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Dual QM18
(106187009)

Created by: GonzaloLoayza2 GonzaloLoayza2
Started: 10/2016
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following 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 $129.00 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.
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).
24.5%
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.

(22.7%)
Max Drawdown
107
Num Trades
57.9%
Win Trades
2.4 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +0.9%+9.6%+8.8%+20.3%
2017+6.9%(1.4%)+2.8%(0.1%)+7.0%(1.3%)+7.9%+0.6%+1.1%+13.2%(2.1%)(7.6%)+28.2%
2018+10.2%+2.4%(4.2%)  -  +3.2%+1.5%(3.8%)+6.9%+3.0%(13.2%)+1.2%(7%)(2.2%)
2019+5.1%+3.9%+0.7%+2.6%(1%)+7.9%                                    +20.6%

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 7 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/3/19 9:51 ARRY ARRAY BIOPHARMA LONG 88 28.09 6/17 11:58 45.92 0.03%
Trade id #123911689
Max drawdown($16)
Time6/3/19 9:57
Quant open70
Worst price27.47
Drawdown as % of equity-0.03%
$1,567
Includes Typical Broker Commissions trade costs of $1.76
6/3/19 9:58 EEFT EURONET WORLDWIDE LONG 13 155.51 6/14 15:49 158.91 0.06%
Trade id #123911839
Max drawdown($29)
Time6/4/19 10:00
Quant open13
Worst price153.27
Drawdown as % of equity-0.06%
$44
Includes Typical Broker Commissions trade costs of $0.26
6/3/19 9:56 ZNGA ZYNGA LONG 314 6.23 6/14 15:48 6.19 0.13%
Trade id #123911775
Max drawdown($59)
Time6/3/19 15:40
Quant open314
Worst price6.04
Drawdown as % of equity-0.13%
($19)
Includes Typical Broker Commissions trade costs of $6.28
5/1/19 10:12 EXAS EXACT SCIENCES LONG 25 98.99 6/14 15:48 107.99 0.65%
Trade id #123490593
Max drawdown($299)
Time5/13/19 10:03
Quant open25
Worst price87.02
Drawdown as % of equity-0.65%
$225
Includes Typical Broker Commissions trade costs of $0.50
4/15/19 14:00 VEEV VEEVA SYSTEMS INC LONG 18 133.87 6/14 15:47 160.80 0.25%
Trade id #123318758
Max drawdown($115)
Time4/18/19 10:29
Quant open15
Worst price125.07
Drawdown as % of equity-0.25%
$485
Includes Typical Broker Commissions trade costs of $0.36
5/15/19 15:15 ROKU ROKU INC. CLASS A COMMON STOCK LONG 27 82.55 6/3 9:45 90.59 0.11%
Trade id #123685460
Max drawdown($52)
Time5/16/19 10:08
Quant open27
Worst price80.61
Drawdown as % of equity-0.11%
$216
Includes Typical Broker Commissions trade costs of $0.54
5/15/19 15:11 MTCH MATCH GROUP INC. COMMON STOCK LONG 32 70.81 6/3 9:45 68.13 0.19%
Trade id #123685407
Max drawdown($86)
Time6/3/19 9:44
Quant open32
Worst price68.12
Drawdown as % of equity-0.19%
($87)
Includes Typical Broker Commissions trade costs of $0.64
5/1/19 10:07 CGC CANOPY GROWTH CORP LONG 49 51.08 6/3 9:44 39.30 1.24%
Trade id #123490457
Max drawdown($578)
Time6/3/19 9:44
Quant open49
Worst price39.28
Drawdown as % of equity-1.24%
($578)
Includes Typical Broker Commissions trade costs of $0.98
4/15/19 13:51 AYX ALTERYX INC LONG 28 84.51 6/3 9:43 85.85 0.25%
Trade id #123318607
Max drawdown($114)
Time4/18/19 10:30
Quant open24
Worst price79.16
Drawdown as % of equity-0.25%
$37
Includes Typical Broker Commissions trade costs of $0.56
1/31/19 15:25 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 18 160.33 6/3 9:43 196.47 0.11%
Trade id #122300528
Max drawdown($47)
Time2/7/19 9:36
Quant open13
Worst price138.58
Drawdown as % of equity-0.11%
$651
Includes Typical Broker Commissions trade costs of $0.36
2/15/19 15:47 UBNT UBIQUITI NETWORKS LONG 17 143.07 5/15 14:59 133.13 0.52%
Trade id #122552965
Max drawdown($235)
Time5/15/19 9:31
Quant open15
Worst price127.40
Drawdown as % of equity-0.52%
($169)
Includes Typical Broker Commissions trade costs of $0.34
2/15/19 15:44 PAYC PAYCOM SOFTWARE INC LONG 13 184.76 5/15 14:59 204.84 0.28%
Trade id #122552826
Max drawdown($124)
Time3/8/19 9:34
Quant open10
Worst price169.06
Drawdown as % of equity-0.28%
$261
Includes Typical Broker Commissions trade costs of $0.26
2/15/19 15:42 XLNX XILINX LONG 17 119.97 5/1 9:52 119.56 0.31%
Trade id #122552794
Max drawdown($144)
Time4/26/19 9:45
Quant open15
Worst price110.31
Drawdown as % of equity-0.31%
($7)
Includes Typical Broker Commissions trade costs of $0.34
3/15/19 15:11 OLED UNIVERSAL DISPLAY CORPORATION LONG 13 156.33 5/1 9:51 158.72 0.17%
Trade id #122932934
Max drawdown($73)
Time3/27/19 14:48
Quant open11
Worst price150.31
Drawdown as % of equity-0.17%
$31
Includes Typical Broker Commissions trade costs of $0.26
3/15/19 15:20 IONS IONIS PHARMACEUTICALS INC. COMMON STOCK LONG 25 78.53 5/1 9:51 73.77 0.41%
Trade id #122933140
Max drawdown($185)
Time4/17/19 14:11
Quant open24
Worst price70.81
Drawdown as % of equity-0.41%
($120)
Includes Typical Broker Commissions trade costs of $0.50
3/15/19 15:16 MELI MERCADOLIBRE LONG 4 488.50 4/15 13:34 512.79 0.08%
Trade id #122933019
Max drawdown($38)
Time3/18/19 12:13
Quant open4
Worst price479.00
Drawdown as % of equity-0.08%
$97
Includes Typical Broker Commissions trade costs of $0.08
3/29/19 15:12 AMD ADVANCED MICRO DEVICES INC. C LONG 79 25.47 4/15 13:33 27.29 0.01%
Trade id #123133363
Max drawdown($2)
Time3/29/19 15:16
Quant open79
Worst price25.44
Drawdown as % of equity-0.01%
$142
Includes Typical Broker Commissions trade costs of $1.58
3/15/19 15:15 EEFT EURONET WORLDWIDE LONG 14 138.76 4/15 13:33 146.25 0.08%
Trade id #122933007
Max drawdown($36)
Time3/20/19 12:37
Quant open13
Worst price135.65
Drawdown as % of equity-0.08%
$105
Includes Typical Broker Commissions trade costs of $0.28
1/31/19 15:34 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 20 99.91 4/15 13:33 113.38 0.03%
Trade id #122300777
Max drawdown($12)
Time2/1/19 10:00
Quant open18
Worst price97.86
Drawdown as % of equity-0.03%
$269
Includes Typical Broker Commissions trade costs of $0.40
1/31/19 15:31 ETSY ETSY INC. COMMON STOCK LONG 34 55.11 3/29 15:00 68.72 0.34%
Trade id #122300696
Max drawdown($149)
Time2/7/19 11:35
Quant open33
Worst price50.14
Drawdown as % of equity-0.34%
$462
Includes Typical Broker Commissions trade costs of $0.68
3/1/19 9:51 ROKU ROKU INC. CLASS A COMMON STOCK LONG 26 67.31 3/15 14:12 63.07 0.45%
Trade id #122748357
Max drawdown($203)
Time3/14/19 4:48
Quant open26
Worst price59.50
Drawdown as % of equity-0.45%
($111)
Includes Typical Broker Commissions trade costs of $0.52
3/1/19 9:50 W WAYFAIR INC LONG 10 166.16 3/15 14:11 165.78 0.16%
Trade id #122748332
Max drawdown($71)
Time3/8/19 9:31
Quant open10
Worst price159.01
Drawdown as % of equity-0.16%
($4)
Includes Typical Broker Commissions trade costs of $0.20
1/31/19 15:36 FIVE FIVE BELOW INC LONG 15 123.67 3/15 14:10 118.93 0.32%
Trade id #122300812
Max drawdown($142)
Time3/6/19 11:51
Quant open14
Worst price113.50
Drawdown as % of equity-0.32%
($71)
Includes Typical Broker Commissions trade costs of $0.30
1/31/19 15:28 CGC CANOPY GROWTH CORP LONG 38 48.86 3/15 14:08 45.69 0.61%
Trade id #122300593
Max drawdown($266)
Time2/12/19 9:32
Quant open37
Worst price41.68
Drawdown as % of equity-0.61%
($121)
Includes Typical Broker Commissions trade costs of $0.76
1/31/19 15:27 AMD ADVANCED MICRO DEVICES INC. C LONG 75 24.35 3/15 14:08 23.47 0.54%
Trade id #122300578
Max drawdown($238)
Time3/8/19 9:32
Quant open72
Worst price21.04
Drawdown as % of equity-0.54%
($68)
Includes Typical Broker Commissions trade costs of $1.50
2/15/19 15:49 MOH MOLINA HEALTHCARE LONG 13 135.53 3/1 9:42 138.28 0.09%
Trade id #122553007
Max drawdown($42)
Time2/28/19 12:57
Quant open13
Worst price132.29
Drawdown as % of equity-0.09%
$36
Includes Typical Broker Commissions trade costs of $0.26
1/31/19 15:29 DXCM DEXCOM LONG 13 140.51 3/1 9:42 139.91 0.14%
Trade id #122300654
Max drawdown($63)
Time2/22/19 15:38
Quant open12
Worst price135.22
Drawdown as % of equity-0.14%
($8)
Includes Typical Broker Commissions trade costs of $0.26
1/31/19 15:32 SRPT SAREPTA THERAPEUTICS INC. COM LONG 13 138.89 2/15 15:36 138.22 0.38%
Trade id #122300724
Max drawdown($165)
Time2/8/19 15:35
Quant open13
Worst price126.14
Drawdown as % of equity-0.38%
($9)
Includes Typical Broker Commissions trade costs of $0.26
1/31/19 15:30 OKTA OKTA INC. CL A COMMON STOCK LONG 22 81.92 2/15 15:35 84.65 0.16%
Trade id #122300667
Max drawdown($69)
Time2/7/19 11:35
Quant open22
Worst price78.76
Drawdown as % of equity-0.16%
$60
Includes Typical Broker Commissions trade costs of $0.44
1/31/19 15:33 EXAS EXACT SCIENCES LONG 20 89.52 2/15 15:35 88.33 0.23%
Trade id #122300752
Max drawdown($100)
Time2/7/19 11:35
Quant open20
Worst price84.50
Drawdown as % of equity-0.23%
($24)
Includes Typical Broker Commissions trade costs of $0.40

Statistics

  • Strategy began
    10/3/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    994.52
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    107
  • # Profitable
    62
  • % Profitable
    57.90%
  • Avg trade duration
    49.4 days
  • Max peak-to-valley drawdown
    22.67%
  • drawdown period
    Oct 01, 2018 - Dec 26, 2018
  • Annual Return (Compounded)
    24.5%
  • Avg win
    $662.81
  • Avg loss
    $383.96
  • Model Account Values (Raw)
  • Cash
    $30,789
  • Margin Used
    $0
  • Buying Power
    $32,647
  • Ratios
  • W:L ratio
    2.44:1
  • Sharpe Ratio
    0.94
  • Sortino Ratio
    1.37
  • Calmar Ratio
    1.532
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.42290
  • Return Statistics
  • Ann Return (w trading costs)
    24.5%
  • Ann Return (Compnd, No Fees)
    28.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    33.50%
  • Chance of 20% account loss
    5.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    360
  • Popularity (Last 6 weeks)
    821
  • C2 Score
    60.7
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    15
  • Win / Loss
  • Avg Loss
    $384
  • Avg Win
    $672
  • # Winners
    62
  • # Losers
    45
  • % Winners
    57.9%
  • Frequency
  • Avg Position Time (mins)
    71054.60
  • Avg Position Time (hrs)
    1184.24
  • Avg Trade Length
    49.3 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    1.03
  • Daily leverage (max)
    1.73
  • Unknown
  • Alpha
    0.04
  • Beta
    0.67
  • Treynor Index
    0.09
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26195
  • SD
    0.21977
  • Sharpe ratio (Glass type estimate)
    1.19195
  • Sharpe ratio (Hedges UMVUE)
    1.16284
  • df
    31.00000
  • t
    1.94644
  • p
    0.03036
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05312
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41899
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07180
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39747
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53005
  • Upside Potential Ratio
    4.24318
  • Upside part of mean
    0.43933
  • Downside part of mean
    -0.17737
  • Upside SD
    0.20442
  • Downside SD
    0.10354
  • N nonnegative terms
    20.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.09062
  • Mean of criterion
    0.26195
  • SD of predictor
    0.09457
  • SD of criterion
    0.21977
  • Covariance
    0.01223
  • r
    0.58862
  • b (slope, estimate of beta)
    1.36786
  • a (intercept, estimate of alpha)
    0.13799
  • Mean Square Error
    0.03262
  • DF error
    30.00000
  • t(b)
    3.98808
  • p(b)
    0.00020
  • t(a)
    1.20119
  • p(a)
    0.11954
  • Lowerbound of 95% confidence interval for beta
    0.66739
  • Upperbound of 95% confidence interval for beta
    2.06833
  • Lowerbound of 95% confidence interval for alpha
    -0.09662
  • Upperbound of 95% confidence interval for alpha
    0.37261
  • Treynor index (mean / b)
    0.19151
  • Jensen alpha (a)
    0.13799
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23632
  • SD
    0.21401
  • Sharpe ratio (Glass type estimate)
    1.10426
  • Sharpe ratio (Hedges UMVUE)
    1.07729
  • df
    31.00000
  • t
    1.80324
  • p
    0.04054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13523
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32688
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30710
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.20075
  • Upside Potential Ratio
    3.90101
  • Upside part of mean
    0.41890
  • Downside part of mean
    -0.18258
  • Upside SD
    0.19363
  • Downside SD
    0.10738
  • N nonnegative terms
    20.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.08577
  • Mean of criterion
    0.23632
  • SD of predictor
    0.09465
  • SD of criterion
    0.21401
  • Covariance
    0.01211
  • r
    0.59774
  • b (slope, estimate of beta)
    1.35147
  • a (intercept, estimate of alpha)
    0.12041
  • Mean Square Error
    0.03042
  • DF error
    30.00000
  • t(b)
    4.08377
  • p(b)
    0.00015
  • t(a)
    1.08960
  • p(a)
    0.14228
  • Lowerbound of 95% confidence interval for beta
    0.67561
  • Upperbound of 95% confidence interval for beta
    2.02733
  • Lowerbound of 95% confidence interval for alpha
    -0.10528
  • Upperbound of 95% confidence interval for alpha
    0.34610
  • Treynor index (mean / b)
    0.17486
  • Jensen alpha (a)
    0.12041
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07866
  • Expected Shortfall on VaR
    0.10190
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02825
  • Expected Shortfall on VaR
    0.05747
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.90667
  • Quartile 1
    0.98295
  • Median
    1.01248
  • Quartile 3
    1.06541
  • Maximum
    1.13452
  • Mean of quarter 1
    0.94880
  • Mean of quarter 2
    0.99860
  • Mean of quarter 3
    1.03586
  • Mean of quarter 4
    1.11336
  • Inter Quartile Range
    0.08246
  • 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)
    -0.41409
  • VaR(95%) (moments method)
    0.05146
  • Expected Shortfall (moments method)
    0.06120
  • Extreme Value Index (regression method)
    -0.88032
  • VaR(95%) (regression method)
    0.06621
  • Expected Shortfall (regression method)
    0.07286
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01492
  • Quartile 1
    0.02343
  • Median
    0.03446
  • Quartile 3
    0.09018
  • Maximum
    0.10954
  • Mean of quarter 1
    0.01918
  • Mean of quarter 2
    0.03446
  • Mean of quarter 3
    0.09018
  • Mean of quarter 4
    0.10954
  • Inter Quartile Range
    0.06675
  • 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)
    0.38365
  • Compounded annual return (geometric extrapolation)
    0.30243
  • Calmar ratio (compounded annual return / max draw down)
    2.76082
  • Compounded annual return / average of 25% largest draw downs
    2.76082
  • Compounded annual return / Expected Shortfall lognormal
    2.96773
  • 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
    0.25081
  • SD
    0.18876
  • Sharpe ratio (Glass type estimate)
    1.32869
  • Sharpe ratio (Hedges UMVUE)
    1.32727
  • df
    701.00000
  • t
    2.17491
  • p
    0.01499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12885
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52763
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12788
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52666
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91105
  • Upside Potential Ratio
    9.37992
  • Upside part of mean
    1.23104
  • Downside part of mean
    -0.98023
  • Upside SD
    0.13637
  • Downside SD
    0.13124
  • N nonnegative terms
    405.00000
  • N negative terms
    297.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    702.00000
  • Mean of predictor
    0.09567
  • Mean of criterion
    0.25081
  • SD of predictor
    0.12660
  • SD of criterion
    0.18876
  • Covariance
    0.01031
  • r
    0.43145
  • b (slope, estimate of beta)
    0.64331
  • a (intercept, estimate of alpha)
    0.18900
  • Mean Square Error
    0.02904
  • DF error
    700.00000
  • t(b)
    12.65330
  • p(b)
    0.00000
  • t(a)
    1.81595
  • p(a)
    0.03490
  • Lowerbound of 95% confidence interval for beta
    0.54349
  • Upperbound of 95% confidence interval for beta
    0.74313
  • Lowerbound of 95% confidence interval for alpha
    -0.01536
  • Upperbound of 95% confidence interval for alpha
    0.39389
  • Treynor index (mean / b)
    0.38988
  • Jensen alpha (a)
    0.18926
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23285
  • SD
    0.18904
  • Sharpe ratio (Glass type estimate)
    1.23177
  • Sharpe ratio (Hedges UMVUE)
    1.23045
  • df
    701.00000
  • t
    2.01626
  • p
    0.02208
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43047
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03134
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42955
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74898
  • Upside Potential Ratio
    9.17677
  • Upside part of mean
    1.22175
  • Downside part of mean
    -0.98890
  • Upside SD
    0.13478
  • Downside SD
    0.13314
  • N nonnegative terms
    405.00000
  • N negative terms
    297.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    702.00000
  • Mean of predictor
    0.08763
  • Mean of criterion
    0.23285
  • SD of predictor
    0.12682
  • SD of criterion
    0.18904
  • Covariance
    0.01036
  • r
    0.43218
  • b (slope, estimate of beta)
    0.64423
  • a (intercept, estimate of alpha)
    0.17640
  • Mean Square Error
    0.02910
  • DF error
    700.00000
  • t(b)
    12.67980
  • p(b)
    0.00000
  • t(a)
    1.69103
  • p(a)
    0.04564
  • Lowerbound of 95% confidence interval for beta
    0.54448
  • Upperbound of 95% confidence interval for beta
    0.74399
  • Lowerbound of 95% confidence interval for alpha
    -0.02841
  • Upperbound of 95% confidence interval for alpha
    0.38121
  • Treynor index (mean / b)
    0.36144
  • Jensen alpha (a)
    0.17640
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01815
  • Expected Shortfall on VaR
    0.02293
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00768
  • Expected Shortfall on VaR
    0.01584
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    702.00000
  • Minimum
    0.93256
  • Quartile 1
    0.99521
  • Median
    1.00161
  • Quartile 3
    1.00735
  • Maximum
    1.06964
  • Mean of quarter 1
    0.98678
  • Mean of quarter 2
    0.99871
  • Mean of quarter 3
    1.00419
  • Mean of quarter 4
    1.01458
  • Inter Quartile Range
    0.01215
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.02849
  • Mean of outliers low
    0.96783
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.01852
  • Mean of outliers high
    1.03245
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13050
  • VaR(95%) (moments method)
    0.01213
  • Expected Shortfall (moments method)
    0.01795
  • Extreme Value Index (regression method)
    0.16306
  • VaR(95%) (regression method)
    0.01188
  • Expected Shortfall (regression method)
    0.01785
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00475
  • Median
    0.02015
  • Quartile 3
    0.06866
  • Maximum
    0.19444
  • Mean of quarter 1
    0.00168
  • Mean of quarter 2
    0.00897
  • Mean of quarter 3
    0.04875
  • Mean of quarter 4
    0.12181
  • Inter Quartile Range
    0.06392
  • 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
    0.03571
  • Mean of outliers high
    0.19444
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.08652
  • VaR(95%) (moments method)
    0.13350
  • Expected Shortfall (moments method)
    0.14156
  • Extreme Value Index (regression method)
    -0.14410
  • VaR(95%) (regression method)
    0.13917
  • Expected Shortfall (regression method)
    0.17152
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37736
  • Compounded annual return (geometric extrapolation)
    0.29791
  • Calmar ratio (compounded annual return / max draw down)
    1.53220
  • Compounded annual return / average of 25% largest draw downs
    2.44570
  • Compounded annual return / Expected Shortfall lognormal
    12.99510
  • 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
    0.29037
  • SD
    0.13106
  • Sharpe ratio (Glass type estimate)
    2.21562
  • Sharpe ratio (Hedges UMVUE)
    2.20281
  • df
    130.00000
  • t
    1.56668
  • p
    0.43194
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57337
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.99623
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.98752
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.50737
  • Upside Potential Ratio
    11.84330
  • Upside part of mean
    0.98051
  • Downside part of mean
    -0.69013
  • Upside SD
    0.10253
  • Downside SD
    0.08279
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19580
  • Mean of criterion
    0.29037
  • SD of predictor
    0.16030
  • SD of criterion
    0.13106
  • Covariance
    0.01279
  • r
    0.60882
  • b (slope, estimate of beta)
    0.49777
  • a (intercept, estimate of alpha)
    0.19291
  • Mean Square Error
    0.01089
  • DF error
    129.00000
  • t(b)
    8.71653
  • p(b)
    0.13790
  • t(a)
    1.30320
  • p(a)
    0.42759
  • Lowerbound of 95% confidence interval for beta
    0.38478
  • Upperbound of 95% confidence interval for beta
    0.61076
  • Lowerbound of 95% confidence interval for alpha
    -0.09997
  • Upperbound of 95% confidence interval for alpha
    0.48578
  • Treynor index (mean / b)
    0.58335
  • Jensen alpha (a)
    0.19291
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28169
  • SD
    0.13086
  • Sharpe ratio (Glass type estimate)
    2.15255
  • Sharpe ratio (Hedges UMVUE)
    2.14010
  • df
    130.00000
  • t
    1.52208
  • p
    0.43384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63558
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.93255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64388
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.92409
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.38197
  • Upside Potential Ratio
    11.70840
  • Upside part of mean
    0.97520
  • Downside part of mean
    -0.69351
  • Upside SD
    0.10178
  • Downside SD
    0.08329
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18302
  • Mean of criterion
    0.28169
  • SD of predictor
    0.15980
  • SD of criterion
    0.13086
  • Covariance
    0.01279
  • r
    0.61171
  • b (slope, estimate of beta)
    0.50093
  • a (intercept, estimate of alpha)
    0.19000
  • Mean Square Error
    0.01080
  • DF error
    129.00000
  • t(b)
    8.78240
  • p(b)
    0.13645
  • t(a)
    1.28956
  • p(a)
    0.42833
  • Lowerbound of 95% confidence interval for beta
    0.38808
  • Upperbound of 95% confidence interval for beta
    0.61378
  • Lowerbound of 95% confidence interval for alpha
    -0.10151
  • Upperbound of 95% confidence interval for alpha
    0.48152
  • Treynor index (mean / b)
    0.56232
  • Jensen alpha (a)
    0.19000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01215
  • Expected Shortfall on VaR
    0.01548
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00513
  • Expected Shortfall on VaR
    0.01017
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98049
  • Quartile 1
    0.99558
  • Median
    1.00189
  • Quartile 3
    1.00603
  • Maximum
    1.02563
  • Mean of quarter 1
    0.99085
  • Mean of quarter 2
    0.99926
  • Mean of quarter 3
    1.00357
  • Mean of quarter 4
    1.01125
  • Inter Quartile Range
    0.01046
  • 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
    0.01527
  • Mean of outliers high
    1.02508
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.26826
  • VaR(95%) (moments method)
    0.00926
  • Expected Shortfall (moments method)
    0.01117
  • Extreme Value Index (regression method)
    -0.14914
  • VaR(95%) (regression method)
    0.00973
  • Expected Shortfall (regression method)
    0.01226
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00250
  • Quartile 1
    0.00718
  • Median
    0.01427
  • Quartile 3
    0.01622
  • Maximum
    0.06901
  • Mean of quarter 1
    0.00465
  • Mean of quarter 2
    0.01093
  • Mean of quarter 3
    0.01549
  • Mean of quarter 4
    0.03955
  • Inter Quartile Range
    0.00903
  • 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
    0.13333
  • Mean of outliers high
    0.05896
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.85390
  • VaR(95%) (moments method)
    0.04042
  • Expected Shortfall (moments method)
    0.04527
  • Extreme Value Index (regression method)
    -0.19728
  • VaR(95%) (regression method)
    0.06154
  • Expected Shortfall (regression method)
    0.08137
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33484
  • Compounded annual return (geometric extrapolation)
    0.36287
  • Calmar ratio (compounded annual return / max draw down)
    5.25855
  • Compounded annual return / average of 25% largest draw downs
    9.17495
  • Compounded annual return / Expected Shortfall lognormal
    23.44770

Strategy Description

Dual QM18 is a Adaptive Asset Allocation (AAA) Strategy.

*Adaptive Asset Allocation (AAA) is based on the Nobel Prize winning portfolio theory of Markowitz (1952).
*AAA combines asset’s momentum, volatilities, and cross-correlations for building diversified investment portfolios.
*In a tactical application AAA exploits momentum for crash detection and results in consistent returns at mitigated risk levels.
*In up-trending markets capital is allocated into offensive assets, like stocks, some ETFs, REITs, and commodities, while during market sell-offs especially intermediate US-treasuries are in vogue or ETFs and Stocks with low correlation.

This strategy opens the possibility of capturing high returns in the short term of High Quality Stocks. Through the use of Stocks and some ETFs with a low correlation between them, we seek to identify market anomalies with a Low ratio: Risk / Reward.

Through a quantitative methodology called "Adaptive Asset Allocation" (AAA), this strategy allows to adapt each month, both the composition of the portfolio and the size of each position. In this way, it seeks to maximize profitability over the medium term and control portfolio volatility.

The system has been backtested from 2010 and in this testing has produced consistently profitable results. Based on this backtesting staking levels are set to target an average return of around 100% every three years.
Backtesting data is hypothetical and it has not been verified by C2.

My system generates around 50 trades a year. This is not a high frequency system, we would expect 4 trades per month on average . This is a purely mechanical system with no discretionary elements. If you wish to receive the results of the Back Testing applied to this strategy, feel free to request them.

I invite you to see an additional strategy that has been recording similar results: https://collective2.com/details/106804598

Summary Statistics

Strategy began
2016-10-03
Suggested Minimum Capital
$15,000
# Trades
107
# Profitable
62
% Profitable
57.9%
Net Dividends
Correlation S&P500
0.423
Sharpe Ratio
0.94
Sortino Ratio
1.37
Beta
0.67
Alpha
0.04
Leverage
1.03 Average
1.73 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.

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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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