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This is an archived track record. This track record was archived on 12/22/21 15:23 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Rocking Horse Winners
(125540502)

Created by: ArbiTomsen ArbiTomsen
Started: 09/2019
Stocks
Last trade: 833 days ago
Trading style: Equity Non-hedged Equity Hedged Equity

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 $250.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
-8.0%
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.

(56.0%)
Max Drawdown
184
Num Trades
48.9%
Win Trades
1.0 : 1
Profit Factor
27.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        (1.2%)(1.8%)+3.0%+5.7%+5.6%
2020+0.7%(6.1%)(18.3%)+15.9%+2.8%(1.3%)+1.9%+5.5%+2.3%(4.8%)+8.5%+3.2%+6.4%
2021+0.4%(0.7%)+5.2%+4.2%(4.9%)(5.1%)(2.1%)+2.6%(0.6%)+8.5%(14.5%)(19.8%)(26.7%)
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/15/21 14:10 SITM SITIME CORP. LONG 30 266.06 12/17 9:43 245.01 1.4%
Trade id #138592853
Max drawdown($593)
Time12/17/21 9:37
Quant open30
Worst price246.28
Drawdown as % of equity-1.40%
($633)
Includes Typical Broker Commissions trade costs of $0.60
12/10/21 10:58 AOSL ALPHA & OMEGA LONG 151 52.98 12/17 9:43 48.83 2.17%
Trade id #138538310
Max drawdown($933)
Time12/14/21 0:00
Quant open151
Worst price46.80
Drawdown as % of equity-2.17%
($630)
Includes Typical Broker Commissions trade costs of $3.02
12/8/21 10:12 BLDR BUILDERS FIRSTSOURCE LONG 130 77.03 12/17 9:43 76.27 0.46%
Trade id #138508437
Max drawdown($196)
Time12/14/21 0:00
Quant open130
Worst price75.52
Drawdown as % of equity-0.46%
($102)
Includes Typical Broker Commissions trade costs of $2.60
11/29/21 11:37 AMD ADVANCED MICRO DEVICES INC. C LONG 63 158.70 12/17 9:43 136.91 4.11%
Trade id #138377463
Max drawdown($1,770)
Time12/14/21 0:00
Quant open63
Worst price130.60
Drawdown as % of equity-4.11%
($1,374)
Includes Typical Broker Commissions trade costs of $1.26
11/17/21 12:12 SKY SKYLINE CORPORATION LONG 127 79.08 12/17 9:43 72.50 2%
Trade id #138231332
Max drawdown($847)
Time12/17/21 9:37
Quant open127
Worst price72.41
Drawdown as % of equity-2.00%
($839)
Includes Typical Broker Commissions trade costs of $2.54
12/8/21 10:13 NVDA NVIDIA LONG 31 318.39 12/15 14:08 286.35 3.31%
Trade id #138508648
Max drawdown($1,422)
Time12/14/21 0:00
Quant open31
Worst price272.50
Drawdown as % of equity-3.31%
($994)
Includes Typical Broker Commissions trade costs of $0.62
12/8/21 10:13 INMD INMODE LTD. ORDINARY SHARES LONG 138 72.70 12/10 10:57 69.67 1.13%
Trade id #138508553
Max drawdown($506)
Time12/10/21 10:46
Quant open138
Worst price69.03
Drawdown as % of equity-1.13%
($421)
Includes Typical Broker Commissions trade costs of $2.76
9/20/21 11:19 INMD INMODE LTD. ORDINARY SHARES LONG 148 67.90 12/6 12:59 68.29 1.43%
Trade id #137443413
Max drawdown($703)
Time12/3/21 0:00
Quant open148
Worst price63.15
Drawdown as % of equity-1.43%
$55
Includes Typical Broker Commissions trade costs of $2.96
12/1/21 10:27 ENPH ENPHASE ENERGY LONG 40 251.46 12/6 12:34 211.17 3.81%
Trade id #138412190
Max drawdown($1,776)
Time12/6/21 9:38
Quant open40
Worst price207.05
Drawdown as % of equity-3.81%
($1,613)
Includes Typical Broker Commissions trade costs of $0.80
11/9/21 10:16 NET CLOUDFLARE INC LONG 48 206.67 12/6 12:30 146.38 6.41%
Trade id #138129623
Max drawdown($2,983)
Time12/6/21 9:38
Quant open48
Worst price144.52
Drawdown as % of equity-6.41%
($2,895)
Includes Typical Broker Commissions trade costs of $0.96
11/24/21 12:20 DDOG DATADOG INC. LONG 56 179.64 12/1 10:27 174.29 0.62%
Trade id #138331137
Max drawdown($328)
Time12/1/21 10:27
Quant open56
Worst price173.78
Drawdown as % of equity-0.62%
($301)
Includes Typical Broker Commissions trade costs of $1.12
11/24/21 12:21 SITM SITIME CORP. LONG 35 288.26 11/29 11:37 300.56 0.4%
Trade id #138331159
Max drawdown($217)
Time11/26/21 0:00
Quant open35
Worst price282.06
Drawdown as % of equity-0.40%
$430
Includes Typical Broker Commissions trade costs of $0.70
11/23/21 12:18 ENPH ENPHASE ENERGY LONG 40 252.00 11/24 12:20 253.90 0.7%
Trade id #138314891
Max drawdown($365)
Time11/24/21 9:43
Quant open40
Worst price242.87
Drawdown as % of equity-0.70%
$75
Includes Typical Broker Commissions trade costs of $0.80
11/23/21 12:05 AMD ADVANCED MICRO DEVICES INC. C LONG 68 147.02 11/24 12:19 154.74 0.17%
Trade id #138314654
Max drawdown($86)
Time11/23/21 13:19
Quant open68
Worst price145.75
Drawdown as % of equity-0.17%
$524
Includes Typical Broker Commissions trade costs of $1.36
11/18/21 15:52 DDOG DATADOG INC. LONG 53 190.40 11/23 12:04 174.01 2.04%
Trade id #138251225
Max drawdown($1,182)
Time11/23/21 9:30
Quant open53
Worst price168.08
Drawdown as % of equity-2.04%
($870)
Includes Typical Broker Commissions trade costs of $1.06
10/18/21 15:19 ASAN ASANA INC LONG 85 117.98 11/23 12:03 100.29 2.64%
Trade id #137861460
Max drawdown($1,532)
Time11/23/21 11:54
Quant open85
Worst price99.95
Drawdown as % of equity-2.64%
($1,506)
Includes Typical Broker Commissions trade costs of $1.70
11/18/21 15:51 DDOG DATADOG INC. SHORT 53 190.32 11/18 15:52 190.40 0.01%
Trade id #138251219
Max drawdown($4)
Time11/18/21 15:52
Quant open53
Worst price190.40
Drawdown as % of equity-0.01%
($5)
Includes Typical Broker Commissions trade costs of $1.06
9/20/21 11:20 ATKR ATKORE INC LONG 107 83.43 11/18 15:51 112.00 0.22%
Trade id #137443434
Max drawdown($123)
Time9/20/21 12:09
Quant open107
Worst price82.28
Drawdown as % of equity-0.22%
$3,055
Includes Typical Broker Commissions trade costs of $2.14
11/10/21 12:58 DDOG DATADOG INC. LONG 52 191.33 11/17 12:11 191.72 0.6%
Trade id #138148664
Max drawdown($335)
Time11/10/21 14:40
Quant open52
Worst price184.88
Drawdown as % of equity-0.60%
$19
Includes Typical Broker Commissions trade costs of $1.04
11/9/21 10:16 TASK TASKUS INC. CLASS A COMMON STOCK LONG 162 61.97 11/10 12:57 59.69 0.96%
Trade id #138129640
Max drawdown($562)
Time11/10/21 0:00
Quant open162
Worst price58.50
Drawdown as % of equity-0.96%
($372)
Includes Typical Broker Commissions trade costs of $3.24
11/4/21 12:06 SWAV SHOCKWAVE MEDICAL INC LONG 41 243.34 11/9 10:15 218.59 2.72%
Trade id #138078784
Max drawdown($1,602)
Time11/9/21 9:36
Quant open41
Worst price204.26
Drawdown as % of equity-2.72%
($1,016)
Includes Typical Broker Commissions trade costs of $0.82
11/8/21 9:30 CFLT CONFLUENT INC. CLASS A COMMON STOCK LONG 107 91.40 11/9 10:15 85.58 1.35%
Trade id #138112703
Max drawdown($795)
Time11/8/21 13:16
Quant open107
Worst price83.97
Drawdown as % of equity-1.35%
($625)
Includes Typical Broker Commissions trade costs of $2.14
9/23/21 10:22 DVAX DYNAVAX TECHNOLOGIES CORPORATI LONG 426 18.76 11/8 9:30 16.51 2.7%
Trade id #137497604
Max drawdown($1,644)
Time11/5/21 0:00
Quant open426
Worst price14.90
Drawdown as % of equity-2.70%
($966)
Includes Typical Broker Commissions trade costs of $8.52
11/3/21 12:18 TASK TASKUS INC. CLASS A COMMON STOCK LONG 171 58.73 11/4 12:05 58.17 0.29%
Trade id #138061597
Max drawdown($176)
Time11/4/21 11:30
Quant open171
Worst price57.70
Drawdown as % of equity-0.29%
($99)
Includes Typical Broker Commissions trade costs of $3.42
11/2/21 10:11 AFRM AFFIRM HOLDINGS INC. CLASS A LONG 65 153.87 11/3 12:18 161.22 0.18%
Trade id #138042374
Max drawdown($111)
Time11/2/21 10:14
Quant open65
Worst price152.15
Drawdown as % of equity-0.18%
$477
Includes Typical Broker Commissions trade costs of $1.30
10/29/21 13:40 AFRM AFFIRM HOLDINGS INC. CLASS A LONG 61 163.11 11/2 10:08 154.43 1.45%
Trade id #138009279
Max drawdown($882)
Time11/2/21 9:33
Quant open61
Worst price148.64
Drawdown as % of equity-1.45%
($530)
Includes Typical Broker Commissions trade costs of $1.22
10/27/21 13:44 CELH CELSIUS HOLDINGS INC. COMMON STOCK LONG 103 97.50 10/29 13:38 96.67 0.52%
Trade id #137979911
Max drawdown($297)
Time10/28/21 0:00
Quant open103
Worst price94.61
Drawdown as % of equity-0.52%
($87)
Includes Typical Broker Commissions trade costs of $2.06
10/22/21 10:03 AFRM AFFIRM HOLDINGS INC. CLASS A SHORT 132 153.50 10/27 13:39 155.43 1.63%
Trade id #137918375
Max drawdown($936)
Time10/25/21 0:00
Quant open66
Worst price165.94
Drawdown as % of equity-1.63%
($258)
Includes Typical Broker Commissions trade costs of $2.64
10/19/21 10:50 TASK TASKUS INC. CLASS A COMMON STOCK LONG 154 65.12 10/22 10:02 61.90 1.6%
Trade id #137872648
Max drawdown($931)
Time10/22/21 9:44
Quant open154
Worst price59.07
Drawdown as % of equity-1.60%
($499)
Includes Typical Broker Commissions trade costs of $3.08
10/14/21 11:54 AFRM AFFIRM HOLDINGS INC. CLASS A LONG 68 146.42 10/19 10:49 155.64 0.13%
Trade id #137809259
Max drawdown($71)
Time10/14/21 12:22
Quant open68
Worst price145.37
Drawdown as % of equity-0.13%
$626
Includes Typical Broker Commissions trade costs of $1.36

Statistics

  • Strategy began
    9/27/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1638.64
  • Age
    55 months ago
  • What it trades
    Stocks
  • # Trades
    184
  • # Profitable
    90
  • % Profitable
    48.90%
  • Avg trade duration
    21.9 days
  • Max peak-to-valley drawdown
    55.99%
  • drawdown period
    Feb 16, 2021 - March 27, 2021
  • Annual Return (Compounded)
    -8.0%
  • Avg win
    $675.08
  • Avg loss
    $649.29
  • Model Account Values (Raw)
  • Cash
    $49,913
  • Margin Used
    $0
  • Buying Power
    $49,913
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    -0.13
  • Sortino Ratio
    -0.18
  • Calmar Ratio
    -0.002
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -75.40%
  • Correlation to SP500
    0.26450
  • Return Percent SP500 (cumu) during strategy life
    77.40%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -8.0%
  • Slump
  • Current Slump as Pcnt Equity
    50.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.65%
  • 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)
    -0.080%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    95.00%
  • Chance of 20% account loss
    89.00%
  • Chance of 30% account loss
    75.00%
  • Chance of 40% account loss
    66.00%
  • Chance of 60% account loss (Monte Carlo)
    32.50%
  • Chance of 70% account loss (Monte Carlo)
    12.00%
  • Chance of 80% account loss (Monte Carlo)
    2.00%
  • 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
    54.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    434
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    282
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $649
  • Avg Win
    $675
  • Sum Trade PL (losers)
    $61,033.000
  • Age
  • Num Months filled monthly returns table
    55
  • Win / Loss
  • Sum Trade PL (winners)
    $60,757.000
  • # Winners
    90
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    186
  • Win / Loss
  • # Losers
    94
  • % Winners
    48.9%
  • Frequency
  • Avg Position Time (mins)
    31557.90
  • Avg Position Time (hrs)
    525.97
  • Avg Trade Length
    21.9 days
  • Last Trade Ago
    827
  • Leverage
  • Daily leverage (average)
    0.87
  • Daily leverage (max)
    3.00
  • Regression
  • Alpha
    -0.02
  • Beta
    0.28
  • Treynor Index
    -0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.03
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -118.634
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.462
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.415
  • Hold-and-Hope Ratio
    -0.008
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05809
  • SD
    0.29054
  • Sharpe ratio (Glass type estimate)
    0.19994
  • Sharpe ratio (Hedges UMVUE)
    0.19387
  • df
    25.00000
  • t
    0.29430
  • p
    0.38548
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53067
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.13874
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52649
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.26879
  • Upside Potential Ratio
    1.68548
  • Upside part of mean
    0.36426
  • Downside part of mean
    -0.30617
  • Upside SD
    0.18639
  • Downside SD
    0.21612
  • N nonnegative terms
    13.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.21146
  • Mean of criterion
    0.05809
  • SD of predictor
    0.21949
  • SD of criterion
    0.29054
  • Covariance
    0.05443
  • r
    0.85351
  • b (slope, estimate of beta)
    1.12981
  • a (intercept, estimate of alpha)
    -0.18082
  • Mean Square Error
    0.02388
  • DF error
    24.00000
  • t(b)
    8.02430
  • p(b)
    0.00000
  • t(a)
    -1.65718
  • p(a)
    0.94475
  • Lowerbound of 95% confidence interval for beta
    0.83922
  • Upperbound of 95% confidence interval for beta
    1.42040
  • Lowerbound of 95% confidence interval for alpha
    -0.40602
  • Upperbound of 95% confidence interval for alpha
    0.04438
  • Treynor index (mean / b)
    0.05142
  • Jensen alpha (a)
    -0.18082
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01477
  • SD
    0.30532
  • Sharpe ratio (Glass type estimate)
    0.04837
  • Sharpe ratio (Hedges UMVUE)
    0.04690
  • df
    25.00000
  • t
    0.07119
  • p
    0.47191
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28369
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37951
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28470
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37849
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06085
  • Upside Potential Ratio
    1.43165
  • Upside part of mean
    0.34743
  • Downside part of mean
    -0.33266
  • Upside SD
    0.17538
  • Downside SD
    0.24268
  • N nonnegative terms
    13.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.18534
  • Mean of criterion
    0.01477
  • SD of predictor
    0.22656
  • SD of criterion
    0.30532
  • Covariance
    0.05893
  • r
    0.85189
  • b (slope, estimate of beta)
    1.14803
  • a (intercept, estimate of alpha)
    -0.19800
  • Mean Square Error
    0.02663
  • DF error
    24.00000
  • t(b)
    7.96883
  • p(b)
    0.00000
  • t(a)
    -1.73626
  • p(a)
    0.95233
  • Lowerbound of 95% confidence interval for beta
    0.85069
  • Upperbound of 95% confidence interval for beta
    1.44536
  • Lowerbound of 95% confidence interval for alpha
    -0.43337
  • Upperbound of 95% confidence interval for alpha
    0.03736
  • Treynor index (mean / b)
    0.01286
  • Jensen alpha (a)
    -0.19800
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13389
  • Expected Shortfall on VaR
    0.16477
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05787
  • Expected Shortfall on VaR
    0.12190
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.75414
  • Quartile 1
    0.97937
  • Median
    1.00515
  • Quartile 3
    1.06537
  • Maximum
    1.18760
  • Mean of quarter 1
    0.91634
  • Mean of quarter 2
    0.99209
  • Mean of quarter 3
    1.02484
  • Mean of quarter 4
    1.09578
  • Inter Quartile Range
    0.08600
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.78800
  • 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)
    0.83950
  • VaR(95%) (moments method)
    0.09436
  • Expected Shortfall (moments method)
    0.61174
  • Extreme Value Index (regression method)
    0.97158
  • VaR(95%) (regression method)
    0.09260
  • Expected Shortfall (regression method)
    3.08170
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01053
  • Quartile 1
    0.01397
  • Median
    0.04289
  • Quartile 3
    0.18096
  • Maximum
    0.26625
  • Mean of quarter 1
    0.01225
  • Mean of quarter 2
    0.04289
  • Mean of quarter 3
    0.18096
  • Mean of quarter 4
    0.26625
  • Inter Quartile Range
    0.16698
  • 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)
    0.04471
  • Compounded annual return (geometric extrapolation)
    0.04360
  • Calmar ratio (compounded annual return / max draw down)
    0.16375
  • Compounded annual return / average of 25% largest draw downs
    0.16375
  • Compounded annual return / Expected Shortfall lognormal
    0.26460
  • 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
    -0.00348
  • SD
    0.22368
  • Sharpe ratio (Glass type estimate)
    -0.01556
  • Sharpe ratio (Hedges UMVUE)
    -0.01554
  • df
    577.00000
  • t
    -0.02311
  • p
    0.50921
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33514
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30402
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33512
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30404
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02048
  • Upside Potential Ratio
    6.34877
  • Upside part of mean
    1.07867
  • Downside part of mean
    -1.08215
  • Upside SD
    0.14519
  • Downside SD
    0.16990
  • N nonnegative terms
    314.00000
  • N negative terms
    264.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    578.00000
  • Mean of predictor
    0.21164
  • Mean of criterion
    -0.00348
  • SD of predictor
    0.24955
  • SD of criterion
    0.22368
  • Covariance
    0.02470
  • r
    0.44250
  • b (slope, estimate of beta)
    0.39662
  • a (intercept, estimate of alpha)
    -0.07200
  • Mean Square Error
    0.04031
  • DF error
    576.00000
  • t(b)
    11.84240
  • p(b)
    0.00000
  • t(a)
    -0.64587
  • p(a)
    0.74069
  • Lowerbound of 95% confidence interval for beta
    0.33084
  • Upperbound of 95% confidence interval for beta
    0.46240
  • Lowerbound of 95% confidence interval for alpha
    -0.35326
  • Upperbound of 95% confidence interval for alpha
    0.17842
  • Treynor index (mean / b)
    -0.00878
  • Jensen alpha (a)
    -0.08742
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02870
  • SD
    0.22537
  • Sharpe ratio (Glass type estimate)
    -0.12733
  • Sharpe ratio (Hedges UMVUE)
    -0.12717
  • df
    577.00000
  • t
    -0.18912
  • p
    0.57497
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44687
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19232
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44676
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19243
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16465
  • Upside Potential Ratio
    6.12948
  • Upside part of mean
    1.06827
  • Downside part of mean
    -1.09696
  • Upside SD
    0.14259
  • Downside SD
    0.17428
  • N nonnegative terms
    314.00000
  • N negative terms
    264.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    578.00000
  • Mean of predictor
    0.18021
  • Mean of criterion
    -0.02870
  • SD of predictor
    0.25119
  • SD of criterion
    0.22537
  • Covariance
    0.02577
  • r
    0.45521
  • b (slope, estimate of beta)
    0.40841
  • a (intercept, estimate of alpha)
    -0.10229
  • Mean Square Error
    0.04034
  • DF error
    576.00000
  • t(b)
    12.26990
  • p(b)
    0.00000
  • t(a)
    -0.75578
  • p(a)
    0.77495
  • Lowerbound of 95% confidence interval for beta
    0.34303
  • Upperbound of 95% confidence interval for beta
    0.47378
  • Lowerbound of 95% confidence interval for alpha
    -0.36813
  • Upperbound of 95% confidence interval for alpha
    0.16355
  • Treynor index (mean / b)
    -0.07026
  • Jensen alpha (a)
    -0.10229
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02275
  • Expected Shortfall on VaR
    0.02840
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00878
  • Expected Shortfall on VaR
    0.01898
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    578.00000
  • Minimum
    0.90732
  • Quartile 1
    0.99620
  • Median
    1.00076
  • Quartile 3
    1.00510
  • Maximum
    1.08174
  • Mean of quarter 1
    0.98515
  • Mean of quarter 2
    0.99863
  • Mean of quarter 3
    1.00281
  • Mean of quarter 4
    1.01379
  • Inter Quartile Range
    0.00890
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.06401
  • Mean of outliers low
    0.96661
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.04844
  • Mean of outliers high
    1.03126
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47057
  • VaR(95%) (moments method)
    0.01357
  • Expected Shortfall (moments method)
    0.02991
  • Extreme Value Index (regression method)
    0.33355
  • VaR(95%) (regression method)
    0.01433
  • Expected Shortfall (regression method)
    0.02698
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00072
  • Quartile 1
    0.00304
  • Median
    0.01709
  • Quartile 3
    0.07490
  • Maximum
    0.32203
  • Mean of quarter 1
    0.00130
  • Mean of quarter 2
    0.00848
  • Mean of quarter 3
    0.03156
  • Mean of quarter 4
    0.17263
  • Inter Quartile Range
    0.07186
  • 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
    0.08696
  • Mean of outliers high
    0.29945
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.41941
  • VaR(95%) (moments method)
    0.20365
  • Expected Shortfall (moments method)
    0.36936
  • Extreme Value Index (regression method)
    0.99648
  • VaR(95%) (regression method)
    0.15762
  • Expected Shortfall (regression method)
    21.25010
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00079
  • Compounded annual return (geometric extrapolation)
    -0.00079
  • Calmar ratio (compounded annual return / max draw down)
    -0.00245
  • Compounded annual return / average of 25% largest draw downs
    -0.00457
  • Compounded annual return / Expected Shortfall lognormal
    -0.02778
  • 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
    -0.43692
  • SD
    0.25111
  • Sharpe ratio (Glass type estimate)
    -1.73997
  • Sharpe ratio (Hedges UMVUE)
    -1.72992
  • df
    130.00000
  • t
    -1.23035
  • p
    0.55364
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.51657
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04316
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.50969
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04985
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.24475
  • Upside Potential Ratio
    5.12632
  • Upside part of mean
    0.99778
  • Downside part of mean
    -1.43470
  • Upside SD
    0.15943
  • Downside SD
    0.19464
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18742
  • Mean of criterion
    -0.43692
  • SD of predictor
    0.12164
  • SD of criterion
    0.25111
  • Covariance
    0.01352
  • r
    0.44271
  • b (slope, estimate of beta)
    0.91393
  • a (intercept, estimate of alpha)
    -0.60820
  • Mean Square Error
    0.05109
  • DF error
    129.00000
  • t(b)
    5.60770
  • p(b)
    0.22766
  • t(a)
    -1.89407
  • p(a)
    0.60425
  • Lowerbound of 95% confidence interval for beta
    0.59147
  • Upperbound of 95% confidence interval for beta
    1.23639
  • Lowerbound of 95% confidence interval for alpha
    -1.24352
  • Upperbound of 95% confidence interval for alpha
    0.02712
  • Treynor index (mean / b)
    -0.47806
  • Jensen alpha (a)
    -0.60820
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.46857
  • SD
    0.25123
  • Sharpe ratio (Glass type estimate)
    -1.86509
  • Sharpe ratio (Hedges UMVUE)
    -1.85431
  • df
    130.00000
  • t
    -1.31882
  • p
    0.55745
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.64264
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.63526
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92665
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.36350
  • Upside Potential Ratio
    4.97039
  • Upside part of mean
    0.98539
  • Downside part of mean
    -1.45396
  • Upside SD
    0.15546
  • Downside SD
    0.19825
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17999
  • Mean of criterion
    -0.46857
  • SD of predictor
    0.12170
  • SD of criterion
    0.25123
  • Covariance
    0.01361
  • r
    0.44513
  • b (slope, estimate of beta)
    0.91891
  • a (intercept, estimate of alpha)
    -0.63396
  • Mean Square Error
    0.05100
  • DF error
    129.00000
  • t(b)
    5.64587
  • p(b)
    0.22628
  • t(a)
    -1.97664
  • p(a)
    0.60862
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.59689
  • Upperbound of 95% confidence interval for beta
    1.24092
  • Lowerbound of 95% confidence interval for alpha
    -1.26852
  • Upperbound of 95% confidence interval for alpha
    0.00060
  • Treynor index (mean / b)
    -0.50992
  • Jensen alpha (a)
    -0.63396
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02695
  • Expected Shortfall on VaR
    0.03322
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01284
  • Expected Shortfall on VaR
    0.02583
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94219
  • Quartile 1
    0.99564
  • Median
    1.00000
  • Quartile 3
    1.00341
  • Maximum
    1.08174
  • Mean of quarter 1
    0.98015
  • Mean of quarter 2
    0.99833
  • Mean of quarter 3
    1.00143
  • Mean of quarter 4
    1.01393
  • Inter Quartile Range
    0.00777
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.97135
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.02870
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32022
  • VaR(95%) (moments method)
    0.01422
  • Expected Shortfall (moments method)
    0.01777
  • Extreme Value Index (regression method)
    -0.07583
  • VaR(95%) (regression method)
    0.01898
  • Expected Shortfall (regression method)
    0.02683
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00246
  • Quartile 1
    0.04047
  • Median
    0.08514
  • Quartile 3
    0.15707
  • Maximum
    0.27686
  • Mean of quarter 1
    0.00246
  • Mean of quarter 2
    0.05313
  • Mean of quarter 3
    0.11714
  • Mean of quarter 4
    0.27686
  • Inter Quartile Range
    0.11661
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -310766000
  • Max Equity Drawdown (num days)
    39
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.39549
  • Compounded annual return (geometric extrapolation)
    -0.35639
  • Calmar ratio (compounded annual return / max draw down)
    -1.28724
  • Compounded annual return / average of 25% largest draw downs
    -1.28724
  • Compounded annual return / Expected Shortfall lognormal
    -10.72720

Strategy Description

Each Monday morning we sort through 4500 stocks. We begin with a screener from a major brokerage house, then we filter those stocks through 9 different well known financial research companies (Standard and Poor's, Morning Star, Zach's, Ned's, are at the top of the filter). The criteria we look for is analyst coverage, institutional sponsorship, momentum, sector rotation plus we factor in general market conditions. We then pour these results into our own proprietary data base matching function where we use other sources to compare and isolate the very best of the bunch. After we have completed all of our sorts we end up with a very few that make our rigorous cut. Finally, if we even have 5 left that survive our filter process, we rank them and add them to our buy list. When a stock or sector rotation causes a stock to fall off the screen test we sell it and replace it with another of our top picks from the Monday screen. By far we put more work into this process then any of our other strategies and we use some of the most powerful research tools available to Wall Street. We also use the SPODD500 methodology to trade 1 of 5 triple ETF funds. SPY, QQQ, DIA, IWM, or IWB. The stock picking system has been long tested and has propelled us into top tier results with several international stock picking contests.

Summary Statistics

Strategy began
2019-09-27
Suggested Minimum Capital
$5,000
# Trades
184
# Profitable
90
% Profitable
48.9%
Net Dividends
Correlation S&P500
0.265
Sharpe Ratio
-0.13
Sortino Ratio
-0.18
Beta
0.28
Alpha
-0.02
Leverage
0.87 Average
3.00 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.