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SUPER08H Hedged Stocks
(132165642)

Created by: CraigSchulenberg CraigSchulenberg
Started: 11/2020
Stocks
Last trade: Today

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 $100.00 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.

33.2%
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.

(9.7%)
Max Drawdown
114
Num Trades
54.4%
Win Trades
2.4 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +4.2%+1.9%+6.1%
2021+7.9%+8.7%+2.5%+4.3%+2.2%(0.4%)(0.4%)+2.4%(8.3%)+5.0%            +25.5%

Model Account Details

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

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

Trading Record

This strategy has placed 133 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
10/20/21 9:30 SH PROSHARES SHORT S&P500 LONG 1,534 14.40 10/26 9:30 14.26 0.12%
Trade id #137884878
Max drawdown($82)
Time10/25/21 0:00
Quant open531
Worst price14.31
Drawdown as % of equity-0.12%
($227)
Includes Typical Broker Commissions trade costs of $7.50
9/27/21 9:30 EEFT EURONET WORLDWIDE LONG 47 129.33 10/25 9:31 122.93 0.53%
Trade id #137539737
Max drawdown($349)
Time10/22/21 0:00
Quant open47
Worst price121.90
Drawdown as % of equity-0.53%
($302)
Includes Typical Broker Commissions trade costs of $0.94
5/19/21 9:30 SBAC SBA COMMUNICATIONS LONG 25 290.95 10/25 9:31 346.43 0.21%
Trade id #135679118
Max drawdown($141)
Time5/19/21 15:00
Quant open25
Worst price285.30
Drawdown as % of equity-0.21%
$1,387
Includes Typical Broker Commissions trade costs of $0.50
10/15/21 9:30 CNC CENTENE LONG 117 63.49 10/20 9:30 65.16 n/a $194
Includes Typical Broker Commissions trade costs of $2.34
10/14/21 9:32 SH PROSHARES SHORT S&P500 LONG 937 14.87 10/15 9:30 14.69 0.33%
Trade id #137802191
Max drawdown($215)
Time10/15/21 0:00
Quant open937
Worst price14.64
Drawdown as % of equity-0.33%
($174)
Includes Typical Broker Commissions trade costs of $5.00
10/12/21 9:30 CNC CENTENE LONG 112 63.42 10/14 9:32 63.75 0.39%
Trade id #137768371
Max drawdown($247)
Time10/13/21 0:00
Quant open112
Worst price61.21
Drawdown as % of equity-0.39%
$35
Includes Typical Broker Commissions trade costs of $2.24
10/8/21 9:30 ADBE ADOBE INC LONG 12 582.87 10/14 9:30 600.00 0.21%
Trade id #137725864
Max drawdown($136)
Time10/11/21 0:00
Quant open12
Worst price571.50
Drawdown as % of equity-0.21%
$206
Includes Typical Broker Commissions trade costs of $0.24
10/11/21 9:30 SH PROSHARES SHORT S&P500 LONG 473 14.94 10/12 9:30 14.99 0.08%
Trade id #137749379
Max drawdown($52)
Time10/11/21 10:20
Quant open473
Worst price14.83
Drawdown as % of equity-0.08%
$15
Includes Typical Broker Commissions trade costs of $9.46
10/8/21 9:30 CNC CENTENE LONG 109 64.17 10/11 9:30 64.14 0.09%
Trade id #137725851
Max drawdown($57)
Time10/8/21 9:53
Quant open109
Worst price63.64
Drawdown as % of equity-0.09%
($5)
Includes Typical Broker Commissions trade costs of $2.18
10/7/21 9:30 SH PROSHARES SHORT S&P500 LONG 975 14.90 10/8 9:30 14.86 0.18%
Trade id #137708942
Max drawdown($112)
Time10/7/21 10:22
Quant open975
Worst price14.79
Drawdown as % of equity-0.18%
($44)
Includes Typical Broker Commissions trade costs of $5.00
10/6/21 9:30 CNC CENTENE LONG 114 62.06 10/7 9:30 63.40 0.22%
Trade id #137688817
Max drawdown($142)
Time10/6/21 10:20
Quant open114
Worst price60.81
Drawdown as % of equity-0.22%
$151
Includes Typical Broker Commissions trade costs of $2.28
10/6/21 9:30 ADBE ADOBE INC LONG 12 562.77 10/7 9:30 578.46 0.05%
Trade id #137688814
Max drawdown($30)
Time10/6/21 10:03
Quant open12
Worst price560.21
Drawdown as % of equity-0.05%
$188
Includes Typical Broker Commissions trade costs of $0.24
10/5/21 9:30 SH PROSHARES SHORT S&P500 LONG 917 15.19 10/6 9:30 15.21 0.27%
Trade id #137667169
Max drawdown($171)
Time10/5/21 14:33
Quant open917
Worst price15.00
Drawdown as % of equity-0.27%
$16
Includes Typical Broker Commissions trade costs of $5.00
9/10/21 9:30 VRSN VERISIGN LONG 27 222.78 10/5 9:30 205.74 0.79%
Trade id #137318892
Max drawdown($500)
Time10/1/21 0:00
Quant open27
Worst price204.23
Drawdown as % of equity-0.79%
($461)
Includes Typical Broker Commissions trade costs of $0.54
5/25/21 9:30 ADBE ADOBE INC LONG 15 499.70 10/5 9:30 565.09 0.27%
Trade id #135762484
Max drawdown($185)
Time6/3/21 0:00
Quant open15
Worst price487.34
Drawdown as % of equity-0.27%
$981
Includes Typical Broker Commissions trade costs of $0.30
9/29/21 9:30 CNC CENTENE LONG 98 63.48 9/30 9:30 63.91 0.07%
Trade id #137578491
Max drawdown($46)
Time9/29/21 9:43
Quant open98
Worst price63.01
Drawdown as % of equity-0.07%
$40
Includes Typical Broker Commissions trade costs of $1.96
9/28/21 9:30 SH PROSHARES SHORT S&P500 LONG 415 14.88 9/29 9:30 15.01 0%
Trade id #137557848
Max drawdown($1)
Time9/28/21 9:33
Quant open415
Worst price14.87
Drawdown as % of equity-0.00%
$46
Includes Typical Broker Commissions trade costs of $8.30
9/27/21 9:30 CNC CENTENE LONG 95 63.16 9/28 9:30 63.50 0.02%
Trade id #137539739
Max drawdown($15)
Time9/27/21 9:33
Quant open95
Worst price63.00
Drawdown as % of equity-0.02%
$30
Includes Typical Broker Commissions trade costs of $1.90
9/23/21 9:31 SH PROSHARES SHORT S&P500 LONG 813 14.87 9/27 9:30 14.76 0.2%
Trade id #137494636
Max drawdown($134)
Time9/23/21 13:39
Quant open813
Worst price14.70
Drawdown as % of equity-0.20%
($90)
Includes Typical Broker Commissions trade costs of $5.00
9/17/21 9:30 CNC CENTENE LONG 100 61.83 9/23 9:31 62.73 0.05%
Trade id #137413247
Max drawdown($33)
Time9/17/21 9:58
Quant open100
Worst price61.50
Drawdown as % of equity-0.05%
$88
Includes Typical Broker Commissions trade costs of $2.00
9/10/21 9:30 EEFT EURONET WORLDWIDE LONG 47 133.47 9/23 9:30 123.79 0.73%
Trade id #137318893
Max drawdown($485)
Time9/22/21 0:00
Quant open47
Worst price123.13
Drawdown as % of equity-0.73%
($456)
Includes Typical Broker Commissions trade costs of $0.94
9/16/21 9:30 SH PROSHARES SHORT S&P500 LONG 421 14.68 9/17 9:30 14.71 0.02%
Trade id #137396112
Max drawdown($14)
Time9/16/21 15:10
Quant open421
Worst price14.64
Drawdown as % of equity-0.02%
$5
Includes Typical Broker Commissions trade costs of $8.42
9/14/21 9:30 CNC CENTENE LONG 100 62.81 9/16 9:30 61.93 0.39%
Trade id #137363115
Max drawdown($264)
Time9/15/21 0:00
Quant open100
Worst price60.17
Drawdown as % of equity-0.39%
($90)
Includes Typical Broker Commissions trade costs of $2.00
9/13/21 9:31 SH PROSHARES SHORT S&P500 LONG 427 14.64 9/14 9:30 14.65 n/a ($7)
Includes Typical Broker Commissions trade costs of $8.54
9/10/21 9:30 CNC CENTENE LONG 103 62.27 9/13 9:31 59.97 0.39%
Trade id #137318895
Max drawdown($267)
Time9/10/21 15:57
Quant open103
Worst price59.67
Drawdown as % of equity-0.39%
($239)
Includes Typical Broker Commissions trade costs of $2.06
9/7/21 9:30 SH PROSHARES SHORT S&P500 LONG 1,269 14.56 9/10 9:30 14.56 0.04%
Trade id #137270887
Max drawdown($31)
Time9/9/21 0:00
Quant open908
Worst price14.52
Drawdown as % of equity-0.04%
($9)
Includes Typical Broker Commissions trade costs of $12.38
8/9/21 9:30 GS GOLDMAN SACHS GROUP LONG 13 396.14 9/9 9:30 404.67 0.1%
Trade id #136880757
Max drawdown($67)
Time8/19/21 0:00
Quant open13
Worst price390.91
Drawdown as % of equity-0.10%
$111
Includes Typical Broker Commissions trade costs of $0.26
6/22/21 9:30 CPRT COPART LONG 54 132.12 9/8 9:30 142.98 0.11%
Trade id #136158155
Max drawdown($71)
Time6/22/21 10:19
Quant open54
Worst price130.79
Drawdown as % of equity-0.11%
$585
Includes Typical Broker Commissions trade costs of $1.08
9/1/21 9:30 EEFT EURONET WORLDWIDE LONG 40 134.51 9/7 9:30 134.41 0.09%
Trade id #137207170
Max drawdown($63)
Time9/1/21 9:58
Quant open40
Worst price132.93
Drawdown as % of equity-0.09%
($5)
Includes Typical Broker Commissions trade costs of $0.80
8/31/21 9:30 SH PROSHARES SHORT S&P500 LONG 372 14.54 9/1 9:30 14.51 0.01%
Trade id #137190238
Max drawdown($9)
Time9/1/21 0:00
Quant open372
Worst price14.51
Drawdown as % of equity-0.01%
($16)
Includes Typical Broker Commissions trade costs of $7.44

Statistics

  • Strategy began
    11/9/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    350.45
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    114
  • # Profitable
    62
  • % Profitable
    54.40%
  • Avg trade duration
    24.3 days
  • Max peak-to-valley drawdown
    9.73%
  • drawdown period
    Sept 03, 2021 - Oct 04, 2021
  • Cumul. Return
    33.2%
  • Avg win
    $505.66
  • Avg loss
    $259.27
  • Model Account Values (Raw)
  • Cash
    $33,099
  • Margin Used
    $0
  • Buying Power
    $36,754
  • Ratios
  • W:L ratio
    2.42:1
  • Sharpe Ratio
    1.68
  • Sortino Ratio
    2.57
  • Calmar Ratio
    4.636
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3.73%
  • Correlation to SP500
    0.50790
  • Return Percent SP500 (cumu) during strategy life
    28.62%
  • Return Statistics
  • Ann Return (w trading costs)
    34.4%
  • Slump
  • Current Slump as Pcnt Equity
    5.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.15%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.332%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    38.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    621
  • Popularity (Last 6 weeks)
    920
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    878
  • Popularity (7 days, Percentile 1000 scale)
    695
  • 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
    $259
  • Avg Win
    $506
  • Sum Trade PL (losers)
    $13,484.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $31,356.000
  • # Winners
    62
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    636
  • AUM
  • AUM (AutoTrader live capital)
    68255
  • Win / Loss
  • # Losers
    52
  • % Winners
    54.4%
  • Frequency
  • Avg Position Time (mins)
    35028.70
  • Avg Position Time (hrs)
    583.81
  • Avg Trade Length
    24.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.90
  • Daily leverage (max)
    1.20
  • Regression
  • Alpha
    0.04
  • Beta
    0.59
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.31
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.926
  • 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
    0.281
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.379
  • Hold-and-Hope Ratio
    0.541
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28831
  • SD
    0.15209
  • Sharpe ratio (Glass type estimate)
    1.89569
  • Sharpe ratio (Hedges UMVUE)
    1.74924
  • df
    10.00000
  • t
    1.81499
  • p
    0.04979
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34968
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06067
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43671
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93520
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.12925
  • Upside Potential Ratio
    6.79143
  • Upside part of mean
    0.38174
  • Downside part of mean
    -0.09343
  • Upside SD
    0.15746
  • Downside SD
    0.05621
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.20184
  • Mean of criterion
    0.28831
  • SD of predictor
    0.07680
  • SD of criterion
    0.15209
  • Covariance
    0.00833
  • r
    0.71302
  • b (slope, estimate of beta)
    1.41197
  • a (intercept, estimate of alpha)
    0.00332
  • Mean Square Error
    0.01263
  • DF error
    9.00000
  • t(b)
    3.05078
  • p(b)
    0.00689
  • t(a)
    0.02210
  • p(a)
    0.49143
  • Lowerbound of 95% confidence interval for beta
    0.36499
  • Upperbound of 95% confidence interval for beta
    2.45894
  • Lowerbound of 95% confidence interval for alpha
    -0.33608
  • Upperbound of 95% confidence interval for alpha
    0.34271
  • Treynor index (mean / b)
    0.20419
  • Jensen alpha (a)
    0.00332
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27423
  • SD
    0.14854
  • Sharpe ratio (Glass type estimate)
    1.84614
  • Sharpe ratio (Hedges UMVUE)
    1.70352
  • df
    10.00000
  • t
    1.76755
  • p
    0.05379
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39053
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00403
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47548
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.88253
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.78013
  • Upside Potential Ratio
    6.43316
  • Upside part of mean
    0.36907
  • Downside part of mean
    -0.09483
  • Upside SD
    0.15177
  • Downside SD
    0.05737
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.19710
  • Mean of criterion
    0.27423
  • SD of predictor
    0.07584
  • SD of criterion
    0.14854
  • Covariance
    0.00813
  • r
    0.72141
  • b (slope, estimate of beta)
    1.41294
  • a (intercept, estimate of alpha)
    -0.00425
  • Mean Square Error
    0.01176
  • DF error
    9.00000
  • t(b)
    3.12518
  • p(b)
    0.00611
  • t(a)
    -0.02952
  • p(a)
    0.51145
  • Lowerbound of 95% confidence interval for beta
    0.39018
  • Upperbound of 95% confidence interval for beta
    2.43569
  • Lowerbound of 95% confidence interval for alpha
    -0.33025
  • Upperbound of 95% confidence interval for alpha
    0.32174
  • Treynor index (mean / b)
    0.19409
  • Jensen alpha (a)
    -0.00425
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04656
  • Expected Shortfall on VaR
    0.06338
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01685
  • Expected Shortfall on VaR
    0.03372
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.95247
  • Quartile 1
    0.99337
  • Median
    1.03567
  • Quartile 3
    1.05802
  • Maximum
    1.09692
  • Mean of quarter 1
    0.97685
  • Mean of quarter 2
    1.01037
  • Mean of quarter 3
    1.04874
  • Mean of quarter 4
    1.07692
  • Inter Quartile Range
    0.06465
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32215
  • VaR(95%) (moments method)
    0.02361
  • Expected Shortfall (moments method)
    0.04395
  • Extreme Value Index (regression method)
    2.18405
  • VaR(95%) (regression method)
    0.05605
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01286
  • Quartile 1
    0.02476
  • Median
    0.03666
  • Quartile 3
    0.04855
  • Maximum
    0.06045
  • Mean of quarter 1
    0.01286
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06045
  • Inter Quartile Range
    0.02379
  • 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)
    0.34813
  • Compounded annual return (geometric extrapolation)
    0.35275
  • Calmar ratio (compounded annual return / max draw down)
    5.83531
  • Compounded annual return / average of 25% largest draw downs
    5.83531
  • Compounded annual return / Expected Shortfall lognormal
    5.56609
  • 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
    0.31522
  • SD
    0.14646
  • Sharpe ratio (Glass type estimate)
    2.15232
  • Sharpe ratio (Hedges UMVUE)
    2.14581
  • df
    248.00000
  • t
    2.09824
  • p
    0.01845
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16960
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12648
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16513
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.38104
  • Upside Potential Ratio
    11.14250
  • Upside part of mean
    1.03883
  • Downside part of mean
    -0.72362
  • Upside SD
    0.11424
  • Downside SD
    0.09323
  • N nonnegative terms
    138.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    249.00000
  • Mean of predictor
    0.25172
  • Mean of criterion
    0.31522
  • SD of predictor
    0.12511
  • SD of criterion
    0.14646
  • Covariance
    0.00915
  • r
    0.49954
  • b (slope, estimate of beta)
    0.58476
  • a (intercept, estimate of alpha)
    0.16800
  • Mean Square Error
    0.01616
  • DF error
    247.00000
  • t(b)
    9.06254
  • p(b)
    -0.00000
  • t(a)
    1.27856
  • p(a)
    0.10113
  • Lowerbound of 95% confidence interval for beta
    0.45767
  • Upperbound of 95% confidence interval for beta
    0.71185
  • Lowerbound of 95% confidence interval for alpha
    -0.09081
  • Upperbound of 95% confidence interval for alpha
    0.42685
  • Treynor index (mean / b)
    0.53905
  • Jensen alpha (a)
    0.16802
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30434
  • SD
    0.14625
  • Sharpe ratio (Glass type estimate)
    2.08106
  • Sharpe ratio (Hedges UMVUE)
    2.07476
  • df
    248.00000
  • t
    2.02878
  • p
    0.02177
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06022
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09782
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05601
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09351
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.23692
  • Upside Potential Ratio
    10.97900
  • Upside part of mean
    1.03228
  • Downside part of mean
    -0.72793
  • Upside SD
    0.11320
  • Downside SD
    0.09402
  • N nonnegative terms
    138.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    249.00000
  • Mean of predictor
    0.24378
  • Mean of criterion
    0.30434
  • SD of predictor
    0.12516
  • SD of criterion
    0.14625
  • Covariance
    0.00914
  • r
    0.49956
  • b (slope, estimate of beta)
    0.58374
  • a (intercept, estimate of alpha)
    0.16204
  • Mean Square Error
    0.01611
  • DF error
    247.00000
  • t(b)
    9.06321
  • p(b)
    -0.00000
  • t(a)
    1.23544
  • p(a)
    0.10892
  • Lowerbound of 95% confidence interval for beta
    0.45688
  • Upperbound of 95% confidence interval for beta
    0.71059
  • Lowerbound of 95% confidence interval for alpha
    -0.09629
  • Upperbound of 95% confidence interval for alpha
    0.42037
  • Treynor index (mean / b)
    0.52137
  • Jensen alpha (a)
    0.16204
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01361
  • Expected Shortfall on VaR
    0.01732
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00590
  • Expected Shortfall on VaR
    0.01185
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    249.00000
  • Minimum
    0.96906
  • Quartile 1
    0.99688
  • Median
    1.00175
  • Quartile 3
    1.00565
  • Maximum
    1.03355
  • Mean of quarter 1
    0.99038
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00382
  • Mean of quarter 4
    1.01208
  • Inter Quartile Range
    0.00877
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.02410
  • Mean of outliers low
    0.97687
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.03614
  • Mean of outliers high
    1.02502
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08578
  • VaR(95%) (moments method)
    0.00810
  • Expected Shortfall (moments method)
    0.01076
  • Extreme Value Index (regression method)
    0.02662
  • VaR(95%) (regression method)
    0.00883
  • Expected Shortfall (regression method)
    0.01253
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00097
  • Quartile 1
    0.00461
  • Median
    0.01365
  • Quartile 3
    0.03310
  • Maximum
    0.08501
  • Mean of quarter 1
    0.00209
  • Mean of quarter 2
    0.01051
  • Mean of quarter 3
    0.02078
  • Mean of quarter 4
    0.04896
  • Inter Quartile Range
    0.02849
  • 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
    0.04348
  • Mean of outliers high
    0.08501
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.23091
  • VaR(95%) (moments method)
    0.05572
  • Expected Shortfall (moments method)
    0.07646
  • Extreme Value Index (regression method)
    0.85718
  • VaR(95%) (regression method)
    0.05858
  • Expected Shortfall (regression method)
    0.24090
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39069
  • Compounded annual return (geometric extrapolation)
    0.39410
  • Calmar ratio (compounded annual return / max draw down)
    4.63598
  • Compounded annual return / average of 25% largest draw downs
    8.04926
  • Compounded annual return / Expected Shortfall lognormal
    22.75720
  • 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
    0.00454
  • SD
    0.11523
  • Sharpe ratio (Glass type estimate)
    0.03942
  • Sharpe ratio (Hedges UMVUE)
    0.03919
  • df
    130.00000
  • t
    0.02787
  • p
    0.49878
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.73239
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81123
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.73262
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81100
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05017
  • Upside Potential Ratio
    7.62745
  • Upside part of mean
    0.69060
  • Downside part of mean
    -0.68606
  • Upside SD
    0.07056
  • Downside SD
    0.09054
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16481
  • Mean of criterion
    0.00454
  • SD of predictor
    0.11282
  • SD of criterion
    0.11523
  • Covariance
    0.00728
  • r
    0.56031
  • b (slope, estimate of beta)
    0.57225
  • a (intercept, estimate of alpha)
    -0.08977
  • Mean Square Error
    0.00918
  • DF error
    129.00000
  • t(b)
    7.68316
  • p(b)
    0.16296
  • t(a)
    -0.65984
  • p(a)
    0.53690
  • Lowerbound of 95% confidence interval for beta
    0.42489
  • Upperbound of 95% confidence interval for beta
    0.71961
  • Lowerbound of 95% confidence interval for alpha
    -0.35895
  • Upperbound of 95% confidence interval for alpha
    0.17941
  • Treynor index (mean / b)
    0.00794
  • Jensen alpha (a)
    -0.08977
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00208
  • SD
    0.11567
  • Sharpe ratio (Glass type estimate)
    -0.01797
  • Sharpe ratio (Hedges UMVUE)
    -0.01787
  • df
    130.00000
  • t
    -0.01271
  • p
    0.50056
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.78978
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75383
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.78968
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75394
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02276
  • Upside Potential Ratio
    7.53227
  • Upside part of mean
    0.68805
  • Downside part of mean
    -0.69013
  • Upside SD
    0.07023
  • Downside SD
    0.09135
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15842
  • Mean of criterion
    -0.00208
  • SD of predictor
    0.11293
  • SD of criterion
    0.11567
  • Covariance
    0.00731
  • r
    0.55998
  • b (slope, estimate of beta)
    0.57354
  • a (intercept, estimate of alpha)
    -0.09294
  • Mean Square Error
    0.00925
  • DF error
    129.00000
  • t(b)
    7.67668
  • p(b)
    0.16313
  • t(a)
    -0.68058
  • p(a)
    0.53806
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.42572
  • Upperbound of 95% confidence interval for beta
    0.72136
  • Lowerbound of 95% confidence interval for alpha
    -0.36313
  • Upperbound of 95% confidence interval for alpha
    0.17725
  • Treynor index (mean / b)
    -0.00362
  • Jensen alpha (a)
    -0.09294
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01169
  • Expected Shortfall on VaR
    0.01464
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00580
  • Expected Shortfall on VaR
    0.01168
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96906
  • Quartile 1
    0.99721
  • Median
    1.00100
  • Quartile 3
    1.00471
  • Maximum
    1.01582
  • Mean of quarter 1
    0.99093
  • Mean of quarter 2
    0.99897
  • Mean of quarter 3
    1.00296
  • Mean of quarter 4
    1.00771
  • Inter Quartile Range
    0.00750
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97953
  • 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)
    0.19377
  • VaR(95%) (moments method)
    0.00818
  • Expected Shortfall (moments method)
    0.01294
  • Extreme Value Index (regression method)
    0.28578
  • VaR(95%) (regression method)
    0.00830
  • Expected Shortfall (regression method)
    0.01411
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00097
  • Quartile 1
    0.00674
  • Median
    0.02671
  • Quartile 3
    0.04230
  • Maximum
    0.08501
  • Mean of quarter 1
    0.00271
  • Mean of quarter 2
    0.01365
  • Mean of quarter 3
    0.03978
  • Mean of quarter 4
    0.06408
  • Inter Quartile Range
    0.03556
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -347234000
  • Max Equity Drawdown (num days)
    31
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02600
  • Compounded annual return (geometric extrapolation)
    0.02616
  • Calmar ratio (compounded annual return / max draw down)
    0.30778
  • Compounded annual return / average of 25% largest draw downs
    0.40834
  • Compounded annual return / Expected Shortfall lognormal
    1.78768

Strategy Description

Summary Statistics

Strategy began
2020-11-09
Suggested Minimum Capital
$15,000
Rank at C2 
#98
# Trades
114
# Profitable
62
% Profitable
54.4%
Net Dividends
Correlation S&P500
0.508
Sharpe Ratio
1.68
Sortino Ratio
2.57
Beta
0.59
Alpha
0.04
Leverage
0.90 Average
1.20 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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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.