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SNIPER STKS OPTS FUTURES
(107858429)

Created by: WilliamDalton2 WilliamDalton2
Started: 12/2016
Stocks
Last trade: 8 days ago
Trading style: Futures Macro / Fundamental

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 $150.00 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: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
16.4%
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.

(18.8%)
Max Drawdown
1392
Num Trades
60.9%
Win Trades
1.2 : 1
Profit Factor
51.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                             +0.7%+0.7%
2017+6.9%+2.9%(1.2%)+7.0%(0.3%)+2.5%+9.7%+6.3%(1.2%)+2.5%+4.5%(1.9%)+43.9%
2018(0.5%)(0.5%)+2.8%(1.4%)+0.2%+8.5%+4.6%+4.8%+3.2%(7.1%)(0.4%)(4.2%)+9.5%
2019+3.2%  -  (5.6%)(1%)(3.3%)(0.5%)                                    (7.2%)

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 2,093 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/17/19 12:08 @ESU9 E-MINI S&P 500 LONG 4 2897.00 6/17 13:41 2900.00 0.19%
Trade id #124111132
Max drawdown($300)
Time6/17/19 12:32
Quant open4
Worst price2895.50
Drawdown as % of equity-0.19%
$568
Includes Typical Broker Commissions trade costs of $32.00
6/6/19 14:35 QCLN9 CRUDE OIL SHORT 2 52.86 6/6 15:36 53.01 0.29%
Trade id #123967180
Max drawdown($460)
Time6/6/19 15:20
Quant open-2
Worst price53.09
Drawdown as % of equity-0.29%
($316)
Includes Typical Broker Commissions trade costs of $16.00
6/6/19 14:31 QCLN9 CRUDE OIL SHORT 2 52.67 6/6 14:34 53.08 0.51%
Trade id #123967067
Max drawdown($810)
Time6/6/19 14:34
Quant open0
Worst price53.08
Drawdown as % of equity-0.51%
($826)
Includes Typical Broker Commissions trade costs of $16.00
6/6/19 11:25 @ESM9 E-MINI S&P 500 LONG 1 2833.75 6/6 14:25 2836.00 0.2%
Trade id #123964076
Max drawdown($325)
Time6/6/19 11:50
Quant open1
Worst price2827.25
Drawdown as % of equity-0.20%
$105
Includes Typical Broker Commissions trade costs of $8.00
6/6/19 8:29 QCLN9 CRUDE OIL LONG 2 52.19 6/6 8:31 52.18 0.04%
Trade id #123960418
Max drawdown($60)
Time6/6/19 8:31
Quant open2
Worst price52.16
Drawdown as % of equity-0.04%
($36)
Includes Typical Broker Commissions trade costs of $16.00
6/6/19 5:15 QCLN9 CRUDE OIL LONG 1 52.13 6/6 5:17 52.17 0.01%
Trade id #123958920
Max drawdown($20)
Time6/6/19 5:17
Quant open1
Worst price52.11
Drawdown as % of equity-0.01%
$32
Includes Typical Broker Commissions trade costs of $8.00
6/6/19 4:25 QCLN9 CRUDE OIL LONG 1 51.87 6/6 4:29 51.91 0.02%
Trade id #123958586
Max drawdown($40)
Time6/6/19 4:27
Quant open1
Worst price51.83
Drawdown as % of equity-0.02%
$32
Includes Typical Broker Commissions trade costs of $8.00
6/6/19 3:17 QCLN9 CRUDE OIL LONG 2 51.86 6/6 4:05 51.93 0.12%
Trade id #123958071
Max drawdown($200)
Time6/6/19 3:58
Quant open2
Worst price51.76
Drawdown as % of equity-0.12%
$124
Includes Typical Broker Commissions trade costs of $16.00
6/5/19 15:51 @ESM9 E-MINI S&P 500 LONG 2 2825.25 6/6 3:21 2830.00 0.78%
Trade id #123953854
Max drawdown($1,250)
Time6/5/19 18:33
Quant open2
Worst price2812.75
Drawdown as % of equity-0.78%
$459
Includes Typical Broker Commissions trade costs of $16.00
4/29/19 9:30 EBAY EBAY LONG 500 38.04 6/3 13:31 35.57 0.78%
Trade id #123461881
Max drawdown($1,263)
Time6/3/19 13:03
Quant open500
Worst price35.51
Drawdown as % of equity-0.78%
($1,244)
Includes Typical Broker Commissions trade costs of $10.00
5/7/19 15:41 AAPL APPLE LONG 200 198.45 6/3 13:31 171.51 3.33%
Trade id #123564342
Max drawdown($5,387)
Time6/3/19 13:31
Quant open0
Worst price171.51
Drawdown as % of equity-3.33%
($5,391)
Includes Typical Broker Commissions trade costs of $4.00
5/24/19 10:54 @ESM9 E-MINI S&P 500 LONG 2 2824.50 5/24 11:36 2828.00 0.23%
Trade id #123812755
Max drawdown($375)
Time5/24/19 11:18
Quant open2
Worst price2820.75
Drawdown as % of equity-0.23%
$334
Includes Typical Broker Commissions trade costs of $16.00
5/21/19 15:51 @ESM9 E-MINI S&P 500 LONG 2 2842.62 5/24 6:23 2838.25 1.9%
Trade id #123758842
Max drawdown($3,037)
Time5/23/19 15:04
Quant open1
Worst price2805.75
Drawdown as % of equity-1.90%
($454)
Includes Typical Broker Commissions trade costs of $16.00
5/21/19 15:52 SNPS SYNOPSYS LONG 100 115.72 5/22 9:54 114.32 0.09%
Trade id #123758856
Max drawdown($140)
Time5/22/19 9:54
Quant open0
Worst price114.32
Drawdown as % of equity-0.09%
($142)
Includes Typical Broker Commissions trade costs of $2.00
4/29/19 9:30 TGT TARGET LONG 400 76.25 5/22 9:31 76.18 1.53%
Trade id #123461822
Max drawdown($2,488)
Time5/14/19 10:33
Quant open400
Worst price70.03
Drawdown as % of equity-1.53%
($37)
Includes Typical Broker Commissions trade costs of $8.00
5/10/19 15:25 A AGILENT TECHNOLOGIES LONG 200 76.70 5/15 9:30 67.57 1.16%
Trade id #123626975
Max drawdown($1,892)
Time5/15/19 9:30
Quant open200
Worst price67.24
Drawdown as % of equity-1.16%
($1,830)
Includes Typical Broker Commissions trade costs of $4.00
5/10/19 11:04 DIS WALT DISNEY LONG 150 131.62 5/10 15:10 133.91 0.01%
Trade id #123619207
Max drawdown($8)
Time5/10/19 11:06
Quant open150
Worst price131.56
Drawdown as % of equity-0.01%
$341
Includes Typical Broker Commissions trade costs of $3.00
5/10/19 11:04 RCII RENT-A-CENTER LONG 200 24.87 5/10 12:22 25.03 0.01%
Trade id #123619167
Max drawdown($17)
Time5/10/19 11:15
Quant open200
Worst price24.78
Drawdown as % of equity-0.01%
$29
Includes Typical Broker Commissions trade costs of $4.00
4/30/19 15:40 DIS WALT DISNEY LONG 200 134.87 5/9 9:30 134.99 0.34%
Trade id #123482155
Max drawdown($565)
Time5/6/19 4:30
Quant open100
Worst price131.20
Drawdown as % of equity-0.34%
$20
Includes Typical Broker Commissions trade costs of $4.00
4/29/19 14:29 RCII RENT-A-CENTER LONG 400 24.86 5/7 15:52 26.39 0.28%
Trade id #123467572
Max drawdown($460)
Time5/6/19 19:54
Quant open400
Worst price23.71
Drawdown as % of equity-0.28%
$604
Includes Typical Broker Commissions trade costs of $8.00
5/7/19 15:41 @ESM9 E-MINI S&P 500 LONG 1 2865.25 5/7 15:51 2877.25 0.03%
Trade id #123564359
Max drawdown($50)
Time5/7/19 15:41
Quant open1
Worst price2864.25
Drawdown as % of equity-0.03%
$592
Includes Typical Broker Commissions trade costs of $8.00
5/1/19 12:07 WSC WILLSCOT CORPORATION COMMON STOCK LONG 500 13.91 5/3 9:36 14.45 0.16%
Trade id #123493203
Max drawdown($265)
Time5/2/19 11:47
Quant open500
Worst price13.38
Drawdown as % of equity-0.16%
$260
Includes Typical Broker Commissions trade costs of $10.00
4/29/19 9:30 MS MORGAN STANLEY LONG 400 47.80 5/3 9:36 48.38 0.1%
Trade id #123461930
Max drawdown($159)
Time5/1/19 16:57
Quant open400
Worst price47.40
Drawdown as % of equity-0.10%
$225
Includes Typical Broker Commissions trade costs of $8.00
4/23/19 14:41 ARNC ARCONIC INC LONG 500 20.73 5/3 9:35 22.03 0.07%
Trade id #123404659
Max drawdown($109)
Time4/26/19 9:31
Quant open500
Worst price20.51
Drawdown as % of equity-0.07%
$642
Includes Typical Broker Commissions trade costs of $10.00
5/1/19 12:32 @ESM9 E-MINI S&P 500 LONG 2 2931.88 5/3 9:12 2929.62 1.41%
Trade id #123493735
Max drawdown($2,312)
Time5/2/19 11:48
Quant open1
Worst price2901.00
Drawdown as % of equity-1.41%
($241)
Includes Typical Broker Commissions trade costs of $16.00
4/24/19 15:28 FL FOOT LOCKER LONG 200 61.84 4/26 10:27 59.25 0.32%
Trade id #123417437
Max drawdown($531)
Time4/26/19 9:58
Quant open200
Worst price59.19
Drawdown as % of equity-0.32%
($524)
Includes Typical Broker Commissions trade costs of $4.00
4/25/19 14:17 UPLD UPLAND SOFTWARE INC. COMMON S LONG 400 45.62 4/26 10:27 46.45 0.12%
Trade id #123432846
Max drawdown($204)
Time4/26/19 9:43
Quant open400
Worst price45.11
Drawdown as % of equity-0.12%
$320
Includes Typical Broker Commissions trade costs of $8.00
4/24/19 11:24 @ESM9 E-MINI S&P 500 LONG 3 2931.50 4/25 11:26 2927.00 1.11%
Trade id #123414090
Max drawdown($1,837)
Time4/25/19 9:45
Quant open3
Worst price2919.25
Drawdown as % of equity-1.11%
($699)
Includes Typical Broker Commissions trade costs of $24.00
4/23/19 9:36 JNPR JUNIPER NETWORKS LONG 500 28.13 4/25 9:30 28.51 0.01%
Trade id #123399526
Max drawdown($17)
Time4/23/19 9:47
Quant open300
Worst price27.97
Drawdown as % of equity-0.01%
$182
Includes Typical Broker Commissions trade costs of $10.00
4/24/19 14:51 PYPL PAYPAL HOLDINGS CORP LONG 150 108.33 4/25 9:30 108.59 0.4%
Trade id #123417050
Max drawdown($671)
Time4/24/19 16:16
Quant open150
Worst price103.85
Drawdown as % of equity-0.40%
$37
Includes Typical Broker Commissions trade costs of $3.00

Statistics

  • Strategy began
    12/10/2016
  • Suggested Minimum Cap
    $140,000
  • Strategy Age (days)
    926.16
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    1392
  • # Profitable
    848
  • % Profitable
    60.90%
  • Avg trade duration
    5.3 days
  • Max peak-to-valley drawdown
    18.76%
  • drawdown period
    Oct 01, 2018 - June 05, 2019
  • Annual Return (Compounded)
    16.4%
  • Avg win
    $387.88
  • Avg loss
    $497.24
  • Model Account Values (Raw)
  • Cash
    $162,639
  • Margin Used
    $18,534
  • Buying Power
    $142,005
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    1
  • Sortino Ratio
    1.52
  • Calmar Ratio
    1.368
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.30860
  • Return Statistics
  • Ann Return (w trading costs)
    16.4%
  • Ann Return (Compnd, No Fees)
    20.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    7.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    815
  • C2 Score
    6.6
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $496
  • Avg Win
    $388
  • # Winners
    848
  • # Losers
    544
  • % Winners
    60.9%
  • Frequency
  • Avg Position Time (mins)
    7571.85
  • Avg Position Time (hrs)
    126.20
  • Avg Trade Length
    5.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.38
  • Daily leverage (max)
    9.15
  • Unknown
  • Alpha
    0.03
  • Beta
    0.29
  • Treynor Index
    0.14
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18147
  • SD
    0.15478
  • Sharpe ratio (Glass type estimate)
    1.17242
  • Sharpe ratio (Hedges UMVUE)
    1.14068
  • df
    28.00000
  • t
    1.82260
  • p
    0.03953
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45991
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15501
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43638
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68127
  • Upside Potential Ratio
    4.65996
  • Upside part of mean
    0.31539
  • Downside part of mean
    -0.13392
  • Upside SD
    0.14593
  • Downside SD
    0.06768
  • N nonnegative terms
    16.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.06944
  • Mean of criterion
    0.18147
  • SD of predictor
    0.09659
  • SD of criterion
    0.15478
  • Covariance
    0.00465
  • r
    0.31105
  • b (slope, estimate of beta)
    0.49847
  • a (intercept, estimate of alpha)
    0.14686
  • Mean Square Error
    0.02244
  • DF error
    27.00000
  • t(b)
    1.70061
  • p(b)
    0.05025
  • t(a)
    1.49106
  • p(a)
    0.07377
  • Lowerbound of 95% confidence interval for beta
    -0.10295
  • Upperbound of 95% confidence interval for beta
    1.09988
  • Lowerbound of 95% confidence interval for alpha
    -0.05523
  • Upperbound of 95% confidence interval for alpha
    0.34894
  • Treynor index (mean / b)
    0.36406
  • Jensen alpha (a)
    0.14686
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16864
  • SD
    0.15094
  • Sharpe ratio (Glass type estimate)
    1.11725
  • Sharpe ratio (Hedges UMVUE)
    1.08701
  • df
    28.00000
  • t
    1.73683
  • p
    0.04670
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18615
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40184
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20552
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37953
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.45010
  • Upside Potential Ratio
    4.42520
  • Upside part of mean
    0.30459
  • Downside part of mean
    -0.13595
  • Upside SD
    0.14011
  • Downside SD
    0.06883
  • N nonnegative terms
    16.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.06458
  • Mean of criterion
    0.16864
  • SD of predictor
    0.09697
  • SD of criterion
    0.15094
  • Covariance
    0.00474
  • r
    0.32404
  • b (slope, estimate of beta)
    0.50441
  • a (intercept, estimate of alpha)
    0.13607
  • Mean Square Error
    0.02115
  • DF error
    27.00000
  • t(b)
    1.77981
  • p(b)
    0.04318
  • t(a)
    1.42751
  • p(a)
    0.08245
  • Lowerbound of 95% confidence interval for beta
    -0.07709
  • Upperbound of 95% confidence interval for beta
    1.08591
  • Lowerbound of 95% confidence interval for alpha
    -0.05951
  • Upperbound of 95% confidence interval for alpha
    0.33164
  • Treynor index (mean / b)
    0.33433
  • Jensen alpha (a)
    0.13607
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05599
  • Expected Shortfall on VaR
    0.07290
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02443
  • Expected Shortfall on VaR
    0.04407
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.95313
  • Quartile 1
    0.97855
  • Median
    1.01506
  • Quartile 3
    1.03799
  • Maximum
    1.10350
  • Mean of quarter 1
    0.96699
  • Mean of quarter 2
    0.99952
  • Mean of quarter 3
    1.02885
  • Mean of quarter 4
    1.08165
  • Inter Quartile Range
    0.05944
  • 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)
    -1.16229
  • VaR(95%) (moments method)
    0.03674
  • Expected Shortfall (moments method)
    0.03831
  • Extreme Value Index (regression method)
    -0.35600
  • VaR(95%) (regression method)
    0.02832
  • Expected Shortfall (regression method)
    0.03053
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00462
  • Median
    0.02145
  • Quartile 3
    0.03456
  • Maximum
    0.13870
  • Mean of quarter 1
    0.00227
  • Mean of quarter 2
    0.01336
  • Mean of quarter 3
    0.02169
  • Mean of quarter 4
    0.09306
  • Inter Quartile Range
    0.02994
  • 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
    0.14286
  • Mean of outliers high
    0.13870
  • 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)
    0.25159
  • Compounded annual return (geometric extrapolation)
    0.21719
  • Calmar ratio (compounded annual return / max draw down)
    1.56591
  • Compounded annual return / average of 25% largest draw downs
    2.33383
  • Compounded annual return / Expected Shortfall lognormal
    2.97925
  • 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
    0.17455
  • SD
    0.11644
  • Sharpe ratio (Glass type estimate)
    1.49908
  • Sharpe ratio (Hedges UMVUE)
    1.49735
  • df
    649.00000
  • t
    2.36119
  • p
    0.00926
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25152
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25034
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74436
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35585
  • Upside Potential Ratio
    9.97360
  • Upside part of mean
    0.73897
  • Downside part of mean
    -0.56442
  • Upside SD
    0.09035
  • Downside SD
    0.07409
  • N nonnegative terms
    332.00000
  • N negative terms
    318.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    650.00000
  • Mean of predictor
    0.08788
  • Mean of criterion
    0.17455
  • SD of predictor
    0.12999
  • SD of criterion
    0.11644
  • Covariance
    0.00457
  • r
    0.30214
  • b (slope, estimate of beta)
    0.27064
  • a (intercept, estimate of alpha)
    0.15100
  • Mean Square Error
    0.01234
  • DF error
    648.00000
  • t(b)
    8.06845
  • p(b)
    0.00000
  • t(a)
    2.13595
  • p(a)
    0.01653
  • Lowerbound of 95% confidence interval for beta
    0.20477
  • Upperbound of 95% confidence interval for beta
    0.33650
  • Lowerbound of 95% confidence interval for alpha
    0.01216
  • Upperbound of 95% confidence interval for alpha
    0.28937
  • Treynor index (mean / b)
    0.64496
  • Jensen alpha (a)
    0.15077
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16772
  • SD
    0.11630
  • Sharpe ratio (Glass type estimate)
    1.44212
  • Sharpe ratio (Hedges UMVUE)
    1.44045
  • df
    649.00000
  • t
    2.27147
  • p
    0.01172
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19476
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68840
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19364
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68726
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24619
  • Upside Potential Ratio
    9.84147
  • Upside part of mean
    0.73485
  • Downside part of mean
    -0.56713
  • Upside SD
    0.08965
  • Downside SD
    0.07467
  • N nonnegative terms
    332.00000
  • N negative terms
    318.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    650.00000
  • Mean of predictor
    0.07940
  • Mean of criterion
    0.16772
  • SD of predictor
    0.13027
  • SD of criterion
    0.11630
  • Covariance
    0.00458
  • r
    0.30245
  • b (slope, estimate of beta)
    0.27002
  • a (intercept, estimate of alpha)
    0.14628
  • Mean Square Error
    0.01231
  • DF error
    648.00000
  • t(b)
    8.07754
  • p(b)
    0.00000
  • t(a)
    2.07540
  • p(a)
    0.01917
  • Lowerbound of 95% confidence interval for beta
    0.20438
  • Upperbound of 95% confidence interval for beta
    0.33566
  • Lowerbound of 95% confidence interval for alpha
    0.00788
  • Upperbound of 95% confidence interval for alpha
    0.28469
  • Treynor index (mean / b)
    0.62115
  • Jensen alpha (a)
    0.14628
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01112
  • Expected Shortfall on VaR
    0.01408
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00488
  • Expected Shortfall on VaR
    0.00975
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    650.00000
  • Minimum
    0.96283
  • Quartile 1
    0.99733
  • Median
    1.00022
  • Quartile 3
    1.00403
  • Maximum
    1.03340
  • Mean of quarter 1
    0.99260
  • Mean of quarter 2
    0.99902
  • Mean of quarter 3
    1.00181
  • Mean of quarter 4
    1.00966
  • Inter Quartile Range
    0.00670
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.03231
  • Mean of outliers low
    0.98220
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.04308
  • Mean of outliers high
    1.01946
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19786
  • VaR(95%) (moments method)
    0.00698
  • Expected Shortfall (moments method)
    0.01087
  • Extreme Value Index (regression method)
    0.11771
  • VaR(95%) (regression method)
    0.00673
  • Expected Shortfall (regression method)
    0.00986
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00265
  • Median
    0.00820
  • Quartile 3
    0.01578
  • Maximum
    0.15800
  • Mean of quarter 1
    0.00117
  • Mean of quarter 2
    0.00480
  • Mean of quarter 3
    0.01253
  • Mean of quarter 4
    0.05494
  • Inter Quartile Range
    0.01312
  • 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
    0.15385
  • Mean of outliers high
    0.07711
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.07413
  • VaR(95%) (moments method)
    0.04487
  • Expected Shortfall (moments method)
    0.06636
  • Extreme Value Index (regression method)
    -0.03772
  • VaR(95%) (regression method)
    0.06695
  • Expected Shortfall (regression method)
    0.09648
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25181
  • Compounded annual return (geometric extrapolation)
    0.21607
  • Calmar ratio (compounded annual return / max draw down)
    1.36759
  • Compounded annual return / average of 25% largest draw downs
    3.93261
  • Compounded annual return / Expected Shortfall lognormal
    15.34930
  • 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
    -0.15426
  • SD
    0.07297
  • Sharpe ratio (Glass type estimate)
    -2.11387
  • Sharpe ratio (Hedges UMVUE)
    -2.10165
  • df
    130.00000
  • t
    -1.49473
  • p
    0.56499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.89356
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.67383
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.88520
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68191
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.44328
  • Upside Potential Ratio
    4.90984
  • Upside part of mean
    0.30999
  • Downside part of mean
    -0.46425
  • Upside SD
    0.03727
  • Downside SD
    0.06314
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19593
  • Mean of criterion
    -0.15426
  • SD of predictor
    0.16350
  • SD of criterion
    0.07297
  • Covariance
    0.00523
  • r
    0.43866
  • b (slope, estimate of beta)
    0.19579
  • a (intercept, estimate of alpha)
    -0.19262
  • Mean Square Error
    0.00433
  • DF error
    129.00000
  • t(b)
    5.54402
  • p(b)
    0.22998
  • t(a)
    -2.06323
  • p(a)
    0.61318
  • Lowerbound of 95% confidence interval for beta
    0.12592
  • Upperbound of 95% confidence interval for beta
    0.26566
  • Lowerbound of 95% confidence interval for alpha
    -0.37733
  • Upperbound of 95% confidence interval for alpha
    -0.00791
  • Treynor index (mean / b)
    -0.78788
  • Jensen alpha (a)
    -0.19262
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15694
  • SD
    0.07324
  • Sharpe ratio (Glass type estimate)
    -2.14294
  • Sharpe ratio (Hedges UMVUE)
    -2.13055
  • df
    130.00000
  • t
    -1.51529
  • p
    0.56587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.92296
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64508
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.91443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65333
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.47028
  • Upside Potential Ratio
    4.86776
  • Upside part of mean
    0.30926
  • Downside part of mean
    -0.46620
  • Upside SD
    0.03715
  • Downside SD
    0.06353
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18262
  • Mean of criterion
    -0.15694
  • SD of predictor
    0.16314
  • SD of criterion
    0.07324
  • Covariance
    0.00524
  • r
    0.43834
  • b (slope, estimate of beta)
    0.19678
  • a (intercept, estimate of alpha)
    -0.19288
  • Mean Square Error
    0.00437
  • DF error
    129.00000
  • t(b)
    5.53909
  • p(b)
    0.23016
  • t(a)
    -2.05897
  • p(a)
    0.61295
  • Lowerbound of 95% confidence interval for beta
    0.12649
  • Upperbound of 95% confidence interval for beta
    0.26707
  • Lowerbound of 95% confidence interval for alpha
    -0.37822
  • Upperbound of 95% confidence interval for alpha
    -0.00754
  • Treynor index (mean / b)
    -0.79755
  • Jensen alpha (a)
    -0.19288
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00801
  • Expected Shortfall on VaR
    0.00988
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00419
  • Expected Shortfall on VaR
    0.00843
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97792
  • Quartile 1
    0.99811
  • Median
    1.00000
  • Quartile 3
    1.00174
  • Maximum
    1.01075
  • Mean of quarter 1
    0.99374
  • Mean of quarter 2
    0.99944
  • Mean of quarter 3
    1.00084
  • Mean of quarter 4
    1.00408
  • Inter Quartile Range
    0.00363
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.98848
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.00957
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26257
  • VaR(95%) (moments method)
    0.00581
  • Expected Shortfall (moments method)
    0.00977
  • Extreme Value Index (regression method)
    0.46478
  • VaR(95%) (regression method)
    0.00530
  • Expected Shortfall (regression method)
    0.01070
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00401
  • Median
    0.02196
  • Quartile 3
    0.05475
  • Maximum
    0.10291
  • Mean of quarter 1
    0.00039
  • Mean of quarter 2
    0.00522
  • Mean of quarter 3
    0.03870
  • Mean of quarter 4
    0.10291
  • Inter Quartile Range
    0.05074
  • 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)
    -0.12496
  • Compounded annual return (geometric extrapolation)
    -0.12106
  • Calmar ratio (compounded annual return / max draw down)
    -1.17632
  • Compounded annual return / average of 25% largest draw downs
    -1.17632
  • Compounded annual return / Expected Shortfall lognormal
    -12.25100

Strategy Description

Stocks will be chosen on the basis of strong earnings, revenues, and superior chart analysis. We will use trailing stop loss limits to keep losses to a minimum and let profits run in an attempt to minimize draw-downs and maximize returns. We may also use Options or Index Futures to enhance our returns.

Summary Statistics

Strategy began
2016-12-10
Suggested Minimum Capital
$140,000
# Trades
1392
# Profitable
848
% Profitable
60.9%
Net Dividends
Correlation S&P500
0.309
Sharpe Ratio
1.00
Sortino Ratio
1.52
Beta
0.29
Alpha
0.03
Leverage
1.38 Average
9.15 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.