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

SP100 Short Term Swing
(75976336)

Created by: CDRing CDRing
Started: 08/2012
Stocks
Last trade: Yesterday

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 $69.00 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.

11.2%
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.

(19.3%)
Max Drawdown
1369
Num Trades
69.2%
Win Trades
1.5 : 1
Profit Factor
69.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +0.5%+3.5%+3.4%(0.4%)+4.6%+12.0%
2013(0.1%)+3.3%+2.5%+3.0%  -  +4.9%+3.1%+0.1%+2.0%+3.3%+3.2%+0.5%+28.8%
2014(5.5%)+3.9%+0.5%+3.8%+4.1%+3.1%(3.5%)+3.2%(0.3%)+2.0%+1.4%+1.9%+15.0%
2015+2.1%+3.4%(0.3%)(0.9%)+5.7%(1.7%)+1.7%+4.5%(0.1%)+2.8%(0.6%)+2.8%+21.0%
2016(9%)  -  +1.4%+0.4%+3.1%+0.2%(0.7%)(4%)+3.1%+0.2%+0.4%+0.2%(5.3%)
2017+4.0%+1.8%(2.6%)+2.2%+2.0%+1.0%+3.7%(1.2%)+1.4%(1.9%)+1.6%+2.5%+15.2%
2018(1.8%)(7.1%)(0.1%)+0.8%+2.4%+0.9%+2.9%+5.2%+3.5%(10.2%)+6.6%(5.8%)(4%)
2019+0.1%+0.1%(0.3%)+0.4%(5.3%)+4.6%+2.8%(1.4%)                        +0.7%

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 2,063 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/19/19 9:30 CVX CHEVRON LONG 270 117.13 8/22 9:30 118.66 0.19%
Trade id #124986080
Max drawdown($396)
Time8/20/19 0:00
Quant open270
Worst price115.66
Drawdown as % of equity-0.19%
$408
Includes Typical Broker Commissions trade costs of $5.40
8/2/19 9:30 ORCL ORACLE CORP LONG 575 56.19 8/19 9:30 54.22 1.18%
Trade id #124736185
Max drawdown($2,432)
Time8/15/19 0:00
Quant open575
Worst price51.96
Drawdown as % of equity-1.18%
($1,138)
Includes Typical Broker Commissions trade costs of $5.00
7/30/19 9:30 PYPL PAYPAL HOLDINGS CORP LONG 290 110.79 8/19 9:30 108.00 1.19%
Trade id #124674106
Max drawdown($2,488)
Time8/12/19 0:00
Quant open290
Worst price102.21
Drawdown as % of equity-1.19%
($815)
Includes Typical Broker Commissions trade costs of $5.80
7/24/19 9:30 WMT WALMART INC LONG 285 112.03 8/16 9:30 114.08 0.95%
Trade id #124591280
Max drawdown($2,049)
Time7/24/19 9:30
Quant open285
Worst price104.84
Drawdown as % of equity-0.95%
$578
Includes Typical Broker Commissions trade costs of $5.70
8/2/19 9:30 PM PHILIP MORRIS LONG 390 82.70 8/14 9:30 83.51 0.61%
Trade id #124736199
Max drawdown($1,306)
Time8/2/19 9:30
Quant open390
Worst price79.35
Drawdown as % of equity-0.61%
$308
Includes Typical Broker Commissions trade costs of $7.80
7/29/19 9:30 CSCO CISCO SYSTEMS LONG 570 56.69 8/14 9:30 52.12 1.51%
Trade id #124655506
Max drawdown($3,277)
Time7/29/19 9:30
Quant open570
Worst price50.94
Drawdown as % of equity-1.51%
($2,610)
Includes Typical Broker Commissions trade costs of $5.00
8/2/19 9:31 TGT TARGET LONG 390 82.53 8/12 9:30 81.32 0.45%
Trade id #124736340
Max drawdown($973)
Time8/2/19 9:31
Quant open390
Worst price80.03
Drawdown as % of equity-0.45%
($480)
Includes Typical Broker Commissions trade costs of $7.80
7/31/19 9:30 AMZN AMAZON.COM LONG 17 1898.11 8/12 9:30 1795.99 1.17%
Trade id #124693520
Max drawdown($2,538)
Time7/31/19 9:30
Quant open17
Worst price1748.78
Drawdown as % of equity-1.17%
($1,736)
Includes Typical Broker Commissions trade costs of $0.34
8/2/19 9:30 MCD MCDONALD'S LONG 150 211.30 8/12 9:30 220.44 0.13%
Trade id #124736208
Max drawdown($281)
Time8/2/19 9:30
Quant open150
Worst price209.43
Drawdown as % of equity-0.13%
$1,368
Includes Typical Broker Commissions trade costs of $3.00
8/2/19 9:30 FB FACEBOOK LONG 165 191.10 8/12 9:30 186.85 0.91%
Trade id #124736170
Max drawdown($1,940)
Time8/2/19 9:30
Quant open165
Worst price179.34
Drawdown as % of equity-0.91%
($704)
Includes Typical Broker Commissions trade costs of $3.30
7/24/19 9:30 CL COLGATE-PALMOLIVE LONG 445 71.84 7/29 9:30 73.85 0.15%
Trade id #124591277
Max drawdown($315)
Time7/24/19 9:30
Quant open445
Worst price71.13
Drawdown as % of equity-0.15%
$885
Includes Typical Broker Commissions trade costs of $8.90
7/24/19 9:30 PEP PEPSICO LONG 245 131.20 7/29 9:30 131.50 0.32%
Trade id #124591271
Max drawdown($688)
Time7/24/19 9:30
Quant open245
Worst price128.39
Drawdown as % of equity-0.32%
$69
Includes Typical Broker Commissions trade costs of $4.90
7/23/19 9:30 ALL ALLSTATE LONG 315 101.20 7/29 9:30 103.00 0.11%
Trade id #124576240
Max drawdown($242)
Time7/23/19 9:30
Quant open315
Worst price100.43
Drawdown as % of equity-0.11%
$561
Includes Typical Broker Commissions trade costs of $6.30
7/23/19 9:31 HD HOME DEPOT LONG 150 212.57 7/25 9:30 214.28 0.06%
Trade id #124576423
Max drawdown($126)
Time7/23/19 9:31
Quant open150
Worst price211.73
Drawdown as % of equity-0.06%
$254
Includes Typical Broker Commissions trade costs of $3.00
7/15/19 9:30 INCY INCYTE LONG 400 79.99 7/24 9:30 78.54 0.29%
Trade id #124459462
Max drawdown($628)
Time7/15/19 9:30
Quant open400
Worst price78.42
Drawdown as % of equity-0.29%
($588)
Includes Typical Broker Commissions trade costs of $8.00
7/15/19 9:30 DHR DANAHER LONG 230 140.38 7/23 9:30 141.86 0.1%
Trade id #124459499
Max drawdown($218)
Time7/15/19 9:30
Quant open230
Worst price139.43
Drawdown as % of equity-0.10%
$335
Includes Typical Broker Commissions trade costs of $4.60
7/15/19 9:30 MRK MERCK LONG 400 80.60 7/23 9:30 81.48 0.09%
Trade id #124459482
Max drawdown($192)
Time7/15/19 9:30
Quant open400
Worst price80.12
Drawdown as % of equity-0.09%
$344
Includes Typical Broker Commissions trade costs of $8.00
7/17/19 9:30 ABT ABBOTT LABORATORIES LONG 385 85.89 7/18 9:30 86.24 0.1%
Trade id #124492120
Max drawdown($219)
Time7/17/19 9:30
Quant open385
Worst price85.32
Drawdown as % of equity-0.10%
$127
Includes Typical Broker Commissions trade costs of $7.70
7/1/19 9:30 CL COLGATE-PALMOLIVE LONG 435 71.96 7/5 9:30 73.49 0.08%
Trade id #124286897
Max drawdown($160)
Time7/1/19 9:30
Quant open435
Worst price71.59
Drawdown as % of equity-0.08%
$657
Includes Typical Broker Commissions trade costs of $8.70
7/2/19 9:30 JNJ JOHNSON & JOHNSON LONG 225 139.22 7/5 9:30 141.74 0.06%
Trade id #124305960
Max drawdown($119)
Time7/2/19 9:30
Quant open225
Worst price138.69
Drawdown as % of equity-0.06%
$563
Includes Typical Broker Commissions trade costs of $4.50
7/1/19 9:30 CSCO CISCO SYSTEMS LONG 565 55.26 7/5 9:30 56.00 0.28%
Trade id #124286918
Max drawdown($584)
Time7/1/19 9:30
Quant open565
Worst price54.23
Drawdown as % of equity-0.28%
$413
Includes Typical Broker Commissions trade costs of $5.00
7/1/19 9:30 PEP PEPSICO LONG 235 131.99 7/5 9:30 132.89 0.1%
Trade id #124286908
Max drawdown($216)
Time7/1/19 9:30
Quant open235
Worst price131.07
Drawdown as % of equity-0.10%
$207
Includes Typical Broker Commissions trade costs of $4.70
6/27/19 9:30 CELG CELGENE LONG 335 92.46 7/3 9:30 94.07 0.08%
Trade id #124252833
Max drawdown($165)
Time6/27/19 9:30
Quant open335
Worst price91.97
Drawdown as % of equity-0.08%
$532
Includes Typical Broker Commissions trade costs of $6.70
6/28/19 9:30 PYPL PAYPAL HOLDINGS CORP LONG 270 114.24 7/3 9:30 116.88 0.12%
Trade id #124266135
Max drawdown($245)
Time6/28/19 9:30
Quant open270
Worst price113.33
Drawdown as % of equity-0.12%
$708
Includes Typical Broker Commissions trade costs of $5.40
6/28/19 9:31 KMI KINDER MORGAN LONG 1,520 20.51 7/3 9:30 21.00 0.03%
Trade id #124266379
Max drawdown($60)
Time6/28/19 9:31
Quant open1,520
Worst price20.47
Drawdown as % of equity-0.03%
$740
Includes Typical Broker Commissions trade costs of $5.00
6/28/19 9:30 EXC EXELON LONG 650 47.59 7/3 9:30 48.88 0.03%
Trade id #124266132
Max drawdown($58)
Time6/28/19 9:30
Quant open650
Worst price47.50
Drawdown as % of equity-0.03%
$834
Includes Typical Broker Commissions trade costs of $5.00
7/1/19 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 580 54.37 7/3 9:30 55.33 0.09%
Trade id #124286919
Max drawdown($197)
Time7/1/19 9:30
Quant open580
Worst price54.03
Drawdown as % of equity-0.09%
$552
Includes Typical Broker Commissions trade costs of $5.00
6/28/19 9:33 ALL ALLSTATE LONG 310 100.87 7/2 9:31 102.96 0.02%
Trade id #124266434
Max drawdown($40)
Time6/28/19 9:33
Quant open310
Worst price100.74
Drawdown as % of equity-0.02%
$642
Includes Typical Broker Commissions trade costs of $6.20
6/28/19 9:30 HON HONEYWELL INTERNATIONAL LONG 175 174.19 7/2 9:30 176.99 0.02%
Trade id #124266131
Max drawdown($33)
Time6/28/19 9:30
Quant open175
Worst price174.00
Drawdown as % of equity-0.02%
$487
Includes Typical Broker Commissions trade costs of $3.50
6/27/19 9:30 CHTR CHARTER COMMUNICATIONS LONG 80 389.75 7/1 9:30 400.00 0.1%
Trade id #124252843
Max drawdown($206)
Time6/27/19 9:30
Quant open80
Worst price387.17
Drawdown as % of equity-0.10%
$818
Includes Typical Broker Commissions trade costs of $1.60

Statistics

  • Strategy began
    8/13/2012
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    2565.37
  • Age
    86 months ago
  • What it trades
    Stocks
  • # Trades
    1369
  • # Profitable
    947
  • % Profitable
    69.20%
  • Avg trade duration
    8.8 days
  • Max peak-to-valley drawdown
    19.31%
  • drawdown period
    Oct 03, 2018 - Dec 21, 2018
  • Annual Return (Compounded)
    11.2%
  • Avg win
    $448.66
  • Avg loss
    $752.10
  • Model Account Values (Raw)
  • Cash
    $227,385
  • Margin Used
    $0
  • Buying Power
    $227,385
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0.69
  • Sortino Ratio
    1
  • Calmar Ratio
    0.91
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.53960
  • Return Statistics
  • Ann Return (w trading costs)
    11.2%
  • Ann Return (Compnd, No Fees)
    12.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    26.00%
  • 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)
    378
  • Popularity (Last 6 weeks)
    831
  • C2 Score
    30
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $752
  • Avg Win
    $447
  • # Winners
    946
  • # Losers
    422
  • % Winners
    69.2%
  • Frequency
  • Avg Position Time (mins)
    12685.60
  • Avg Position Time (hrs)
    211.43
  • Avg Trade Length
    8.8 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    2.20
  • Regression
  • Alpha
    0.01
  • Beta
    0.47
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    10.364
  • Avg(MAE) / Avg(PL) - Winning trades
    0.798
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.088
  • Hold-and-Hope Ratio
    0.096
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10045
  • SD
    0.11106
  • Sharpe ratio (Glass type estimate)
    0.90440
  • Sharpe ratio (Hedges UMVUE)
    0.89611
  • df
    82.00000
  • t
    2.37854
  • p
    0.00985
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14380
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65970
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13835
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65387
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28936
  • Upside Potential Ratio
    2.51923
  • Upside part of mean
    0.19626
  • Downside part of mean
    -0.09581
  • Upside SD
    0.08342
  • Downside SD
    0.07790
  • N nonnegative terms
    58.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    83.00000
  • Mean of predictor
    0.09137
  • Mean of criterion
    0.10045
  • SD of predictor
    0.12562
  • SD of criterion
    0.11106
  • Covariance
    0.00854
  • r
    0.61178
  • b (slope, estimate of beta)
    0.54088
  • a (intercept, estimate of alpha)
    0.05103
  • Mean Square Error
    0.00781
  • DF error
    81.00000
  • t(b)
    6.96052
  • p(b)
    0.00000
  • t(a)
    1.48533
  • p(a)
    0.07067
  • Lowerbound of 95% confidence interval for beta
    0.38627
  • Upperbound of 95% confidence interval for beta
    0.69549
  • Lowerbound of 95% confidence interval for alpha
    -0.01733
  • Upperbound of 95% confidence interval for alpha
    0.11938
  • Treynor index (mean / b)
    0.18571
  • Jensen alpha (a)
    0.05103
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09364
  • SD
    0.11256
  • Sharpe ratio (Glass type estimate)
    0.83192
  • Sharpe ratio (Hedges UMVUE)
    0.82429
  • df
    82.00000
  • t
    2.18792
  • p
    0.01576
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07346
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58549
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06844
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58014
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15191
  • Upside Potential Ratio
    2.36725
  • Upside part of mean
    0.19244
  • Downside part of mean
    -0.09880
  • Upside SD
    0.08148
  • Downside SD
    0.08129
  • N nonnegative terms
    58.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    83.00000
  • Mean of predictor
    0.08310
  • Mean of criterion
    0.09364
  • SD of predictor
    0.12533
  • SD of criterion
    0.11256
  • Covariance
    0.00880
  • r
    0.62392
  • b (slope, estimate of beta)
    0.56034
  • a (intercept, estimate of alpha)
    0.04708
  • Mean Square Error
    0.00783
  • DF error
    81.00000
  • t(b)
    7.18544
  • p(b)
    0.00000
  • t(a)
    1.37368
  • p(a)
    0.08667
  • Lowerbound of 95% confidence interval for beta
    0.40518
  • Upperbound of 95% confidence interval for beta
    0.71550
  • Lowerbound of 95% confidence interval for alpha
    -0.02111
  • Upperbound of 95% confidence interval for alpha
    0.11527
  • Treynor index (mean / b)
    0.16712
  • Jensen alpha (a)
    0.04708
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04462
  • Expected Shortfall on VaR
    0.05743
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01234
  • Expected Shortfall on VaR
    0.02956
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    83.00000
  • Minimum
    0.88523
  • Quartile 1
    1.00035
  • Median
    1.01342
  • Quartile 3
    1.03073
  • Maximum
    1.07981
  • Mean of quarter 1
    0.97091
  • Mean of quarter 2
    1.00653
  • Mean of quarter 3
    1.02129
  • Mean of quarter 4
    1.04457
  • Inter Quartile Range
    0.03038
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.04819
  • Mean of outliers low
    0.91240
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01205
  • Mean of outliers high
    1.07981
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.15654
  • VaR(95%) (regression method)
    0.03222
  • Expected Shortfall (regression method)
    0.05915
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00127
  • Quartile 1
    0.00716
  • Median
    0.02130
  • Quartile 3
    0.05609
  • Maximum
    0.12128
  • Mean of quarter 1
    0.00399
  • Mean of quarter 2
    0.01290
  • Mean of quarter 3
    0.04029
  • Mean of quarter 4
    0.10917
  • Inter Quartile Range
    0.04894
  • 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)
    -13.39820
  • VaR(95%) (moments method)
    0.09580
  • Expected Shortfall (moments method)
    0.09580
  • Extreme Value Index (regression method)
    -2.57265
  • VaR(95%) (regression method)
    0.14919
  • Expected Shortfall (regression method)
    0.14995
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19055
  • Compounded annual return (geometric extrapolation)
    0.12924
  • Calmar ratio (compounded annual return / max draw down)
    1.06566
  • Compounded annual return / average of 25% largest draw downs
    1.18385
  • Compounded annual return / Expected Shortfall lognormal
    2.25034
  • 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
    0.09543
  • SD
    0.10814
  • Sharpe ratio (Glass type estimate)
    0.88248
  • Sharpe ratio (Hedges UMVUE)
    0.88212
  • df
    1831.00000
  • t
    2.33356
  • p
    0.46535
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14063
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62413
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62387
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27734
  • Upside Potential Ratio
    7.60940
  • Upside part of mean
    0.56851
  • Downside part of mean
    -0.47308
  • Upside SD
    0.07836
  • Downside SD
    0.07471
  • N nonnegative terms
    903.00000
  • N negative terms
    929.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1832.00000
  • Mean of predictor
    0.08533
  • Mean of criterion
    0.09543
  • SD of predictor
    0.12920
  • SD of criterion
    0.10814
  • Covariance
    0.00763
  • r
    0.54620
  • b (slope, estimate of beta)
    0.45716
  • a (intercept, estimate of alpha)
    0.05600
  • Mean Square Error
    0.00821
  • DF error
    1830.00000
  • t(b)
    27.89430
  • p(b)
    0.22690
  • t(a)
    1.64529
  • p(a)
    0.48078
  • Lowerbound of 95% confidence interval for beta
    0.42502
  • Upperbound of 95% confidence interval for beta
    0.48931
  • Lowerbound of 95% confidence interval for alpha
    -0.01084
  • Upperbound of 95% confidence interval for alpha
    0.12368
  • Treynor index (mean / b)
    0.20875
  • Jensen alpha (a)
    0.05642
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08956
  • SD
    0.10817
  • Sharpe ratio (Glass type estimate)
    0.82793
  • Sharpe ratio (Hedges UMVUE)
    0.82759
  • df
    1831.00000
  • t
    2.18930
  • p
    0.46748
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08614
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56951
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56927
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18665
  • Upside Potential Ratio
    7.49165
  • Upside part of mean
    0.56541
  • Downside part of mean
    -0.47585
  • Upside SD
    0.07765
  • Downside SD
    0.07547
  • N nonnegative terms
    903.00000
  • N negative terms
    929.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1832.00000
  • Mean of predictor
    0.07695
  • Mean of criterion
    0.08956
  • SD of predictor
    0.12938
  • SD of criterion
    0.10817
  • Covariance
    0.00766
  • r
    0.54722
  • b (slope, estimate of beta)
    0.45753
  • a (intercept, estimate of alpha)
    0.05435
  • Mean Square Error
    0.00820
  • DF error
    1830.00000
  • t(b)
    27.96820
  • p(b)
    0.22639
  • t(a)
    1.58594
  • p(a)
    0.48148
  • Lowerbound of 95% confidence interval for beta
    0.42544
  • Upperbound of 95% confidence interval for beta
    0.48961
  • Lowerbound of 95% confidence interval for alpha
    -0.01286
  • Upperbound of 95% confidence interval for alpha
    0.12157
  • Treynor index (mean / b)
    0.19575
  • Jensen alpha (a)
    0.05435
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01059
  • Expected Shortfall on VaR
    0.01335
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00412
  • Expected Shortfall on VaR
    0.00878
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1832.00000
  • Minimum
    0.95804
  • Quartile 1
    0.99844
  • Median
    1.00007
  • Quartile 3
    1.00262
  • Maximum
    1.04983
  • Mean of quarter 1
    0.99336
  • Mean of quarter 2
    0.99963
  • Mean of quarter 3
    1.00111
  • Mean of quarter 4
    1.00778
  • Inter Quartile Range
    0.00419
  • Number outliers low
    120.00000
  • Percentage of outliers low
    0.06550
  • Mean of outliers low
    0.98528
  • Number of outliers high
    138.00000
  • Percentage of outliers high
    0.07533
  • Mean of outliers high
    1.01444
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47549
  • VaR(95%) (moments method)
    0.00587
  • Expected Shortfall (moments method)
    0.01317
  • Extreme Value Index (regression method)
    0.22970
  • VaR(95%) (regression method)
    0.00577
  • Expected Shortfall (regression method)
    0.00982
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    102.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00110
  • Median
    0.00386
  • Quartile 3
    0.01558
  • Maximum
    0.13691
  • Mean of quarter 1
    0.00038
  • Mean of quarter 2
    0.00241
  • Mean of quarter 3
    0.00832
  • Mean of quarter 4
    0.04743
  • Inter Quartile Range
    0.01448
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.07542
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49554
  • VaR(95%) (moments method)
    0.05051
  • Expected Shortfall (moments method)
    0.11180
  • Extreme Value Index (regression method)
    0.07252
  • VaR(95%) (regression method)
    0.04454
  • Expected Shortfall (regression method)
    0.06432
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18214
  • Compounded annual return (geometric extrapolation)
    0.12464
  • Calmar ratio (compounded annual return / max draw down)
    0.91041
  • Compounded annual return / average of 25% largest draw downs
    2.62770
  • Compounded annual return / Expected Shortfall lognormal
    9.33649
  • 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
    -0.00284
  • SD
    0.09991
  • Sharpe ratio (Glass type estimate)
    -0.02840
  • Sharpe ratio (Hedges UMVUE)
    -0.02823
  • df
    130.00000
  • t
    -0.02008
  • p
    0.50088
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.80021
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74341
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.80004
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74358
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.03767
  • Upside Potential Ratio
    6.48396
  • Upside part of mean
    0.48835
  • Downside part of mean
    -0.49119
  • Upside SD
    0.06506
  • Downside SD
    0.07532
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08443
  • Mean of criterion
    -0.00284
  • SD of predictor
    0.12946
  • SD of criterion
    0.09991
  • Covariance
    0.00845
  • r
    0.65299
  • b (slope, estimate of beta)
    0.50393
  • a (intercept, estimate of alpha)
    -0.04539
  • Mean Square Error
    0.00577
  • DF error
    129.00000
  • t(b)
    9.79256
  • p(b)
    0.11609
  • t(a)
    -0.42216
  • p(a)
    0.52364
  • Lowerbound of 95% confidence interval for beta
    0.40211
  • Upperbound of 95% confidence interval for beta
    0.60574
  • Lowerbound of 95% confidence interval for alpha
    -0.25810
  • Upperbound of 95% confidence interval for alpha
    0.16732
  • Treynor index (mean / b)
    -0.00563
  • Jensen alpha (a)
    -0.04539
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00781
  • SD
    0.10016
  • Sharpe ratio (Glass type estimate)
    -0.07793
  • Sharpe ratio (Hedges UMVUE)
    -0.07748
  • df
    130.00000
  • t
    -0.05511
  • p
    0.50242
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.84964
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69401
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.84930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69434
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10275
  • Upside Potential Ratio
    6.40011
  • Upside part of mean
    0.48620
  • Downside part of mean
    -0.49401
  • Upside SD
    0.06469
  • Downside SD
    0.07597
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07606
  • Mean of criterion
    -0.00781
  • SD of predictor
    0.12986
  • SD of criterion
    0.10016
  • Covariance
    0.00849
  • r
    0.65241
  • b (slope, estimate of beta)
    0.50321
  • a (intercept, estimate of alpha)
    -0.04608
  • Mean Square Error
    0.00581
  • DF error
    129.00000
  • t(b)
    9.77731
  • p(b)
    0.11638
  • t(a)
    -0.42733
  • p(a)
    0.52393
  • Lowerbound of 95% confidence interval for beta
    0.40138
  • Upperbound of 95% confidence interval for beta
    0.60504
  • Lowerbound of 95% confidence interval for alpha
    -0.25944
  • Upperbound of 95% confidence interval for alpha
    0.16728
  • Treynor index (mean / b)
    -0.01551
  • Jensen alpha (a)
    -0.04608
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01016
  • Expected Shortfall on VaR
    0.01271
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00456
  • Expected Shortfall on VaR
    0.00952
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97142
  • Quartile 1
    0.99869
  • Median
    1.00000
  • Quartile 3
    1.00178
  • Maximum
    1.01636
  • Mean of quarter 1
    0.99299
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00064
  • Mean of quarter 4
    1.00697
  • Inter Quartile Range
    0.00309
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98611
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.01064
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02145
  • VaR(95%) (moments method)
    0.00435
  • Expected Shortfall (moments method)
    0.00617
  • Extreme Value Index (regression method)
    0.20905
  • VaR(95%) (regression method)
    0.00670
  • Expected Shortfall (regression method)
    0.01165
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00362
  • Quartile 1
    0.00413
  • Median
    0.01802
  • Quartile 3
    0.04415
  • Maximum
    0.05114
  • Mean of quarter 1
    0.00363
  • Mean of quarter 2
    0.00560
  • Mean of quarter 3
    0.03045
  • Mean of quarter 4
    0.04993
  • Inter Quartile Range
    0.04002
  • 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)
    0.02020
  • Compounded annual return (geometric extrapolation)
    0.02030
  • Calmar ratio (compounded annual return / max draw down)
    0.39701
  • Compounded annual return / average of 25% largest draw downs
    0.40667
  • Compounded annual return / Expected Shortfall lognormal
    1.59755

Strategy Description

The SP100 System trades highly liquid stocks of the S&P100 Index. It is 100 % mechanical.

Signals delivered in the evening to be executed at next days open.

Equity per position is 15%

Max Positions is 10.

Average trade duration is 8 days.

Back-testing results available to subscribers.

The system can be traded with smaller accounts (10 -25k) provided you use a low cost broker.

System is also traded in IRA's with 10% equity per position and max positions of 10 to avoid margin.

Summary Statistics

Strategy began
2012-08-13
Suggested Minimum Capital
$30,000
# Trades
1369
# Profitable
947
% Profitable
69.2%
Net Dividends
Correlation S&P500
0.540
Sharpe Ratio
0.69
Sortino Ratio
1.00
Beta
0.47
Alpha
0.01
Leverage
0.91 Average
2.20 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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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.