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New York GlobalTrend
(133894526)

Created by: ZuriqueCapital ZuriqueCapital
Started: 02/2021
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following

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 $80.00 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.
-6.2%
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.

(11.0%)
Max Drawdown
61
Num Trades
39.3%
Win Trades
0.8 : 1
Profit Factor
37.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021       (2.7%)+0.9%+3.8%+1.2%(3.5%)(1.3%)(0.8%)(3.9%)                  (6.2%)

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 120 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/23/21 9:30 MSTR MICROSTRATEGY LONG 14 741.90 9/10 10:41 625.20 3.56%
Trade id #137077156
Max drawdown($1,707)
Time9/10/21 10:33
Quant open14
Worst price619.94
Drawdown as % of equity-3.56%
($1,634)
Includes Typical Broker Commissions trade costs of $0.28
7/20/21 11:53 WOW WIDEOPENWEST INC LONG 110 22.21 9/10 10:30 19.50 0.64%
Trade id #136594156
Max drawdown($305)
Time9/10/21 10:30
Quant open110
Worst price19.43
Drawdown as % of equity-0.64%
($300)
Includes Typical Broker Commissions trade costs of $2.20
6/1/21 9:30 USL UNITED STATES 12 MONTH OIL LONG 78 24.05 8/19 9:30 22.97 0.17%
Trade id #135852294
Max drawdown($84)
Time8/19/21 9:30
Quant open78
Worst price22.97
Drawdown as % of equity-0.17%
($86)
Includes Typical Broker Commissions trade costs of $1.56
3/4/21 13:09 OHI OMEGA HEALTHCARE LONG 16 37.41 8/17 9:30 34.00 0.11%
Trade id #134423608
Max drawdown($54)
Time8/17/21 9:30
Quant open16
Worst price34.00
Drawdown as % of equity-0.11%
($55)
Includes Typical Broker Commissions trade costs of $0.32
6/1/21 15:08 XHS SPDR S&P HEALTH CARE SERVICES LONG 10 112.79 8/10 14:42 108.27 0.09%
Trade id #135862989
Max drawdown($45)
Time8/10/21 14:42
Quant open10
Worst price108.27
Drawdown as % of equity-0.09%
($45)
Includes Typical Broker Commissions trade costs of $0.20
3/1/21 10:18 CQP CHENIERE ENERGY PARTNERS LONG 77 41.70 8/6 11:32 39.34 0.37%
Trade id #134339061
Max drawdown($181)
Time8/6/21 11:32
Quant open77
Worst price39.34
Drawdown as % of equity-0.37%
($184)
Includes Typical Broker Commissions trade costs of $1.54
7/27/21 9:30 BPYPM BROOKFIELD PROPERTY PARTNERS L.P. 6.25 CLASS A CUM LONG 30 0.00 7/29 13:01 25.10 n/a $752
Includes Typical Broker Commissions trade costs of $0.60
2/9/21 10:30 BPYU BROOKFIELD PROPERTY REIT INC LONG 41 18.31 7/27 9:30 0.00 0.02%
Trade id #133942480
Max drawdown($9)
Time3/4/21 0:00
Quant open8
Worst price16.91
Drawdown as % of equity-0.02%
($752)
Includes Typical Broker Commissions trade costs of $0.82
6/1/21 9:30 DBO INVESCO DB OIL LONG 155 12.12 7/20 9:33 11.69 0.14%
Trade id #135852267
Max drawdown($68)
Time7/20/21 9:33
Quant open155
Worst price11.68
Drawdown as % of equity-0.14%
($70)
Includes Typical Broker Commissions trade costs of $3.10
3/18/21 9:59 NMIH NMI HOLDINGS INC. CLASS A COMM LONG 87 25.63 7/19 13:22 20.39 0.95%
Trade id #134698079
Max drawdown($456)
Time7/19/21 13:22
Quant open87
Worst price20.39
Drawdown as % of equity-0.95%
($458)
Includes Typical Broker Commissions trade costs of $1.74
5/25/21 13:25 RNLX RENALYTIX PLC LONG 45 33.50 7/19 9:59 26.00 0.68%
Trade id #135769210
Max drawdown($337)
Time7/15/21 0:00
Quant open45
Worst price25.99
Drawdown as % of equity-0.68%
($339)
Includes Typical Broker Commissions trade costs of $0.90
6/7/21 10:58 GWX SPDR S&P INTERNATIONAL SMALL C LONG 221 40.02 7/19 9:41 37.43 1.14%
Trade id #135940905
Max drawdown($559)
Time7/19/21 9:30
Quant open221
Worst price37.49
Drawdown as % of equity-1.14%
($576)
Includes Typical Broker Commissions trade costs of $4.42
3/15/21 10:29 IPAR INTER PARFUMS LONG 9 76.28 7/19 9:33 66.02 0.17%
Trade id #134617953
Max drawdown($81)
Time7/19/21 9:30
Quant open9
Worst price67.26
Drawdown as % of equity-0.17%
($92)
Includes Typical Broker Commissions trade costs of $0.18
5/17/21 10:02 LBTYA LIBERTY GLOBAL PLC CLASS A ORD LONG 149 28.50 7/19 9:30 24.60 1.21%
Trade id #135645849
Max drawdown($593)
Time7/19/21 9:30
Quant open149
Worst price24.52
Drawdown as % of equity-1.21%
($584)
Includes Typical Broker Commissions trade costs of $2.98
4/14/21 10:49 BCS BARCLAYS LONG 352 10.42 7/16 10:40 9.22 0.86%
Trade id #135145365
Max drawdown($422)
Time7/16/21 10:40
Quant open352
Worst price9.22
Drawdown as % of equity-0.86%
($429)
Includes Typical Broker Commissions trade costs of $7.04
3/3/21 9:31 SMDV PROSHARES RUSSELL 2000 DIVIDEND GROWERS LONG 80 62.66 6/18 15:59 63.51 0.06%
Trade id #134385644
Max drawdown($31)
Time3/4/21 0:00
Quant open80
Worst price62.26
Drawdown as % of equity-0.06%
$66
Includes Typical Broker Commissions trade costs of $1.60
4/14/21 10:06 AFL AFLAC LONG 53 52.79 6/18 9:30 52.64 0.06%
Trade id #135143691
Max drawdown($29)
Time4/20/21 0:00
Quant open53
Worst price52.23
Drawdown as % of equity-0.06%
($9)
Includes Typical Broker Commissions trade costs of $1.06
4/5/21 15:48 EUFN ISHARES MSCI EUROPE FINANCIALS LONG 267 19.86 6/18 9:30 19.81 0.35%
Trade id #135013674
Max drawdown($173)
Time4/21/21 0:00
Quant open267
Worst price19.21
Drawdown as % of equity-0.35%
($18)
Includes Typical Broker Commissions trade costs of $5.34
3/4/21 13:25 BCI ABERDEEN STD BBG ALL COMM STRAT K-1 FREE LONG 100 23.72 6/17 12:12 25.12 0.14%
Trade id #134424333
Max drawdown($68)
Time3/30/21 0:00
Quant open100
Worst price23.04
Drawdown as % of equity-0.14%
$138
Includes Typical Broker Commissions trade costs of $2.00
4/22/21 11:29 DJP IPATH BLOOMBERG COMMODITY INDE LONG 80 25.11 6/17 11:54 25.87 0.01%
Trade id #135271257
Max drawdown($5)
Time4/22/21 14:14
Quant open80
Worst price25.04
Drawdown as % of equity-0.01%
$59
Includes Typical Broker Commissions trade costs of $1.60
4/5/21 9:32 CR CRANE LONG 45 96.08 6/17 10:06 89.41 0.58%
Trade id #135002629
Max drawdown($300)
Time6/17/21 10:06
Quant open45
Worst price89.40
Drawdown as % of equity-0.58%
($301)
Includes Typical Broker Commissions trade costs of $0.90
3/4/21 10:25 PALL ABERDEEN STD PHYS PALLADIUM SHARES ETF LONG 9 221.20 6/17 10:02 247.36 0.16%
Trade id #134416218
Max drawdown($80)
Time3/9/21 0:00
Quant open9
Worst price212.23
Drawdown as % of equity-0.16%
$235
Includes Typical Broker Commissions trade costs of $0.18
4/21/21 10:52 DBB INVESCO DB BASE METALS LONG 106 19.61 6/17 9:30 19.93 0.04%
Trade id #135251697
Max drawdown($18)
Time4/22/21 0:00
Quant open106
Worst price19.44
Drawdown as % of equity-0.04%
$32
Includes Typical Broker Commissions trade costs of $2.12
3/4/21 10:18 TDTF FLEXSHARES IBOXX 5YR TARGET DU LONG 465 27.76 6/16 14:48 27.76 0.27%
Trade id #134415707
Max drawdown($132)
Time3/8/21 0:00
Quant open465
Worst price27.48
Drawdown as % of equity-0.27%
($9)
Includes Typical Broker Commissions trade costs of $9.30
3/4/21 10:20 TDTT FLEXSHARES IBOXX 3YR TARGET DU LONG 105 26.35 6/16 14:43 26.35 0.03%
Trade id #134415837
Max drawdown($15)
Time3/8/21 0:00
Quant open105
Worst price26.20
Drawdown as % of equity-0.03%
($2)
Includes Typical Broker Commissions trade costs of $2.10
3/4/21 13:08 MPW MEDICAL PROPERTIES TRUST LONG 42 21.10 6/16 10:22 21.10 0.06%
Trade id #134423561
Max drawdown($28)
Time5/19/21 0:00
Quant open42
Worst price20.41
Drawdown as % of equity-0.06%
($1)
Includes Typical Broker Commissions trade costs of $0.84
2/8/21 15:46 WY WEYERHAEUSER LONG 4 35.07 6/10 15:48 35.07 0.03%
Trade id #133925939
Max drawdown($13)
Time3/5/21 0:00
Quant open4
Worst price31.80
Drawdown as % of equity-0.03%
$0
Includes Typical Broker Commissions trade costs of $0.08
4/27/21 14:42 DBI DESIGNER BRANDS INC LONG 112 18.31 6/4 15:03 16.13 0.47%
Trade id #135340880
Max drawdown($244)
Time6/4/21 15:03
Quant open112
Worst price16.13
Drawdown as % of equity-0.47%
($246)
Includes Typical Broker Commissions trade costs of $2.24
3/31/21 12:14 SOYB TEUCRIUM SOYBEAN LONG 107 21.65 5/26 9:31 22.69 0.14%
Trade id #134951287
Max drawdown($68)
Time4/12/21 0:00
Quant open107
Worst price21.01
Drawdown as % of equity-0.14%
$109
Includes Typical Broker Commissions trade costs of $2.14
2/22/21 10:36 WWW WOLVERINE WORLD WIDE LONG 82 34.81 5/12 12:17 38.55 0.24%
Trade id #134193933
Max drawdown($117)
Time2/25/21 0:00
Quant open82
Worst price33.37
Drawdown as % of equity-0.24%
$305
Includes Typical Broker Commissions trade costs of $1.64

Statistics

  • Strategy began
    2/7/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    223.29
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    61
  • # Profitable
    24
  • % Profitable
    39.30%
  • Avg trade duration
    75.6 days
  • Max peak-to-valley drawdown
    11.03%
  • drawdown period
    May 10, 2021 - Sept 17, 2021
  • Cumul. Return
    -6.2%
  • Avg win
    $216.83
  • Avg loss
    $220.32
  • Model Account Values (Raw)
  • Cash
    $23,547
  • Margin Used
    $0
  • Buying Power
    $26,463
  • Ratios
  • W:L ratio
    0.84:1
  • Sharpe Ratio
    -0.82
  • Sortino Ratio
    -1.03
  • Calmar Ratio
    -0.705
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -20.29%
  • Correlation to SP500
    0.45320
  • Return Percent SP500 (cumu) during strategy life
    14.05%
  • Return Statistics
  • Ann Return (w trading costs)
    -9.8%
  • Slump
  • Current Slump as Pcnt Equity
    12.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.59%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.062%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -6.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    22.50%
  • Chance of 20% account loss
    0.50%
  • 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)
    0
  • Popularity (Last 6 weeks)
    579
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    771
  • 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
    $220
  • Avg Win
    $217
  • Sum Trade PL (losers)
    $8,152.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $5,204.000
  • # Winners
    24
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    826
  • Win / Loss
  • # Losers
    37
  • % Winners
    39.3%
  • Frequency
  • Avg Position Time (mins)
    108923.00
  • Avg Position Time (hrs)
    1815.39
  • Avg Trade Length
    75.6 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.09
  • Daily leverage (max)
    1.62
  • Regression
  • Alpha
    -0.05
  • Beta
    0.42
  • Treynor Index
    -0.07
  • 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)
    -0.68
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -2.419
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.343
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.961
  • Hold-and-Hope Ratio
    -0.388
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06019
  • SD
    0.10040
  • Sharpe ratio (Glass type estimate)
    -0.59949
  • Sharpe ratio (Hedges UMVUE)
    -0.52073
  • df
    6.00000
  • t
    -0.45787
  • p
    0.66842
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.16314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.10378
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06232
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.90365
  • Upside Potential Ratio
    1.50982
  • Upside part of mean
    0.10057
  • Downside part of mean
    -0.16076
  • Upside SD
    0.06713
  • Downside SD
    0.06661
  • N nonnegative terms
    2.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.21251
  • Mean of criterion
    -0.06019
  • SD of predictor
    0.07275
  • SD of criterion
    0.10040
  • Covariance
    -0.00392
  • r
    -0.53679
  • b (slope, estimate of beta)
    -0.74088
  • a (intercept, estimate of alpha)
    0.09725
  • Mean Square Error
    0.00861
  • DF error
    5.00000
  • t(b)
    -1.42265
  • p(b)
    0.89294
  • t(a)
    0.59175
  • p(a)
    0.28988
  • Lowerbound of 95% confidence interval for beta
    -2.07963
  • Upperbound of 95% confidence interval for beta
    0.59787
  • Lowerbound of 95% confidence interval for alpha
    -0.32523
  • Upperbound of 95% confidence interval for alpha
    0.51974
  • Treynor index (mean / b)
    0.08124
  • Jensen alpha (a)
    0.09725
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06448
  • SD
    0.09947
  • Sharpe ratio (Glass type estimate)
    -0.64819
  • Sharpe ratio (Hedges UMVUE)
    -0.56303
  • df
    6.00000
  • t
    -0.49506
  • p
    0.68092
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.21355
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96867
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.14892
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02286
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.95537
  • Upside Potential Ratio
    1.45452
  • Upside part of mean
    0.09816
  • Downside part of mean
    -0.16264
  • Upside SD
    0.06537
  • Downside SD
    0.06749
  • N nonnegative terms
    2.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.20801
  • Mean of criterion
    -0.06448
  • SD of predictor
    0.07075
  • SD of criterion
    0.09947
  • Covariance
    -0.00381
  • r
    -0.54204
  • b (slope, estimate of beta)
    -0.76209
  • a (intercept, estimate of alpha)
    0.09404
  • Mean Square Error
    0.00839
  • DF error
    5.00000
  • t(b)
    -1.44230
  • p(b)
    0.89560
  • t(a)
    0.57821
  • p(a)
    0.29409
  • Lowerbound of 95% confidence interval for beta
    -2.12040
  • Upperbound of 95% confidence interval for beta
    0.59622
  • Lowerbound of 95% confidence interval for alpha
    -0.32407
  • Upperbound of 95% confidence interval for alpha
    0.51216
  • Treynor index (mean / b)
    0.08460
  • Jensen alpha (a)
    0.09404
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05125
  • Expected Shortfall on VaR
    0.06251
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03595
  • Expected Shortfall on VaR
    0.05040
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.96838
  • Quartile 1
    0.97671
  • Median
    0.99597
  • Quartile 3
    1.00523
  • Maximum
    1.05296
  • Mean of quarter 1
    0.96943
  • Mean of quarter 2
    0.98945
  • Mean of quarter 3
    1.00010
  • Mean of quarter 4
    1.03166
  • Inter Quartile Range
    0.02852
  • 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
    0.14286
  • Mean of outliers high
    1.05296
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01706
  • Quartile 1
    0.02879
  • Median
    0.04053
  • Quartile 3
    0.05226
  • Maximum
    0.06399
  • Mean of quarter 1
    0.01706
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06399
  • Inter Quartile Range
    0.02347
  • 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)
    -0.03618
  • Compounded annual return (geometric extrapolation)
    -0.03591
  • Calmar ratio (compounded annual return / max draw down)
    -0.56114
  • Compounded annual return / average of 25% largest draw downs
    -0.56114
  • Compounded annual return / Expected Shortfall lognormal
    -0.57447
  • 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
    -0.08964
  • SD
    0.10776
  • Sharpe ratio (Glass type estimate)
    -0.83189
  • Sharpe ratio (Hedges UMVUE)
    -0.82793
  • df
    158.00000
  • t
    -0.64806
  • p
    0.52574
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.34820
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68702
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.34552
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68966
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.06165
  • Upside Potential Ratio
    7.17567
  • Upside part of mean
    0.60588
  • Downside part of mean
    -0.69552
  • Upside SD
    0.06663
  • Downside SD
    0.08444
  • N nonnegative terms
    80.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    159.00000
  • Mean of predictor
    0.18361
  • Mean of criterion
    -0.08964
  • SD of predictor
    0.11815
  • SD of criterion
    0.10776
  • Covariance
    0.00563
  • r
    0.44211
  • b (slope, estimate of beta)
    0.40321
  • a (intercept, estimate of alpha)
    -0.16400
  • Mean Square Error
    0.00940
  • DF error
    157.00000
  • t(b)
    6.17592
  • p(b)
    0.22801
  • t(a)
    -1.30897
  • p(a)
    0.56603
  • Lowerbound of 95% confidence interval for beta
    0.27426
  • Upperbound of 95% confidence interval for beta
    0.53217
  • Lowerbound of 95% confidence interval for alpha
    -0.41065
  • Upperbound of 95% confidence interval for alpha
    0.08330
  • Treynor index (mean / b)
    -0.22232
  • Jensen alpha (a)
    -0.16367
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09543
  • SD
    0.10800
  • Sharpe ratio (Glass type estimate)
    -0.88367
  • Sharpe ratio (Hedges UMVUE)
    -0.87947
  • df
    158.00000
  • t
    -0.68840
  • p
    0.52734
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.40011
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63555
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.39728
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63833
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.12252
  • Upside Potential Ratio
    7.09986
  • Upside part of mean
    0.60361
  • Downside part of mean
    -0.69904
  • Upside SD
    0.06631
  • Downside SD
    0.08502
  • N nonnegative terms
    80.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    159.00000
  • Mean of predictor
    0.17660
  • Mean of criterion
    -0.09543
  • SD of predictor
    0.11811
  • SD of criterion
    0.10800
  • Covariance
    0.00565
  • r
    0.44271
  • b (slope, estimate of beta)
    0.40480
  • a (intercept, estimate of alpha)
    -0.16692
  • Mean Square Error
    0.00944
  • DF error
    157.00000
  • t(b)
    6.18647
  • p(b)
    0.22766
  • t(a)
    -1.33285
  • p(a)
    0.56721
  • Lowerbound of 95% confidence interval for beta
    0.27555
  • Upperbound of 95% confidence interval for beta
    0.53404
  • Lowerbound of 95% confidence interval for alpha
    -0.41428
  • Upperbound of 95% confidence interval for alpha
    0.08044
  • Treynor index (mean / b)
    -0.23576
  • Jensen alpha (a)
    -0.16692
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01127
  • Expected Shortfall on VaR
    0.01402
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00612
  • Expected Shortfall on VaR
    0.01172
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    159.00000
  • Minimum
    0.97703
  • Quartile 1
    0.99668
  • Median
    1.00025
  • Quartile 3
    1.00384
  • Maximum
    1.01709
  • Mean of quarter 1
    0.99094
  • Mean of quarter 2
    0.99872
  • Mean of quarter 3
    1.00202
  • Mean of quarter 4
    1.00743
  • Inter Quartile Range
    0.00716
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.03774
  • Mean of outliers low
    0.98167
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00629
  • Mean of outliers high
    1.01709
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43465
  • VaR(95%) (moments method)
    0.00850
  • Expected Shortfall (moments method)
    0.01001
  • Extreme Value Index (regression method)
    -0.10712
  • VaR(95%) (regression method)
    0.00937
  • Expected Shortfall (regression method)
    0.01236
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00069
  • Quartile 1
    0.00672
  • Median
    0.02687
  • Quartile 3
    0.05147
  • Maximum
    0.09263
  • Mean of quarter 1
    0.00371
  • Mean of quarter 2
    0.02687
  • Mean of quarter 3
    0.05147
  • Mean of quarter 4
    0.09263
  • Inter Quartile Range
    0.04474
  • 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)
    -0.06616
  • Compounded annual return (geometric extrapolation)
    -0.06530
  • Calmar ratio (compounded annual return / max draw down)
    -0.70493
  • Compounded annual return / average of 25% largest draw downs
    -0.70493
  • Compounded annual return / Expected Shortfall lognormal
    -4.65596
  • 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
    -0.16022
  • SD
    0.11128
  • Sharpe ratio (Glass type estimate)
    -1.43973
  • Sharpe ratio (Hedges UMVUE)
    -1.43140
  • df
    130.00000
  • t
    -1.01804
  • p
    0.54447
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.21439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.20867
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34586
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.77476
  • Upside Potential Ratio
    6.59985
  • Upside part of mean
    0.59580
  • Downside part of mean
    -0.75602
  • Upside SD
    0.06510
  • Downside SD
    0.09027
  • 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
    -0.16022
  • SD of predictor
    0.10557
  • SD of criterion
    0.11128
  • Covariance
    0.00610
  • r
    0.51892
  • b (slope, estimate of beta)
    0.54702
  • a (intercept, estimate of alpha)
    -0.28385
  • Mean Square Error
    0.00912
  • DF error
    129.00000
  • t(b)
    6.89483
  • p(b)
    0.18513
  • t(a)
    -2.08355
  • p(a)
    0.61424
  • Lowerbound of 95% confidence interval for beta
    0.39004
  • Upperbound of 95% confidence interval for beta
    0.70398
  • Lowerbound of 95% confidence interval for alpha
    -0.55340
  • Upperbound of 95% confidence interval for alpha
    -0.01431
  • Treynor index (mean / b)
    -0.29289
  • Jensen alpha (a)
    -0.28385
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16642
  • SD
    0.11159
  • Sharpe ratio (Glass type estimate)
    -1.49136
  • Sharpe ratio (Hedges UMVUE)
    -1.48274
  • df
    130.00000
  • t
    -1.05455
  • p
    0.54605
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.26630
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28915
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.26039
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29492
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.83046
  • Upside Potential Ratio
    6.52948
  • Upside part of mean
    0.59363
  • Downside part of mean
    -0.76005
  • Upside SD
    0.06478
  • Downside SD
    0.09092
  • 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
    -0.16642
  • SD of predictor
    0.10552
  • SD of criterion
    0.11159
  • Covariance
    0.00612
  • r
    0.51967
  • b (slope, estimate of beta)
    0.54954
  • a (intercept, estimate of alpha)
    -0.28752
  • Mean Square Error
    0.00916
  • DF error
    129.00000
  • t(b)
    6.90849
  • p(b)
    0.18473
  • t(a)
    -2.10672
  • p(a)
    0.61546
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    0.39216
  • Upperbound of 95% confidence interval for beta
    0.70692
  • Lowerbound of 95% confidence interval for alpha
    -0.55755
  • Upperbound of 95% confidence interval for alpha
    -0.01750
  • Treynor index (mean / b)
    -0.30283
  • Jensen alpha (a)
    -0.28752
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01190
  • Expected Shortfall on VaR
    0.01474
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00659
  • Expected Shortfall on VaR
    0.01253
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97703
  • Quartile 1
    0.99585
  • Median
    1.00054
  • Quartile 3
    1.00371
  • Maximum
    1.01709
  • Mean of quarter 1
    0.99022
  • Mean of quarter 2
    0.99856
  • Mean of quarter 3
    1.00208
  • Mean of quarter 4
    1.00719
  • Inter Quartile Range
    0.00786
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98105
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01709
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.39420
  • VaR(95%) (moments method)
    0.00953
  • Expected Shortfall (moments method)
    0.01126
  • Extreme Value Index (regression method)
    0.00453
  • VaR(95%) (regression method)
    0.00938
  • Expected Shortfall (regression method)
    0.01260
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00672
  • Quartile 1
    0.02645
  • Median
    0.04617
  • Quartile 3
    0.06940
  • Maximum
    0.09263
  • Mean of quarter 1
    0.00672
  • Mean of quarter 2
    0.04617
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09263
  • Inter Quartile Range
    0.04295
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -315426000
  • Max Equity Drawdown (num days)
    130
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13382
  • Compounded annual return (geometric extrapolation)
    -0.12935
  • Calmar ratio (compounded annual return / max draw down)
    -1.39638
  • Compounded annual return / average of 25% largest draw downs
    -1.39638
  • Compounded annual return / Expected Shortfall lognormal
    -8.77376

Strategy Description

What to expect:

Every Week, we run scans over 10,000 stocks to find those who are with the strongets uptrend power.

The system only does long positions and cuts losses quickly.

We trade Stocks, REITS and ETFs of Stocks, Bonds, Commodities, ADRs and Global,

FAQ:

Does this system need to be auto-traded?

No. All signals will be sent on sundays, so you should have time to enter the trades manually in the morning before the market opens.

Do you short stocks?

No. We only use long positions.

Do you use leverage?

No.

Do you use stops?

Yes, just after the long position is filled, we put the stop order.

How has the system performed during backtesting?

The system follow rules based on a mechanical, bur manually applied strategy that I have developed through 8 years of intensive study.

What will happen during bear markets?

Where can I get more information?

Follow me on Instagram @agenteinveste

Summary Statistics

Strategy began
2021-02-07
Suggested Minimum Capital
$15,000
Rank at C2 
#174
# Trades
61
# Profitable
24
% Profitable
39.3%
Net Dividends
Correlation S&P500
0.453
Sharpe Ratio
-0.82
Sortino Ratio
-1.03
Beta
0.42
Alpha
-0.05
Leverage
1.09 Average
1.62 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.