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Tenet 2020
(131431914)

Created by: LeonardoFranci_Nexit LeonardoFranci_Nexit
Started: 09/2020
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following Short-term Reversal

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 $595.00 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.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
70.0%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(12.1%)
Max Drawdown
1439
Num Trades
62.2%
Win Trades
2.4 : 1
Profit Factor
69.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        (0.4%)(5.9%)+12.6%+9.4%+15.4%
2021+16.1%+8.8%+7.1%+0.5%+0.2%(1.9%)(1.4%)+7.4%+4.1%                  +47.3%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 240 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 142 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/10/21 9:30 POOL POOL LONG 45 491.66 9/10 15:39 496.20 0%
Trade id #137319011
Max drawdown($17)
Time9/10/21 11:31
Quant open45
Worst price491.27
Drawdown as % of equity-0.00%
$203
Includes Typical Broker Commissions trade costs of $0.90
9/9/21 9:30 FTC FIRST TRUST LARGE CAP GR OPP A LONG 424 118.21 9/10 15:24 117.52 0.07%
Trade id #137302114
Max drawdown($284)
Time9/10/21 10:45
Quant open424
Worst price117.54
Drawdown as % of equity-0.07%
($301)
Includes Typical Broker Commissions trade costs of $8.48
9/9/21 9:30 XSD SPDR S&P SEMICONDUCTOR LONG 247 202.60 9/10 15:23 204.74 n/a $524
Includes Typical Broker Commissions trade costs of $4.94
9/3/21 9:30 FINX GLOBAL X FINTECH ETF LONG 1,060 51.86 9/7 9:59 52.09 n/a $239
Includes Typical Broker Commissions trade costs of $5.00
8/27/21 9:30 XHB SPDR S&P HOMEBUILDERS LONG 1,662 77.80 9/7 9:59 78.01 0.1%
Trade id #137147176
Max drawdown($415)
Time8/31/21 0:00
Quant open1,662
Worst price77.55
Drawdown as % of equity-0.10%
$344
Includes Typical Broker Commissions trade costs of $5.00
8/24/21 10:20 LIT GLOBAL X LITHIUM & BATTERY TECH ETF LONG 1,534 84.75 9/7 9:59 84.99 0.99%
Trade id #137096908
Max drawdown($4,065)
Time9/3/21 0:00
Quant open1,534
Worst price82.10
Drawdown as % of equity-0.99%
$363
Includes Typical Broker Commissions trade costs of $5.00
9/3/21 9:30 REMX VANECK RARE EARTH/STRATEGIC METALS ETF LONG 473 114.00 9/7 9:35 116.21 0.08%
Trade id #137238638
Max drawdown($331)
Time9/3/21 11:36
Quant open473
Worst price113.30
Drawdown as % of equity-0.08%
$1,036
Includes Typical Broker Commissions trade costs of $9.46
9/3/21 9:30 IGV ISHARES NORTH AMERICAN TECH-SOFTWARE ETF LONG 130 424.74 9/7 9:30 426.74 0.04%
Trade id #137238671
Max drawdown($166)
Time9/3/21 9:38
Quant open130
Worst price423.46
Drawdown as % of equity-0.04%
$257
Includes Typical Broker Commissions trade costs of $2.60
9/3/21 9:30 QQQ POWERSHARES QQQ LONG 131 379.22 9/7 9:30 381.68 0%
Trade id #137238654
Max drawdown($2)
Time9/3/21 9:38
Quant open131
Worst price379.20
Drawdown as % of equity-0.00%
$319
Includes Typical Broker Commissions trade costs of $2.62
9/3/21 9:30 XSD SPDR S&P SEMICONDUCTOR LONG 268 205.62 9/7 9:30 206.50 n/a $231
Includes Typical Broker Commissions trade costs of $5.36
9/2/21 9:30 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 1,260 159.49 9/7 9:30 159.55 0.43%
Trade id #137223045
Max drawdown($1,764)
Time9/2/21 14:07
Quant open1,260
Worst price158.09
Drawdown as % of equity-0.43%
$71
Includes Typical Broker Commissions trade costs of $5.00
9/1/21 9:30 KCE SPDR S&P CAPITAL MARKETS ETF LONG 1,004 99.83 9/7 9:30 100.03 0.21%
Trade id #137207128
Max drawdown($877)
Time9/1/21 9:45
Quant open1,004
Worst price98.96
Drawdown as % of equity-0.21%
$196
Includes Typical Broker Commissions trade costs of $5.00
8/31/21 13:53 REZ ISHARES RESIDENTIAL MULTIFACTOR REAL ESTATE ETF LONG 1,105 90.53 9/1 14:30 91.82 0.11%
Trade id #137197098
Max drawdown($451)
Time8/31/21 14:39
Quant open1,105
Worst price90.12
Drawdown as % of equity-0.11%
$1,420
Includes Typical Broker Commissions trade costs of $5.00
8/24/21 10:20 IHI ISHARES DOW JONES US MEDICAL D LONG 2,004 64.86 9/1 14:30 66.11 0.19%
Trade id #137096922
Max drawdown($761)
Time8/26/21 0:00
Quant open2,004
Worst price64.48
Drawdown as % of equity-0.19%
$2,500
Includes Typical Broker Commissions trade costs of $5.00
8/30/21 9:52 XLC COMMUNICATION SERVICES SELECT SPDR FUND LONG 2,600 84.60 9/1 13:41 86.26 n/a $4,311
Includes Typical Broker Commissions trade costs of $5.00
8/30/21 9:54 XME SPDR S&P METALS & MINING LONG 2,240 44.69 8/30 15:08 44.80 0.16%
Trade id #137173597
Max drawdown($649)
Time8/30/21 10:14
Quant open2,240
Worst price44.40
Drawdown as % of equity-0.16%
$241
Includes Typical Broker Commissions trade costs of $5.00
8/30/21 9:55 XNTK SPDR NYSE TECHNOLOGY LONG 645 163.60 8/30 15:08 164.60 n/a $640
Includes Typical Broker Commissions trade costs of $5.00
8/19/21 10:22 XLV HEALTH CARE SELECT SECTOR SPDR LONG 1,770 135.41 8/30 9:52 134.96 0.44%
Trade id #137036987
Max drawdown($1,761)
Time8/27/21 0:00
Quant open1,770
Worst price134.41
Drawdown as % of equity-0.44%
($796)
Includes Typical Broker Commissions trade costs of $7.50
8/24/21 10:21 PHO POWERSHARES WATER RESOURCES PORTFOLIO LONG 2,241 58.05 8/27 9:30 58.09 0.09%
Trade id #137096934
Max drawdown($380)
Time8/26/21 0:00
Quant open2,241
Worst price57.88
Drawdown as % of equity-0.09%
$85
Includes Typical Broker Commissions trade costs of $5.00
8/17/21 9:34 KCE SPDR S&P CAPITAL MARKETS ETF LONG 1,350 97.58 8/25 15:09 99.25 1.16%
Trade id #136996390
Max drawdown($4,389)
Time8/19/21 0:00
Quant open1,350
Worst price94.33
Drawdown as % of equity-1.16%
$2,248
Includes Typical Broker Commissions trade costs of $5.00
7/23/21 9:30 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 4,029 152.54 8/24 10:19 154.36 1.09%
Trade id #136648174
Max drawdown($4,162)
Time7/27/21 0:00
Quant open1,385
Worst price151.05
Drawdown as % of equity-1.09%
$7,316
Includes Typical Broker Commissions trade costs of $25.28
7/27/21 15:44 SPYG SPDR S&P 500 GROWTH ETF LONG 3,967 65.42 8/24 10:19 66.52 0.28%
Trade id #136702767
Max drawdown($1,048)
Time8/19/21 0:00
Quant open2,002
Worst price64.90
Drawdown as % of equity-0.28%
$4,357
Includes Typical Broker Commissions trade costs of $13.79
8/18/21 9:54 IGV ISHARES NORTH AMERICAN TECH-SOFTWARE ETF LONG 323 403.59 8/24 10:18 418.52 0.53%
Trade id #137017180
Max drawdown($1,995)
Time8/19/21 0:00
Quant open323
Worst price397.41
Drawdown as % of equity-0.53%
$4,816
Includes Typical Broker Commissions trade costs of $6.46
8/17/21 9:31 BDRY BREAKWAVE DRY BULK SHIPPING ETF LONG 4,621 29.04 8/24 10:17 30.55 n/a $6,973
Includes Typical Broker Commissions trade costs of $5.00
8/9/21 15:10 XHB SPDR S&P HOMEBUILDERS LONG 737 75.73 8/18 9:31 75.22 0.2%
Trade id #136889655
Max drawdown($759)
Time8/17/21 0:00
Quant open737
Worst price74.70
Drawdown as % of equity-0.20%
($381)
Includes Typical Broker Commissions trade costs of $5.00
8/9/21 15:09 CIBR FIRST TRUST NASDAQ CEA CYBERSECURITY ETF LONG 2,700 48.89 8/17 9:31 48.11 0.75%
Trade id #136889646
Max drawdown($2,842)
Time8/11/21 0:00
Quant open2,700
Worst price47.84
Drawdown as % of equity-0.75%
($2,121)
Includes Typical Broker Commissions trade costs of $7.50
8/9/21 15:18 XLC COMMUNICATION SERVICES SELECT SPDR FUND LONG 1,599 82.73 8/17 9:31 82.79 0.2%
Trade id #136889748
Max drawdown($767)
Time8/16/21 0:00
Quant open1,599
Worst price82.25
Drawdown as % of equity-0.20%
$91
Includes Typical Broker Commissions trade costs of $5.00
7/28/21 9:33 XLRE SELECT SECTOR SPDR REAL ESTATE FUND LONG 4,200 46.62 8/17 9:31 46.59 0.48%
Trade id #136711489
Max drawdown($1,848)
Time7/29/21 0:00
Quant open4,200
Worst price46.18
Drawdown as % of equity-0.48%
($143)
Includes Typical Broker Commissions trade costs of $10.00
8/6/21 9:32 XLV HEALTH CARE SELECT SECTOR SPDR LONG 1,167 132.95 8/9 15:08 133.42 0.26%
Trade id #136856035
Max drawdown($1,003)
Time8/6/21 10:15
Quant open1,167
Worst price132.09
Drawdown as % of equity-0.26%
$543
Includes Typical Broker Commissions trade costs of $5.00
7/29/21 9:36 XLC COMMUNICATION SERVICES SELECT SPDR FUND LONG 1,870 83.27 8/6 9:30 82.65 1.17%
Trade id #136729728
Max drawdown($4,413)
Time8/3/21 0:00
Quant open1,870
Worst price80.91
Drawdown as % of equity-1.17%
($1,164)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    9/30/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    353.38
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    1439
  • # Profitable
    895
  • % Profitable
    62.20%
  • Avg trade duration
    34.5 days
  • Max peak-to-valley drawdown
    12.11%
  • drawdown period
    March 17, 2021 - July 03, 2021
  • Cumul. Return
    70.0%
  • Avg win
    $358.81
  • Avg loss
    $259.93
  • Model Account Values (Raw)
  • Cash
    $588,756
  • Margin Used
    $456,350
  • Buying Power
    $131,369
  • Ratios
  • W:L ratio
    2.35:1
  • Sharpe Ratio
    2.41
  • Sortino Ratio
    3.85
  • Calmar Ratio
    9.28
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    38.18%
  • Correlation to SP500
    0.41860
  • Return Percent SP500 (cumu) during strategy life
    31.82%
  • Return Statistics
  • Ann Return (w trading costs)
    72.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    0.01%
  • 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)
    0.700%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.98%
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    77.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    740
  • Popularity (Last 6 weeks)
    848
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    951
  • Popularity (7 days, Percentile 1000 scale)
    799
  • 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
    $260
  • Avg Win
    $359
  • Sum Trade PL (losers)
    $141,401.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $321,133.000
  • # Winners
    895
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    5653
  • Win / Loss
  • # Losers
    544
  • % Winners
    62.2%
  • Frequency
  • Avg Position Time (mins)
    100869.00
  • Avg Position Time (hrs)
    1681.15
  • Avg Trade Length
    70.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.89
  • Daily leverage (max)
    5.39
  • Regression
  • Alpha
    0.10
  • Beta
    0.59
  • Treynor Index
    0.26
  • 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)
    -0.38
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.958
  • 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
    0.408
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.331
  • Hold-and-Hope Ratio
    0.505
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58274
  • SD
    0.28235
  • Sharpe ratio (Glass type estimate)
    2.06390
  • Sharpe ratio (Hedges UMVUE)
    1.90445
  • df
    10.00000
  • t
    1.97603
  • p
    0.03819
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21197
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.25454
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30627
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11518
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.20344
  • Upside Potential Ratio
    10.03110
  • Upside part of mean
    0.71257
  • Downside part of mean
    -0.12983
  • Upside SD
    0.30940
  • Downside SD
    0.07104
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.31168
  • Mean of criterion
    0.58274
  • SD of predictor
    0.14332
  • SD of criterion
    0.28235
  • Covariance
    0.02450
  • r
    0.60553
  • b (slope, estimate of beta)
    1.19292
  • a (intercept, estimate of alpha)
    0.21093
  • Mean Square Error
    0.05610
  • DF error
    9.00000
  • t(b)
    2.28268
  • p(b)
    0.02418
  • t(a)
    0.71212
  • p(a)
    0.24722
  • Lowerbound of 95% confidence interval for beta
    0.01072
  • Upperbound of 95% confidence interval for beta
    2.37512
  • Lowerbound of 95% confidence interval for alpha
    -0.45911
  • Upperbound of 95% confidence interval for alpha
    0.88097
  • Treynor index (mean / b)
    0.48850
  • Jensen alpha (a)
    0.21093
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53566
  • SD
    0.26423
  • Sharpe ratio (Glass type estimate)
    2.02726
  • Sharpe ratio (Hedges UMVUE)
    1.87065
  • df
    10.00000
  • t
    1.94096
  • p
    0.04048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24181
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21210
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33453
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07582
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.37943
  • Upside Potential Ratio
    9.19961
  • Upside part of mean
    0.66779
  • Downside part of mean
    -0.13212
  • Upside SD
    0.28655
  • Downside SD
    0.07259
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.29837
  • Mean of criterion
    0.53566
  • SD of predictor
    0.13703
  • SD of criterion
    0.26423
  • Covariance
    0.02239
  • r
    0.61825
  • b (slope, estimate of beta)
    1.19211
  • a (intercept, estimate of alpha)
    0.17997
  • Mean Square Error
    0.04792
  • DF error
    9.00000
  • t(b)
    2.35976
  • p(b)
    0.02131
  • t(a)
    0.65718
  • p(a)
    0.26376
  • Lowerbound of 95% confidence interval for beta
    0.04931
  • Upperbound of 95% confidence interval for beta
    2.33491
  • Lowerbound of 95% confidence interval for alpha
    -0.43954
  • Upperbound of 95% confidence interval for alpha
    0.79949
  • Treynor index (mean / b)
    0.44934
  • Jensen alpha (a)
    0.17997
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07765
  • Expected Shortfall on VaR
    0.10623
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02049
  • Expected Shortfall on VaR
    0.04039
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.94572
  • Quartile 1
    0.98605
  • Median
    1.02416
  • Quartile 3
    1.10243
  • Maximum
    1.21361
  • Mean of quarter 1
    0.96805
  • Mean of quarter 2
    1.01119
  • Mean of quarter 3
    1.07841
  • Mean of quarter 4
    1.15509
  • Inter Quartile Range
    0.11638
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.91533
  • VaR(95%) (moments method)
    0.03272
  • Expected Shortfall (moments method)
    0.03305
  • Extreme Value Index (regression method)
    -0.00717
  • VaR(95%) (regression method)
    0.05724
  • Expected Shortfall (regression method)
    0.08372
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03247
  • Quartile 1
    0.03792
  • Median
    0.04338
  • Quartile 3
    0.04883
  • Maximum
    0.05428
  • Mean of quarter 1
    0.03247
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05428
  • Inter Quartile Range
    0.01091
  • 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)
    0.73781
  • Compounded annual return (geometric extrapolation)
    0.75693
  • Calmar ratio (compounded annual return / max draw down)
    13.94390
  • Compounded annual return / average of 25% largest draw downs
    13.94390
  • Compounded annual return / Expected Shortfall lognormal
    7.12572
  • 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
    0.56949
  • SD
    0.18247
  • Sharpe ratio (Glass type estimate)
    3.12101
  • Sharpe ratio (Hedges UMVUE)
    3.11160
  • df
    249.00000
  • t
    3.04870
  • p
    0.00127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.09292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.14303
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.13657
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.18495
  • Upside Potential Ratio
    12.93870
  • Upside part of mean
    1.42111
  • Downside part of mean
    -0.85163
  • Upside SD
    0.14945
  • Downside SD
    0.10983
  • N nonnegative terms
    143.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    250.00000
  • Mean of predictor
    0.27106
  • Mean of criterion
    0.56949
  • SD of predictor
    0.13664
  • SD of criterion
    0.18247
  • Covariance
    0.01000
  • r
    0.40127
  • b (slope, estimate of beta)
    0.53586
  • a (intercept, estimate of alpha)
    0.42400
  • Mean Square Error
    0.02805
  • DF error
    248.00000
  • t(b)
    6.89908
  • p(b)
    0.00000
  • t(a)
    2.45605
  • p(a)
    0.00737
  • Lowerbound of 95% confidence interval for beta
    0.38288
  • Upperbound of 95% confidence interval for beta
    0.68884
  • Lowerbound of 95% confidence interval for alpha
    0.08403
  • Upperbound of 95% confidence interval for alpha
    0.76444
  • Treynor index (mean / b)
    1.06275
  • Jensen alpha (a)
    0.42423
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55230
  • SD
    0.18208
  • Sharpe ratio (Glass type estimate)
    3.03322
  • Sharpe ratio (Hedges UMVUE)
    3.02407
  • df
    249.00000
  • t
    2.96294
  • p
    0.00167
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.00622
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.05428
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00012
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.04802
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.97918
  • Upside Potential Ratio
    12.71120
  • Upside part of mean
    1.40995
  • Downside part of mean
    -0.85765
  • Upside SD
    0.14793
  • Downside SD
    0.11092
  • N nonnegative terms
    143.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    250.00000
  • Mean of predictor
    0.26159
  • Mean of criterion
    0.55230
  • SD of predictor
    0.13674
  • SD of criterion
    0.18208
  • Covariance
    0.01000
  • r
    0.40165
  • b (slope, estimate of beta)
    0.53482
  • a (intercept, estimate of alpha)
    0.41239
  • Mean Square Error
    0.02792
  • DF error
    248.00000
  • t(b)
    6.90670
  • p(b)
    0.00000
  • t(a)
    2.39422
  • p(a)
    0.00870
  • Lowerbound of 95% confidence interval for beta
    0.38231
  • Upperbound of 95% confidence interval for beta
    0.68733
  • Lowerbound of 95% confidence interval for alpha
    0.07314
  • Upperbound of 95% confidence interval for alpha
    0.75164
  • Treynor index (mean / b)
    1.03268
  • Jensen alpha (a)
    0.41239
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01626
  • Expected Shortfall on VaR
    0.02087
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00676
  • Expected Shortfall on VaR
    0.01367
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    250.00000
  • Minimum
    0.96598
  • Quartile 1
    0.99583
  • Median
    1.00152
  • Quartile 3
    1.00907
  • Maximum
    1.04159
  • Mean of quarter 1
    0.98859
  • Mean of quarter 2
    0.99891
  • Mean of quarter 3
    1.00514
  • Mean of quarter 4
    1.01647
  • Inter Quartile Range
    0.01324
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01600
  • Mean of outliers low
    0.97048
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01200
  • Mean of outliers high
    1.03540
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03538
  • VaR(95%) (moments method)
    0.01014
  • Expected Shortfall (moments method)
    0.01412
  • Extreme Value Index (regression method)
    0.00370
  • VaR(95%) (regression method)
    0.01093
  • Expected Shortfall (regression method)
    0.01514
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00750
  • Median
    0.01719
  • Quartile 3
    0.02724
  • Maximum
    0.08474
  • Mean of quarter 1
    0.00406
  • Mean of quarter 2
    0.01417
  • Mean of quarter 3
    0.02398
  • Mean of quarter 4
    0.08213
  • Inter Quartile Range
    0.01974
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    0.08213
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1217.12000
  • VaR(95%) (moments method)
    0.05733
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.67052
  • VaR(95%) (regression method)
    0.04583
  • Expected Shortfall (regression method)
    0.04596
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77506
  • Compounded annual return (geometric extrapolation)
    0.78641
  • Calmar ratio (compounded annual return / max draw down)
    9.27977
  • Compounded annual return / average of 25% largest draw downs
    9.57504
  • Compounded annual return / Expected Shortfall lognormal
    37.68790
  • 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
    0.10131
  • SD
    0.13596
  • Sharpe ratio (Glass type estimate)
    0.74514
  • Sharpe ratio (Hedges UMVUE)
    0.74083
  • df
    130.00000
  • t
    0.52690
  • p
    0.47692
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02947
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51710
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03243
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51410
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12503
  • Upside Potential Ratio
    9.82273
  • Upside part of mean
    0.88452
  • Downside part of mean
    -0.78322
  • Upside SD
    0.10136
  • Downside SD
    0.09005
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22602
  • Mean of criterion
    0.10131
  • SD of predictor
    0.10557
  • SD of criterion
    0.13596
  • Covariance
    0.00521
  • r
    0.36327
  • b (slope, estimate of beta)
    0.46784
  • a (intercept, estimate of alpha)
    -0.00443
  • Mean Square Error
    0.01617
  • DF error
    129.00000
  • t(b)
    4.42850
  • p(b)
    0.27393
  • t(a)
    -0.02445
  • p(a)
    0.50137
  • Lowerbound of 95% confidence interval for beta
    0.25882
  • Upperbound of 95% confidence interval for beta
    0.67686
  • Lowerbound of 95% confidence interval for alpha
    -0.36335
  • Upperbound of 95% confidence interval for alpha
    0.35448
  • Treynor index (mean / b)
    0.21654
  • Jensen alpha (a)
    -0.00443
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09212
  • SD
    0.13582
  • Sharpe ratio (Glass type estimate)
    0.67825
  • Sharpe ratio (Hedges UMVUE)
    0.67433
  • df
    130.00000
  • t
    0.47959
  • p
    0.47899
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09599
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.45008
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09869
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.44735
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01593
  • Upside Potential Ratio
    9.69767
  • Upside part of mean
    0.87935
  • Downside part of mean
    -0.78722
  • Upside SD
    0.10058
  • Downside SD
    0.09068
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22038
  • Mean of criterion
    0.09212
  • SD of predictor
    0.10552
  • SD of criterion
    0.13582
  • Covariance
    0.00522
  • r
    0.36407
  • b (slope, estimate of beta)
    0.46859
  • a (intercept, estimate of alpha)
    -0.01115
  • Mean Square Error
    0.01613
  • DF error
    129.00000
  • t(b)
    4.43969
  • p(b)
    0.27346
  • t(a)
    -0.06155
  • p(a)
    0.50345
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    0.25977
  • Upperbound of 95% confidence interval for beta
    0.67742
  • Lowerbound of 95% confidence interval for alpha
    -0.36944
  • Upperbound of 95% confidence interval for alpha
    0.34714
  • Treynor index (mean / b)
    0.19659
  • Jensen alpha (a)
    -0.01115
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01336
  • Expected Shortfall on VaR
    0.01681
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00685
  • Expected Shortfall on VaR
    0.01273
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97820
  • Quartile 1
    0.99576
  • Median
    1.00039
  • Quartile 3
    1.00479
  • Maximum
    1.02662
  • Mean of quarter 1
    0.99044
  • Mean of quarter 2
    0.99792
  • Mean of quarter 3
    1.00259
  • Mean of quarter 4
    1.01109
  • Inter Quartile Range
    0.00903
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97931
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02311
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03489
  • VaR(95%) (moments method)
    0.00917
  • Expected Shortfall (moments method)
    0.01206
  • Extreme Value Index (regression method)
    -0.20410
  • VaR(95%) (regression method)
    0.00985
  • Expected Shortfall (regression method)
    0.01227
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00294
  • Quartile 1
    0.00298
  • Median
    0.00525
  • Quartile 3
    0.02323
  • Maximum
    0.07041
  • Mean of quarter 1
    0.00294
  • Mean of quarter 2
    0.00300
  • Mean of quarter 3
    0.00750
  • Mean of quarter 4
    0.07041
  • Inter Quartile Range
    0.02025
  • 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
    0.25000
  • Mean of outliers high
    0.07041
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -338181000
  • Max Equity Drawdown (num days)
    108
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12370
  • Compounded annual return (geometric extrapolation)
    0.12753
  • Calmar ratio (compounded annual return / max draw down)
    1.81129
  • Compounded annual return / average of 25% largest draw downs
    1.81129
  • Compounded annual return / Expected Shortfall lognormal
    7.58689

Strategy Description

Summary Statistics

Strategy began
2020-09-30
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 4.9%
Rank # 
#37
# Trades
1439
# Profitable
895
% Profitable
62.2%
Net Dividends
Correlation S&P500
0.419
Sharpe Ratio
2.41
Sortino Ratio
3.85
Beta
0.59
Alpha
0.10
Leverage
1.89 Average
5.39 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.