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

NAS100 Short Term Swing
(98996226)

Created by: CDRing CDRing
Started: 01/2016
Stocks
Last trade: 3 days ago

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.

4.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(12.4%)
Max Drawdown
619
Num Trades
64.8%
Win Trades
1.2 : 1
Profit Factor
61.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016(4.4%)+1.3%+1.0%(0.4%)+2.1%+0.5%+1.4%+0.6%  -  (4.1%)+2.0%(1.5%)(1.6%)
2017+7.4%+1.5%+0.9%+0.3%(0.6%)+0.8%+2.6%(2.6%)(1.5%)+1.6%+3.9%+4.0%+19.3%
2018+4.3%(5%)(2.5%)+0.6%+2.8%(2.4%)+2.5%+3.6%+2.3%(0.8%)+1.8%(3.9%)+2.8%
2019(0.1%)(0.1%)+2.1%+3.6%(7.7%)+5.0%+0.9%(5.6%)                        (2.5%)

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/19/19 9:30 ULTA ULTA BEAUTY INC SHORT 40 327.43 8/20 14:51 323.07 0.05%
Trade id #124986104
Max drawdown($53)
Time8/19/19 9:31
Quant open40
Worst price328.76
Drawdown as % of equity-0.05%
$173
Includes Typical Broker Commissions trade costs of $0.80
8/2/19 9:30 WYNN WYNN RESORTS LONG 120 121.25 8/20 9:31 111.75 2%
Trade id #124736205
Max drawdown($2,306)
Time8/15/19 0:00
Quant open120
Worst price102.03
Drawdown as % of equity-2.00%
($1,142)
Includes Typical Broker Commissions trade costs of $2.40
7/31/19 9:30 XLNX XILINX LONG 125 119.51 8/20 9:31 107.00 1.93%
Trade id #124693539
Max drawdown($2,232)
Time8/13/19 0:00
Quant open125
Worst price101.65
Drawdown as % of equity-1.93%
($1,567)
Includes Typical Broker Commissions trade costs of $2.50
7/30/19 9:30 PYPL PAYPAL HOLDINGS CORP LONG 135 110.79 8/19 9:30 108.00 0.99%
Trade id #124674147
Max drawdown($1,158)
Time8/12/19 0:00
Quant open135
Worst price102.21
Drawdown as % of equity-0.99%
($380)
Includes Typical Broker Commissions trade costs of $2.70
7/23/19 9:30 WDAY WORKDAY LONG 70 216.47 8/14 9:30 188.17 1.84%
Trade id #124576253
Max drawdown($2,335)
Time7/23/19 9:30
Quant open70
Worst price183.11
Drawdown as % of equity-1.84%
($1,982)
Includes Typical Broker Commissions trade costs of $1.40
7/29/19 9:30 CSCO CISCO SYSTEMS LONG 265 56.69 8/14 9:30 52.12 1.19%
Trade id #124655516
Max drawdown($1,523)
Time7/29/19 9:30
Quant open265
Worst price50.94
Drawdown as % of equity-1.19%
($1,216)
Includes Typical Broker Commissions trade costs of $5.30
8/1/19 9:30 LBTYA LIBERTY GLOBAL PLC CLASS A ORD LONG 570 26.65 8/13 9:30 26.43 0.77%
Trade id #124714138
Max drawdown($957)
Time8/1/19 9:30
Quant open570
Worst price24.97
Drawdown as % of equity-0.77%
($130)
Includes Typical Broker Commissions trade costs of $5.00
8/2/19 9:30 FB FACEBOOK LONG 75 191.10 8/12 9:30 186.85 0.71%
Trade id #124736222
Max drawdown($882)
Time8/2/19 9:30
Quant open75
Worst price179.34
Drawdown as % of equity-0.71%
($321)
Includes Typical Broker Commissions trade costs of $1.50
8/2/19 9:30 EXPE EXPEDIA LONG 110 130.59 8/12 9:30 128.17 0.52%
Trade id #124736217
Max drawdown($647)
Time8/2/19 9:30
Quant open110
Worst price124.70
Drawdown as % of equity-0.52%
($268)
Includes Typical Broker Commissions trade costs of $2.20
7/23/19 9:30 DLTR DOLLAR TREE STORES LONG 140 107.60 8/12 9:30 89.92 1.95%
Trade id #124576244
Max drawdown($2,478)
Time7/23/19 9:30
Quant open140
Worst price89.90
Drawdown as % of equity-1.95%
($2,478)
Includes Typical Broker Commissions trade costs of $2.80
7/31/19 9:30 AMZN AMAZON.COM LONG 8 1898.11 8/12 9:30 1795.99 0.94%
Trade id #124693547
Max drawdown($1,194)
Time7/31/19 9:30
Quant open8
Worst price1748.78
Drawdown as % of equity-0.94%
($817)
Includes Typical Broker Commissions trade costs of $0.16
7/11/19 9:30 XRAY DENTSPLY SIRONA INC LONG 260 57.45 7/30 9:30 56.06 0.5%
Trade id #124415842
Max drawdown($634)
Time7/11/19 9:30
Quant open260
Worst price55.01
Drawdown as % of equity-0.50%
($366)
Includes Typical Broker Commissions trade costs of $5.20
7/24/19 9:30 PEP PEPSICO LONG 115 131.20 7/29 9:30 131.50 0.25%
Trade id #124591289
Max drawdown($323)
Time7/24/19 9:30
Quant open115
Worst price128.39
Drawdown as % of equity-0.25%
$33
Includes Typical Broker Commissions trade costs of $2.30
7/23/19 9:30 MAR MARRIOT INTERNATIONAL CLASS A LONG 110 137.32 7/26 9:30 141.29 0.1%
Trade id #124576238
Max drawdown($133)
Time7/23/19 9:30
Quant open110
Worst price136.11
Drawdown as % of equity-0.10%
$435
Includes Typical Broker Commissions trade costs of $2.20
7/23/19 9:30 CDNS CADENCE DESIGN SYSTEMS LONG 205 71.99 7/25 9:30 75.69 0.14%
Trade id #124576263
Max drawdown($182)
Time7/23/19 9:30
Quant open205
Worst price71.10
Drawdown as % of equity-0.14%
$755
Includes Typical Broker Commissions trade costs of $4.10
7/15/19 9:30 INCY INCYTE LONG 185 79.99 7/24 9:30 78.54 0.23%
Trade id #124459496
Max drawdown($290)
Time7/15/19 9:30
Quant open185
Worst price78.42
Drawdown as % of equity-0.23%
($272)
Includes Typical Broker Commissions trade costs of $3.70
7/23/19 9:30 PYPL PAYPAL HOLDINGS CORP LONG 125 119.42 7/24 9:30 120.00 0.07%
Trade id #124576255
Max drawdown($90)
Time7/23/19 9:30
Quant open125
Worst price118.69
Drawdown as % of equity-0.07%
$71
Includes Typical Broker Commissions trade costs of $2.50
7/10/19 9:30 ASML ASML HOLDING LONG 70 207.50 7/18 9:30 221.69 0.17%
Trade id #124400156
Max drawdown($219)
Time7/10/19 9:30
Quant open70
Worst price204.36
Drawdown as % of equity-0.17%
$992
Includes Typical Broker Commissions trade costs of $1.40
6/26/19 9:30 HSIC HENRY SCHEIN LONG 210 69.33 7/15 9:30 70.59 0.22%
Trade id #124236765
Max drawdown($264)
Time6/26/19 9:30
Quant open210
Worst price68.07
Drawdown as % of equity-0.22%
$261
Includes Typical Broker Commissions trade costs of $4.20
6/27/19 9:30 HAS HASBRO LONG 135 105.76 7/8 9:30 106.33 0.14%
Trade id #124252866
Max drawdown($174)
Time6/27/19 9:30
Quant open135
Worst price104.47
Drawdown as % of equity-0.14%
$74
Includes Typical Broker Commissions trade costs of $2.70
7/1/19 9:31 PEP PEPSICO LONG 110 131.99 7/5 9:30 132.89 0.08%
Trade id #124287026
Max drawdown($101)
Time7/1/19 9:31
Quant open110
Worst price131.07
Drawdown as % of equity-0.08%
$97
Includes Typical Broker Commissions trade costs of $2.20
6/27/19 9:30 PAYX PAYCHEX LONG 180 81.92 7/3 9:30 83.65 0.07%
Trade id #124252859
Max drawdown($90)
Time6/27/19 9:30
Quant open180
Worst price81.42
Drawdown as % of equity-0.07%
$307
Includes Typical Broker Commissions trade costs of $3.60
6/28/19 9:30 MELI MERCADOLIBRE LONG 24 613.12 7/3 9:30 630.98 0.2%
Trade id #124266140
Max drawdown($240)
Time6/28/19 9:30
Quant open24
Worst price603.10
Drawdown as % of equity-0.20%
$429
Includes Typical Broker Commissions trade costs of $0.48
6/28/19 9:30 PYPL PAYPAL HOLDINGS CORP LONG 125 114.24 7/3 9:30 116.88 0.09%
Trade id #124266129
Max drawdown($113)
Time6/28/19 9:30
Quant open125
Worst price113.33
Drawdown as % of equity-0.09%
$328
Includes Typical Broker Commissions trade costs of $2.50
6/27/19 9:30 CELG CELGENE LONG 155 92.46 7/3 9:30 94.07 0.06%
Trade id #124252873
Max drawdown($76)
Time6/27/19 9:30
Quant open155
Worst price91.97
Drawdown as % of equity-0.06%
$247
Includes Typical Broker Commissions trade costs of $3.10
6/27/19 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 200 73.45 7/3 9:30 75.89 0.09%
Trade id #124252870
Max drawdown($110)
Time6/27/19 9:30
Quant open200
Worst price72.90
Drawdown as % of equity-0.09%
$484
Includes Typical Broker Commissions trade costs of $4.00
6/27/19 9:30 WDAY WORKDAY LONG 70 205.08 7/2 9:30 213.40 0.1%
Trade id #124252861
Max drawdown($126)
Time6/27/19 9:30
Quant open70
Worst price203.27
Drawdown as % of equity-0.10%
$581
Includes Typical Broker Commissions trade costs of $1.40
6/28/19 9:30 CSX CSX LONG 190 76.80 7/2 9:30 78.50 0.06%
Trade id #124266147
Max drawdown($71)
Time6/28/19 9:30
Quant open190
Worst price76.42
Drawdown as % of equity-0.06%
$319
Includes Typical Broker Commissions trade costs of $3.80
6/27/19 9:30 CHTR CHARTER COMMUNICATIONS LONG 35 389.75 7/1 9:31 400.00 0.07%
Trade id #124252876
Max drawdown($90)
Time6/27/19 9:30
Quant open35
Worst price387.17
Drawdown as % of equity-0.07%
$358
Includes Typical Broker Commissions trade costs of $0.70
6/20/19 9:30 CERN CERNER LONG 205 71.69 6/24 9:30 72.11 0.12%
Trade id #124160100
Max drawdown($141)
Time6/20/19 9:30
Quant open205
Worst price71.00
Drawdown as % of equity-0.12%
$82
Includes Typical Broker Commissions trade costs of $4.10

Statistics

  • Strategy began
    1/2/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1328
  • Age
    44 months ago
  • What it trades
    Stocks
  • # Trades
    619
  • # Profitable
    401
  • % Profitable
    64.80%
  • Avg trade duration
    9.7 days
  • Max peak-to-valley drawdown
    12.36%
  • drawdown period
    Feb 01, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    4.5%
  • Avg win
    $340.00
  • Avg loss
    $527.61
  • Model Account Values (Raw)
  • Cash
    $116,226
  • Margin Used
    $0
  • Buying Power
    $116,135
  • Ratios
  • W:L ratio
    1.22:1
  • Sharpe Ratio
    0.25
  • Sortino Ratio
    0.34
  • Calmar Ratio
    0.609
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.50330
  • Return Statistics
  • Ann Return (w trading costs)
    4.5%
  • Ann Return (Compnd, No Fees)
    5.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.50%
  • Chance of 20% account loss
    13.50%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    781
  • C2 Score
    28
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $528
  • Avg Win
    $340
  • # Winners
    401
  • # Losers
    218
  • % Winners
    64.8%
  • Frequency
  • Avg Position Time (mins)
    14011.50
  • Avg Position Time (hrs)
    233.53
  • Avg Trade Length
    9.7 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.69
  • Daily leverage (max)
    1.65
  • Regression
  • Alpha
    -0.00
  • Beta
    0.40
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    21.533
  • Avg(MAE) / Avg(PL) - Winning trades
    0.723
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.965
  • Hold-and-Hope Ratio
    0.047
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05714
  • SD
    0.09122
  • Sharpe ratio (Glass type estimate)
    0.62638
  • Sharpe ratio (Hedges UMVUE)
    0.61484
  • df
    41.00000
  • t
    1.17185
  • p
    0.12401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43370
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67898
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44122
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67090
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94552
  • Upside Potential Ratio
    2.63349
  • Upside part of mean
    0.15913
  • Downside part of mean
    -0.10200
  • Upside SD
    0.06887
  • Downside SD
    0.06043
  • N nonnegative terms
    28.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.09083
  • Mean of criterion
    0.05714
  • SD of predictor
    0.08824
  • SD of criterion
    0.09122
  • Covariance
    0.00406
  • r
    0.50500
  • b (slope, estimate of beta)
    0.52205
  • a (intercept, estimate of alpha)
    0.00972
  • Mean Square Error
    0.00635
  • DF error
    40.00000
  • t(b)
    3.70038
  • p(b)
    0.00032
  • t(a)
    0.21843
  • p(a)
    0.41410
  • Lowerbound of 95% confidence interval for beta
    0.23691
  • Upperbound of 95% confidence interval for beta
    0.80718
  • Lowerbound of 95% confidence interval for alpha
    -0.08020
  • Upperbound of 95% confidence interval for alpha
    0.09964
  • Treynor index (mean / b)
    0.10945
  • Jensen alpha (a)
    0.00972
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05283
  • SD
    0.09114
  • Sharpe ratio (Glass type estimate)
    0.57964
  • Sharpe ratio (Hedges UMVUE)
    0.56897
  • df
    41.00000
  • t
    1.08442
  • p
    0.14226
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63129
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48589
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62382
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.85823
  • Upside Potential Ratio
    2.54170
  • Upside part of mean
    0.15646
  • Downside part of mean
    -0.10363
  • Upside SD
    0.06747
  • Downside SD
    0.06156
  • N nonnegative terms
    28.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.08649
  • Mean of criterion
    0.05283
  • SD of predictor
    0.08853
  • SD of criterion
    0.09114
  • Covariance
    0.00407
  • r
    0.50502
  • b (slope, estimate of beta)
    0.51994
  • a (intercept, estimate of alpha)
    0.00786
  • Mean Square Error
    0.00634
  • DF error
    40.00000
  • t(b)
    3.70066
  • p(b)
    0.00032
  • t(a)
    0.17760
  • p(a)
    0.42997
  • Lowerbound of 95% confidence interval for beta
    0.23598
  • Upperbound of 95% confidence interval for beta
    0.80390
  • Lowerbound of 95% confidence interval for alpha
    -0.08161
  • Upperbound of 95% confidence interval for alpha
    0.09734
  • Treynor index (mean / b)
    0.10161
  • Jensen alpha (a)
    0.00786
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03813
  • Expected Shortfall on VaR
    0.04860
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01492
  • Expected Shortfall on VaR
    0.03125
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.94785
  • Quartile 1
    0.98969
  • Median
    1.01008
  • Quartile 3
    1.02276
  • Maximum
    1.06029
  • Mean of quarter 1
    0.97104
  • Mean of quarter 2
    1.00400
  • Mean of quarter 3
    1.01770
  • Mean of quarter 4
    1.03630
  • Inter Quartile Range
    0.03307
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.50045
  • VaR(95%) (moments method)
    0.02799
  • Expected Shortfall (moments method)
    0.03266
  • Extreme Value Index (regression method)
    -0.06994
  • VaR(95%) (regression method)
    0.02737
  • Expected Shortfall (regression method)
    0.03599
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.01142
  • Quartile 1
    0.01537
  • Median
    0.02770
  • Quartile 3
    0.04414
  • Maximum
    0.05215
  • Mean of quarter 1
    0.01143
  • Mean of quarter 2
    0.02135
  • Mean of quarter 3
    0.03665
  • Mean of quarter 4
    0.04847
  • Inter Quartile Range
    0.02877
  • 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)
    0.09330
  • Compounded annual return (geometric extrapolation)
    0.08409
  • Calmar ratio (compounded annual return / max draw down)
    1.61242
  • Compounded annual return / average of 25% largest draw downs
    1.73464
  • Compounded annual return / Expected Shortfall lognormal
    1.73015
  • 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
    0.03552
  • SD
    0.10206
  • Sharpe ratio (Glass type estimate)
    0.34799
  • Sharpe ratio (Hedges UMVUE)
    0.34771
  • df
    937.00000
  • t
    0.65844
  • p
    0.25521
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38389
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68826
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38368
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.47865
  • Upside Potential Ratio
    6.94029
  • Upside part of mean
    0.51496
  • Downside part of mean
    -0.47945
  • Upside SD
    0.07003
  • Downside SD
    0.07420
  • N nonnegative terms
    468.00000
  • N negative terms
    470.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    938.00000
  • Mean of predictor
    0.08502
  • Mean of criterion
    0.03552
  • SD of predictor
    0.13167
  • SD of criterion
    0.10206
  • Covariance
    0.00696
  • r
    0.51817
  • b (slope, estimate of beta)
    0.40163
  • a (intercept, estimate of alpha)
    0.00100
  • Mean Square Error
    0.00763
  • DF error
    936.00000
  • t(b)
    18.53560
  • p(b)
    0.00000
  • t(a)
    0.02965
  • p(a)
    0.48818
  • Lowerbound of 95% confidence interval for beta
    0.35910
  • Upperbound of 95% confidence interval for beta
    0.44415
  • Lowerbound of 95% confidence interval for alpha
    -0.08929
  • Upperbound of 95% confidence interval for alpha
    0.09202
  • Treynor index (mean / b)
    0.08843
  • Jensen alpha (a)
    0.00137
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03030
  • SD
    0.10222
  • Sharpe ratio (Glass type estimate)
    0.29640
  • Sharpe ratio (Hedges UMVUE)
    0.29617
  • df
    937.00000
  • t
    0.56084
  • p
    0.28752
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73960
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33228
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73977
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33210
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.40460
  • Upside Potential Ratio
    6.84389
  • Upside part of mean
    0.51248
  • Downside part of mean
    -0.48218
  • Upside SD
    0.06952
  • Downside SD
    0.07488
  • N nonnegative terms
    468.00000
  • N negative terms
    470.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    938.00000
  • Mean of predictor
    0.07632
  • Mean of criterion
    0.03030
  • SD of predictor
    0.13193
  • SD of criterion
    0.10222
  • Covariance
    0.00701
  • r
    0.51981
  • b (slope, estimate of beta)
    0.40273
  • a (intercept, estimate of alpha)
    -0.00044
  • Mean Square Error
    0.00763
  • DF error
    936.00000
  • t(b)
    18.61580
  • p(b)
    0.00000
  • t(a)
    -0.00948
  • p(a)
    0.50378
  • Lowerbound of 95% confidence interval for beta
    0.36027
  • Upperbound of 95% confidence interval for beta
    0.44518
  • Lowerbound of 95% confidence interval for alpha
    -0.09111
  • Upperbound of 95% confidence interval for alpha
    0.09024
  • Treynor index (mean / b)
    0.07523
  • Jensen alpha (a)
    -0.00044
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01022
  • Expected Shortfall on VaR
    0.01282
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00415
  • Expected Shortfall on VaR
    0.00880
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    938.00000
  • Minimum
    0.96428
  • Quartile 1
    0.99849
  • Median
    1.00008
  • Quartile 3
    1.00227
  • Maximum
    1.03259
  • Mean of quarter 1
    0.99331
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.00106
  • Mean of quarter 4
    1.00701
  • Inter Quartile Range
    0.00378
  • Number outliers low
    77.00000
  • Percentage of outliers low
    0.08209
  • Mean of outliers low
    0.98655
  • Number of outliers high
    67.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.01377
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50157
  • VaR(95%) (moments method)
    0.00591
  • Expected Shortfall (moments method)
    0.01390
  • Extreme Value Index (regression method)
    0.20438
  • VaR(95%) (regression method)
    0.00606
  • Expected Shortfall (regression method)
    0.01022
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00152
  • Median
    0.00348
  • Quartile 3
    0.02770
  • Maximum
    0.09833
  • Mean of quarter 1
    0.00071
  • Mean of quarter 2
    0.00224
  • Mean of quarter 3
    0.01064
  • Mean of quarter 4
    0.07186
  • Inter Quartile Range
    0.02618
  • 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
    0.16667
  • Mean of outliers high
    0.08189
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.07709
  • VaR(95%) (moments method)
    0.07385
  • Expected Shortfall (moments method)
    0.07409
  • Extreme Value Index (regression method)
    -0.72021
  • VaR(95%) (regression method)
    0.07061
  • Expected Shortfall (regression method)
    0.07598
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06471
  • Compounded annual return (geometric extrapolation)
    0.05993
  • Calmar ratio (compounded annual return / max draw down)
    0.60949
  • Compounded annual return / average of 25% largest draw downs
    0.83402
  • Compounded annual return / Expected Shortfall lognormal
    4.67321
  • 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
    -0.06555
  • SD
    0.10774
  • Sharpe ratio (Glass type estimate)
    -0.60844
  • Sharpe ratio (Hedges UMVUE)
    -0.60492
  • df
    130.00000
  • t
    -0.43023
  • p
    0.51885
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.38014
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16544
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.37770
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16786
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78094
  • Upside Potential Ratio
    5.91367
  • Upside part of mean
    0.49639
  • Downside part of mean
    -0.56194
  • Upside SD
    0.06700
  • Downside SD
    0.08394
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08398
  • Mean of criterion
    -0.06555
  • SD of predictor
    0.12998
  • SD of criterion
    0.10774
  • Covariance
    0.00890
  • r
    0.63529
  • b (slope, estimate of beta)
    0.52658
  • a (intercept, estimate of alpha)
    -0.10978
  • Mean Square Error
    0.00698
  • DF error
    129.00000
  • t(b)
    9.34321
  • p(b)
    0.12471
  • t(a)
    -0.92859
  • p(a)
    0.55182
  • Lowerbound of 95% confidence interval for beta
    0.41507
  • Upperbound of 95% confidence interval for beta
    0.63808
  • Lowerbound of 95% confidence interval for alpha
    -0.34367
  • Upperbound of 95% confidence interval for alpha
    0.12412
  • Treynor index (mean / b)
    -0.12449
  • Jensen alpha (a)
    -0.10978
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07134
  • SD
    0.10811
  • Sharpe ratio (Glass type estimate)
    -0.65991
  • Sharpe ratio (Hedges UMVUE)
    -0.65610
  • df
    130.00000
  • t
    -0.46663
  • p
    0.52045
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.43167
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11426
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.42905
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11686
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.84177
  • Upside Potential Ratio
    5.83030
  • Upside part of mean
    0.49411
  • Downside part of mean
    -0.56545
  • Upside SD
    0.06659
  • Downside SD
    0.08475
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07555
  • Mean of criterion
    -0.07134
  • SD of predictor
    0.13039
  • SD of criterion
    0.10811
  • Covariance
    0.00896
  • r
    0.63545
  • b (slope, estimate of beta)
    0.52683
  • a (intercept, estimate of alpha)
    -0.11114
  • Mean Square Error
    0.00702
  • DF error
    129.00000
  • t(b)
    9.34707
  • p(b)
    0.12463
  • t(a)
    -0.93724
  • p(a)
    0.55230
  • Lowerbound of 95% confidence interval for beta
    0.41531
  • Upperbound of 95% confidence interval for beta
    0.63835
  • Lowerbound of 95% confidence interval for alpha
    -0.34575
  • Upperbound of 95% confidence interval for alpha
    0.12348
  • Treynor index (mean / b)
    -0.13541
  • Jensen alpha (a)
    -0.11114
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01119
  • Expected Shortfall on VaR
    0.01395
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00489
  • Expected Shortfall on VaR
    0.01026
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96951
  • Quartile 1
    0.99803
  • Median
    1.00004
  • Quartile 3
    1.00212
  • Maximum
    1.01762
  • Mean of quarter 1
    0.99221
  • Mean of quarter 2
    0.99949
  • Mean of quarter 3
    1.00086
  • Mean of quarter 4
    1.00690
  • Inter Quartile Range
    0.00409
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.98448
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01305
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54072
  • VaR(95%) (moments method)
    0.00753
  • Expected Shortfall (moments method)
    0.01878
  • Extreme Value Index (regression method)
    0.58821
  • VaR(95%) (regression method)
    0.00744
  • Expected Shortfall (regression method)
    0.02007
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00151
  • Median
    0.00221
  • Quartile 3
    0.01223
  • Maximum
    0.08967
  • Mean of quarter 1
    0.00045
  • Mean of quarter 2
    0.00218
  • Mean of quarter 3
    0.00675
  • Mean of quarter 4
    0.05993
  • Inter Quartile Range
    0.01073
  • 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
    0.18182
  • Mean of outliers high
    0.08264
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -204.36800
  • VaR(95%) (moments method)
    0.03984
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.11750
  • VaR(95%) (regression method)
    0.15230
  • Expected Shortfall (regression method)
    0.15300
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04296
  • Compounded annual return (geometric extrapolation)
    -0.04250
  • Calmar ratio (compounded annual return / max draw down)
    -0.47397
  • Compounded annual return / average of 25% largest draw downs
    -0.70921
  • Compounded annual return / Expected Shortfall lognormal
    -3.04738

Strategy Description

Because our very popular SP100 Short Term Swing System limits the number of subscribers, it is periodically closed. Therefore we are offering an additional system based on the same mechanical, systematic approach.

The system trades the highly liquid stocks of the NASDAQ100 Index. It is 100 % mechanical.

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

Equity per position is 12%

Max Positions is 10.

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
2016-01-02
Suggested Minimum Capital
$35,000
# Trades
619
# Profitable
401
% Profitable
64.8%
Net Dividends
Correlation S&P500
0.503
Sharpe Ratio
0.25
Sortino Ratio
0.34
Beta
0.40
Alpha
-0.00
Leverage
0.69 Average
1.65 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.