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These are hypothetical performance results that have certain inherent limitations. Learn more

favour etf
(123007535)

Created by: JamesLang JamesLang
Started: 03/2019
Stocks
Last trade: 1,028 days ago
Trading style: Equity Trend-following Sector: Technology

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 $148.00 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.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
37.1%
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.

(22.3%)
Max Drawdown
237
Num Trades
50.6%
Win Trades
1.4 : 1
Profit Factor
44.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019              +3.6%+0.5%(0.2%)+9.6%(1.5%)(2.6%)+10.9%+17.0%+5.0%+5.2%+56.5%
2020+2.9%+3.1%+6.7%  -  +5.9%(2%)+5.5%+2.3%(3.4%)(2.9%)+10.9%+1.1%+33.4%
2021+0.5%(1.2%)+5.9%(6.5%)+19.5%+8.1%(12.4%)+1.5%(9.3%)  -  (5.6%)(2.3%)(5.5%)
2022(2.2%)(5.7%)(4.7%)(4.1%)(0.5%)+3.8%(2%)(3.6%)+8.0%(0.5%)+6.4%(2.6%)(8.4%)
2023+3.9%(6.2%)  -  +2.2%+2.5%(3.4%)(1.4%)(2.1%)(1.4%)(2.9%)(1.3%)+4.0%(6.4%)
2024(3.1%)(2.2%)(1.2%)                                                      (6.3%)

Model Account Details

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

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

Trading Record

This strategy has placed 352 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1246 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/4/21 11:44 BIIB BIOGEN INC. COMMON STOCK SHORT 200 287.61 6/4 11:44 287.99 0.08%
Trade id #135913913
Max drawdown($76)
Time6/4/21 11:44
Quant open200
Worst price287.99
Drawdown as % of equity-0.08%
($80)
Includes Typical Broker Commissions trade costs of $4.00
5/26/21 12:58 WDC WESTERN DIGITAL LONG 1,000 73.83 6/4 11:43 77.28 0.2%
Trade id #135787885
Max drawdown($190)
Time5/26/21 13:09
Quant open1,000
Worst price73.64
Drawdown as % of equity-0.20%
$3,445
Includes Typical Broker Commissions trade costs of $5.00
4/6/21 11:53 BMY BRISTOL-MYERS SQUIBB LONG 700 62.87 5/21 12:49 67.34 1.16%
Trade id #135027117
Max drawdown($952)
Time4/30/21 0:00
Quant open700
Worst price61.51
Drawdown as % of equity-1.16%
$3,124
Includes Typical Broker Commissions trade costs of $5.00
4/6/21 11:26 CNC CENTENE LONG 500 63.01 5/21 12:49 73.30 2.07%
Trade id #135026172
Max drawdown($1,840)
Time4/28/21 0:00
Quant open500
Worst price59.33
Drawdown as % of equity-2.07%
$5,135
Includes Typical Broker Commissions trade costs of $10.00
4/27/21 9:59 CDE COUER MINING INC LONG 3,500 9.83 5/21 12:49 9.78 7.68%
Trade id #135335374
Max drawdown($6,300)
Time4/30/21 0:00
Quant open3,500
Worst price8.03
Drawdown as % of equity-7.68%
($180)
Includes Typical Broker Commissions trade costs of $5.00
3/23/21 9:30 TWTR TWITTER INC LONG 300 65.15 4/27 9:58 66.71 2.04%
Trade id #134796989
Max drawdown($1,761)
Time3/26/21 0:00
Quant open300
Worst price59.28
Drawdown as % of equity-2.04%
$462
Includes Typical Broker Commissions trade costs of $6.00
3/29/21 13:31 XLU UTILITIES SELECT SECTOR SPDR LONG 900 64.24 4/6 11:26 64.75 1.17%
Trade id #134914220
Max drawdown($1,026)
Time3/30/21 0:00
Quant open900
Worst price63.10
Drawdown as % of equity-1.17%
$454
Includes Typical Broker Commissions trade costs of $5.00
3/23/21 9:30 IP INTERNATIONAL PAPER LONG 700 52.31 3/29 12:13 54.51 0.88%
Trade id #134796970
Max drawdown($756)
Time3/23/21 15:35
Quant open700
Worst price51.23
Drawdown as % of equity-0.88%
$1,535
Includes Typical Broker Commissions trade costs of $5.00
3/22/21 9:59 BMY BRISTOL-MYERS SQUIBB LONG 300 63.12 3/29 12:13 64.03 0.4%
Trade id #134763467
Max drawdown($342)
Time3/25/21 0:00
Quant open300
Worst price61.98
Drawdown as % of equity-0.40%
$267
Includes Typical Broker Commissions trade costs of $6.00
3/11/21 10:34 TEVA TEVA PHARMACEUTICAL LONG 3,200 11.26 3/18 15:45 11.42 1.95%
Trade id #134562121
Max drawdown($1,648)
Time3/12/21 0:00
Quant open3,200
Worst price10.74
Drawdown as % of equity-1.95%
$507
Includes Typical Broker Commissions trade costs of $5.00
3/10/21 12:45 BMY BRISTOL-MYERS SQUIBB LONG 600 61.21 3/11 10:34 60.90 0.47%
Trade id #134542275
Max drawdown($396)
Time3/11/21 9:43
Quant open600
Worst price60.55
Drawdown as % of equity-0.47%
($191)
Includes Typical Broker Commissions trade costs of $5.00
3/9/21 11:49 RCL ROYAL CARIBBEAN GROUP LONG 500 88.23 3/11 10:04 87.68 1.03%
Trade id #134515690
Max drawdown($885)
Time3/10/21 0:00
Quant open500
Worst price86.46
Drawdown as % of equity-1.03%
($287)
Includes Typical Broker Commissions trade costs of $10.00
1/22/21 10:21 TSN TYSON FOODS LONG 500 66.35 3/11 10:03 67.59 2.25%
Trade id #133538353
Max drawdown($1,880)
Time2/1/21 0:00
Quant open500
Worst price62.59
Drawdown as % of equity-2.25%
$611
Includes Typical Broker Commissions trade costs of $10.00
3/4/21 11:01 NEM NEWMONT CORP LONG 700 56.30 3/4 12:12 56.01 0.24%
Trade id #134417690
Max drawdown($203)
Time3/4/21 12:12
Quant open700
Worst price56.01
Drawdown as % of equity-0.24%
($208)
Includes Typical Broker Commissions trade costs of $5.00
3/4/21 10:02 LMT LOCKHEED MARTIN LONG 100 343.79 3/4 11:01 341.82 0.32%
Trade id #134414834
Max drawdown($278)
Time3/4/21 10:22
Quant open100
Worst price341.00
Drawdown as % of equity-0.32%
($199)
Includes Typical Broker Commissions trade costs of $2.00
2/2/21 10:20 UPS UNITED PARCEL SERVICE LONG 180 162.65 3/4 9:58 160.43 1.31%
Trade id #133794204
Max drawdown($1,090)
Time2/26/21 0:00
Quant open180
Worst price156.59
Drawdown as % of equity-1.31%
($404)
Includes Typical Broker Commissions trade costs of $3.60
2/26/21 11:03 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 1,000 36.72 3/4 9:58 38.37 0.42%
Trade id #134310136
Max drawdown($350)
Time2/26/21 15:25
Quant open1,000
Worst price36.37
Drawdown as % of equity-0.42%
$1,645
Includes Typical Broker Commissions trade costs of $5.00
3/1/21 9:53 NEM NEWMONT CORP LONG 600 55.27 3/4 9:40 55.20 0.71%
Trade id #134337984
Max drawdown($594)
Time3/1/21 13:15
Quant open600
Worst price54.28
Drawdown as % of equity-0.71%
($47)
Includes Typical Broker Commissions trade costs of $5.00
12/17/20 9:33 CNC CENTENE LONG 400 61.71 1/22/21 10:21 61.83 2.01%
Trade id #132883920
Max drawdown($1,660)
Time12/22/20 0:00
Quant open400
Worst price57.56
Drawdown as % of equity-2.01%
$40
Includes Typical Broker Commissions trade costs of $8.00
12/11/20 14:14 MCK MCKESSON LONG 100 174.87 1/22/21 10:21 182.84 0.7%
Trade id #132772448
Max drawdown($578)
Time12/24/20 0:00
Quant open100
Worst price169.09
Drawdown as % of equity-0.70%
$795
Includes Typical Broker Commissions trade costs of $2.00
12/16/20 11:49 VMW VMWARE LONG 200 145.67 12/17 9:33 145.35 0.47%
Trade id #132853161
Max drawdown($389)
Time12/16/20 14:28
Quant open200
Worst price143.72
Drawdown as % of equity-0.47%
($68)
Includes Typical Broker Commissions trade costs of $4.00
12/15/20 12:34 SRE SEMPRA LONG 200 130.95 12/16 11:49 130.07 0.23%
Trade id #132831244
Max drawdown($190)
Time12/16/20 11:49
Quant open200
Worst price130.00
Drawdown as % of equity-0.23%
($180)
Includes Typical Broker Commissions trade costs of $4.00
12/16/20 10:30 JNJ JOHNSON & JOHNSON LONG 100 150.81 12/16 11:49 150.28 0.07%
Trade id #132850228
Max drawdown($63)
Time12/16/20 10:55
Quant open100
Worst price150.18
Drawdown as % of equity-0.07%
($55)
Includes Typical Broker Commissions trade costs of $2.00
12/16/20 9:35 GD GENERAL DYNAMICS LONG 100 155.23 12/16 10:30 154.50 0.14%
Trade id #132848461
Max drawdown($115)
Time12/16/20 10:14
Quant open100
Worst price154.08
Drawdown as % of equity-0.14%
($75)
Includes Typical Broker Commissions trade costs of $2.00
9/15/20 11:39 BRFS BRF SA LONG 1,600 4.13 12/15 12:33 3.66 1.37%
Trade id #131182989
Max drawdown($1,043)
Time9/24/20 0:00
Quant open1,600
Worst price3.48
Drawdown as % of equity-1.37%
($756)
Includes Typical Broker Commissions trade costs of $6.00
9/15/20 11:39 TSN TYSON FOODS LONG 580 67.41 12/15 12:33 64.14 3.34%
Trade id #131182981
Max drawdown($2,586)
Time9/23/20 0:00
Quant open300
Worst price56.89
Drawdown as % of equity-3.34%
($1,905)
Includes Typical Broker Commissions trade costs of $11.60
12/9/20 11:39 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 850 34.28 12/15 12:33 33.94 0.48%
Trade id #132722179
Max drawdown($408)
Time12/11/20 0:00
Quant open850
Worst price33.80
Drawdown as % of equity-0.48%
($294)
Includes Typical Broker Commissions trade costs of $5.00
12/11/20 10:45 ALXN ALEXION PHARMACEUTICALS LONG 150 120.75 12/11 11:34 120.13 0.12%
Trade id #132767284
Max drawdown($103)
Time12/11/20 11:33
Quant open150
Worst price120.06
Drawdown as % of equity-0.12%
($96)
Includes Typical Broker Commissions trade costs of $3.00
12/9/20 10:10 BMY BRISTOL-MYERS SQUIBB SHORT 450 60.92 12/9 11:09 60.77 0.05%
Trade id #132719577
Max drawdown($45)
Time12/9/20 10:19
Quant open450
Worst price61.02
Drawdown as % of equity-0.05%
$59
Includes Typical Broker Commissions trade costs of $9.00
12/7/20 9:37 PFE PFIZER LONG 650 40.40 12/9 9:32 42.89 0.01%
Trade id #132671003
Max drawdown($6)
Time12/7/20 10:05
Quant open650
Worst price40.39
Drawdown as % of equity-0.01%
$1,614
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/21/2019
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    1829.92
  • Age
    61 months ago
  • What it trades
    Stocks
  • # Trades
    237
  • # Profitable
    120
  • % Profitable
    50.60%
  • Avg trade duration
    15.1 days
  • Max peak-to-valley drawdown
    22.3%
  • drawdown period
    June 10, 2021 - Sept 16, 2021
  • Annual Return (Compounded)
    37.1%
  • Avg win
    $895.69
  • Avg loss
    $679.94
  • Model Account Values (Raw)
  • Cash
    $68,268
  • Margin Used
    $0
  • Buying Power
    $30,845
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    0.43
  • Sortino Ratio
    0.67
  • Calmar Ratio
    0.547
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    65.84%
  • Correlation to SP500
    0.23030
  • Return Percent SP500 (cumu) during strategy life
    83.84%
  • Return Statistics
  • Ann Return (w trading costs)
    37.1%
  • Slump
  • Current Slump as Pcnt Equity
    79.50%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.55%
  • 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)
    0.371%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    10.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    543
  • Popularity (Last 6 weeks)
    819
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    692
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $679
  • Avg Win
    $896
  • Sum Trade PL (losers)
    $79,416.000
  • Age
  • Num Months filled monthly returns table
    61
  • Win / Loss
  • Sum Trade PL (winners)
    $107,479.000
  • # Winners
    120
  • Num Months Winners
    30
  • Dividends
  • Dividends Received in Model Acct
    1190
  • Win / Loss
  • # Losers
    117
  • % Winners
    50.6%
  • Frequency
  • Avg Position Time (mins)
    21765.60
  • Avg Position Time (hrs)
    362.76
  • Avg Trade Length
    15.1 days
  • Last Trade Ago
    1024
  • Leverage
  • Daily leverage (average)
    0.84
  • Daily leverage (max)
    7.83
  • Regression
  • Alpha
    0.02
  • Beta
    0.18
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    55.58
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    12.45
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.55
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.281
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.509
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.370
  • Hold-and-Hope Ratio
    0.212
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37265
  • SD
    0.22784
  • Sharpe ratio (Glass type estimate)
    1.63556
  • Sharpe ratio (Hedges UMVUE)
    1.58963
  • df
    27.00000
  • t
    2.49836
  • p
    0.00943
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97656
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23830
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94096
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.83747
  • Upside Potential Ratio
    5.56672
  • Upside part of mean
    0.54057
  • Downside part of mean
    -0.16792
  • Upside SD
    0.22847
  • Downside SD
    0.09711
  • N nonnegative terms
    19.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.18011
  • Mean of criterion
    0.37265
  • SD of predictor
    0.16087
  • SD of criterion
    0.22784
  • Covariance
    0.01031
  • r
    0.28135
  • b (slope, estimate of beta)
    0.39846
  • a (intercept, estimate of alpha)
    0.30088
  • Mean Square Error
    0.04964
  • DF error
    26.00000
  • t(b)
    1.49497
  • p(b)
    0.07348
  • t(a)
    1.95941
  • p(a)
    0.03043
  • Lowerbound of 95% confidence interval for beta
    -0.14941
  • Upperbound of 95% confidence interval for beta
    0.94633
  • Lowerbound of 95% confidence interval for alpha
    -0.01476
  • Upperbound of 95% confidence interval for alpha
    0.61652
  • Treynor index (mean / b)
    0.93522
  • Jensen alpha (a)
    0.30088
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34282
  • SD
    0.21970
  • Sharpe ratio (Glass type estimate)
    1.56039
  • Sharpe ratio (Hedges UMVUE)
    1.51657
  • df
    27.00000
  • t
    2.38353
  • p
    0.01222
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17122
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86191
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.43127
  • Upside Potential Ratio
    5.15703
  • Upside part of mean
    0.51524
  • Downside part of mean
    -0.17242
  • Upside SD
    0.21531
  • Downside SD
    0.09991
  • N nonnegative terms
    19.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.16527
  • Mean of criterion
    0.34282
  • SD of predictor
    0.16836
  • SD of criterion
    0.21970
  • Covariance
    0.01031
  • r
    0.27876
  • b (slope, estimate of beta)
    0.36377
  • a (intercept, estimate of alpha)
    0.28270
  • Mean Square Error
    0.04623
  • DF error
    26.00000
  • t(b)
    1.48007
  • p(b)
    0.07544
  • t(a)
    1.92966
  • p(a)
    0.03231
  • Lowerbound of 95% confidence interval for beta
    -0.14143
  • Upperbound of 95% confidence interval for beta
    0.86896
  • Lowerbound of 95% confidence interval for alpha
    -0.01844
  • Upperbound of 95% confidence interval for alpha
    0.58384
  • Treynor index (mean / b)
    0.94242
  • Jensen alpha (a)
    0.28270
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07295
  • Expected Shortfall on VaR
    0.09695
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02404
  • Expected Shortfall on VaR
    0.05010
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.92710
  • Quartile 1
    0.98679
  • Median
    1.03368
  • Quartile 3
    1.07705
  • Maximum
    1.19193
  • Mean of quarter 1
    0.94792
  • Mean of quarter 2
    1.01517
  • Mean of quarter 3
    1.05382
  • Mean of quarter 4
    1.11661
  • Inter Quartile Range
    0.09025
  • 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)
    -3.71925
  • VaR(95%) (moments method)
    0.05303
  • Expected Shortfall (moments method)
    0.05310
  • Extreme Value Index (regression method)
    -1.04367
  • VaR(95%) (regression method)
    0.06503
  • Expected Shortfall (regression method)
    0.06925
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00743
  • Quartile 1
    0.03312
  • Median
    0.04715
  • Quartile 3
    0.05770
  • Maximum
    0.17009
  • Mean of quarter 1
    0.01899
  • Mean of quarter 2
    0.04087
  • Mean of quarter 3
    0.05344
  • Mean of quarter 4
    0.11460
  • Inter Quartile Range
    0.02457
  • 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
    0.16667
  • Mean of outliers high
    0.17009
  • 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)
    0.58932
  • Compounded annual return (geometric extrapolation)
    0.44879
  • Calmar ratio (compounded annual return / max draw down)
    2.63857
  • Compounded annual return / average of 25% largest draw downs
    3.91599
  • Compounded annual return / Expected Shortfall lognormal
    4.62897
  • 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
    0.35820
  • SD
    0.19072
  • Sharpe ratio (Glass type estimate)
    1.87817
  • Sharpe ratio (Hedges UMVUE)
    1.87588
  • df
    613.00000
  • t
    2.87521
  • p
    0.00209
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59283
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16207
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59127
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16048
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.10752
  • Upside Potential Ratio
    10.47270
  • Upside part of mean
    1.20717
  • Downside part of mean
    -0.84898
  • Upside SD
    0.15335
  • Downside SD
    0.11527
  • N nonnegative terms
    312.00000
  • N negative terms
    302.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    614.00000
  • Mean of predictor
    0.19079
  • Mean of criterion
    0.35820
  • SD of predictor
    0.24754
  • SD of criterion
    0.19072
  • Covariance
    0.00702
  • r
    0.14861
  • b (slope, estimate of beta)
    0.11450
  • a (intercept, estimate of alpha)
    0.18300
  • Mean Square Error
    0.03563
  • DF error
    612.00000
  • t(b)
    3.71780
  • p(b)
    0.00011
  • t(a)
    2.72486
  • p(a)
    0.00331
  • Lowerbound of 95% confidence interval for beta
    0.05402
  • Upperbound of 95% confidence interval for beta
    0.17498
  • Lowerbound of 95% confidence interval for alpha
    0.09394
  • Upperbound of 95% confidence interval for alpha
    0.57877
  • Treynor index (mean / b)
    3.12843
  • Jensen alpha (a)
    0.33635
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33987
  • SD
    0.19003
  • Sharpe ratio (Glass type estimate)
    1.78852
  • Sharpe ratio (Hedges UMVUE)
    1.78633
  • df
    613.00000
  • t
    2.73797
  • p
    0.00318
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50358
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07202
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50213
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07054
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90907
  • Upside Potential Ratio
    10.23300
  • Upside part of mean
    1.19551
  • Downside part of mean
    -0.85565
  • Upside SD
    0.15114
  • Downside SD
    0.11683
  • N nonnegative terms
    312.00000
  • N negative terms
    302.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    614.00000
  • Mean of predictor
    0.15986
  • Mean of criterion
    0.33987
  • SD of predictor
    0.24926
  • SD of criterion
    0.19003
  • Covariance
    0.00705
  • r
    0.14877
  • b (slope, estimate of beta)
    0.11342
  • a (intercept, estimate of alpha)
    0.32173
  • Mean Square Error
    0.03537
  • DF error
    612.00000
  • t(b)
    3.72187
  • p(b)
    0.00011
  • t(a)
    2.61687
  • p(a)
    0.00455
  • Lowerbound of 95% confidence interval for beta
    0.05357
  • Upperbound of 95% confidence interval for beta
    0.17327
  • Lowerbound of 95% confidence interval for alpha
    0.08029
  • Upperbound of 95% confidence interval for alpha
    0.56318
  • Treynor index (mean / b)
    2.99654
  • Jensen alpha (a)
    0.32173
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01785
  • Expected Shortfall on VaR
    0.02265
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00734
  • Expected Shortfall on VaR
    0.01488
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    614.00000
  • Minimum
    0.93972
  • Quartile 1
    0.99614
  • Median
    1.00024
  • Quartile 3
    1.00658
  • Maximum
    1.05883
  • Mean of quarter 1
    0.98869
  • Mean of quarter 2
    0.99860
  • Mean of quarter 3
    1.00293
  • Mean of quarter 4
    1.01567
  • Inter Quartile Range
    0.01044
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.03257
  • Mean of outliers low
    0.97193
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.04723
  • Mean of outliers high
    1.03389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14736
  • VaR(95%) (moments method)
    0.01015
  • Expected Shortfall (moments method)
    0.01531
  • Extreme Value Index (regression method)
    0.08260
  • VaR(95%) (regression method)
    0.01090
  • Expected Shortfall (regression method)
    0.01598
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    51.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00287
  • Median
    0.01101
  • Quartile 3
    0.02900
  • Maximum
    0.20687
  • Mean of quarter 1
    0.00169
  • Mean of quarter 2
    0.00736
  • Mean of quarter 3
    0.01857
  • Mean of quarter 4
    0.07420
  • Inter Quartile Range
    0.02613
  • 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
    0.11765
  • Mean of outliers high
    0.11071
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.05664
  • VaR(95%) (moments method)
    0.06924
  • Expected Shortfall (moments method)
    0.09740
  • Extreme Value Index (regression method)
    0.17220
  • VaR(95%) (regression method)
    0.06670
  • Expected Shortfall (regression method)
    0.09836
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58357
  • Compounded annual return (geometric extrapolation)
    0.44451
  • Calmar ratio (compounded annual return / max draw down)
    2.14877
  • Compounded annual return / average of 25% largest draw downs
    5.99058
  • Compounded annual return / Expected Shortfall lognormal
    19.62640
  • 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
    0.05126
  • SD
    0.22339
  • Sharpe ratio (Glass type estimate)
    0.22946
  • Sharpe ratio (Hedges UMVUE)
    0.22813
  • df
    130.00000
  • t
    0.16225
  • p
    0.49289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.54285
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00104
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.54381
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00008
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33683
  • Upside Potential Ratio
    8.46688
  • Upside part of mean
    1.28849
  • Downside part of mean
    -1.23723
  • Upside SD
    0.16240
  • Downside SD
    0.15218
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22723
  • Mean of criterion
    0.05126
  • SD of predictor
    0.10555
  • SD of criterion
    0.22339
  • Covariance
    0.00258
  • r
    0.10961
  • b (slope, estimate of beta)
    0.23197
  • a (intercept, estimate of alpha)
    -0.00145
  • Mean Square Error
    0.04968
  • DF error
    129.00000
  • t(b)
    1.25246
  • p(b)
    0.43036
  • t(a)
    -0.00456
  • p(a)
    0.50026
  • Lowerbound of 95% confidence interval for beta
    -0.13448
  • Upperbound of 95% confidence interval for beta
    0.59842
  • Lowerbound of 95% confidence interval for alpha
    -0.63067
  • Upperbound of 95% confidence interval for alpha
    0.62777
  • Treynor index (mean / b)
    0.22097
  • Jensen alpha (a)
    -0.00145
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02652
  • SD
    0.22324
  • Sharpe ratio (Glass type estimate)
    0.11879
  • Sharpe ratio (Hedges UMVUE)
    0.11810
  • df
    130.00000
  • t
    0.08399
  • p
    0.49632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.65318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89051
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.65374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88994
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17145
  • Upside Potential Ratio
    8.24663
  • Upside part of mean
    1.27545
  • Downside part of mean
    -1.24893
  • Upside SD
    0.15980
  • Downside SD
    0.15466
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22158
  • Mean of criterion
    0.02652
  • SD of predictor
    0.10551
  • SD of criterion
    0.22324
  • Covariance
    0.00258
  • r
    0.10967
  • b (slope, estimate of beta)
    0.23204
  • a (intercept, estimate of alpha)
    -0.02490
  • Mean Square Error
    0.04962
  • DF error
    129.00000
  • t(b)
    1.25315
  • p(b)
    0.43032
  • t(a)
    -0.07838
  • p(a)
    0.50439
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    -0.13431
  • Upperbound of 95% confidence interval for beta
    0.59839
  • Lowerbound of 95% confidence interval for alpha
    -0.65343
  • Upperbound of 95% confidence interval for alpha
    0.60363
  • Treynor index (mean / b)
    0.11428
  • Jensen alpha (a)
    -0.02490
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02233
  • Expected Shortfall on VaR
    0.02794
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01136
  • Expected Shortfall on VaR
    0.02171
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93972
  • Quartile 1
    0.99293
  • Median
    0.99991
  • Quartile 3
    1.00726
  • Maximum
    1.05883
  • Mean of quarter 1
    0.98467
  • Mean of quarter 2
    0.99681
  • Mean of quarter 3
    1.00364
  • Mean of quarter 4
    1.01618
  • Inter Quartile Range
    0.01433
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95527
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.04100
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20101
  • VaR(95%) (moments method)
    0.01585
  • Expected Shortfall (moments method)
    0.02381
  • Extreme Value Index (regression method)
    0.03394
  • VaR(95%) (regression method)
    0.01500
  • Expected Shortfall (regression method)
    0.02015
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00492
  • Median
    0.00784
  • Quartile 3
    0.01182
  • Maximum
    0.20687
  • Mean of quarter 1
    0.00234
  • Mean of quarter 2
    0.00750
  • Mean of quarter 3
    0.00814
  • Mean of quarter 4
    0.11008
  • Inter Quartile Range
    0.00690
  • 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
    0.20000
  • Mean of outliers high
    0.15863
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -27.62020
  • VaR(95%) (moments method)
    0.04596
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.01414
  • VaR(95%) (regression method)
    0.25095
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.27707
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -323376000
  • Max Equity Drawdown (num days)
    98
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05517
  • Compounded annual return (geometric extrapolation)
    0.05593
  • Calmar ratio (compounded annual return / max draw down)
    0.27038
  • Compounded annual return / average of 25% largest draw downs
    0.50812
  • Compounded annual return / Expected Shortfall lognormal
    2.00215

Strategy Description

Among the 200 stocks with the highest trading volume, select one or two stocks with the best trend, follow the trend, use normal margin, when the profit reaches a certain level, it will move the stop loss line above cost price, then let the profit fly until it tet to target profit line or the trend go against.

Summary Statistics

Strategy began
2019-03-21
Suggested Minimum Capital
$35,000
# Trades
237
# Profitable
120
% Profitable
50.6%
Net Dividends
Correlation S&P500
0.230
Sharpe Ratio
0.43
Sortino Ratio
0.67
Beta
0.18
Alpha
0.02
Leverage
0.84 Average
7.83 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.