9/8/20 9:44
Quant open150
Worst price262.81
Drawdown as % of equity-0.23%
$2,387
Includes Typical Broker Commissions trade costs of $3.00
9/2/20 9:30 TGT TARGET LONG 275 150.50 9/11 9:31 146.86 0.7%
Trade id #130939875
Max drawdown($1,958)
Time9/8/20 0:00
Quant open275
Worst price143.38
Drawdown as % of equity-0.70%
($1,007)
Includes Typical Broker Commissions trade costs of $5.50
8/28/20 9:30 PFE PFIZER LONG 1,100 37.83 9/11 9:30 35.75 0.89%
Trade id #130852194
Max drawdown($2,471)
Time9/10/20 0:00
Quant open1,100
Worst price35.58
Drawdown as % of equity-0.89%
($2,293)
Includes Typical Broker Commissions trade costs of $5.00
9/10/20 9:30 NFLX NETFLIX LONG 80 503.24 9/11 9:30 486.49 0.71%
Trade id #131105972
Max drawdown($1,952)
Time9/10/20 15:29
Quant open80
Worst price478.84
Drawdown as % of equity-0.71%
($1,342)
Includes Typical Broker Commissions trade costs of $1.60
9/10/20 9:30 GOOG ALPHABET INC CLASS C LONG 26 1560.64 9/11 9:30 1536.00 0.4%
Trade id #131105980
Max drawdown($1,084)
Time9/11/20 0:00
Quant open26
Worst price1518.93
Drawdown as % of equity-0.40%
($642)
Includes Typical Broker Commissions trade costs of $0.52
9/8/20 9:30 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 1,240 33.02 9/11 9:30 31.66 0.8%
Trade id #131057633
Max drawdown($2,194)
Time9/9/20 0:00
Quant open1,240
Worst price31.25
Drawdown as % of equity-0.80%
($1,691)
Includes Typical Broker Commissions trade costs of $5.00
8/27/20 9:30 NEE NEXTERA ENERGY LONG 145 278.00 9/3 9:30 288.55 0.2%
Trade id #130815867
Max drawdown($572)
Time9/1/20 0:00
Quant open145
Worst price274.05
Drawdown as % of equity-0.20%
$1,527
Includes Typical Broker Commissions trade costs of $2.90
8/25/20 9:30 ABBV ABBVIE INC LONG 435 94.21 9/2 9:30 92.12 0.45%
Trade id #130774700
Max drawdown($1,270)
Time9/1/20 0:00
Quant open435
Worst price91.29
Drawdown as % of equity-0.45%
($918)
Includes Typical Broker Commissions trade costs of $8.70
8/25/20 9:30 WMT WALMART INC LONG 315 130.80 8/28 9:30 140.86 0.13%
Trade id #130774651
Max drawdown($355)
Time8/25/20 10:40
Quant open315
Worst price129.67
Drawdown as % of equity-0.13%
$3,163
Includes Typical Broker Commissions trade costs of $6.30
8/21/20 9:30 SWKS SKYWORKS SOLUTIONS LONG 295 140.25 8/26 9:30 142.48 0.09%
Trade id #130727512
Max drawdown($250)
Time8/21/20 9:34
Quant open295
Worst price139.40
Drawdown as % of equity-0.09%
$652
Includes Typical Broker Commissions trade costs of $5.90
8/25/20 9:30 AMGN AMGEN LONG 175 242.72 8/26 9:30 248.40 0.12%
Trade id #130774686
Max drawdown($336)
Time8/25/20 9:33
Quant open175
Worst price240.80
Drawdown as % of equity-0.12%
$991
Includes Typical Broker Commissions trade costs of $3.50

Statistics

  • Strategy began
    8/13/2012
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2997.49
  • Age
    100 months ago
  • What it trades
    Stocks
  • # Trades
    1590
  • # Profitable
    1101
  • % Profitable
    69.20%
  • Avg trade duration
    8.7 days
  • Max peak-to-valley drawdown
    19.56%
  • drawdown period
    Oct 03, 2018 - Dec 21, 2018
  • Annual Return (Compounded)
    13.9%
  • Avg win
    $544.72
  • Avg loss
    $841.15
  • Model Account Values (Raw)
  • Cash
    $105,605
  • Margin Used
    $0
  • Buying Power
    $96,381
  • Ratios
  • W:L ratio
    1.57:1
  • Sharpe Ratio
    0.85
  • Sortino Ratio
    1.26
  • Calmar Ratio
    1.094
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    49.44%
  • Correlation to SP500
    0.41170
  • Return Percent SP500 (cumu) during strategy life
    141.48%
  • Return Statistics
  • Ann Return (w trading costs)
    13.9%
  • Slump
  • Current Slump as Pcnt Equity
    2.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.139%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.00%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    732
  • Popularity (Last 6 weeks)
    936
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    36
  • Popularity (7 days, Percentile 1000 scale)
    806
  • 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
    $841
  • Avg Win
    $543
  • Sum Trade PL (losers)
    $411,323.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    99
  • Win / Loss
  • Sum Trade PL (winners)
    $597,729.000
  • # Winners
    1100
  • Num Months Winners
    70
  • Dividends
  • Dividends Received in Model Acct
    23660
  • AUM
  • AUM (AutoTrader live capital)
    186738
  • Win / Loss
  • # Losers
    489
  • % Winners
    69.2%
  • Frequency
  • Avg Position Time (mins)
    12481.50
  • Avg Position Time (hrs)
    208.03
  • Avg Trade Length
    8.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    2.23
  • Regression
  • Alpha
    0.02
  • Beta
    0.28
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    61.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    80.17
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.45
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    7.418
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.697
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.991
  • Hold-and-Hope Ratio
    0.138
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12113
  • SD
    0.11178
  • Sharpe ratio (Glass type estimate)
    1.08369
  • Sharpe ratio (Hedges UMVUE)
    1.07520
  • df
    96.00000
  • t
    3.08107
  • p
    0.00135
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37484
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36926
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78115
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66575
  • Upside Potential Ratio
    2.87021
  • Upside part of mean
    0.20872
  • Downside part of mean
    -0.08759
  • Upside SD
    0.09110
  • Downside SD
    0.07272
  • N nonnegative terms
    68.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    97.00000
  • Mean of predictor
    0.09098
  • Mean of criterion
    0.12113
  • SD of predictor
    0.14439
  • SD of criterion
    0.11178
  • Covariance
    0.00900
  • r
    0.55782
  • b (slope, estimate of beta)
    0.43182
  • a (intercept, estimate of alpha)
    0.08185
  • Mean Square Error
    0.00870
  • DF error
    95.00000
  • t(b)
    6.55090
  • p(b)
    0.00000
  • t(a)
    2.45450
  • p(a)
    0.00796
  • Lowerbound of 95% confidence interval for beta
    0.30096
  • Upperbound of 95% confidence interval for beta
    0.56268
  • Lowerbound of 95% confidence interval for alpha
    0.01565
  • Upperbound of 95% confidence interval for alpha
    0.14804
  • Treynor index (mean / b)
    0.28052
  • Jensen alpha (a)
    0.08185
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11407
  • SD
    0.11247
  • Sharpe ratio (Glass type estimate)
    1.01420
  • Sharpe ratio (Hedges UMVUE)
    1.00626
  • df
    96.00000
  • t
    2.88350
  • p
    0.00243
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30757
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71578
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30235
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71017
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50416
  • Upside Potential Ratio
    2.69328
  • Upside part of mean
    0.20424
  • Downside part of mean
    -0.09018
  • Upside SD
    0.08861
  • Downside SD
    0.07583
  • N nonnegative terms
    68.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    97.00000
  • Mean of predictor
    0.08015
  • Mean of criterion
    0.11407
  • SD of predictor
    0.14478
  • SD of criterion
    0.11247
  • Covariance
    0.00920
  • r
    0.56483
  • b (slope, estimate of beta)
    0.43877
  • a (intercept, estimate of alpha)
    0.07890
  • Mean Square Error
    0.00870
  • DF error
    95.00000
  • t(b)
    6.67147
  • p(b)
    0.00000
  • t(a)
    2.37396
  • p(a)
    0.00981
  • Lowerbound of 95% confidence interval for beta
    0.30821
  • Upperbound of 95% confidence interval for beta
    0.56934
  • Lowerbound of 95% confidence interval for alpha
    0.01292
  • Upperbound of 95% confidence interval for alpha
    0.14488
  • Treynor index (mean / b)
    0.25997
  • Jensen alpha (a)
    0.07890
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04295
  • Expected Shortfall on VaR
    0.05578
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01119
  • Expected Shortfall on VaR
    0.02697
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    97.00000
  • Minimum
    0.88523
  • Quartile 1
    1.00061
  • Median
    1.01342
  • Quartile 3
    1.03098
  • Maximum
    1.10505
  • Mean of quarter 1
    0.97408
  • Mean of quarter 2
    1.00679
  • Mean of quarter 3
    1.02216
  • Mean of quarter 4
    1.04826
  • Inter Quartile Range
    0.03038
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.04124
  • Mean of outliers low
    0.91240
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02062
  • Mean of outliers high
    1.09243
  • 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)
    0.14124
  • VaR(95%) (regression method)
    0.03084
  • Expected Shortfall (regression method)
    0.05615
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00127
  • Quartile 1
    0.00716
  • Median
    0.02130
  • Quartile 3
    0.05609
  • Maximum
    0.12128
  • Mean of quarter 1
    0.00399
  • Mean of quarter 2
    0.01290
  • Mean of quarter 3
    0.04029
  • Mean of quarter 4
    0.10917
  • Inter Quartile Range
    0.04894
  • 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)
    -13.39820
  • VaR(95%) (moments method)
    0.09580
  • Expected Shortfall (moments method)
    0.09580
  • Extreme Value Index (regression method)
    -2.57265
  • VaR(95%) (regression method)
    0.14919
  • Expected Shortfall (regression method)
    0.14995
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26606
  • Compounded annual return (geometric extrapolation)
    0.15255
  • Calmar ratio (compounded annual return / max draw down)
    1.25780
  • Compounded annual return / average of 25% largest draw downs
    1.39730
  • Compounded annual return / Expected Shortfall lognormal
    2.73495
  • 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
    0.11765
  • SD
    0.10924
  • Sharpe ratio (Glass type estimate)
    1.07699
  • Sharpe ratio (Hedges UMVUE)
    1.07662
  • df
    2136.00000
  • t
    3.07585
  • p
    0.00106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38984
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76391
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38959
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76365
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60098
  • Upside Potential Ratio
    7.88707
  • Upside part of mean
    0.57959
  • Downside part of mean
    -0.46194
  • Upside SD
    0.08112
  • Downside SD
    0.07349
  • N nonnegative terms
    1052.00000
  • N negative terms
    1085.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2137.00000
  • Mean of predictor
    0.09466
  • Mean of criterion
    0.11765
  • SD of predictor
    0.16959
  • SD of criterion
    0.10924
  • Covariance
    0.00771
  • r
    0.41608
  • b (slope, estimate of beta)
    0.26801
  • a (intercept, estimate of alpha)
    0.09200
  • Mean Square Error
    0.00987
  • DF error
    2135.00000
  • t(b)
    21.14250
  • p(b)
    -0.00000
  • t(a)
    2.65096
  • p(a)
    0.00404
  • Lowerbound of 95% confidence interval for beta
    0.24315
  • Upperbound of 95% confidence interval for beta
    0.29287
  • Lowerbound of 95% confidence interval for alpha
    0.02401
  • Upperbound of 95% confidence interval for alpha
    0.16054
  • Treynor index (mean / b)
    0.43898
  • Jensen alpha (a)
    0.09228
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11165
  • SD
    0.10918
  • Sharpe ratio (Glass type estimate)
    1.02263
  • Sharpe ratio (Hedges UMVUE)
    1.02227
  • df
    2136.00000
  • t
    2.92058
  • p
    0.00177
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33555
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70947
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33531
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70923
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50444
  • Upside Potential Ratio
    7.76491
  • Upside part of mean
    0.57628
  • Downside part of mean
    -0.46463
  • Upside SD
    0.08034
  • Downside SD
    0.07422
  • N nonnegative terms
    1052.00000
  • N negative terms
    1085.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2137.00000
  • Mean of predictor
    0.08018
  • Mean of criterion
    0.11165
  • SD of predictor
    0.17034
  • SD of criterion
    0.10918
  • Covariance
    0.00774
  • r
    0.41634
  • b (slope, estimate of beta)
    0.26686
  • a (intercept, estimate of alpha)
    0.09026
  • Mean Square Error
    0.00986
  • DF error
    2135.00000
  • t(b)
    21.15830
  • p(b)
    -0.00000
  • t(a)
    2.59492
  • p(a)
    0.00476
  • Lowerbound of 95% confidence interval for beta
    0.24213
  • Upperbound of 95% confidence interval for beta
    0.29160
  • Lowerbound of 95% confidence interval for alpha
    0.02205
  • Upperbound of 95% confidence interval for alpha
    0.15846
  • Treynor index (mean / b)
    0.41839
  • Jensen alpha (a)
    0.09026
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01061
  • Expected Shortfall on VaR
    0.01339
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00402
  • Expected Shortfall on VaR
    0.00860
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2137.00000
  • Minimum
    0.95804
  • Quartile 1
    0.99855
  • Median
    1.00006
  • Quartile 3
    1.00260
  • Maximum
    1.04983
  • Mean of quarter 1
    0.99349
  • Mean of quarter 2
    0.99968
  • Mean of quarter 3
    1.00109
  • Mean of quarter 4
    1.00797
  • Inter Quartile Range
    0.00405
  • Number outliers low
    145.00000
  • Percentage of outliers low
    0.06785
  • Mean of outliers low
    0.98566
  • Number of outliers high
    174.00000
  • Percentage of outliers high
    0.08142
  • Mean of outliers high
    1.01451
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48077
  • VaR(95%) (moments method)
    0.00562
  • Expected Shortfall (moments method)
    0.01278
  • Extreme Value Index (regression method)
    0.22327
  • VaR(95%) (regression method)
    0.00570
  • Expected Shortfall (regression method)
    0.00975
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    117.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00122
  • Median
    0.00448
  • Quartile 3
    0.01650
  • Maximum
    0.13691
  • Mean of quarter 1
    0.00044
  • Mean of quarter 2
    0.00268
  • Mean of quarter 3
    0.00920
  • Mean of quarter 4
    0.04701
  • Inter Quartile Range
    0.01528
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.09402
  • Mean of outliers high
    0.08249
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.50403
  • VaR(95%) (moments method)
    0.04986
  • Expected Shortfall (moments method)
    0.11107
  • Extreme Value Index (regression method)
    0.14293
  • VaR(95%) (regression method)
    0.04454
  • Expected Shortfall (regression method)
    0.06708
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26010
  • Compounded annual return (geometric extrapolation)
    0.14977
  • Calmar ratio (compounded annual return / max draw down)
    1.09391
  • Compounded annual return / average of 25% largest draw downs
    3.18594
  • Compounded annual return / Expected Shortfall lognormal
    11.18180
  • 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
    0.50830
  • SD
    0.13720
  • Sharpe ratio (Glass type estimate)
    3.70470
  • Sharpe ratio (Hedges UMVUE)
    3.68328
  • df
    130.00000
  • t
    2.61962
  • p
    0.38804
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.88970
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.50588
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87555
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.49101
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.87001
  • Upside Potential Ratio
    14.33080
  • Upside part of mean
    0.92559
  • Downside part of mean
    -0.41729
  • Upside SD
    0.12448
  • Downside SD
    0.06459
  • 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
    0.32126
  • Mean of criterion
    0.50830
  • SD of predictor
    0.20694
  • SD of criterion
    0.13720
  • Covariance
    0.00763
  • r
    0.26885
  • b (slope, estimate of beta)
    0.17825
  • a (intercept, estimate of alpha)
    0.45104
  • Mean Square Error
    0.01760
  • DF error
    129.00000
  • t(b)
    3.17029
  • p(b)
    0.33093
  • t(a)
    2.39298
  • p(a)
    0.36969
  • Lowerbound of 95% confidence interval for beta
    0.06701
  • Upperbound of 95% confidence interval for beta
    0.28949
  • Lowerbound of 95% confidence interval for alpha
    0.07812
  • Upperbound of 95% confidence interval for alpha
    0.82396
  • Treynor index (mean / b)
    2.85162
  • Jensen alpha (a)
    0.45104
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49853
  • SD
    0.13612
  • Sharpe ratio (Glass type estimate)
    3.66236
  • Sharpe ratio (Hedges UMVUE)
    3.64119
  • df
    130.00000
  • t
    2.58968
  • p
    0.38926
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.84831
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.46284
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83427
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.44811
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.65674
  • Upside Potential Ratio
    14.09740
  • Upside part of mean
    0.91788
  • Downside part of mean
    -0.41935
  • Upside SD
    0.12287
  • Downside SD
    0.06511
  • 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
    0.29963
  • Mean of criterion
    0.49853
  • SD of predictor
    0.20821
  • SD of criterion
    0.13612
  • Covariance
    0.00763
  • r
    0.26924
  • b (slope, estimate of beta)
    0.17602
  • a (intercept, estimate of alpha)
    0.44579
  • Mean Square Error
    0.01732
  • DF error
    129.00000
  • t(b)
    3.17522
  • p(b)
    0.33069
  • t(a)
    2.38575
  • p(a)
    0.37006
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    0.06634
  • Upperbound of 95% confidence interval for beta
    0.28570
  • Lowerbound of 95% confidence interval for alpha
    0.07609
  • Upperbound of 95% confidence interval for alpha
    0.81548
  • Treynor index (mean / b)
    2.83222
  • Jensen alpha (a)
    0.44579
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01186
  • Expected Shortfall on VaR
    0.01532
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00316
  • Expected Shortfall on VaR
    0.00690
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97725
  • Quartile 1
    0.99848
  • Median
    1.00060
  • Quartile 3
    1.00373
  • Maximum
    1.04376
  • Mean of quarter 1
    0.99429
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00197
  • Mean of quarter 4
    1.01224
  • Inter Quartile Range
    0.00526
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98151
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.02126
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44701
  • VaR(95%) (moments method)
    0.00525
  • Expected Shortfall (moments method)
    0.01115
  • Extreme Value Index (regression method)
    0.23774
  • VaR(95%) (regression method)
    0.00540
  • Expected Shortfall (regression method)
    0.00919
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00160
  • Median
    0.00762
  • Quartile 3
    0.01676
  • Maximum
    0.02607
  • Mean of quarter 1
    0.00096
  • Mean of quarter 2
    0.00430
  • Mean of quarter 3
    0.01068
  • Mean of quarter 4
    0.02237
  • Inter Quartile Range
    0.01516
  • 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)
    -2.47199
  • VaR(95%) (moments method)
    0.02449
  • Expected Shortfall (moments method)
    0.02464
  • Extreme Value Index (regression method)
    -1.70731
  • VaR(95%) (regression method)
    0.02321
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.02346
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -316955000
  • Max Equity Drawdown (num days)
    79
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60222
  • Compounded annual return (geometric extrapolation)
    0.69288
  • Calmar ratio (compounded annual return / max draw down)
    26.57550
  • Compounded annual return / average of 25% largest draw downs
    30.97500
  • Compounded annual return / Expected Shortfall lognormal
    45.22620

Strategy Description

The SP100 System trades highly liquid stocks of the S&P100 Index. It is 100 % mechanical.

Signals delivered in the evening to be executed at next days open.

Equity per position is 15%

Max Positions is 10.

Average trade duration is 8 days.

Back-testing results available to subscribers.

The system can be traded with smaller accounts (10 -25k) provided you use a low cost broker.

System is also traded in IRA's with 10% equity per position and max positions of 10 to avoid margin.

The system may occasionally use protective puts on the SPY ETF to mitigate potential downside volatility during periods of higher leverage. This addition to the system was introduced at the beginning of 2020.

Summary Statistics

Strategy began
2012-08-13
Suggested Minimum Capital
$100,000
# Trades
1590
# Profitable
1101
% Profitable
69.2%
Net Dividends
Correlation S&P500
0.412
Sharpe Ratio
0.85
Sortino Ratio
1.26
Beta
0.28
Alpha
0.02
Leverage
0.91 Average
2.23 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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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.