Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Stock Selection
(104874116)

Created by: Trader7 Trader7
Started: 07/2016
Stocks
Last trade: 20 days ago
Trading style: Equity Momentum

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 $65.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
13.3%
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.

(55.6%)
Max Drawdown
874
Num Trades
61.6%
Win Trades
1.5 : 1
Profit Factor
63.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                          (0.4%)(3.1%)+6.1%+3.2%+0.4%+3.1%+9.5%
2017+2.8%(3.7%)(2%)(3.5%)+4.3%(1.8%)+5.3%+3.8%(2.8%)+5.5%(5.5%)+2.7%+4.2%
2018(1.9%)+7.0%(0.9%)+0.9%+9.5%+6.6%+0.3%+4.2%(0.5%)(11.7%)(3.3%)(22.1%)(15.3%)
2019+17.2%+5.1%+6.7%(2.4%)+1.2%+5.8%+3.8%+2.3%(3.7%)(1.9%)+8.1%(0.3%)+48.4%
2020(8.6%)(10.1%)(22.3%)+8.4%+5.0%+14.2%+6.8%+6.6%+6.8%+2.8%+5.1%+0.9%+10.1%
2021+8.1%+11.3%(4.4%)+3.8%+3.0%+1.1%  -  +5.9%(1.3%)+1.7%+4.5%(2.8%)+34.3%
2022+5.2%+4.7%+7.6%+3.5%+3.3%(16.1%)+6.8%+1.6%(6.3%)+0.7%(2.2%)(3.9%)+2.3%
2023+5.9%+0.3%+2.9%(1.9%)+4.7%+2.1%+2.2%(2.7%)(0.4%)(1.9%)+2.6%+0.7%+15.1%
2024+0.9%+1.4%+1.4%(3.3%)+4.5%(4.4%)(0.2%)+10.2%+3.1%+1.3%+2.7%(2.8%)+14.8%

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 300 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1829 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/19/24 9:30 UAL UNITED AIRLINES HOLDINGS INC LONG 30 88.87 11/19 15:58 94.22 n/a $160
Includes Typical Broker Commissions trade costs of $0.60
11/19/24 9:30 TCOM TRIP.COM GROUP LTD ADS LONG 35 63.90 11/19 15:57 62.75 0.11%
Trade id #150121373
Max drawdown($79)
Time11/19/24 10:51
Quant open35
Worst price61.63
Drawdown as % of equity-0.11%
 ($41)
Includes Typical Broker Commissions trade costs of $0.70
11/19/24 9:30 SLG SL GREEN REALTY LONG 32 75.80 11/19 15:57 77.62 0.02%
Trade id #150121352
Max drawdown($15)
Time11/19/24 9:48
Quant open32
Worst price75.33
Drawdown as % of equity-0.02%
 $57
Includes Typical Broker Commissions trade costs of $0.64
11/19/24 9:30 LUMN LUMEN TECHNOLOGIES INC LONG 350 7.90 11/19 15:57 7.74 0.27%
Trade id #150121364
Max drawdown($194)
Time11/19/24 10:31
Quant open350
Worst price7.34
Drawdown as % of equity-0.27%
 ($63)
Includes Typical Broker Commissions trade costs of $7.00
11/19/24 9:30 THC TENET HEALTHCARE LONG 16 152.17 11/19 15:57 152.86 0.04%
Trade id #150121357
Max drawdown($29)
Time11/19/24 9:45
Quant open16
Worst price150.35
Drawdown as % of equity-0.04%
 $11
Includes Typical Broker Commissions trade costs of $0.32
11/19/24 9:30 VNO VORNADO REALTY TRUST LONG 55 40.05 11/19 15:57 41.05 0.02%
Trade id #150121361
Max drawdown($16)
Time11/19/24 9:50
Quant open55
Worst price39.74
Drawdown as % of equity-0.02%
 $54
Includes Typical Broker Commissions trade costs of $1.10
11/19/24 9:30 NVDA NVIDIA LONG 19 141.32 11/19 15:57 146.78 0.01%
Trade id #150121370
Max drawdown($4)
Time11/19/24 9:34
Quant open19
Worst price141.10
Drawdown as % of equity-0.01%
 $104
Includes Typical Broker Commissions trade costs of $0.38
11/19/24 9:30 RCL ROYAL CARIBBEAN GROUP LONG 12 227.17 11/19 15:57 234.60 0%
Trade id #150121354
Max drawdown($1)
Time11/19/24 9:33
Quant open12
Worst price227.01
Drawdown as % of equity-0.00%
 $89
Includes Typical Broker Commissions trade costs of $0.24
11/19/24 9:30 SE SEA LTD ADS LONG 25 109.26 11/19 15:57 113.48 0.05%
Trade id #150121349
Max drawdown($34)
Time11/19/24 9:34
Quant open25
Worst price107.90
Drawdown as % of equity-0.05%
 $106
Includes Typical Broker Commissions trade costs of $0.50
11/1/24 9:31 VNO VORNADO REALTY TRUST LONG 110 42.12 11/5 11:35 42.64 0.25%
Trade id #149928955
Max drawdown($182)
Time11/5/24 9:34
Quant open110
Worst price40.46
Drawdown as % of equity-0.25%
 $55
Includes Typical Broker Commissions trade costs of $2.20
11/1/24 9:30 UAL UNITED AIRLINES HOLDINGS INC LONG 60 79.32 11/5 11:35 78.92 0.17%
Trade id #149928831
Max drawdown($123)
Time11/5/24 9:30
Quant open60
Worst price77.26
Drawdown as % of equity-0.17%
 ($25)
Includes Typical Broker Commissions trade costs of $1.20
11/1/24 9:30 SLG SL GREEN REALTY LONG 65 76.69 11/5 11:35 77.46 0.28%
Trade id #149928803
Max drawdown($199)
Time11/4/24 0:00
Quant open65
Worst price73.62
Drawdown as % of equity-0.28%
 $49
Includes Typical Broker Commissions trade costs of $1.30
11/1/24 9:30 SE SEA LTD ADS LONG 50 94.48 11/5 11:35 95.37 0.05%
Trade id #149928769
Max drawdown($37)
Time11/1/24 9:35
Quant open50
Worst price93.73
Drawdown as % of equity-0.05%
 $44
Includes Typical Broker Commissions trade costs of $1.00
11/1/24 9:30 THC TENET HEALTHCARE LONG 32 156.58 11/5 11:35 164.07 0.08%
Trade id #149928761
Max drawdown($55)
Time11/1/24 11:43
Quant open32
Worst price154.84
Drawdown as % of equity-0.08%
 $239
Includes Typical Broker Commissions trade costs of $0.64
11/1/24 9:30 NVDA NVIDIA LONG 38 134.70 11/5 11:35 139.84 0%
Trade id #149928751
Max drawdown($1)
Time11/1/24 9:37
Quant open38
Worst price134.65
Drawdown as % of equity-0.00%
 $194
Includes Typical Broker Commissions trade costs of $0.76
11/1/24 9:30 RCL ROYAL CARIBBEAN GROUP LONG 24 206.77 11/5 11:34 209.33 0.22%
Trade id #149928747
Max drawdown($157)
Time11/4/24 0:00
Quant open24
Worst price200.19
Drawdown as % of equity-0.22%
 $61
Includes Typical Broker Commissions trade costs of $0.48
11/1/24 9:31 TCOM TRIP.COM GROUP LTD ADS LONG 70 64.27 11/5 11:33 67.81 0.01%
Trade id #149928868
Max drawdown($7)
Time11/1/24 10:21
Quant open70
Worst price64.16
Drawdown as % of equity-0.01%
 $247
Includes Typical Broker Commissions trade costs of $1.40
11/1/24 9:30 LUMN LUMEN TECHNOLOGIES INC LONG 700 6.50 11/4 9:51 7.51 0.02%
Trade id #149928779
Max drawdown($14)
Time11/1/24 10:51
Quant open700
Worst price6.48
Drawdown as % of equity-0.02%
 $702
Includes Typical Broker Commissions trade costs of $5.00
10/8/24 12:51 THC TENET HEALTHCARE LONG 44 150.45 10/16 13:26 163.85 0.05%
Trade id #149608119
Max drawdown($36)
Time10/8/24 15:06
Quant open44
Worst price149.61
Drawdown as % of equity-0.05%
 $589
Includes Typical Broker Commissions trade costs of $0.88
10/8/24 12:50 LUMN LUMEN TECHNOLOGIES INC LONG 1,000 6.38 10/16 13:26 6.24 0.61%
Trade id #149608116
Max drawdown($435)
Time10/14/24 0:00
Quant open1,000
Worst price5.95
Drawdown as % of equity-0.61%
 ($145)
Includes Typical Broker Commissions trade costs of $5.00
10/8/24 12:50 SE SEA LTD ADS LONG 70 94.55 10/16 13:26 99.74 0.05%
Trade id #149608112
Max drawdown($35)
Time10/9/24 0:00
Quant open70
Worst price94.05
Drawdown as % of equity-0.05%
 $362
Includes Typical Broker Commissions trade costs of $1.40
10/8/24 12:50 PBI PITNEY BOWES LONG 900 6.86 10/16 13:26 7.10 0.25%
Trade id #149608110
Max drawdown($180)
Time10/10/24 0:00
Quant open900
Worst price6.66
Drawdown as % of equity-0.25%
 $211
Includes Typical Broker Commissions trade costs of $5.00
10/8/24 12:49 NVDA NVIDIA LONG 50 132.11 10/16 13:26 135.59 0.24%
Trade id #149608108
Max drawdown($168)
Time10/15/24 0:00
Quant open50
Worst price128.74
Drawdown as % of equity-0.24%
 $173
Includes Typical Broker Commissions trade costs of $1.00
10/8/24 12:49 NRG NRG ENERGY LONG 70 94.17 10/16 13:26 91.49 0.85%
Trade id #149608106
Max drawdown($597)
Time10/11/24 0:00
Quant open70
Worst price85.63
Drawdown as % of equity-0.85%
 ($189)
Includes Typical Broker Commissions trade costs of $1.40
9/4/24 9:58 PBI PITNEY BOWES LONG 845 6.76 9/12 15:36 6.64 0.67%
Trade id #149245418
Max drawdown($460)
Time9/11/24 0:00
Quant open845
Worst price6.21
Drawdown as % of equity-0.67%
 ($106)
Includes Typical Broker Commissions trade costs of $5.00
9/4/24 9:57 NRG NRG ENERGY LONG 70 81.44 9/12 15:36 80.10 0.54%
Trade id #149245380
Max drawdown($371)
Time9/9/24 0:00
Quant open70
Worst price76.13
Drawdown as % of equity-0.54%
 ($95)
Includes Typical Broker Commissions trade costs of $1.40
9/4/24 9:56 IRM IRON MOUNTAIN INC REIT LONG 51 112.70 9/12 15:36 115.79 0.38%
Trade id #149245349
Max drawdown($260)
Time9/6/24 0:00
Quant open51
Worst price107.59
Drawdown as % of equity-0.38%
 $157
Includes Typical Broker Commissions trade costs of $1.02
9/4/24 9:56 THC TENET HEALTHCARE LONG 36 160.53 9/12 15:36 157.78 0.54%
Trade id #149245339
Max drawdown($374)
Time9/6/24 0:00
Quant open36
Worst price150.12
Drawdown as % of equity-0.54%
 ($100)
Includes Typical Broker Commissions trade costs of $0.72
9/4/24 9:59 SE SEA LTD ADS LONG 60 77.63 9/12 15:36 79.73 0.15%
Trade id #149245475
Max drawdown($103)
Time9/6/24 0:00
Quant open60
Worst price75.91
Drawdown as % of equity-0.15%
 $125
Includes Typical Broker Commissions trade costs of $1.20
9/4/24 9:57 NVDA NVIDIA LONG 54 107.01 9/12 15:36 119.75 0.47%
Trade id #149245399
Max drawdown($327)
Time9/6/24 0:00
Quant open54
Worst price100.95
Drawdown as % of equity-0.47%
 $687
Includes Typical Broker Commissions trade costs of $1.08
Next

Statistics

  • Strategy began
    7/28/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    3068.42
  • Age
    102 months ago
  • What it trades
    Stocks
  • # Trades
    874
  • # Profitable
    538
  • % Profitable
    61.60%
  • Avg trade duration
    23.1 days
  • Max peak-to-valley drawdown
    55.63%
  • drawdown period
    Aug 22, 2018 - March 23, 2020
  • Annual Return (Compounded)
    13.3%
  • Avg win
    $322.44
  • Avg loss
    $352.56
  • Model Account Values (Raw)
  • Cash
    $67,334
  • Margin Used
    $0
  • Buying Power
    $65,354
  • Ratios
  • W:L ratio
    1.49:1
  • Sharpe Ratio
    0.46
  • Sortino Ratio
    0.67
  • Calmar Ratio
    0.378
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    13.08%
  • Correlation to SP500
    0.41480
  • Return Percent SP500 (cumu) during strategy life
    173.30%
  • Return Statistics
  • Ann Return (w trading costs)
    13.3%
  • Slump
  • Current Slump as Pcnt Equity
    3.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.133%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    68.50%
  • Chance of 20% account loss
    47.00%
  • Chance of 30% account loss
    19.50%
  • Chance of 40% account loss
    13.00%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • 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
    3.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    901
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    489
  • Popularity (7 days, Percentile 1000 scale)
    556
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $353
  • Avg Win
    $322
  • Sum Trade PL (losers)
    $118,460.000
  • Age
  • Num Months filled monthly returns table
    102
  • Win / Loss
  • Sum Trade PL (winners)
    $173,472.000
  • # Winners
    538
  • Num Months Winners
    65
  • Dividends
  • Dividends Received in Model Acct
    3319
  • Win / Loss
  • # Losers
    336
  • % Winners
    61.6%
  • Frequency
  • Avg Position Time (mins)
    33277.00
  • Avg Position Time (hrs)
    554.62
  • Avg Trade Length
    23.1 days
  • Last Trade Ago
    20
  • Leverage
  • Daily leverage (average)
    1.04
  • Daily leverage (max)
    2.49
  • Regression
  • Alpha
    0.02
  • Beta
    0.56
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    40.54
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    68.88
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.61
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    6.348
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.583
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.660
  • Hold-and-Hope Ratio
    0.161
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15402
  • SD
    0.19431
  • Sharpe ratio (Glass type estimate)
    0.79268
  • Sharpe ratio (Hedges UMVUE)
    0.78605
  • df
    90.00000
  • t
    2.18286
  • p
    0.01582
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06947
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51162
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06511
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50699
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20430
  • Upside Potential Ratio
    2.59928
  • Upside part of mean
    0.33244
  • Downside part of mean
    -0.17841
  • Upside SD
    0.15153
  • Downside SD
    0.12790
  • N nonnegative terms
    58.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    91.00000
  • Mean of predictor
    0.11759
  • Mean of criterion
    0.15402
  • SD of predictor
    0.13890
  • SD of criterion
    0.19431
  • Covariance
    0.01007
  • r
    0.37293
  • b (slope, estimate of beta)
    0.52169
  • a (intercept, estimate of alpha)
    0.09268
  • Mean Square Error
    0.03287
  • DF error
    89.00000
  • t(b)
    3.79176
  • p(b)
    0.00014
  • t(a)
    1.36701
  • p(a)
    0.08753
  • Lowerbound of 95% confidence interval for beta
    0.24831
  • Upperbound of 95% confidence interval for beta
    0.79507
  • Lowerbound of 95% confidence interval for alpha
    -0.04203
  • Upperbound of 95% confidence interval for alpha
    0.22739
  • Treynor index (mean / b)
    0.29524
  • Jensen alpha (a)
    0.09268
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13391
  • SD
    0.19689
  • Sharpe ratio (Glass type estimate)
    0.68012
  • Sharpe ratio (Hedges UMVUE)
    0.67444
  • df
    90.00000
  • t
    1.87290
  • p
    0.03216
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04034
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39690
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04409
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39296
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97304
  • Upside Potential Ratio
    2.33185
  • Upside part of mean
    0.32090
  • Downside part of mean
    -0.18700
  • Upside SD
    0.14455
  • Downside SD
    0.13762
  • N nonnegative terms
    58.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    91.00000
  • Mean of predictor
    0.10724
  • Mean of criterion
    0.13391
  • SD of predictor
    0.13947
  • SD of criterion
    0.19689
  • Covariance
    0.01081
  • r
    0.39353
  • b (slope, estimate of beta)
    0.55555
  • a (intercept, estimate of alpha)
    0.07433
  • Mean Square Error
    0.03313
  • DF error
    89.00000
  • t(b)
    4.03845
  • p(b)
    0.00006
  • t(a)
    1.09759
  • p(a)
    0.13767
  • Lowerbound of 95% confidence interval for beta
    0.28221
  • Upperbound of 95% confidence interval for beta
    0.82890
  • Lowerbound of 95% confidence interval for alpha
    -0.06023
  • Upperbound of 95% confidence interval for alpha
    0.20889
  • Treynor index (mean / b)
    0.24103
  • Jensen alpha (a)
    0.07433
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07903
  • Expected Shortfall on VaR
    0.10045
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02692
  • Expected Shortfall on VaR
    0.05997
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    91.00000
  • Minimum
    0.79180
  • Quartile 1
    0.98583
  • Median
    1.02042
  • Quartile 3
    1.04721
  • Maximum
    1.17274
  • Mean of quarter 1
    0.94650
  • Mean of quarter 2
    1.00502
  • Mean of quarter 3
    1.03379
  • Mean of quarter 4
    1.07615
  • Inter Quartile Range
    0.06138
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03297
  • Mean of outliers low
    0.84081
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01099
  • Mean of outliers high
    1.17274
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50903
  • VaR(95%) (moments method)
    0.05089
  • Expected Shortfall (moments method)
    0.11985
  • Extreme Value Index (regression method)
    0.63228
  • VaR(95%) (regression method)
    0.04474
  • Expected Shortfall (regression method)
    0.12702
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00140
  • Quartile 1
    0.01905
  • Median
    0.03610
  • Quartile 3
    0.09098
  • Maximum
    0.30733
  • Mean of quarter 1
    0.00974
  • Mean of quarter 2
    0.02533
  • Mean of quarter 3
    0.04345
  • Mean of quarter 4
    0.20816
  • Inter Quartile Range
    0.07193
  • 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
    0.14286
  • Mean of outliers high
    0.28509
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.75175
  • VaR(95%) (moments method)
    0.21695
  • Expected Shortfall (moments method)
    0.21849
  • Extreme Value Index (regression method)
    -1.28976
  • VaR(95%) (regression method)
    0.32179
  • Expected Shortfall (regression method)
    0.33778
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31797
  • Compounded annual return (geometric extrapolation)
    0.17564
  • Calmar ratio (compounded annual return / max draw down)
    0.57151
  • Compounded annual return / average of 25% largest draw downs
    0.84379
  • Compounded annual return / Expected Shortfall lognormal
    1.74859
  • 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
    0.15282
  • SD
    0.21574
  • Sharpe ratio (Glass type estimate)
    0.70838
  • Sharpe ratio (Hedges UMVUE)
    0.70811
  • df
    2000.00000
  • t
    1.95766
  • p
    0.47813
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00124
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41786
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00144
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41766
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02493
  • Upside Potential Ratio
    7.39283
  • Upside part of mean
    1.10232
  • Downside part of mean
    -0.94950
  • Upside SD
    0.15613
  • Downside SD
    0.14911
  • N nonnegative terms
    937.00000
  • N negative terms
    1064.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2001.00000
  • Mean of predictor
    0.12200
  • Mean of criterion
    0.15282
  • SD of predictor
    0.19052
  • SD of criterion
    0.21574
  • Covariance
    0.01628
  • r
    0.39611
  • b (slope, estimate of beta)
    0.44853
  • a (intercept, estimate of alpha)
    0.09800
  • Mean Square Error
    0.03926
  • DF error
    1999.00000
  • t(b)
    19.28780
  • p(b)
    0.25459
  • t(a)
    1.36725
  • p(a)
    0.48054
  • Lowerbound of 95% confidence interval for beta
    0.40292
  • Upperbound of 95% confidence interval for beta
    0.49413
  • Lowerbound of 95% confidence interval for alpha
    -0.04261
  • Upperbound of 95% confidence interval for alpha
    0.23882
  • Treynor index (mean / b)
    0.34072
  • Jensen alpha (a)
    0.09810
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12953
  • SD
    0.21567
  • Sharpe ratio (Glass type estimate)
    0.60061
  • Sharpe ratio (Hedges UMVUE)
    0.60038
  • df
    2000.00000
  • t
    1.65983
  • p
    0.48146
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10891
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.31000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30984
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84796
  • Upside Potential Ratio
    7.13809
  • Upside part of mean
    1.09041
  • Downside part of mean
    -0.96088
  • Upside SD
    0.15238
  • Downside SD
    0.15276
  • N nonnegative terms
    937.00000
  • N negative terms
    1064.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2001.00000
  • Mean of predictor
    0.10374
  • Mean of criterion
    0.12953
  • SD of predictor
    0.19124
  • SD of criterion
    0.21567
  • Covariance
    0.01651
  • r
    0.40022
  • b (slope, estimate of beta)
    0.45134
  • a (intercept, estimate of alpha)
    0.08271
  • Mean Square Error
    0.03908
  • DF error
    1999.00000
  • t(b)
    19.52610
  • p(b)
    0.25219
  • t(a)
    1.15560
  • p(a)
    0.48355
  • Lowerbound of 95% confidence interval for beta
    0.40601
  • Upperbound of 95% confidence interval for beta
    0.49667
  • Lowerbound of 95% confidence interval for alpha
    -0.05766
  • Upperbound of 95% confidence interval for alpha
    0.22308
  • Treynor index (mean / b)
    0.28700
  • Jensen alpha (a)
    0.08271
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02119
  • Expected Shortfall on VaR
    0.02662
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00854
  • Expected Shortfall on VaR
    0.01805
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2001.00000
  • Minimum
    0.87827
  • Quartile 1
    0.99623
  • Median
    1.00000
  • Quartile 3
    1.00550
  • Maximum
    1.14807
  • Mean of quarter 1
    0.98662
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00214
  • Mean of quarter 4
    1.01490
  • Inter Quartile Range
    0.00927
  • Number outliers low
    105.00000
  • Percentage of outliers low
    0.05247
  • Mean of outliers low
    0.96873
  • Number of outliers high
    104.00000
  • Percentage of outliers high
    0.05197
  • Mean of outliers high
    1.03040
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38873
  • VaR(95%) (moments method)
    0.01226
  • Expected Shortfall (moments method)
    0.02387
  • Extreme Value Index (regression method)
    0.21501
  • VaR(95%) (regression method)
    0.01232
  • Expected Shortfall (regression method)
    0.02032
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    76.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00397
  • Median
    0.01510
  • Quartile 3
    0.04332
  • Maximum
    0.45146
  • Mean of quarter 1
    0.00193
  • Mean of quarter 2
    0.00951
  • Mean of quarter 3
    0.02617
  • Mean of quarter 4
    0.12393
  • Inter Quartile Range
    0.03935
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.07895
  • Mean of outliers high
    0.24188
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.48160
  • VaR(95%) (moments method)
    0.13056
  • Expected Shortfall (moments method)
    0.27926
  • Extreme Value Index (regression method)
    0.24586
  • VaR(95%) (regression method)
    0.10083
  • Expected Shortfall (regression method)
    0.15573
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30484
  • Compounded annual return (geometric extrapolation)
    0.17051
  • Calmar ratio (compounded annual return / max draw down)
    0.37769
  • Compounded annual return / average of 25% largest draw downs
    1.37590
  • Compounded annual return / Expected Shortfall lognormal
    6.40616
  • 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
    0.17034
  • SD
    0.13636
  • Sharpe ratio (Glass type estimate)
    1.24922
  • Sharpe ratio (Hedges UMVUE)
    1.24200
  • df
    130.00000
  • t
    0.88333
  • p
    0.46138
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52904
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02289
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53391
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01792
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29838
  • Upside Potential Ratio
    8.21556
  • Upside part of mean
    0.60888
  • Downside part of mean
    -0.43854
  • Upside SD
    0.11432
  • Downside SD
    0.07411
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20318
  • Mean of criterion
    0.17034
  • SD of predictor
    0.13234
  • SD of criterion
    0.13636
  • Covariance
    0.00470
  • r
    0.26052
  • b (slope, estimate of beta)
    0.26843
  • a (intercept, estimate of alpha)
    0.11580
  • Mean Square Error
    0.01747
  • DF error
    129.00000
  • t(b)
    3.06473
  • p(b)
    0.33605
  • t(a)
    0.61680
  • p(a)
    0.46549
  • Lowerbound of 95% confidence interval for beta
    0.09514
  • Upperbound of 95% confidence interval for beta
    0.44172
  • Lowerbound of 95% confidence interval for alpha
    -0.25565
  • Upperbound of 95% confidence interval for alpha
    0.48725
  • Treynor index (mean / b)
    0.63457
  • Jensen alpha (a)
    0.11580
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16119
  • SD
    0.13478
  • Sharpe ratio (Glass type estimate)
    1.19590
  • Sharpe ratio (Hedges UMVUE)
    1.18899
  • df
    130.00000
  • t
    0.84563
  • p
    0.46302
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58189
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96923
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58658
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96456
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.15276
  • Upside Potential Ratio
    8.04625
  • Upside part of mean
    0.60246
  • Downside part of mean
    -0.44127
  • Upside SD
    0.11189
  • Downside SD
    0.07487
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19437
  • Mean of criterion
    0.16119
  • SD of predictor
    0.13258
  • SD of criterion
    0.13478
  • Covariance
    0.00479
  • r
    0.26786
  • b (slope, estimate of beta)
    0.27230
  • a (intercept, estimate of alpha)
    0.10826
  • Mean Square Error
    0.01699
  • DF error
    129.00000
  • t(b)
    3.15768
  • p(b)
    0.33154
  • t(a)
    0.58482
  • p(a)
    0.46728
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.10168
  • Upperbound of 95% confidence interval for beta
    0.44292
  • Lowerbound of 95% confidence interval for alpha
    -0.25800
  • Upperbound of 95% confidence interval for alpha
    0.47452
  • Treynor index (mean / b)
    0.59195
  • Jensen alpha (a)
    0.10826
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01300
  • Expected Shortfall on VaR
    0.01642
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00433
  • Expected Shortfall on VaR
    0.00918
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96901
  • Quartile 1
    0.99938
  • Median
    1.00000
  • Quartile 3
    1.00274
  • Maximum
    1.06223
  • Mean of quarter 1
    0.99366
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00066
  • Mean of quarter 4
    1.00875
  • Inter Quartile Range
    0.00335
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98804
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.02046
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.35681
  • VaR(95%) (moments method)
    0.00312
  • Expected Shortfall (moments method)
    0.00394
  • Extreme Value Index (regression method)
    0.19563
  • VaR(95%) (regression method)
    0.00711
  • Expected Shortfall (regression method)
    0.01288
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00303
  • Median
    0.00473
  • Quartile 3
    0.01767
  • Maximum
    0.09531
  • Mean of quarter 1
    0.00157
  • Mean of quarter 2
    0.00312
  • Mean of quarter 3
    0.00983
  • Mean of quarter 4
    0.06297
  • Inter Quartile Range
    0.01464
  • 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
    0.12500
  • Mean of outliers high
    0.09531
  • 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?
    -375255000
  • Max Equity Drawdown (num days)
    579
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19832
  • Compounded annual return (geometric extrapolation)
    0.20815
  • Calmar ratio (compounded annual return / max draw down)
    2.18406
  • Compounded annual return / average of 25% largest draw downs
    3.30581
  • Compounded annual return / Expected Shortfall lognormal
    12.67710

Strategy Description

Execution is manual, but decision making is automated. This system captures momentum on stocks and industries. Excellent system for registered US and Canadian accounts, Long only Stocks investment, rolls securities every 5 to 15 days.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-07-28
Suggested Minimum Capital
$35,000
# Trades
874
# Profitable
538
% Profitable
61.6%
Net Dividends
$3,318
Correlation S&P500
0.415
Sharpe Ratio
0.46
Sortino Ratio
0.67
Beta
0.56
Alpha
0.02
Leverage
1.04 Average
2.49 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.