Collective2 Collective2

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it

WT - Discontinued

By AnthonyBusigin

Stocks · Started Oct 2005

hypothetical · Annual Return (Compounded)
0.7%
Max Drawdown
—
Trades
129
Win Trades
58.1%
Profit Factor
1
Win Months
11.9%

About this strategy

The system beat the market, but volatility of returns was too high. Time to move on - we have better ideas now,

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20054.4-4.51.71.4
200610.61.84.90.17.2-0.22.33.66.8-0.24.04.455.0
20070.1-0.51.04.1-2.40.3-6.8-1.318.126.3-16.7-5.510.7
20080.77.99.25.232.1-11.65.57.0-27.9-47.5-23.811.5-47.1
20094.46.6-0.345.7-7.3-19.45.7-13.70.0-0.00.00.010.3
20100.00.00.00.00.00.0-0.00.00.00.0-0.0-0.00.0
20110.0-0.20.00.00.00.00.0-0.00.00.00.00.0-0.2
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began10/23/2005
Suggested Minimum Capital$100,000
Age254 months
What it tradesStocks
# Trades129
# Profitable75
% Profitable58.1%
Avg trade duration43.4 days
Max peak-to-valley drawdown—
drawdown period—
Annual return (compounded)0.7%
Avg win$6,411
Avg loss$8,789

Ratios

W:L ratio1.03
Sharpe Ratio-0.05
Sortino Ratio-0.08
Calmar Ratio-0.05

CORRELATION STATISTICS

Correlation to SP5000.13
Return Percent SP500 (cumu) during strategy life547.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-28.1%

Return Statistics

Ann Return (w trading costs)0.7%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.7%

Slump

Current Slump as Pcnt Equity193.6%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss87.8%
Chance of 20% account loss69.0%
Chance of 30% account loss44.2%
Chance of 40% account loss27.3%
Chance of 50% account loss11.1%
Chance of 60% account loss (Monte Carlo)8.7%
Chance of 70% account loss (Monte Carlo)2.1%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$8,789
Avg Win$6,411
# Winners75
Sum Trade PL (losers)$474,613
Sum Trade PL (winners)$480,796
Num Months Winners34
# Losers54
% Winners58.1%

Dividends

Dividends Received in Model Acct8777

Age

Num Months filled monthly returns table252

Frequency

Avg Position Time (mins)62427.50
Avg Position Time (hrs)1040.46
Avg Trade Length43.40
Last Trade Ago6216

Regression

Alpha0
Beta0.11
Treynor Index-0.02

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.04
MAE:Equity, 95th Percentile Value for this strat0.04
MAE:Equity, average, losing trades0.06
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-12.78
MAE:PL (avg, all trades)-0.37
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats54.91
MAE:PL - Winning Trades - this strat Percentile of All Strats39.63
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.37
Avg(MAE) / Avg(PL) - Losing trades-1.30
Hold-and-Hope Ratio-0.08

RATIO STATISTICS

a (intercept, estimate of alpha)0.30
VAR (95 Confidence Intrvl)0.12

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)101
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 16 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ATV long1281May 11, 2009Aug 31, 2009($347)
GSI long1872Mar 16, 2009Aug 31, 2009$15,345
MFG long6200Aug 24, 2009Aug 31, 2009($129)
AHD long5200Jun 15, 2009Aug 31, 2009($8,117)
BGZ long377Dec 15, 2008Aug 24, 2009($25,174)
BPI long1434Jul 20, 2009Aug 24, 2009$7,495
OSP long3440May 4, 2009Jul 20, 2009($9,671)
CYD long3396Jun 1, 2009Jun 15, 2009($2,144)
EDN long5500May 26, 2009Jun 1, 2009($2,204)
SDA long6076Mar 23, 2009May 18, 2009$16,400
ALJ long2121Apr 27, 2009May 11, 2009($238)
CYD long4700Nov 3, 2008May 4, 2009$10,899
QXM long10100Apr 6, 2009Apr 27, 2009$3,328
DEP long1311Mar 2, 2009Apr 6, 2009($805)
EDN long5617Mar 16, 2009Mar 23, 2009($2,757)
NTT long1010Mar 2, 2009Mar 16, 2009($3,338)
ALJ long2332Mar 9, 2009Mar 16, 2009$9,393
GSI long1136Aug 18, 2008Mar 9, 2009($56,293)
ATV long832Feb 17, 2009Mar 2, 2009($1,614)
QXM long7370Jan 12, 2009Mar 2, 2009($7,817)
ALJ long2100Dec 15, 2008Feb 17, 2009$6,799
DEP long1483Dec 22, 2008Jan 12, 2009$2,887
CEA long4200Nov 17, 2008Dec 22, 2008$7,324
MED long5500Nov 24, 2008Dec 8, 2008$4,120
DWT long9500Sep 8, 2008Nov 25, 2008($74,675)
GU long1840Sep 15, 2008Nov 17, 2008($39,569)
VRS long12477Jul 21, 2008Sep 15, 2008($15,476)
DK long9048Aug 18, 2008Sep 8, 2008$1,443
CFX long3287Aug 11, 2008Aug 18, 2008$3,742
CYD long7720Jul 28, 2008Aug 11, 2008$13,737

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.