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

BuyLowAlgo
(129846582)

Created by: AlgoCapital AlgoCapital
Started: 07/2020
Stocks
Last trade: 342 days ago
Trading style: Equity Trend-following Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $99.00 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.
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).
10.4%
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.

(61.3%)
Max Drawdown
1062
Num Trades
41.6%
Win Trades
1.1 : 1
Profit Factor
51.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          +11.7%+9.3%(2.6%)+2.1%+35.9%(0.2%)+64.7%
2021+18.4%+6.6%(15.4%)(4.4%)(5.5%)+5.0%(2.4%)(2.1%)(11%)+12.3%+0.1%+0.8%(2.5%)
2022(4%)(4.9%)+0.4%(4.9%)+0.9%(2.3%)+2.8%(6.2%)(3.4%)(0.1%)(4.5%)(3.5%)(26.4%)
2023+3.3%+1.4%(0.7%)(8.1%)+3.9%+1.1%+6.7%(6.6%)+0.3%(1.5%)+10.7%(0.4%)+8.8%
2024+2.0%+6.5%+0.3%                                                      +9.0%

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 935 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 847 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/13/23 15:52 PD PAGERDUTY INC LONG 189 33.46 4/21 15:51 34.00 0.37%
Trade id #144290749
Max drawdown($213)
Time4/14/23 0:00
Quant open189
Worst price32.33
Drawdown as % of equity-0.37%
$98
Includes Typical Broker Commissions trade costs of $3.78
4/13/23 15:52 TTD THE TRADE DESK INC. CLASS A LONG 103 61.38 4/21 15:51 62.29 0.24%
Trade id #144290746
Max drawdown($137)
Time4/17/23 0:00
Quant open103
Worst price60.05
Drawdown as % of equity-0.24%
$92
Includes Typical Broker Commissions trade costs of $2.06
4/19/23 15:52 PACB PACIFIC BIOSCIENCES LONG 555 11.16 4/20 15:52 10.92 0.44%
Trade id #144365739
Max drawdown($249)
Time4/20/23 9:44
Quant open555
Worst price10.71
Drawdown as % of equity-0.44%
($138)
Includes Typical Broker Commissions trade costs of $5.00
4/18/23 15:53 NVDA NVIDIA LONG 22 276.34 4/20 15:52 270.54 0.25%
Trade id #144354403
Max drawdown($139)
Time4/20/23 15:50
Quant open22
Worst price270.00
Drawdown as % of equity-0.25%
($128)
Includes Typical Broker Commissions trade costs of $0.44
4/17/23 15:52 SHOP SHOPIFY INC LONG 129 48.66 4/20 15:52 47.75 0.23%
Trade id #144341840
Max drawdown($129)
Time4/20/23 15:50
Quant open129
Worst price47.66
Drawdown as % of equity-0.23%
($120)
Includes Typical Broker Commissions trade costs of $2.58
4/17/23 15:52 FSLR FIRST SOLAR INC LONG 29 218.82 4/20 15:52 215.51 0.33%
Trade id #144341838
Max drawdown($188)
Time4/20/23 9:30
Quant open29
Worst price212.33
Drawdown as % of equity-0.33%
($97)
Includes Typical Broker Commissions trade costs of $0.58
4/17/23 15:52 IOT SAMSARA INC LONG 294 21.28 4/20 15:17 21.97 0.13%
Trade id #144341836
Max drawdown($73)
Time4/19/23 0:00
Quant open294
Worst price21.03
Drawdown as % of equity-0.13%
$197
Includes Typical Broker Commissions trade costs of $5.88
4/18/23 15:53 MARA MARATHON DIGITAL HOLDINGS INC LONG 538 11.63 4/19 15:52 10.73 0.86%
Trade id #144354401
Max drawdown($489)
Time4/19/23 11:48
Quant open538
Worst price10.72
Drawdown as % of equity-0.86%
($489)
Includes Typical Broker Commissions trade costs of $5.00
4/18/23 15:53 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 464 13.48 4/19 15:52 12.12 1.11%
Trade id #144354399
Max drawdown($640)
Time4/19/23 15:50
Quant open464
Worst price12.10
Drawdown as % of equity-1.11%
($640)
Includes Typical Broker Commissions trade costs of $9.28
4/13/23 15:52 PANW PALO ALTO NETWORKS LONG 32 197.77 4/18 15:53 199.85 0.28%
Trade id #144290742
Max drawdown($165)
Time4/14/23 0:00
Quant open32
Worst price192.60
Drawdown as % of equity-0.28%
$66
Includes Typical Broker Commissions trade costs of $0.64
4/13/23 15:53 PINS PINTEREST INC LONG 223 28.41 4/18 15:53 28.28 0.14%
Trade id #144290754
Max drawdown($82)
Time4/14/23 0:00
Quant open223
Worst price28.04
Drawdown as % of equity-0.14%
($33)
Includes Typical Broker Commissions trade costs of $4.46
4/13/23 15:52 PACB PACIFIC BIOSCIENCES LONG 551 11.52 4/18 15:53 10.84 0.74%
Trade id #144290738
Max drawdown($429)
Time4/18/23 14:42
Quant open551
Worst price10.74
Drawdown as % of equity-0.74%
($380)
Includes Typical Broker Commissions trade costs of $5.00
4/13/23 15:52 LULU LULULEMON ATHLETICA LONG 17 364.51 4/17 15:51 367.62 0.02%
Trade id #144290752
Max drawdown($13)
Time4/13/23 15:55
Quant open17
Worst price363.71
Drawdown as % of equity-0.02%
$53
Includes Typical Broker Commissions trade costs of $0.34
4/13/23 15:53 Z ZILLOW GROUP INC. CLASS C LONG 138 45.85 4/17 15:51 45.53 0.25%
Trade id #144290756
Max drawdown($146)
Time4/17/23 12:06
Quant open138
Worst price44.79
Drawdown as % of equity-0.25%
($47)
Includes Typical Broker Commissions trade costs of $2.76
4/13/23 15:52 MARA MARATHON DIGITAL HOLDINGS INC LONG 552 11.53 4/17 15:51 11.49 0.57%
Trade id #144290736
Max drawdown($331)
Time4/17/23 9:30
Quant open552
Worst price10.93
Drawdown as % of equity-0.57%
($27)
Includes Typical Broker Commissions trade costs of $5.00
4/13/23 15:52 RBLX ROBLOX CORP LONG 139 45.66 4/17 11:31 40.01 1.56%
Trade id #144290740
Max drawdown($911)
Time4/17/23 10:55
Quant open139
Worst price39.10
Drawdown as % of equity-1.56%
($788)
Includes Typical Broker Commissions trade costs of $2.78
4/3/23 15:55 IOT SAMSARA INC LONG 315 19.94 4/4 15:52 19.62 0.22%
Trade id #144160068
Max drawdown($129)
Time4/4/23 13:20
Quant open315
Worst price19.53
Drawdown as % of equity-0.22%
($107)
Includes Typical Broker Commissions trade costs of $6.30
3/31/23 15:52 TTD THE TRADE DESK INC. CLASS A LONG 108 60.58 4/4 15:52 60.50 0.2%
Trade id #144137717
Max drawdown($123)
Time4/3/23 0:00
Quant open108
Worst price59.43
Drawdown as % of equity-0.20%
($11)
Includes Typical Broker Commissions trade costs of $2.16
3/31/23 15:52 PANW PALO ALTO NETWORKS LONG 33 198.98 4/4 15:52 196.78 0.18%
Trade id #144137715
Max drawdown($102)
Time4/4/23 15:12
Quant open33
Worst price195.86
Drawdown as % of equity-0.18%
($74)
Includes Typical Broker Commissions trade costs of $0.66
3/31/23 15:52 ANET ARISTA NETWORKS INC LONG 40 166.93 4/4 15:52 166.82 0.12%
Trade id #144137713
Max drawdown($75)
Time4/3/23 0:00
Quant open40
Worst price165.03
Drawdown as % of equity-0.12%
($5)
Includes Typical Broker Commissions trade costs of $0.80
3/31/23 15:52 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK LONG 342 19.28 4/4 15:52 19.11 0.47%
Trade id #144137711
Max drawdown($277)
Time4/4/23 11:11
Quant open342
Worst price18.47
Drawdown as % of equity-0.47%
($65)
Includes Typical Broker Commissions trade costs of $6.84
3/31/23 15:52 NVDA NVIDIA LONG 24 276.47 4/4 15:52 274.40 0.14%
Trade id #144137709
Max drawdown($81)
Time4/4/23 15:48
Quant open24
Worst price273.07
Drawdown as % of equity-0.14%
($50)
Includes Typical Broker Commissions trade costs of $0.48
3/31/23 15:52 MARA MARATHON DIGITAL HOLDINGS INC LONG 766 8.64 4/4 15:52 8.51 0.83%
Trade id #144137707
Max drawdown($486)
Time4/4/23 11:18
Quant open766
Worst price8.01
Drawdown as % of equity-0.83%
($105)
Includes Typical Broker Commissions trade costs of $5.00
3/31/23 15:52 TSLA TESLA INC. LONG 32 206.53 4/4 15:52 191.94 0.89%
Trade id #144137705
Max drawdown($518)
Time4/4/23 15:01
Quant open32
Worst price190.32
Drawdown as % of equity-0.89%
($468)
Includes Typical Broker Commissions trade costs of $0.64
3/31/23 15:52 FSLY FASTLY INC LONG 374 17.67 4/4 15:52 17.04 0.65%
Trade id #144137703
Max drawdown($400)
Time4/3/23 0:00
Quant open374
Worst price16.60
Drawdown as % of equity-0.65%
($243)
Includes Typical Broker Commissions trade costs of $7.48
3/31/23 15:52 AI C3.AI INC LONG 199 33.10 4/4 11:07 26.28 2.42%
Trade id #144137697
Max drawdown($1,412)
Time4/4/23 11:05
Quant open199
Worst price26.00
Drawdown as % of equity-2.42%
($1,361)
Includes Typical Broker Commissions trade costs of $3.98
3/31/23 15:52 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 664 9.99 4/3 15:54 9.63 0.81%
Trade id #144137701
Max drawdown($498)
Time4/3/23 11:07
Quant open664
Worst price9.24
Drawdown as % of equity-0.81%
($244)
Includes Typical Broker Commissions trade costs of $5.00
3/23/23 15:52 FSLR FIRST SOLAR INC LONG 22 210.34 3/28 15:53 210.41 0.12%
Trade id #144018331
Max drawdown($71)
Time3/24/23 0:00
Quant open22
Worst price207.07
Drawdown as % of equity-0.12%
$2
Includes Typical Broker Commissions trade costs of $0.44
3/23/23 15:52 GOOG ALPHABET INC CLASS C LONG 44 106.58 3/24 15:51 106.01 0.13%
Trade id #144018337
Max drawdown($80)
Time3/24/23 11:23
Quant open44
Worst price104.74
Drawdown as % of equity-0.13%
($26)
Includes Typical Broker Commissions trade costs of $0.88
3/23/23 15:52 PD PAGERDUTY INC LONG 148 31.97 3/24 15:51 31.66 0.21%
Trade id #144018335
Max drawdown($124)
Time3/24/23 13:49
Quant open148
Worst price31.13
Drawdown as % of equity-0.21%
($49)
Includes Typical Broker Commissions trade costs of $2.96

Statistics

  • Strategy began
    7/1/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1361.63
  • Age
    46 months ago
  • What it trades
    Stocks
  • # Trades
    1062
  • # Profitable
    442
  • % Profitable
    41.60%
  • Avg trade duration
    10.0 days
  • Max peak-to-valley drawdown
    61.35%
  • drawdown period
    Feb 09, 2021 - April 26, 2023
  • Annual Return (Compounded)
    10.4%
  • Avg win
    $526.35
  • Avg loss
    $328.77
  • Model Account Values (Raw)
  • Cash
    $51,432
  • Margin Used
    $0
  • Buying Power
    $63,684
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.33
  • Sortino Ratio
    0.52
  • Calmar Ratio
    0.444
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -23.30%
  • Correlation to SP500
    0.35100
  • Return Percent SP500 (cumu) during strategy life
    68.44%
  • Return Statistics
  • Ann Return (w trading costs)
    10.4%
  • Slump
  • Current Slump as Pcnt Equity
    104.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.83%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.104%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    78.50%
  • Chance of 20% account loss
    54.50%
  • Chance of 30% account loss
    26.50%
  • Chance of 40% account loss
    13.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.26%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $329
  • Avg Win
    $526
  • Sum Trade PL (losers)
    $203,838.000
  • Age
  • Num Months filled monthly returns table
    45
  • Win / Loss
  • Sum Trade PL (winners)
    $232,645.000
  • # Winners
    442
  • Num Months Winners
    23
  • Dividends
  • Dividends Received in Model Acct
    685
  • Win / Loss
  • # Losers
    620
  • % Winners
    41.6%
  • Frequency
  • Avg Position Time (mins)
    14358.10
  • Avg Position Time (hrs)
    239.30
  • Avg Trade Length
    10.0 days
  • Last Trade Ago
    338
  • Leverage
  • Daily leverage (average)
    0.78
  • Daily leverage (max)
    1.37
  • Regression
  • Alpha
    0.01
  • Beta
    0.59
  • Treynor Index
    0.05
  • 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)
    -0.59
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    20.852
  • 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
    0.295
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.389
  • Hold-and-Hope Ratio
    0.045
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21311
  • SD
    0.42278
  • Sharpe ratio (Glass type estimate)
    0.50406
  • Sharpe ratio (Hedges UMVUE)
    0.48664
  • df
    22.00000
  • t
    0.69784
  • p
    0.24629
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92497
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92189
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93635
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90964
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20591
  • Upside Potential Ratio
    3.50216
  • Upside part of mean
    0.61890
  • Downside part of mean
    -0.40579
  • Upside SD
    0.37885
  • Downside SD
    0.17672
  • N nonnegative terms
    9.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.17251
  • Mean of criterion
    0.21311
  • SD of predictor
    0.16398
  • SD of criterion
    0.42278
  • Covariance
    0.04636
  • r
    0.66867
  • b (slope, estimate of beta)
    1.72405
  • a (intercept, estimate of alpha)
    -0.08431
  • Mean Square Error
    0.10353
  • DF error
    21.00000
  • t(b)
    4.12101
  • p(b)
    0.10860
  • t(a)
    -0.34644
  • p(a)
    0.54795
  • Lowerbound of 95% confidence interval for beta
    0.85403
  • Upperbound of 95% confidence interval for beta
    2.59406
  • Lowerbound of 95% confidence interval for alpha
    -0.59041
  • Upperbound of 95% confidence interval for alpha
    0.42179
  • Treynor index (mean / b)
    0.12361
  • Jensen alpha (a)
    -0.08431
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13528
  • SD
    0.38909
  • Sharpe ratio (Glass type estimate)
    0.34769
  • Sharpe ratio (Hedges UMVUE)
    0.33567
  • df
    22.00000
  • t
    0.48135
  • p
    0.31751
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07558
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76321
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08351
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75485
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73411
  • Upside Potential Ratio
    3.02048
  • Upside part of mean
    0.55661
  • Downside part of mean
    -0.42133
  • Upside SD
    0.33523
  • Downside SD
    0.18428
  • N nonnegative terms
    9.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.15845
  • Mean of criterion
    0.13528
  • SD of predictor
    0.16126
  • SD of criterion
    0.38909
  • Covariance
    0.04158
  • r
    0.66272
  • b (slope, estimate of beta)
    1.59906
  • a (intercept, estimate of alpha)
    -0.11810
  • Mean Square Error
    0.08895
  • DF error
    21.00000
  • t(b)
    4.05539
  • p(b)
    0.11143
  • t(a)
    -0.52651
  • p(a)
    0.57251
  • Lowerbound of 95% confidence interval for beta
    0.77906
  • Upperbound of 95% confidence interval for beta
    2.41906
  • Lowerbound of 95% confidence interval for alpha
    -0.58455
  • Upperbound of 95% confidence interval for alpha
    0.34836
  • Treynor index (mean / b)
    0.08460
  • Jensen alpha (a)
    -0.11810
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15926
  • Expected Shortfall on VaR
    0.19713
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08654
  • Expected Shortfall on VaR
    0.13085
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.89987
  • Quartile 1
    0.92549
  • Median
    0.98411
  • Quartile 3
    1.04720
  • Maximum
    1.32407
  • Mean of quarter 1
    0.91321
  • Mean of quarter 2
    0.96360
  • Mean of quarter 3
    1.00713
  • Mean of quarter 4
    1.19426
  • Inter Quartile Range
    0.12171
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    1.31267
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.27023
  • VaR(95%) (moments method)
    0.09386
  • Expected Shortfall (moments method)
    0.10180
  • Extreme Value Index (regression method)
    0.21054
  • VaR(95%) (regression method)
    0.08380
  • Expected Shortfall (regression method)
    0.09136
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01971
  • Quartile 1
    0.11691
  • Median
    0.21412
  • Quartile 3
    0.31132
  • Maximum
    0.40852
  • Mean of quarter 1
    0.01971
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.40852
  • Inter Quartile Range
    0.19440
  • 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)
    0.19159
  • Compounded annual return (geometric extrapolation)
    0.17726
  • Calmar ratio (compounded annual return / max draw down)
    0.43390
  • Compounded annual return / average of 25% largest draw downs
    0.43390
  • Compounded annual return / Expected Shortfall lognormal
    0.89921
  • 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
    0.26025
  • SD
    0.37152
  • Sharpe ratio (Glass type estimate)
    0.70050
  • Sharpe ratio (Hedges UMVUE)
    0.69948
  • df
    516.00000
  • t
    0.98402
  • p
    0.16278
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69571
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09610
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69642
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09539
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.11540
  • Upside Potential Ratio
    8.54540
  • Upside part of mean
    1.99387
  • Downside part of mean
    -1.73362
  • Upside SD
    0.28910
  • Downside SD
    0.23333
  • N nonnegative terms
    248.00000
  • N negative terms
    269.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    517.00000
  • Mean of predictor
    0.25041
  • Mean of criterion
    0.26025
  • SD of predictor
    0.23179
  • SD of criterion
    0.37152
  • Covariance
    0.03183
  • r
    0.36966
  • b (slope, estimate of beta)
    0.59250
  • a (intercept, estimate of alpha)
    0.11200
  • Mean Square Error
    0.11940
  • DF error
    515.00000
  • t(b)
    9.02850
  • p(b)
    -0.00000
  • t(a)
    0.45383
  • p(a)
    0.32507
  • Lowerbound of 95% confidence interval for beta
    0.46358
  • Upperbound of 95% confidence interval for beta
    0.72143
  • Lowerbound of 95% confidence interval for alpha
    -0.37245
  • Upperbound of 95% confidence interval for alpha
    0.59622
  • Treynor index (mean / b)
    0.43924
  • Jensen alpha (a)
    0.11188
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19235
  • SD
    0.36728
  • Sharpe ratio (Glass type estimate)
    0.52371
  • Sharpe ratio (Hedges UMVUE)
    0.52294
  • df
    516.00000
  • t
    0.73567
  • p
    0.23113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87216
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91908
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87267
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91856
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80440
  • Upside Potential Ratio
    8.17128
  • Upside part of mean
    1.95390
  • Downside part of mean
    -1.76156
  • Upside SD
    0.27856
  • Downside SD
    0.23912
  • N nonnegative terms
    248.00000
  • N negative terms
    269.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    517.00000
  • Mean of predictor
    0.22349
  • Mean of criterion
    0.19235
  • SD of predictor
    0.23170
  • SD of criterion
    0.36728
  • Covariance
    0.03161
  • r
    0.37144
  • b (slope, estimate of beta)
    0.58878
  • a (intercept, estimate of alpha)
    0.06076
  • Mean Square Error
    0.11651
  • DF error
    515.00000
  • t(b)
    9.07891
  • p(b)
    -0.00000
  • t(a)
    0.24961
  • p(a)
    0.40150
  • Lowerbound of 95% confidence interval for beta
    0.46137
  • Upperbound of 95% confidence interval for beta
    0.71619
  • Lowerbound of 95% confidence interval for alpha
    -0.41746
  • Upperbound of 95% confidence interval for alpha
    0.53898
  • Treynor index (mean / b)
    0.32669
  • Jensen alpha (a)
    0.06076
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03593
  • Expected Shortfall on VaR
    0.04499
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01555
  • Expected Shortfall on VaR
    0.03116
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    517.00000
  • Minimum
    0.90290
  • Quartile 1
    0.99158
  • Median
    1.00000
  • Quartile 3
    1.00894
  • Maximum
    1.16458
  • Mean of quarter 1
    0.97661
  • Mean of quarter 2
    0.99727
  • Mean of quarter 3
    1.00347
  • Mean of quarter 4
    1.02724
  • Inter Quartile Range
    0.01736
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.04255
  • Mean of outliers low
    0.94699
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.05222
  • Mean of outliers high
    1.06081
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26247
  • VaR(95%) (moments method)
    0.02266
  • Expected Shortfall (moments method)
    0.03739
  • Extreme Value Index (regression method)
    0.19409
  • VaR(95%) (regression method)
    0.02253
  • Expected Shortfall (regression method)
    0.03516
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00015
  • Quartile 1
    0.01040
  • Median
    0.04589
  • Quartile 3
    0.06684
  • Maximum
    0.55434
  • Mean of quarter 1
    0.00363
  • Mean of quarter 2
    0.03164
  • Mean of quarter 3
    0.05808
  • Mean of quarter 4
    0.22476
  • Inter Quartile Range
    0.05645
  • 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
    0.55434
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14423
  • VaR(95%) (moments method)
    0.18538
  • Expected Shortfall (moments method)
    0.29795
  • Extreme Value Index (regression method)
    1.04501
  • VaR(95%) (regression method)
    0.31455
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27587
  • Compounded annual return (geometric extrapolation)
    0.24639
  • Calmar ratio (compounded annual return / max draw down)
    0.44448
  • Compounded annual return / average of 25% largest draw downs
    1.09624
  • Compounded annual return / Expected Shortfall lognormal
    5.47647
  • 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
    -0.07349
  • SD
    0.33225
  • Sharpe ratio (Glass type estimate)
    -0.22120
  • Sharpe ratio (Hedges UMVUE)
    -0.21992
  • df
    130.00000
  • t
    -0.15641
  • p
    0.50686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.99277
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55110
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.99185
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55201
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.33249
  • Upside Potential Ratio
    7.33545
  • Upside part of mean
    1.62142
  • Downside part of mean
    -1.69491
  • Upside SD
    0.24639
  • Downside SD
    0.22104
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29616
  • Mean of criterion
    -0.07349
  • SD of predictor
    0.38610
  • SD of criterion
    0.33225
  • Covariance
    0.07695
  • r
    0.59986
  • b (slope, estimate of beta)
    0.51621
  • a (intercept, estimate of alpha)
    -0.22637
  • Mean Square Error
    0.07121
  • DF error
    129.00000
  • t(b)
    8.51536
  • p(b)
    0.14245
  • t(a)
    -0.59915
  • p(a)
    0.53352
  • Lowerbound of 95% confidence interval for beta
    0.39627
  • Upperbound of 95% confidence interval for beta
    0.63614
  • Lowerbound of 95% confidence interval for alpha
    -0.97391
  • Upperbound of 95% confidence interval for alpha
    0.52116
  • Treynor index (mean / b)
    -0.14237
  • Jensen alpha (a)
    -0.22637
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12823
  • SD
    0.33210
  • Sharpe ratio (Glass type estimate)
    -0.38610
  • Sharpe ratio (Hedges UMVUE)
    -0.38387
  • df
    130.00000
  • t
    -0.27302
  • p
    0.51197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.15758
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38683
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.15607
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38833
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.56403
  • Upside Potential Ratio
    7.00229
  • Upside part of mean
    1.59186
  • Downside part of mean
    -1.72009
  • Upside SD
    0.24048
  • Downside SD
    0.22734
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22221
  • Mean of criterion
    -0.12823
  • SD of predictor
    0.38555
  • SD of criterion
    0.33210
  • Covariance
    0.07625
  • r
    0.59551
  • b (slope, estimate of beta)
    0.51296
  • a (intercept, estimate of alpha)
    -0.24221
  • Mean Square Error
    0.07173
  • DF error
    129.00000
  • t(b)
    8.41944
  • p(b)
    0.14467
  • t(a)
    -0.63907
  • p(a)
    0.53575
  • VAR (95 Confidence Intrvl)
    0.03600
  • Lowerbound of 95% confidence interval for beta
    0.39241
  • Upperbound of 95% confidence interval for beta
    0.63350
  • Lowerbound of 95% confidence interval for alpha
    -0.99207
  • Upperbound of 95% confidence interval for alpha
    0.50765
  • Treynor index (mean / b)
    -0.24997
  • Jensen alpha (a)
    -0.24221
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03366
  • Expected Shortfall on VaR
    0.04188
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01682
  • Expected Shortfall on VaR
    0.03256
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90290
  • Quartile 1
    0.99123
  • Median
    0.99902
  • Quartile 3
    1.00511
  • Maximum
    1.07284
  • Mean of quarter 1
    0.97854
  • Mean of quarter 2
    0.99614
  • Mean of quarter 3
    1.00118
  • Mean of quarter 4
    1.02348
  • Inter Quartile Range
    0.01389
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.95451
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.04558
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26378
  • VaR(95%) (moments method)
    0.02199
  • Expected Shortfall (moments method)
    0.03540
  • Extreme Value Index (regression method)
    0.22087
  • VaR(95%) (regression method)
    0.02066
  • Expected Shortfall (regression method)
    0.03154
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00203
  • Quartile 1
    0.05890
  • Median
    0.11577
  • Quartile 3
    0.17264
  • Maximum
    0.22950
  • Mean of quarter 1
    0.00203
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22950
  • Inter Quartile Range
    0.11374
  • 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
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -467084000
  • Max Equity Drawdown (num days)
    806
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.09784
  • Compounded annual return (geometric extrapolation)
    -0.09545
  • Calmar ratio (compounded annual return / max draw down)
    -0.41590
  • Compounded annual return / average of 25% largest draw downs
    -0.41590
  • Compounded annual return / Expected Shortfall lognormal
    -2.27917

Strategy Description

Trades in this system are from a proprietary long-only Algo that monitors a watch list of 200+ US stocks and trades them based on trend and momentum. Basically, it aims to "Buy Low and Sell High." It is a swing trading system that holds on to winning stocks for weeks to months at a time.

The problem with a Buy and Hold strategy is that you tie up too much capital waiting for sideway stocks or losers to turn around -- if at all. Instead, this Algo was developed to trade in and out of them. A watch list of 200+ symbols provides the Algo with many trading opportunities. The watch list is based on fundamental analysis -- stocks with good growth prospects or good story.

This Algo manages capital allocation and sorts through which stocks to trade based on many parameters. Losses are limited with adaptive stop losses or explicit exits based on price action, various technical indicators and internal trade scoring. We run this exact Algo on a $2 million portfolio.

It is best to AutoTrade this strategy. It enters new trades near the end of the day, but exits can happen anytime during market

Update June 2021: After the painful and expensive experience of the Feb-Mar 2021 equity drawdown, we've implemented an Equity Curve Trading mechanism that puts the system into a simulated trading mode until the equity curve recovers. Meaning, new trades are held internally in a simulated trading fashion until they produce a reliably positive trending equity curve, at which time real trading is resumed. This should produce a less volatile and more profitable equity curve. So far, it seems to be working.

Summary Statistics

Strategy began
2020-07-01
Suggested Minimum Capital
$15,000
# Trades
1062
# Profitable
442
% Profitable
41.6%
Net Dividends
Correlation S&P500
0.351
Sharpe Ratio
0.33
Sortino Ratio
0.52
Beta
0.59
Alpha
0.01
Leverage
0.78 Average
1.37 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.