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DayTrader
(129926395)

Created by: MarketMaster MarketMaster
Started: 07/2020
Stocks
Last trade: 2 days ago
Trading style: Equity 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. You can subscribe to this system for free.

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
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).
27.8%
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.

(9.3%)
Max Drawdown
1111
Num Trades
54.0%
Win Trades
1.6 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          +3.5%+2.3%+3.6%+1.8%+2.9%+0.4%+15.5%
2021(2.5%)+13.8%+2.8%+0.4%+1.5%(0.6%)+0.7%+0.6%  -                    +17.1%

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 719 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
9/24/21 9:31 SRPT SAREPTA THERAPEUTICS INC. COM SHORT 55 90.69 9/24 15:59 90.79 0.09%
Trade id #137515869
Max drawdown($61)
Time9/24/21 10:53
Quant open55
Worst price91.80
Drawdown as % of equity-0.09%
($6)
Includes Typical Broker Commissions trade costs of $1.10
9/24/21 9:34 CF CF INDUSTRIES HOLDINGS SHORT 93 53.55 9/24 10:55 54.90 0.19%
Trade id #137516068
Max drawdown($126)
Time9/24/21 10:55
Quant open93
Worst price54.91
Drawdown as % of equity-0.19%
($128)
Includes Typical Broker Commissions trade costs of $1.86
9/22/21 9:33 TWNK HOSTESS BRANDS INC CLASS A COMMON STOCK SHORT 291 17.21 9/22 15:59 17.19 0.08%
Trade id #137475156
Max drawdown($55)
Time9/22/21 11:45
Quant open291
Worst price17.40
Drawdown as % of equity-0.08%
$0
Includes Typical Broker Commissions trade costs of $5.82
9/21/21 9:30 TPX TEMPUR SEALY INTERNATIONAL SHORT 103 48.46 9/21 15:59 48.33 0.03%
Trade id #137458583
Max drawdown($20)
Time9/21/21 9:36
Quant open103
Worst price48.66
Drawdown as % of equity-0.03%
$11
Includes Typical Broker Commissions trade costs of $2.06
9/16/21 9:34 HGV HILTON GRAND VACATIONS INC SHORT 107 46.69 9/16 15:59 46.47 0.04%
Trade id #137396486
Max drawdown($27)
Time9/16/21 13:30
Quant open107
Worst price46.95
Drawdown as % of equity-0.04%
$22
Includes Typical Broker Commissions trade costs of $2.14
9/14/21 9:50 TPX TEMPUR SEALY INTERNATIONAL SHORT 103 48.35 9/14 15:59 47.42 n/a $94
Includes Typical Broker Commissions trade costs of $2.06
9/14/21 9:30 AVTR AVANTOR INC SHORT 117 43.34 9/14 15:59 42.06 0.07%
Trade id #137363018
Max drawdown($50)
Time9/14/21 9:55
Quant open117
Worst price43.77
Drawdown as % of equity-0.07%
$148
Includes Typical Broker Commissions trade costs of $2.34
9/7/21 13:31 ARRY ARRAY TECHNOLOGIES INC. COMMON STOCK SHORT 250 19.99 9/7 15:59 19.73 0.16%
Trade id #137276963
Max drawdown($110)
Time9/7/21 13:54
Quant open250
Worst price20.43
Drawdown as % of equity-0.16%
$60
Includes Typical Broker Commissions trade costs of $5.00
9/7/21 9:43 SBLK STAR BULK CARRIERS SHORT 205 24.42 9/7 15:59 23.98 0.14%
Trade id #137271829
Max drawdown($97)
Time9/7/21 10:12
Quant open205
Worst price24.89
Drawdown as % of equity-0.14%
$86
Includes Typical Broker Commissions trade costs of $4.10
9/7/21 9:44 CIO CITY OFFICE REIT INC SHORT 301 16.62 9/7 9:48 17.08 0.21%
Trade id #137271866
Max drawdown($141)
Time9/7/21 9:48
Quant open301
Worst price17.09
Drawdown as % of equity-0.21%
($144)
Includes Typical Broker Commissions trade costs of $6.02
9/3/21 11:35 COOP MR. COOPER GROUP INC SHORT 124 40.32 9/3 15:59 40.87 0.15%
Trade id #137242636
Max drawdown($101)
Time9/3/21 15:52
Quant open124
Worst price41.14
Drawdown as % of equity-0.15%
($70)
Includes Typical Broker Commissions trade costs of $2.48
9/3/21 9:45 AVTR AVANTOR INC SHORT 123 40.62 9/3 15:59 40.79 0.07%
Trade id #137239863
Max drawdown($44)
Time9/3/21 13:19
Quant open123
Worst price40.98
Drawdown as % of equity-0.07%
($23)
Includes Typical Broker Commissions trade costs of $2.46
9/3/21 9:30 MGP MGM GROWTH PROPERTIES LLC SHORT 118 42.78 9/3 15:59 43.13 0.07%
Trade id #137238462
Max drawdown($48)
Time9/3/21 15:51
Quant open118
Worst price43.19
Drawdown as % of equity-0.07%
($44)
Includes Typical Broker Commissions trade costs of $2.36
9/2/21 15:15 MGP MGM GROWTH PROPERTIES LLC SHORT 118 42.20 9/2 15:59 42.64 0.09%
Trade id #137230334
Max drawdown($57)
Time9/2/21 15:59
Quant open118
Worst price42.69
Drawdown as % of equity-0.09%
($54)
Includes Typical Broker Commissions trade costs of $2.36
9/2/21 12:31 LMRK LANDMARK INFRASTRUCTURE PARTNE SHORT 306 16.36 9/2 15:59 16.35 0.03%
Trade id #137227571
Max drawdown($21)
Time9/2/21 13:31
Quant open306
Worst price16.43
Drawdown as % of equity-0.03%
($3)
Includes Typical Broker Commissions trade costs of $6.12
9/2/21 12:16 ARRY ARRAY TECHNOLOGIES INC. COMMON STOCK SHORT 250 19.98 9/2 15:59 19.36 n/a $150
Includes Typical Broker Commissions trade costs of $5.00
9/2/21 9:30 FWONK LIBERTY MEDIA CORP SERIES C FORMULA ONE SHORT 97 51.76 9/2 15:59 51.22 n/a $50
Includes Typical Broker Commissions trade costs of $1.94
9/2/21 9:52 ACI ALBERTSONS COS INC SHORT 160 31.29 9/2 11:09 32.10 0.2%
Trade id #137223847
Max drawdown($136)
Time9/2/21 11:09
Quant open160
Worst price32.14
Drawdown as % of equity-0.20%
($133)
Includes Typical Broker Commissions trade costs of $3.20
9/1/21 10:19 BMRN BIOMARIN PHARMACEUTICAL SHORT 59 85.01 9/1 15:59 84.25 0.02%
Trade id #137209555
Max drawdown($15)
Time9/1/21 12:38
Quant open59
Worst price85.28
Drawdown as % of equity-0.02%
$44
Includes Typical Broker Commissions trade costs of $1.18
9/1/21 9:39 ASO ACADEMY SPORTS AND OUTDOORS INC. COMMON STOCK SHORT 113 44.44 9/1 15:59 44.44 0.09%
Trade id #137208036
Max drawdown($63)
Time9/1/21 9:49
Quant open113
Worst price45.00
Drawdown as % of equity-0.09%
($2)
Includes Typical Broker Commissions trade costs of $2.26
9/1/21 9:30 DT DYNATRACE INC SHORT 73 68.98 9/1 15:59 69.08 0.13%
Trade id #137206962
Max drawdown($87)
Time9/1/21 10:55
Quant open73
Worst price70.18
Drawdown as % of equity-0.13%
($8)
Includes Typical Broker Commissions trade costs of $1.46
9/1/21 9:30 NRZ NEW RESIDENTIAL INVESTMENT SHORT 453 11.04 9/1 15:59 11.06 0.04%
Trade id #137206915
Max drawdown($27)
Time9/1/21 13:01
Quant open453
Worst price11.10
Drawdown as % of equity-0.04%
($18)
Includes Typical Broker Commissions trade costs of $9.06
9/1/21 9:30 NSA NATIONAL STORAGE AFFILIATES TRUST SHORT 87 57.41 9/1 15:59 57.67 0.05%
Trade id #137206872
Max drawdown($30)
Time9/1/21 15:59
Quant open87
Worst price57.76
Drawdown as % of equity-0.05%
($25)
Includes Typical Broker Commissions trade costs of $1.74
8/31/21 10:04 MYOV MYOVANT SCIENCES LTD SHORT 206 24.33 8/31 15:59 24.39 0.09%
Trade id #137192358
Max drawdown($57)
Time8/31/21 14:30
Quant open206
Worst price24.61
Drawdown as % of equity-0.09%
($16)
Includes Typical Broker Commissions trade costs of $4.12
8/31/21 9:41 KNX KNIGHT-SWIFT TRANSPORTATION HOLDINGS INC SHORT 94 53.21 8/31 15:59 51.95 n/a $116
Includes Typical Broker Commissions trade costs of $1.88
8/30/21 9:30 BMRN BIOMARIN PHARMACEUTICAL SHORT 59 84.45 8/30 15:59 83.32 0.02%
Trade id #137171661
Max drawdown($16)
Time8/30/21 10:23
Quant open59
Worst price84.73
Drawdown as % of equity-0.02%
$66
Includes Typical Broker Commissions trade costs of $1.18
8/30/21 9:30 SBLK STAR BULK CARRIERS SHORT 210 24.12 8/30 15:59 23.88 0.06%
Trade id #137171617
Max drawdown($43)
Time8/30/21 9:33
Quant open210
Worst price24.33
Drawdown as % of equity-0.06%
$46
Includes Typical Broker Commissions trade costs of $4.20
8/30/21 9:30 VRNS VARONIS SYSTEMS INC. COMMON S SHORT 75 66.90 8/30 12:42 68.59 0.19%
Trade id #137171779
Max drawdown($126)
Time8/30/21 12:42
Quant open75
Worst price68.59
Drawdown as % of equity-0.19%
($129)
Includes Typical Broker Commissions trade costs of $1.50
8/30/21 10:56 PSTG PURE STORAGE INC SHORT 200 24.99 8/30 12:24 25.62 0.19%
Trade id #137175924
Max drawdown($128)
Time8/30/21 12:24
Quant open200
Worst price25.63
Drawdown as % of equity-0.19%
($130)
Includes Typical Broker Commissions trade costs of $4.00
8/27/21 10:16 LMRK LANDMARK INFRASTRUCTURE PARTNE SHORT 307 16.29 8/27 15:59 16.27 0%
Trade id #137149214
Max drawdown($3)
Time8/27/21 10:19
Quant open307
Worst price16.30
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $6.14

Statistics

  • Strategy began
    7/6/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    446.62
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    1111
  • # Profitable
    600
  • % Profitable
    54.00%
  • Avg trade duration
    5.2 hours
  • Max peak-to-valley drawdown
    9.26%
  • drawdown period
    Jan 04, 2021 - Jan 14, 2021
  • Annual Return (Compounded)
    27.8%
  • Avg win
    $104.78
  • Avg loss
    $78.77
  • Model Account Values (Raw)
  • Cash
    $72,615
  • Margin Used
    $0
  • Buying Power
    $72,615
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    1.82
  • Sortino Ratio
    3.59
  • Calmar Ratio
    5.242
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.80%
  • Correlation to SP500
    -0.02030
  • Return Percent SP500 (cumu) during strategy life
    40.12%
  • Return Statistics
  • Ann Return (w trading costs)
    27.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.278%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    35.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    5.74%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    695
  • Popularity (Last 6 weeks)
    952
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    968
  • Popularity (7 days, Percentile 1000 scale)
    921
  • 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
    $79
  • Avg Win
    $105
  • Sum Trade PL (losers)
    $40,253.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $62,868.000
  • # Winners
    600
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    68142
  • Win / Loss
  • # Losers
    511
  • % Winners
    54.0%
  • Frequency
  • Avg Position Time (mins)
    312.33
  • Avg Position Time (hrs)
    5.21
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.41
  • Daily leverage (max)
    2.83
  • Regression
  • Alpha
    0.07
  • Beta
    -0.02
  • Treynor Index
    -4.20
  • 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)
    -0.81
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -24.581
  • 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
    0.610
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.476
  • Hold-and-Hope Ratio
    -0.041
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30246
  • SD
    0.13642
  • Sharpe ratio (Glass type estimate)
    2.21706
  • Sharpe ratio (Hedges UMVUE)
    2.08622
  • df
    13.00000
  • t
    2.39470
  • p
    0.16668
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18130
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18348
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10235
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07008
  • Statistics related to Sortino ratio
  • Sortino ratio
    60.57860
  • Upside Potential Ratio
    61.52190
  • Upside part of mean
    0.30717
  • Downside part of mean
    -0.00471
  • Upside SD
    0.15773
  • Downside SD
    0.00499
  • N nonnegative terms
    12.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.26982
  • Mean of criterion
    0.30246
  • SD of predictor
    0.07385
  • SD of criterion
    0.13642
  • Covariance
    -0.00093
  • r
    -0.09223
  • b (slope, estimate of beta)
    -0.17038
  • a (intercept, estimate of alpha)
    0.34843
  • Mean Square Error
    0.01999
  • DF error
    12.00000
  • t(b)
    -0.32087
  • p(b)
    0.54612
  • t(a)
    1.79542
  • p(a)
    0.26992
  • Lowerbound of 95% confidence interval for beta
    -1.32732
  • Upperbound of 95% confidence interval for beta
    0.98656
  • Lowerbound of 95% confidence interval for alpha
    -0.07440
  • Upperbound of 95% confidence interval for alpha
    0.77126
  • Treynor index (mean / b)
    -1.77516
  • Jensen alpha (a)
    0.34843
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29028
  • SD
    0.12736
  • Sharpe ratio (Glass type estimate)
    2.27929
  • Sharpe ratio (Hedges UMVUE)
    2.14477
  • df
    13.00000
  • t
    2.46191
  • p
    0.16107
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23282
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.25512
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15170
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13784
  • Statistics related to Sortino ratio
  • Sortino ratio
    58.11850
  • Upside Potential Ratio
    59.06180
  • Upside part of mean
    0.29499
  • Downside part of mean
    -0.00471
  • Upside SD
    0.14852
  • Downside SD
    0.00499
  • N nonnegative terms
    12.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.26379
  • Mean of criterion
    0.29028
  • SD of predictor
    0.07239
  • SD of criterion
    0.12736
  • Covariance
    -0.00080
  • r
    -0.08644
  • b (slope, estimate of beta)
    -0.15208
  • a (intercept, estimate of alpha)
    0.33040
  • Mean Square Error
    0.01744
  • DF error
    12.00000
  • t(b)
    -0.30057
  • p(b)
    0.54322
  • t(a)
    1.82533
  • p(a)
    0.26692
  • Lowerbound of 95% confidence interval for beta
    -1.25453
  • Upperbound of 95% confidence interval for beta
    0.95037
  • Lowerbound of 95% confidence interval for alpha
    -0.06398
  • Upperbound of 95% confidence interval for alpha
    0.72478
  • Treynor index (mean / b)
    -1.90871
  • Jensen alpha (a)
    0.33040
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03563
  • Expected Shortfall on VaR
    0.05025
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00029
  • Expected Shortfall on VaR
    0.00092
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.99694
  • Quartile 1
    1.00760
  • Median
    1.01520
  • Quartile 3
    1.03105
  • Maximum
    1.15091
  • Mean of quarter 1
    1.00262
  • Mean of quarter 2
    1.01020
  • Mean of quarter 3
    1.02214
  • Mean of quarter 4
    1.06950
  • Inter Quartile Range
    0.02345
  • 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
    0.07143
  • Mean of outliers high
    1.15091
  • 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
    1.00000
  • Minimum
    0.00306
  • Quartile 1
    0.00306
  • Median
    0.00306
  • Quartile 3
    0.00306
  • Maximum
    0.00306
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.38529
  • Compounded annual return (geometric extrapolation)
    0.37463
  • Calmar ratio (compounded annual return / max draw down)
    122.28700
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.45606
  • 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
    0.28844
  • SD
    0.10469
  • Sharpe ratio (Glass type estimate)
    2.75523
  • Sharpe ratio (Hedges UMVUE)
    2.74864
  • df
    314.00000
  • t
    3.02108
  • p
    0.00136
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.95267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55353
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94827
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54901
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.73299
  • Upside Potential Ratio
    10.69810
  • Upside part of mean
    0.53825
  • Downside part of mean
    -0.24981
  • Upside SD
    0.09333
  • Downside SD
    0.05031
  • N nonnegative terms
    166.00000
  • N negative terms
    149.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    315.00000
  • Mean of predictor
    0.26341
  • Mean of criterion
    0.28844
  • SD of predictor
    0.14551
  • SD of criterion
    0.10469
  • Covariance
    -0.00028
  • r
    -0.01853
  • b (slope, estimate of beta)
    -0.01333
  • a (intercept, estimate of alpha)
    0.29200
  • Mean Square Error
    0.01099
  • DF error
    313.00000
  • t(b)
    -0.32785
  • p(b)
    0.62838
  • t(a)
    3.03453
  • p(a)
    0.00131
  • Lowerbound of 95% confidence interval for beta
    -0.09333
  • Upperbound of 95% confidence interval for beta
    0.06667
  • Lowerbound of 95% confidence interval for alpha
    0.10265
  • Upperbound of 95% confidence interval for alpha
    0.48126
  • Treynor index (mean / b)
    -21.63860
  • Jensen alpha (a)
    0.29195
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28288
  • SD
    0.10348
  • Sharpe ratio (Glass type estimate)
    2.73363
  • Sharpe ratio (Hedges UMVUE)
    2.72710
  • df
    314.00000
  • t
    2.99740
  • p
    0.00147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.93128
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.53174
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92693
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52727
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.56440
  • Upside Potential Ratio
    10.50300
  • Upside part of mean
    0.53395
  • Downside part of mean
    -0.25106
  • Upside SD
    0.09163
  • Downside SD
    0.05084
  • N nonnegative terms
    166.00000
  • N negative terms
    149.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    315.00000
  • Mean of predictor
    0.25268
  • Mean of criterion
    0.28288
  • SD of predictor
    0.14576
  • SD of criterion
    0.10348
  • Covariance
    -0.00029
  • r
    -0.01891
  • b (slope, estimate of beta)
    -0.01343
  • a (intercept, estimate of alpha)
    0.28627
  • Mean Square Error
    0.01074
  • DF error
    313.00000
  • t(b)
    -0.33465
  • p(b)
    0.63094
  • t(a)
    3.01178
  • p(a)
    0.00140
  • Lowerbound of 95% confidence interval for beta
    -0.09237
  • Upperbound of 95% confidence interval for beta
    0.06551
  • Lowerbound of 95% confidence interval for alpha
    0.09925
  • Upperbound of 95% confidence interval for alpha
    0.47329
  • Treynor index (mean / b)
    -21.06910
  • Jensen alpha (a)
    0.28627
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00939
  • Expected Shortfall on VaR
    0.01203
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00204
  • Expected Shortfall on VaR
    0.00465
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    315.00000
  • Minimum
    0.97000
  • Quartile 1
    0.99950
  • Median
    1.00022
  • Quartile 3
    1.00193
  • Maximum
    1.06677
  • Mean of quarter 1
    0.99647
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00104
  • Mean of quarter 4
    1.00737
  • Inter Quartile Range
    0.00244
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.06032
  • Mean of outliers low
    0.99035
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.09206
  • Mean of outliers high
    1.01433
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59716
  • VaR(95%) (moments method)
    0.00317
  • Expected Shortfall (moments method)
    0.00925
  • Extreme Value Index (regression method)
    0.50246
  • VaR(95%) (regression method)
    0.00314
  • Expected Shortfall (regression method)
    0.00769
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    41.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00128
  • Median
    0.00248
  • Quartile 3
    0.00577
  • Maximum
    0.06954
  • Mean of quarter 1
    0.00060
  • Mean of quarter 2
    0.00177
  • Mean of quarter 3
    0.00387
  • Mean of quarter 4
    0.01640
  • Inter Quartile Range
    0.00449
  • 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
    0.07317
  • Mean of outliers high
    0.03389
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.58776
  • VaR(95%) (moments method)
    0.01700
  • Expected Shortfall (moments method)
    0.04341
  • Extreme Value Index (regression method)
    0.90131
  • VaR(95%) (regression method)
    0.01493
  • Expected Shortfall (regression method)
    0.12286
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37681
  • Compounded annual return (geometric extrapolation)
    0.36450
  • Calmar ratio (compounded annual return / max draw down)
    5.24162
  • Compounded annual return / average of 25% largest draw downs
    22.22040
  • Compounded annual return / Expected Shortfall lognormal
    30.29500
  • 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
    0.06405
  • SD
    0.03261
  • Sharpe ratio (Glass type estimate)
    1.96420
  • Sharpe ratio (Hedges UMVUE)
    1.95284
  • df
    130.00000
  • t
    1.38890
  • p
    0.43954
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82151
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.74251
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82911
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.73480
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26470
  • Upside Potential Ratio
    10.52580
  • Upside part of mean
    0.20651
  • Downside part of mean
    -0.14246
  • Upside SD
    0.02619
  • Downside SD
    0.01962
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23954
  • Mean of criterion
    0.06405
  • SD of predictor
    0.10886
  • SD of criterion
    0.03261
  • Covariance
    -0.00041
  • r
    -0.11515
  • b (slope, estimate of beta)
    -0.03449
  • a (intercept, estimate of alpha)
    0.07231
  • Mean Square Error
    0.00106
  • DF error
    129.00000
  • t(b)
    -1.31664
  • p(b)
    0.57315
  • t(a)
    1.55805
  • p(a)
    0.41375
  • Lowerbound of 95% confidence interval for beta
    -0.08633
  • Upperbound of 95% confidence interval for beta
    0.01734
  • Lowerbound of 95% confidence interval for alpha
    -0.01952
  • Upperbound of 95% confidence interval for alpha
    0.16414
  • Treynor index (mean / b)
    -1.85684
  • Jensen alpha (a)
    0.07231
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06351
  • SD
    0.03258
  • Sharpe ratio (Glass type estimate)
    1.94940
  • Sharpe ratio (Hedges UMVUE)
    1.93813
  • df
    130.00000
  • t
    1.37843
  • p
    0.43999
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83615
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.72768
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.71993
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.23112
  • Upside Potential Ratio
    10.48790
  • Upside part of mean
    0.20615
  • Downside part of mean
    -0.14264
  • Upside SD
    0.02612
  • Downside SD
    0.01966
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23353
  • Mean of criterion
    0.06351
  • SD of predictor
    0.10884
  • SD of criterion
    0.03258
  • Covariance
    -0.00041
  • r
    -0.11604
  • b (slope, estimate of beta)
    -0.03473
  • a (intercept, estimate of alpha)
    0.07162
  • Mean Square Error
    0.00106
  • DF error
    129.00000
  • t(b)
    -1.32692
  • p(b)
    0.57371
  • t(a)
    1.54540
  • p(a)
    0.41443
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.08652
  • Upperbound of 95% confidence interval for beta
    0.01706
  • Lowerbound of 95% confidence interval for alpha
    -0.02007
  • Upperbound of 95% confidence interval for alpha
    0.16331
  • Treynor index (mean / b)
    -1.82850
  • Jensen alpha (a)
    0.07162
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00306
  • Expected Shortfall on VaR
    0.00390
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00125
  • Expected Shortfall on VaR
    0.00254
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99352
  • Quartile 1
    0.99954
  • Median
    1.00011
  • Quartile 3
    1.00127
  • Maximum
    1.00851
  • Mean of quarter 1
    0.99814
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00059
  • Mean of quarter 4
    1.00277
  • Inter Quartile Range
    0.00172
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.99545
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.00582
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.19604
  • VaR(95%) (moments method)
    0.00197
  • Expected Shortfall (moments method)
    0.00264
  • Extreme Value Index (regression method)
    -0.00949
  • VaR(95%) (regression method)
    0.00227
  • Expected Shortfall (regression method)
    0.00336
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00150
  • Median
    0.00186
  • Quartile 3
    0.00614
  • Maximum
    0.00956
  • Mean of quarter 1
    0.00076
  • Mean of quarter 2
    0.00164
  • Mean of quarter 3
    0.00316
  • Mean of quarter 4
    0.00917
  • Inter Quartile Range
    0.00464
  • 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)
    -46.97560
  • VaR(95%) (moments method)
    0.00865
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.15230
  • VaR(95%) (regression method)
    0.01002
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.01004
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -361143000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09354
  • Compounded annual return (geometric extrapolation)
    0.09573
  • Calmar ratio (compounded annual return / max draw down)
    10.01190
  • Compounded annual return / average of 25% largest draw downs
    10.43720
  • Compounded annual return / Expected Shortfall lognormal
    24.53610

Strategy Description

Day Trading strategy with pre-determine entry prices, 10% stop Loss and all positions closed-out before market end.

Summary Statistics

Strategy began
2020-07-06
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 3.2%
Rank # 
#25
# Trades
1111
# Profitable
600
% Profitable
54.0%
Correlation S&P500
-0.020
Sharpe Ratio
1.82
Sortino Ratio
3.59
Beta
-0.02
Alpha
0.07
Leverage
0.41 Average
2.83 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.