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Aduna Capital II
(130951188)

Created by: AlfonsoAduna AlfonsoAduna
Started: 09/2020
Stocks
Last trade: 10 days ago
Trading style: Equity Trend-following Event-driven

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 $30.00 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.
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
67.2%
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.

(15.2%)
Max Drawdown
77
Num Trades
74.0%
Win Trades
7.0 : 1
Profit Factor
69.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        (7%)(4.6%)+33.4%+11.5%+31.9%
2021+3.0%+8.0%+9.9%+4.4%(1.3%)+2.5%+0.1%+7.2%(4.8%)                  +31.7%

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 11 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
9/3/20 10:53 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 82 297.03 9/16/21 14:10 328.01 1.35%
Trade id #130979480
Max drawdown($1,224)
Time10/30/20 0:00
Quant open62
Worst price261.41
Drawdown as % of equity-1.35%
$2,538
Includes Typical Broker Commissions trade costs of $1.64
9/3/20 10:52 QQQ POWERSHARES QQQ LONG 83 284.46 9/16/21 14:09 347.27 1.14%
Trade id #130979469
Max drawdown($1,058)
Time9/21/20 0:00
Quant open55
Worst price260.11
Drawdown as % of equity-1.14%
$5,211
Includes Typical Broker Commissions trade costs of $1.66
9/3/20 10:53 SPY SPDR S&P 500 LONG 60 339.11 9/16/21 14:08 414.14 1.31%
Trade id #130979483
Max drawdown($1,158)
Time9/24/20 0:00
Quant open60
Worst price319.80
Drawdown as % of equity-1.31%
$4,501
Includes Typical Broker Commissions trade costs of $1.20
1/11/21 9:30 SYF SYNCHRONY FINANCIAL LONG 50 35.98 6/3 14:22 49.70 0.09%
Trade id #133302239
Max drawdown($128)
Time1/29/21 0:00
Quant open50
Worst price33.41
Drawdown as % of equity-0.09%
$685
Includes Typical Broker Commissions trade costs of $1.00
3/2/21 15:42 EBAY EBAY LONG 70 57.28 6/3 14:22 64.17 0.26%
Trade id #134373522
Max drawdown($403)
Time3/5/21 0:00
Quant open70
Worst price51.51
Drawdown as % of equity-0.26%
$481
Includes Typical Broker Commissions trade costs of $1.40
1/11/21 9:30 GROW US GLOBAL INVESTORS LONG 200 5.82 6/3 14:22 6.09 0.16%
Trade id #133302215
Max drawdown($225)
Time1/21/21 0:00
Quant open200
Worst price4.69
Drawdown as % of equity-0.16%
$50
Includes Typical Broker Commissions trade costs of $4.00
1/11/21 9:30 REG REGENCY CENTERS LONG 50 44.77 6/3 14:22 66.80 0.05%
Trade id #133302191
Max drawdown($64)
Time1/11/21 11:27
Quant open50
Worst price43.49
Drawdown as % of equity-0.05%
$1,101
Includes Typical Broker Commissions trade costs of $1.00
1/8/21 9:30 UL UNILEVER LONG 50 59.92 6/3 14:21 60.28 0.27%
Trade id #133270549
Max drawdown($397)
Time2/26/21 0:00
Quant open50
Worst price51.98
Drawdown as % of equity-0.27%
$17
Includes Typical Broker Commissions trade costs of $1.00
9/25/20 13:33 UBA URSTADT BIDDLE PROPERTIES LONG 250 8.98 6/3/21 14:21 18.48 0.04%
Trade id #131369130
Max drawdown($32)
Time9/25/20 15:42
Quant open250
Worst price8.85
Drawdown as % of equity-0.04%
$2,370
Includes Typical Broker Commissions trade costs of $5.00
9/25/20 13:32 HON HONEYWELL INTERNATIONAL LONG 20 160.96 6/3/21 14:21 229.57 0.03%
Trade id #131369074
Max drawdown($30)
Time10/29/20 0:00
Quant open20
Worst price159.42
Drawdown as % of equity-0.03%
$1,372
Includes Typical Broker Commissions trade costs of $0.40
9/25/20 13:31 O REALTY INCOME LONG 35 59.57 6/3/21 14:21 70.20 0.07%
Trade id #131369064
Max drawdown($89)
Time1/12/21 0:00
Quant open35
Worst price57.00
Drawdown as % of equity-0.07%
$371
Includes Typical Broker Commissions trade costs of $0.70
9/25/20 13:30 AVB AVALONBAY COMMUNITIES LONG 25 146.75 6/3/21 14:21 213.06 0.41%
Trade id #131369054
Max drawdown($384)
Time10/28/20 0:00
Quant open25
Worst price131.38
Drawdown as % of equity-0.41%
$1,658
Includes Typical Broker Commissions trade costs of $0.50
9/25/20 13:36 BAM BROOKFIELD ASSET LONG 100 32.25 6/3/21 14:20 50.06 0.35%
Trade id #131369214
Max drawdown($316)
Time10/30/20 0:00
Quant open100
Worst price29.09
Drawdown as % of equity-0.35%
$1,779
Includes Typical Broker Commissions trade costs of $2.00
9/25/20 13:30 PSB PS BUSINESS PARKS LONG 25 117.81 6/3/21 14:20 158.94 0.24%
Trade id #131369026
Max drawdown($213)
Time10/29/20 0:00
Quant open25
Worst price109.26
Drawdown as % of equity-0.24%
$1,028
Includes Typical Broker Commissions trade costs of $0.50
9/25/20 13:29 CZR CAESERS ENTERTAINMENT INC LONG 25 57.53 6/3/21 14:20 109.40 0.4%
Trade id #131369016
Max drawdown($361)
Time10/30/20 0:00
Quant open25
Worst price43.07
Drawdown as % of equity-0.40%
$1,297
Includes Typical Broker Commissions trade costs of $0.50
9/18/20 12:54 AC ASSOCIATED CAPITAL GROUP INC LONG 100 37.73 6/3/21 14:20 38.61 0.54%
Trade id #131246426
Max drawdown($752)
Time1/29/21 0:00
Quant open100
Worst price30.21
Drawdown as % of equity-0.54%
$86
Includes Typical Broker Commissions trade costs of $2.00
9/14/20 13:45 EPR EPR PROPERTIES LONG 10 31.53 6/3/21 14:19 53.12 0.11%
Trade id #131165071
Max drawdown($109)
Time10/14/20 0:00
Quant open10
Worst price20.62
Drawdown as % of equity-0.11%
$216
Includes Typical Broker Commissions trade costs of $0.20
9/18/20 9:31 F FORD MOTOR LONG 750 7.31 6/3/21 14:19 15.93 0.76%
Trade id #131240409
Max drawdown($675)
Time9/24/20 0:00
Quant open750
Worst price6.41
Drawdown as % of equity-0.76%
$6,460
Includes Typical Broker Commissions trade costs of $5.00
9/14/20 13:46 HST HOST HOTELS & RESORTS LONG 30 11.85 6/3/21 14:19 17.49 0.06%
Trade id #131165082
Max drawdown($54)
Time9/24/20 0:00
Quant open30
Worst price10.04
Drawdown as % of equity-0.06%
$168
Includes Typical Broker Commissions trade costs of $0.60
9/14/20 13:44 SPG SIMON PROPERTY GROUP LONG 24 67.43 6/3/21 14:19 134.46 0.2%
Trade id #131165051
Max drawdown($193)
Time10/28/20 0:00
Quant open24
Worst price59.35
Drawdown as % of equity-0.20%
$1,609
Includes Typical Broker Commissions trade costs of $0.48
9/14/20 13:43 EQR EQUITY RESIDENTIAL LONG 10 56.85 6/3/21 14:18 79.64 0.13%
Trade id #131165035
Max drawdown($114)
Time10/29/20 0:00
Quant open10
Worst price45.42
Drawdown as % of equity-0.13%
$228
Includes Typical Broker Commissions trade costs of $0.20
9/14/20 13:43 VTR VENTAS LONG 10 45.22 6/3/21 14:18 57.29 0.08%
Trade id #131165029
Max drawdown($73)
Time10/29/20 0:00
Quant open10
Worst price37.83
Drawdown as % of equity-0.08%
$121
Includes Typical Broker Commissions trade costs of $0.20
9/14/20 13:43 MPW MEDICAL PROPERTIES TRUST LONG 20 18.48 6/3/21 14:18 21.28 0.05%
Trade id #131165022
Max drawdown($47)
Time9/23/20 0:00
Quant open20
Worst price16.10
Drawdown as % of equity-0.05%
$56
Includes Typical Broker Commissions trade costs of $0.40
9/9/20 13:43 GRMN GARMIN LONG 20 101.51 6/3/21 14:18 142.07 0.22%
Trade id #131091350
Max drawdown($193)
Time9/25/20 0:00
Quant open20
Worst price91.84
Drawdown as % of equity-0.22%
$811
Includes Typical Broker Commissions trade costs of $0.40
9/9/20 10:38 TSLA TESLA INC. LONG 5 353.73 6/3/21 14:18 578.73 0.06%
Trade id #131087189
Max drawdown($61)
Time9/9/20 11:19
Quant open5
Worst price341.51
Drawdown as % of equity-0.06%
$1,125
Includes Typical Broker Commissions trade costs of $0.10
9/9/20 10:38 AAPL APPLE LONG 20 117.66 6/3/21 14:18 123.83 0.31%
Trade id #131087173
Max drawdown($291)
Time9/21/20 0:00
Quant open20
Worst price103.10
Drawdown as % of equity-0.31%
$123
Includes Typical Broker Commissions trade costs of $0.40
9/3/20 15:53 HAIL SPDR S&P KENSHO SMART MOBILITY ETF LONG 25 36.87 6/3/21 14:17 63.15 0.09%
Trade id #130987691
Max drawdown($77)
Time9/24/20 0:00
Quant open25
Worst price33.76
Drawdown as % of equity-0.09%
$657
Includes Typical Broker Commissions trade costs of $0.50
9/3/20 13:31 CAT CATERPILLAR LONG 67 160.23 6/3/21 14:17 243.95 0.03%
Trade id #130984408
Max drawdown($25)
Time9/24/20 0:00
Quant open7
Worst price142.73
Drawdown as % of equity-0.03%
$5,608
Includes Typical Broker Commissions trade costs of $1.34
9/3/20 13:23 LOW LOWE'S COMPANIES LONG 5 162.28 6/3/21 14:17 189.77 0.07%
Trade id #130984202
Max drawdown($77)
Time11/18/20 0:00
Quant open5
Worst price146.72
Drawdown as % of equity-0.07%
$137
Includes Typical Broker Commissions trade costs of $0.10
9/3/20 13:22 HD HOME DEPOT LONG 5 274.21 6/3/21 14:17 311.54 0.09%
Trade id #130984189
Max drawdown($138)
Time3/5/21 0:00
Quant open5
Worst price246.59
Drawdown as % of equity-0.09%
$187
Includes Typical Broker Commissions trade costs of $0.10

Statistics

  • Strategy began
    9/2/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    388.38
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    77
  • # Profitable
    57
  • % Profitable
    74.00%
  • Avg trade duration
    211.5 days
  • Max peak-to-valley drawdown
    15.21%
  • drawdown period
    Oct 12, 2020 - Oct 30, 2020
  • Annual Return (Compounded)
    67.2%
  • Avg win
    $1,419
  • Avg loss
    $622.85
  • Model Account Values (Raw)
  • Cash
    $1,304
  • Margin Used
    $0
  • Buying Power
    $19,738
  • Ratios
  • W:L ratio
    6.96:1
  • Sharpe Ratio
    2
  • Sortino Ratio
    3.14
  • Calmar Ratio
    5.189
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    49.21%
  • Correlation to SP500
    0.55410
  • Return Percent SP500 (cumu) during strategy life
    24.43%
  • Return Statistics
  • Ann Return (w trading costs)
    67.2%
  • Slump
  • Current Slump as Pcnt Equity
    8.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.672%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    68.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.50%
  • Chance of 20% account loss
    1.00%
  • 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)
    865
  • Popularity (Last 6 weeks)
    927
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    910
  • Popularity (7 days, Percentile 1000 scale)
    847
  • 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
    $652
  • Avg Win
    $1,488
  • Sum Trade PL (losers)
    $13,038.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $84,790.000
  • # Winners
    57
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    2880
  • AUM
  • AUM (AutoTrader live capital)
    34888
  • Win / Loss
  • # Losers
    20
  • % Winners
    74.0%
  • Frequency
  • Avg Position Time (mins)
    304502.00
  • Avg Position Time (hrs)
    5075.04
  • Avg Trade Length
    211.5 days
  • Last Trade Ago
    10
  • Leverage
  • Daily leverage (average)
    1.50
  • Daily leverage (max)
    2.13
  • Regression
  • Alpha
    0.10
  • Beta
    0.84
  • Treynor Index
    0.18
  • 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)
    0.10
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.733
  • 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
    0.243
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.644
  • Hold-and-Hope Ratio
    1.594
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64662
  • SD
    0.27924
  • Sharpe ratio (Glass type estimate)
    2.31566
  • Sharpe ratio (Hedges UMVUE)
    2.15347
  • df
    11.00000
  • t
    2.31566
  • p
    0.02044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09306
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45447
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.31014
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.92910
  • Upside Potential Ratio
    14.08730
  • Upside part of mean
    0.70455
  • Downside part of mean
    -0.05793
  • Upside SD
    0.32221
  • Downside SD
    0.05001
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.21552
  • Mean of criterion
    0.64662
  • SD of predictor
    0.13489
  • SD of criterion
    0.27924
  • Covariance
    0.02529
  • r
    0.67131
  • b (slope, estimate of beta)
    1.38971
  • a (intercept, estimate of alpha)
    0.34711
  • Mean Square Error
    0.04712
  • DF error
    10.00000
  • t(b)
    2.86420
  • p(b)
    0.00842
  • t(a)
    1.44064
  • p(a)
    0.09013
  • Lowerbound of 95% confidence interval for beta
    0.30862
  • Upperbound of 95% confidence interval for beta
    2.47080
  • Lowerbound of 95% confidence interval for alpha
    -0.18974
  • Upperbound of 95% confidence interval for alpha
    0.88396
  • Treynor index (mean / b)
    0.46530
  • Jensen alpha (a)
    0.34711
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59831
  • SD
    0.25226
  • Sharpe ratio (Glass type estimate)
    2.37180
  • Sharpe ratio (Hedges UMVUE)
    2.20568
  • df
    11.00000
  • t
    2.37180
  • p
    0.01852
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13831
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.52024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03982
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.37154
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.69820
  • Upside Potential Ratio
    12.85330
  • Upside part of mean
    0.65739
  • Downside part of mean
    -0.05908
  • Upside SD
    0.29248
  • Downside SD
    0.05115
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.20501
  • Mean of criterion
    0.59831
  • SD of predictor
    0.13338
  • SD of criterion
    0.25226
  • Covariance
    0.02264
  • r
    0.67282
  • b (slope, estimate of beta)
    1.27249
  • a (intercept, estimate of alpha)
    0.33743
  • Mean Square Error
    0.03831
  • DF error
    10.00000
  • t(b)
    2.87598
  • p(b)
    0.00825
  • t(a)
    1.56415
  • p(a)
    0.07442
  • Lowerbound of 95% confidence interval for beta
    0.28664
  • Upperbound of 95% confidence interval for beta
    2.25834
  • Lowerbound of 95% confidence interval for alpha
    -0.14324
  • Upperbound of 95% confidence interval for alpha
    0.81811
  • Treynor index (mean / b)
    0.47019
  • Jensen alpha (a)
    0.33743
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06753
  • Expected Shortfall on VaR
    0.09515
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00635
  • Expected Shortfall on VaR
    0.01610
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.95288
  • Quartile 1
    1.00265
  • Median
    1.04037
  • Quartile 3
    1.08554
  • Maximum
    1.27074
  • Mean of quarter 1
    0.98302
  • Mean of quarter 2
    1.02495
  • Mean of quarter 3
    1.06140
  • Mean of quarter 4
    1.15549
  • Inter Quartile Range
    0.08289
  • 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
    0.08333
  • Mean of outliers high
    1.27074
  • 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)
    1.72419
  • VaR(95%) (regression method)
    0.04630
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00509
  • Quartile 1
    0.01560
  • Median
    0.02611
  • Quartile 3
    0.03661
  • Maximum
    0.04712
  • Mean of quarter 1
    0.00509
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04712
  • Inter Quartile Range
    0.02101
  • 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)
    0.87052
  • Compounded annual return (geometric extrapolation)
    0.87052
  • Calmar ratio (compounded annual return / max draw down)
    18.47460
  • Compounded annual return / average of 25% largest draw downs
    18.47460
  • Compounded annual return / Expected Shortfall lognormal
    9.14874
  • 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
    0.53293
  • SD
    0.22970
  • Sharpe ratio (Glass type estimate)
    2.32011
  • Sharpe ratio (Hedges UMVUE)
    2.31375
  • df
    274.00000
  • t
    2.37697
  • p
    0.00907
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39511
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24094
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39089
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23661
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.71369
  • Upside Potential Ratio
    11.65450
  • Upside part of mean
    1.67248
  • Downside part of mean
    -1.13954
  • Upside SD
    0.18183
  • Downside SD
    0.14350
  • N nonnegative terms
    164.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    275.00000
  • Mean of predictor
    0.19138
  • Mean of criterion
    0.53293
  • SD of predictor
    0.14837
  • SD of criterion
    0.22970
  • Covariance
    0.01809
  • r
    0.53071
  • b (slope, estimate of beta)
    0.82165
  • a (intercept, estimate of alpha)
    0.37600
  • Mean Square Error
    0.03804
  • DF error
    273.00000
  • t(b)
    10.34590
  • p(b)
    -0.00000
  • t(a)
    1.96713
  • p(a)
    0.02509
  • Lowerbound of 95% confidence interval for beta
    0.66530
  • Upperbound of 95% confidence interval for beta
    0.97799
  • Lowerbound of 95% confidence interval for alpha
    -0.00030
  • Upperbound of 95% confidence interval for alpha
    0.75167
  • Treynor index (mean / b)
    0.64862
  • Jensen alpha (a)
    0.37568
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50618
  • SD
    0.22907
  • Sharpe ratio (Glass type estimate)
    2.20975
  • Sharpe ratio (Hedges UMVUE)
    2.20370
  • df
    274.00000
  • t
    2.26391
  • p
    0.01218
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28579
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12979
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28175
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12565
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.48148
  • Upside Potential Ratio
    11.39030
  • Upside part of mean
    1.65608
  • Downside part of mean
    -1.14990
  • Upside SD
    0.17922
  • Downside SD
    0.14539
  • N nonnegative terms
    164.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    275.00000
  • Mean of predictor
    0.18030
  • Mean of criterion
    0.50618
  • SD of predictor
    0.14868
  • SD of criterion
    0.22907
  • Covariance
    0.01812
  • r
    0.53190
  • b (slope, estimate of beta)
    0.81948
  • a (intercept, estimate of alpha)
    0.35843
  • Mean Square Error
    0.03776
  • DF error
    273.00000
  • t(b)
    10.37840
  • p(b)
    -0.00000
  • t(a)
    1.88434
  • p(a)
    0.03029
  • Lowerbound of 95% confidence interval for beta
    0.66403
  • Upperbound of 95% confidence interval for beta
    0.97493
  • Lowerbound of 95% confidence interval for alpha
    -0.01604
  • Upperbound of 95% confidence interval for alpha
    0.73291
  • Treynor index (mean / b)
    0.61769
  • Jensen alpha (a)
    0.35843
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02112
  • Expected Shortfall on VaR
    0.02688
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00873
  • Expected Shortfall on VaR
    0.01760
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    275.00000
  • Minimum
    0.94675
  • Quartile 1
    0.99309
  • Median
    1.00207
  • Quartile 3
    1.00972
  • Maximum
    1.06176
  • Mean of quarter 1
    0.98481
  • Mean of quarter 2
    0.99848
  • Mean of quarter 3
    1.00605
  • Mean of quarter 4
    1.01927
  • Inter Quartile Range
    0.01664
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01455
  • Mean of outliers low
    0.95908
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.02545
  • Mean of outliers high
    1.04236
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02764
  • VaR(95%) (moments method)
    0.01464
  • Expected Shortfall (moments method)
    0.01971
  • Extreme Value Index (regression method)
    0.06534
  • VaR(95%) (regression method)
    0.01543
  • Expected Shortfall (regression method)
    0.02140
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00312
  • Quartile 1
    0.00922
  • Median
    0.01792
  • Quartile 3
    0.04382
  • Maximum
    0.13603
  • Mean of quarter 1
    0.00593
  • Mean of quarter 2
    0.01250
  • Mean of quarter 3
    0.03054
  • Mean of quarter 4
    0.09132
  • Inter Quartile Range
    0.03460
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08000
  • Mean of outliers high
    0.12584
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.94354
  • VaR(95%) (moments method)
    0.09136
  • Expected Shortfall (moments method)
    0.09816
  • Extreme Value Index (regression method)
    -0.54715
  • VaR(95%) (regression method)
    0.10200
  • Expected Shortfall (regression method)
    0.11561
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.71618
  • Compounded annual return (geometric extrapolation)
    0.70590
  • Calmar ratio (compounded annual return / max draw down)
    5.18934
  • Compounded annual return / average of 25% largest draw downs
    7.72994
  • Compounded annual return / Expected Shortfall lognormal
    26.26340
  • 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
    0.23003
  • SD
    0.18310
  • Sharpe ratio (Glass type estimate)
    1.25629
  • Sharpe ratio (Hedges UMVUE)
    1.24903
  • df
    130.00000
  • t
    0.88833
  • p
    0.46116
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52202
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.03000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52693
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.02499
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.72952
  • Upside Potential Ratio
    9.67777
  • Upside part of mean
    1.28714
  • Downside part of mean
    -1.05711
  • Upside SD
    0.12563
  • Downside SD
    0.13300
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23954
  • Mean of criterion
    0.23003
  • SD of predictor
    0.10886
  • SD of criterion
    0.18310
  • Covariance
    0.00864
  • r
    0.43337
  • b (slope, estimate of beta)
    0.72893
  • a (intercept, estimate of alpha)
    0.05542
  • Mean Square Error
    0.02744
  • DF error
    129.00000
  • t(b)
    5.46172
  • p(b)
    0.23300
  • t(a)
    0.23438
  • p(a)
    0.48687
  • Lowerbound of 95% confidence interval for beta
    0.46487
  • Upperbound of 95% confidence interval for beta
    0.99299
  • Lowerbound of 95% confidence interval for alpha
    -0.41238
  • Upperbound of 95% confidence interval for alpha
    0.52321
  • Treynor index (mean / b)
    0.31557
  • Jensen alpha (a)
    0.05542
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21321
  • SD
    0.18365
  • Sharpe ratio (Glass type estimate)
    1.16095
  • Sharpe ratio (Hedges UMVUE)
    1.15424
  • df
    130.00000
  • t
    0.82092
  • p
    0.46409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61662
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93418
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62111
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92960
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58452
  • Upside Potential Ratio
    9.50665
  • Upside part of mean
    1.27919
  • Downside part of mean
    -1.06598
  • Upside SD
    0.12465
  • Downside SD
    0.13456
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23353
  • Mean of criterion
    0.21321
  • SD of predictor
    0.10884
  • SD of criterion
    0.18365
  • Covariance
    0.00870
  • r
    0.43501
  • b (slope, estimate of beta)
    0.73399
  • a (intercept, estimate of alpha)
    0.04180
  • Mean Square Error
    0.02756
  • DF error
    129.00000
  • t(b)
    5.48710
  • p(b)
    0.23207
  • t(a)
    0.17649
  • p(a)
    0.49011
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.46933
  • Upperbound of 95% confidence interval for beta
    0.99865
  • Lowerbound of 95% confidence interval for alpha
    -0.42678
  • Upperbound of 95% confidence interval for alpha
    0.51038
  • Treynor index (mean / b)
    0.29048
  • Jensen alpha (a)
    0.04180
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01769
  • Expected Shortfall on VaR
    0.02233
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00790
  • Expected Shortfall on VaR
    0.01603
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95793
  • Quartile 1
    0.99304
  • Median
    1.00306
  • Quartile 3
    1.00823
  • Maximum
    1.02765
  • Mean of quarter 1
    0.98593
  • Mean of quarter 2
    0.99894
  • Mean of quarter 3
    1.00538
  • Mean of quarter 4
    1.01381
  • Inter Quartile Range
    0.01518
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96272
  • 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)
    0.19086
  • VaR(95%) (moments method)
    0.01482
  • Expected Shortfall (moments method)
    0.02189
  • Extreme Value Index (regression method)
    0.13642
  • VaR(95%) (regression method)
    0.01399
  • Expected Shortfall (regression method)
    0.01959
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00312
  • Quartile 1
    0.00926
  • Median
    0.02218
  • Quartile 3
    0.05505
  • Maximum
    0.09033
  • Mean of quarter 1
    0.00430
  • Mean of quarter 2
    0.01100
  • Mean of quarter 3
    0.03835
  • Mean of quarter 4
    0.08953
  • Inter Quartile Range
    0.04579
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -357675000
  • Max Equity Drawdown (num days)
    18
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25625
  • Compounded annual return (geometric extrapolation)
    0.27267
  • Calmar ratio (compounded annual return / max draw down)
    3.01872
  • Compounded annual return / average of 25% largest draw downs
    3.04542
  • Compounded annual return / Expected Shortfall lognormal
    12.21210

Strategy Description

This trading strategy focuses on long-term positioning with small short term positions.

Summary Statistics

Strategy began
2020-09-02
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 9.0%
Rank # 
#70
# Trades
77
# Profitable
57
% Profitable
74.0%
Net Dividends
Correlation S&P500
0.554
Sharpe Ratio
2.00
Sortino Ratio
3.14
Beta
0.84
Alpha
0.10
Leverage
1.50 Average
2.13 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.