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BuyLowAlgo
(129846582)

Created by: AlgoCapital AlgoCapital
Started: 07/2020
Stocks
Last trade: 2 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).
42.1%
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.

(46.8%)
Max Drawdown
557
Num Trades
43.1%
Win Trades
1.2 : 1
Profit Factor
46.7%
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%)(3.4%)                  (6.5%)

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 729 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
9/8/21 15:52 PANW PALO ALTO NETWORKS LONG 17 465.39 9/15 13:42 476.37 0.15%
Trade id #137294227
Max drawdown($115)
Time9/13/21 0:00
Quant open17
Worst price458.59
Drawdown as % of equity-0.15%
$187
Includes Typical Broker Commissions trade costs of $0.34
9/7/21 15:56 JBL JABIL INC LONG 125 63.07 9/14 15:51 62.19 0.24%
Trade id #137278985
Max drawdown($193)
Time9/8/21 0:00
Quant open125
Worst price61.52
Drawdown as % of equity-0.24%
($113)
Includes Typical Broker Commissions trade costs of $2.50
9/9/21 15:56 MRNA MODERNA INC. COMMON STOCK LONG 17 456.69 9/13 15:56 419.81 0.92%
Trade id #137312344
Max drawdown($708)
Time9/13/21 10:09
Quant open17
Worst price415.00
Drawdown as % of equity-0.92%
($627)
Includes Typical Broker Commissions trade costs of $0.34
9/8/21 15:53 TSLA TESLA INC. LONG 10 753.31 9/13 15:56 743.85 0.57%
Trade id #137294231
Max drawdown($444)
Time9/13/21 10:13
Quant open10
Worst price708.85
Drawdown as % of equity-0.57%
($95)
Includes Typical Broker Commissions trade costs of $0.20
9/8/21 15:52 AVLR AVALARA INC LONG 42 187.45 9/13 15:56 183.39 0.47%
Trade id #137294229
Max drawdown($367)
Time9/13/21 10:05
Quant open42
Worst price178.70
Drawdown as % of equity-0.47%
($172)
Includes Typical Broker Commissions trade costs of $0.84
9/7/21 15:56 ISRG INTUITIVE SURGICAL LONG 7 1077.98 9/13 15:56 1027.67 0.61%
Trade id #137278987
Max drawdown($468)
Time9/13/21 11:27
Quant open7
Worst price1011.00
Drawdown as % of equity-0.61%
($352)
Includes Typical Broker Commissions trade costs of $0.14
9/7/21 15:56 PODD INSULET LONG 26 307.72 9/13 15:56 295.10 0.65%
Trade id #137278980
Max drawdown($506)
Time9/13/21 10:11
Quant open26
Worst price288.25
Drawdown as % of equity-0.65%
($329)
Includes Typical Broker Commissions trade costs of $0.52
9/7/21 15:56 JD JD.COM INC LONG 95 83.32 9/13 15:56 80.16 0.65%
Trade id #137278978
Max drawdown($513)
Time9/9/21 0:00
Quant open95
Worst price77.92
Drawdown as % of equity-0.65%
($303)
Includes Typical Broker Commissions trade costs of $1.90
8/27/21 15:52 FOLD AMICUS THERAPEUTICS LONG 707 11.24 9/10 15:52 10.96 0.26%
Trade id #137155526
Max drawdown($205)
Time9/10/21 15:52
Quant open707
Worst price10.96
Drawdown as % of equity-0.26%
($204)
Includes Typical Broker Commissions trade costs of $5.00
8/27/21 15:52 ROM PROSHARES ULTRA TECHNOLOGY LONG 70 112.95 9/9 15:56 113.10 0.05%
Trade id #137155530
Max drawdown($39)
Time9/8/21 0:00
Quant open70
Worst price112.39
Drawdown as % of equity-0.05%
$10
Includes Typical Broker Commissions trade costs of $1.40
8/27/21 15:52 NEWR NEW RELIC INC LONG 100 78.92 9/8 15:52 78.63 0.11%
Trade id #137155528
Max drawdown($89)
Time9/8/21 11:18
Quant open100
Worst price78.03
Drawdown as % of equity-0.11%
($31)
Includes Typical Broker Commissions trade costs of $2.00
8/27/21 15:52 MELI MERCADOLIBRE LONG 4 1856.07 9/8 10:46 1912.63 0.04%
Trade id #137155522
Max drawdown($31)
Time8/31/21 0:00
Quant open4
Worst price1848.22
Drawdown as % of equity-0.04%
$226
Includes Typical Broker Commissions trade costs of $0.08
9/3/21 15:52 MRNA MODERNA INC. COMMON STOCK LONG 19 412.86 9/8 10:11 424.57 0.09%
Trade id #137246133
Max drawdown($74)
Time9/7/21 0:00
Quant open19
Worst price408.96
Drawdown as % of equity-0.09%
$222
Includes Typical Broker Commissions trade costs of $0.38
9/1/21 15:55 SQ SQUARE INC LONG 30 268.49 9/7 15:55 265.85 0.18%
Trade id #137215322
Max drawdown($144)
Time9/3/21 0:00
Quant open30
Worst price263.68
Drawdown as % of equity-0.18%
($80)
Includes Typical Broker Commissions trade costs of $0.60
9/2/21 15:52 LRN STRIDE INC LONG 230 34.48 9/7 15:55 33.33 0.41%
Trade id #137230796
Max drawdown($332)
Time9/3/21 0:00
Quant open230
Worst price33.03
Drawdown as % of equity-0.41%
($267)
Includes Typical Broker Commissions trade costs of $4.60
8/27/21 15:52 CMG CHIPOTLE MEXICAN GRILL LONG 4 1916.86 9/7 15:55 1893.51 0.13%
Trade id #137155507
Max drawdown($107)
Time9/3/21 0:00
Quant open4
Worst price1890.00
Drawdown as % of equity-0.13%
($93)
Includes Typical Broker Commissions trade costs of $0.08
8/27/21 15:52 AMD ADVANCED MICRO DEVICES INC. C LONG 71 111.28 9/7 15:55 109.18 0.25%
Trade id #137155505
Max drawdown($197)
Time9/3/21 0:00
Quant open71
Worst price108.50
Drawdown as % of equity-0.25%
($150)
Includes Typical Broker Commissions trade costs of $1.42
8/27/21 15:52 FTNT FORTINET LONG 25 316.31 9/7 15:55 314.57 0.37%
Trade id #137155516
Max drawdown($297)
Time9/1/21 0:00
Quant open25
Worst price304.43
Drawdown as % of equity-0.37%
($45)
Includes Typical Broker Commissions trade costs of $0.50
8/27/21 15:52 HRI HERC HOLDINGS INC LONG 60 132.29 9/3 15:52 130.63 0.31%
Trade id #137155519
Max drawdown($249)
Time9/1/21 0:00
Quant open60
Worst price128.12
Drawdown as % of equity-0.31%
($101)
Includes Typical Broker Commissions trade costs of $1.20
8/27/21 15:52 CARR CARRIER GLOBAL CORP LONG 136 58.37 9/2 15:51 57.78 0.28%
Trade id #137155524
Max drawdown($221)
Time9/1/21 0:00
Quant open136
Worst price56.74
Drawdown as % of equity-0.28%
($82)
Includes Typical Broker Commissions trade costs of $2.72
8/27/21 15:52 MARA MARATHON DIGITAL HOLDINGS INC LONG 197 40.26 9/1 15:37 41.44 0.65%
Trade id #137155503
Max drawdown($514)
Time8/30/21 0:00
Quant open197
Worst price37.65
Drawdown as % of equity-0.65%
$228
Includes Typical Broker Commissions trade costs of $3.94
5/20/21 15:53 EPAM EPAM SYSTEMS LONG 11 471.98 8/23 15:54 628.19 0.04%
Trade id #135707850
Max drawdown($32)
Time5/27/21 0:00
Quant open11
Worst price469.02
Drawdown as % of equity-0.04%
$1,718
Includes Typical Broker Commissions trade costs of $0.22
8/5/21 15:51 HUBS HUBSPOT INC LONG 12 656.75 8/17 15:51 648.54 0.31%
Trade id #136847976
Max drawdown($246)
Time8/17/21 10:22
Quant open12
Worst price636.21
Drawdown as % of equity-0.31%
($99)
Includes Typical Broker Commissions trade costs of $0.24
8/5/21 15:51 DOCU DOCUSIGN INC. COMMON STOCK LONG 26 305.12 8/11 15:55 293.14 0.47%
Trade id #136847964
Max drawdown($375)
Time8/11/21 11:55
Quant open26
Worst price290.69
Drawdown as % of equity-0.47%
($312)
Includes Typical Broker Commissions trade costs of $0.52
8/9/21 15:56 CAN CANAAN INC. ADR OVERVIEW LONG 326 9.94 8/10 15:51 9.39 0.25%
Trade id #136890523
Max drawdown($203)
Time8/10/21 10:53
Quant open326
Worst price9.31
Drawdown as % of equity-0.25%
($185)
Includes Typical Broker Commissions trade costs of $6.52
8/5/21 15:51 SE SEA LTD ADS LONG 26 303.53 8/10 15:51 297.02 0.25%
Trade id #136847989
Max drawdown($199)
Time8/10/21 14:10
Quant open26
Worst price295.87
Drawdown as % of equity-0.25%
($170)
Includes Typical Broker Commissions trade costs of $0.52
8/5/21 15:51 IDXX IDEXX LABORATORIES LONG 11 705.26 8/10 15:51 670.78 0.49%
Trade id #136847987
Max drawdown($396)
Time8/10/21 15:30
Quant open11
Worst price669.26
Drawdown as % of equity-0.49%
($379)
Includes Typical Broker Commissions trade costs of $0.22
8/5/21 15:51 ROM PROSHARES ULTRA TECHNOLOGY LONG 75 107.07 8/10 15:51 104.66 0.24%
Trade id #136847985
Max drawdown($197)
Time8/10/21 14:10
Quant open75
Worst price104.44
Drawdown as % of equity-0.24%
($183)
Includes Typical Broker Commissions trade costs of $1.50
8/5/21 15:51 SQ SQUARE INC LONG 28 281.50 8/10 15:51 273.34 0.38%
Trade id #136847983
Max drawdown($304)
Time8/9/21 0:00
Quant open28
Worst price270.63
Drawdown as % of equity-0.38%
($229)
Includes Typical Broker Commissions trade costs of $0.56
8/5/21 15:51 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 30 265.31 8/10 15:51 253.08 0.47%
Trade id #136847980
Max drawdown($377)
Time8/10/21 15:51
Quant open30
Worst price252.73
Drawdown as % of equity-0.47%
($368)
Includes Typical Broker Commissions trade costs of $0.60

Statistics

  • Strategy began
    7/1/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    444.16
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    557
  • # Profitable
    240
  • % Profitable
    43.10%
  • Avg trade duration
    9.1 days
  • Max peak-to-valley drawdown
    46.82%
  • drawdown period
    Feb 09, 2021 - Sept 17, 2021
  • Annual Return (Compounded)
    42.1%
  • Avg win
    $652.32
  • Avg loss
    $399.39
  • Model Account Values (Raw)
  • Cash
    $38,461
  • Margin Used
    $0
  • Buying Power
    $38,068
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    0.84
  • Sortino Ratio
    1.36
  • Calmar Ratio
    1.116
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    11.64%
  • Correlation to SP500
    0.32170
  • Return Percent SP500 (cumu) during strategy life
    42.27%
  • Return Statistics
  • Ann Return (w trading costs)
    42.1%
  • Slump
  • Current Slump as Pcnt Equity
    88.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.50%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.421%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    47.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    62.00%
  • Chance of 20% account loss
    30.00%
  • Chance of 30% account loss
    8.00%
  • Chance of 40% account loss
    2.50%
  • Chance of 60% 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 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.12%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    415
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    738
  • Popularity (7 days, Percentile 1000 scale)
    0
  • 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
    $399
  • Avg Win
    $652
  • Sum Trade PL (losers)
    $126,606.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $156,556.000
  • # Winners
    240
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    224
  • AUM
  • AUM (AutoTrader live capital)
    39474
  • Win / Loss
  • # Losers
    317
  • % Winners
    43.1%
  • Frequency
  • Avg Position Time (mins)
    13081.10
  • Avg Position Time (hrs)
    218.02
  • Avg Trade Length
    9.1 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    1.34
  • Regression
  • Alpha
    0.04
  • Beta
    0.95
  • Treynor Index
    0.12
  • 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)
    -0.31
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    10.715
  • 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
    0.262
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.373
  • Hold-and-Hope Ratio
    0.100
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48802
  • SD
    0.45033
  • Sharpe ratio (Glass type estimate)
    1.08368
  • Sharpe ratio (Hedges UMVUE)
    1.01972
  • df
    13.00000
  • t
    1.17051
  • p
    0.30660
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92493
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83670
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87615
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.64721
  • Upside Potential Ratio
    5.62604
  • Upside part of mean
    0.75279
  • Downside part of mean
    -0.26478
  • Upside SD
    0.43618
  • Downside SD
    0.13381
  • N nonnegative terms
    6.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.29936
  • Mean of criterion
    0.48802
  • SD of predictor
    0.14475
  • SD of criterion
    0.45033
  • Covariance
    0.04048
  • r
    0.62093
  • b (slope, estimate of beta)
    1.93178
  • a (intercept, estimate of alpha)
    -0.09028
  • Mean Square Error
    0.13499
  • DF error
    12.00000
  • t(b)
    2.74406
  • p(b)
    0.18953
  • t(a)
    -0.22560
  • p(a)
    0.53249
  • Lowerbound of 95% confidence interval for beta
    0.39792
  • Upperbound of 95% confidence interval for beta
    3.46563
  • Lowerbound of 95% confidence interval for alpha
    -0.96213
  • Upperbound of 95% confidence interval for alpha
    0.78158
  • Treynor index (mean / b)
    0.25262
  • Jensen alpha (a)
    -0.09028
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39751
  • SD
    0.40621
  • Sharpe ratio (Glass type estimate)
    0.97857
  • Sharpe ratio (Hedges UMVUE)
    0.92082
  • df
    13.00000
  • t
    1.05698
  • p
    0.32330
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89167
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81309
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92795
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76959
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.85199
  • Upside Potential Ratio
    4.81498
  • Upside part of mean
    0.67111
  • Downside part of mean
    -0.27360
  • Upside SD
    0.38336
  • Downside SD
    0.13938
  • N nonnegative terms
    6.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.28587
  • Mean of criterion
    0.39751
  • SD of predictor
    0.13994
  • SD of criterion
    0.40621
  • Covariance
    0.03441
  • r
    0.60527
  • b (slope, estimate of beta)
    1.75692
  • a (intercept, estimate of alpha)
    -0.10475
  • Mean Square Error
    0.11327
  • DF error
    12.00000
  • t(b)
    2.63399
  • p(b)
    0.19737
  • t(a)
    -0.28674
  • p(a)
    0.54125
  • Lowerbound of 95% confidence interval for beta
    0.30361
  • Upperbound of 95% confidence interval for beta
    3.21024
  • Lowerbound of 95% confidence interval for alpha
    -0.90069
  • Upperbound of 95% confidence interval for alpha
    0.69119
  • Treynor index (mean / b)
    0.22625
  • Jensen alpha (a)
    -0.10475
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14765
  • Expected Shortfall on VaR
    0.18765
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05552
  • Expected Shortfall on VaR
    0.09686
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.89987
  • Quartile 1
    0.97840
  • Median
    0.99700
  • Quartile 3
    1.09371
  • Maximum
    1.32407
  • Mean of quarter 1
    0.93783
  • Mean of quarter 2
    0.98603
  • Mean of quarter 3
    1.00734
  • Mean of quarter 4
    1.21764
  • Inter Quartile Range
    0.11531
  • 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
    0.14286
  • Mean of outliers high
    1.31267
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.29234
  • VaR(95%) (moments method)
    0.05218
  • Expected Shortfall (moments method)
    0.05218
  • Extreme Value Index (regression method)
    -1.12532
  • VaR(95%) (regression method)
    0.10844
  • Expected Shortfall (regression method)
    0.11662
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01971
  • Quartile 1
    0.07390
  • Median
    0.12808
  • Quartile 3
    0.18227
  • Maximum
    0.23645
  • Mean of quarter 1
    0.01971
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23645
  • Inter Quartile Range
    0.10837
  • 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)
    0.55086
  • Compounded annual return (geometric extrapolation)
    0.53023
  • Calmar ratio (compounded annual return / max draw down)
    2.24243
  • Compounded annual return / average of 25% largest draw downs
    2.24243
  • Compounded annual return / Expected Shortfall lognormal
    2.82560
  • 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
    0.45187
  • SD
    0.41887
  • Sharpe ratio (Glass type estimate)
    1.07880
  • Sharpe ratio (Hedges UMVUE)
    1.07619
  • df
    311.00000
  • t
    1.17724
  • p
    0.12000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72013
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87600
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72186
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87424
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.75003
  • Upside Potential Ratio
    9.32131
  • Upside part of mean
    2.40683
  • Downside part of mean
    -1.95496
  • Upside SD
    0.33014
  • Downside SD
    0.25821
  • N nonnegative terms
    169.00000
  • N negative terms
    143.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    312.00000
  • Mean of predictor
    0.27880
  • Mean of criterion
    0.45187
  • SD of predictor
    0.14474
  • SD of criterion
    0.41887
  • Covariance
    0.01881
  • r
    0.31032
  • b (slope, estimate of beta)
    0.89805
  • a (intercept, estimate of alpha)
    0.20100
  • Mean Square Error
    0.15906
  • DF error
    310.00000
  • t(b)
    5.74750
  • p(b)
    0.00000
  • t(a)
    0.54745
  • p(a)
    0.29223
  • Lowerbound of 95% confidence interval for beta
    0.59060
  • Upperbound of 95% confidence interval for beta
    1.20549
  • Lowerbound of 95% confidence interval for alpha
    -0.52272
  • Upperbound of 95% confidence interval for alpha
    0.92572
  • Treynor index (mean / b)
    0.50317
  • Jensen alpha (a)
    0.20150
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36583
  • SD
    0.41279
  • Sharpe ratio (Glass type estimate)
    0.88625
  • Sharpe ratio (Hedges UMVUE)
    0.88411
  • df
    311.00000
  • t
    0.96712
  • p
    0.16712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91187
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68295
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91330
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68151
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38312
  • Upside Potential Ratio
    8.90371
  • Upside part of mean
    2.35500
  • Downside part of mean
    -1.98917
  • Upside SD
    0.31686
  • Downside SD
    0.26450
  • N nonnegative terms
    169.00000
  • N negative terms
    143.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    312.00000
  • Mean of predictor
    0.26816
  • Mean of criterion
    0.36583
  • SD of predictor
    0.14500
  • SD of criterion
    0.41279
  • Covariance
    0.01870
  • r
    0.31248
  • b (slope, estimate of beta)
    0.88958
  • a (intercept, estimate of alpha)
    0.12728
  • Mean Square Error
    0.15425
  • DF error
    310.00000
  • t(b)
    5.79177
  • p(b)
    0.00000
  • t(a)
    0.35135
  • p(a)
    0.36278
  • Lowerbound of 95% confidence interval for beta
    0.58736
  • Upperbound of 95% confidence interval for beta
    1.19180
  • Lowerbound of 95% confidence interval for alpha
    -0.58551
  • Upperbound of 95% confidence interval for alpha
    0.84006
  • Treynor index (mean / b)
    0.41124
  • Jensen alpha (a)
    0.12728
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03974
  • Expected Shortfall on VaR
    0.04988
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01619
  • Expected Shortfall on VaR
    0.03275
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    312.00000
  • Minimum
    0.91956
  • Quartile 1
    0.99040
  • Median
    1.00110
  • Quartile 3
    1.01286
  • Maximum
    1.16458
  • Mean of quarter 1
    0.97328
  • Mean of quarter 2
    0.99716
  • Mean of quarter 3
    1.00594
  • Mean of quarter 4
    1.03094
  • Inter Quartile Range
    0.02245
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.94282
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.02885
  • Mean of outliers high
    1.08976
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21308
  • VaR(95%) (moments method)
    0.02537
  • Expected Shortfall (moments method)
    0.04016
  • Extreme Value Index (regression method)
    0.04748
  • VaR(95%) (regression method)
    0.02606
  • Expected Shortfall (regression method)
    0.03722
  • 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
    0.43234
  • Mean of quarter 1
    0.00363
  • Mean of quarter 2
    0.03164
  • Mean of quarter 3
    0.05808
  • Mean of quarter 4
    0.19426
  • 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
    0.43234
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.34125
  • VaR(95%) (moments method)
    0.17484
  • Expected Shortfall (moments method)
    0.22189
  • Extreme Value Index (regression method)
    0.69919
  • VaR(95%) (regression method)
    0.27570
  • Expected Shortfall (regression method)
    1.00053
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.50233
  • Compounded annual return (geometric extrapolation)
    0.48251
  • Calmar ratio (compounded annual return / max draw down)
    1.11603
  • Compounded annual return / average of 25% largest draw downs
    2.48378
  • Compounded annual return / Expected Shortfall lognormal
    9.67429
  • 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
    -0.74845
  • SD
    0.23001
  • Sharpe ratio (Glass type estimate)
    -3.25398
  • Sharpe ratio (Hedges UMVUE)
    -3.23517
  • df
    130.00000
  • t
    -2.30091
  • p
    0.59891
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.04777
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.44812
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.03473
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43561
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.69090
  • Upside Potential Ratio
    3.81310
  • Upside part of mean
    0.77323
  • Downside part of mean
    -1.52169
  • Upside SD
    0.11627
  • Downside SD
    0.20278
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19911
  • Mean of criterion
    -0.74845
  • SD of predictor
    0.10788
  • SD of criterion
    0.23001
  • Covariance
    0.00666
  • r
    0.26822
  • b (slope, estimate of beta)
    0.57187
  • a (intercept, estimate of alpha)
    -0.86232
  • Mean Square Error
    0.04948
  • DF error
    129.00000
  • t(b)
    3.16230
  • p(b)
    0.33131
  • t(a)
    -2.72341
  • p(a)
    0.64709
  • Lowerbound of 95% confidence interval for beta
    0.21407
  • Upperbound of 95% confidence interval for beta
    0.92967
  • Lowerbound of 95% confidence interval for alpha
    -1.48879
  • Upperbound of 95% confidence interval for alpha
    -0.23585
  • Treynor index (mean / b)
    -1.30878
  • Jensen alpha (a)
    -0.86232
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.77616
  • SD
    0.23278
  • Sharpe ratio (Glass type estimate)
    -3.33439
  • Sharpe ratio (Hedges UMVUE)
    -3.31511
  • df
    130.00000
  • t
    -2.35777
  • p
    0.60125
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.12945
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.52688
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.11606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51417
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.74756
  • Upside Potential Ratio
    3.70094
  • Upside part of mean
    0.76651
  • Downside part of mean
    -1.54267
  • Upside SD
    0.11478
  • Downside SD
    0.20711
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19324
  • Mean of criterion
    -0.77616
  • SD of predictor
    0.10786
  • SD of criterion
    0.23278
  • Covariance
    0.00665
  • r
    0.26497
  • b (slope, estimate of beta)
    0.57182
  • a (intercept, estimate of alpha)
    -0.88666
  • Mean Square Error
    0.05077
  • DF error
    129.00000
  • t(b)
    3.12106
  • p(b)
    0.33331
  • t(a)
    -2.76550
  • p(a)
    0.64919
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    0.20933
  • Upperbound of 95% confidence interval for beta
    0.93431
  • Lowerbound of 95% confidence interval for alpha
    -1.52101
  • Upperbound of 95% confidence interval for alpha
    -0.25232
  • Treynor index (mean / b)
    -1.35736
  • Jensen alpha (a)
    -0.88666
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02627
  • Expected Shortfall on VaR
    0.03209
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01426
  • Expected Shortfall on VaR
    0.02820
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93037
  • Quartile 1
    0.99262
  • Median
    0.99973
  • Quartile 3
    1.00263
  • Maximum
    1.03674
  • Mean of quarter 1
    0.97976
  • Mean of quarter 2
    0.99744
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    1.01098
  • Inter Quartile Range
    0.01002
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.95597
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02873
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29364
  • VaR(95%) (moments method)
    0.02049
  • Expected Shortfall (moments method)
    0.03444
  • Extreme Value Index (regression method)
    0.11861
  • VaR(95%) (regression method)
    0.02063
  • Expected Shortfall (regression method)
    0.03041
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.31211
  • Quartile 1
    0.31211
  • Median
    0.31211
  • Quartile 3
    0.31211
  • Maximum
    0.31211
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -349657000
  • Max Equity Drawdown (num days)
    220
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.62422
  • Compounded annual return (geometric extrapolation)
    -0.52681
  • Calmar ratio (compounded annual return / max draw down)
    -1.68789
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -16.41870

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
Rank at C2 
#199
# Trades
557
# Profitable
240
% Profitable
43.1%
Net Dividends
Correlation S&P500
0.322
Sharpe Ratio
0.84
Sortino Ratio
1.36
Beta
0.95
Alpha
0.04
Leverage
0.91 Average
1.34 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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