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

Asset Class Momentum
(126148927)

Created by: ARD_Investment ARD_Investment
Started: 11/2019
Stocks
Last trade: 702 days ago
Trading style: Options Directional Bets

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 $75.00 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: Options
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
17.6%
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.

(43.4%)
Max Drawdown
253
Num Trades
48.6%
Win Trades
1.5 : 1
Profit Factor
37.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      +2.4%+5.2%+7.7%
2020(21.6%)+28.9%+1.9%(6.2%)+5.4%+41.1%+3.0%+9.5%(11%)(4.6%)+1.2%+17.3%+63.3%
2021+7.0%(0.4%)(9.4%)+2.8%+0.7%+5.7%+6.7%+6.5%(1.5%)+3.3%(0.9%)+1.4%+22.9%
2022(6.4%)(2.9%)+3.4%+0.2%  -    -    -    -    -    -    -    -  (6%)
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

This strategy has placed 13 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1294 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/16/22 9:36 CMG CHIPOTLE MEXICAN GRILL SHORT 5 1531.85 4/26 11:40 1429.54 0.56%
Trade id #139801881
Max drawdown($565)
Time4/20/22 0:00
Quant open5
Worst price1645.00
Drawdown as % of equity-0.56%
$512
Includes Typical Broker Commissions trade costs of $0.10
9/18/21 9:37 CSGP COSTAR GROUP LONG 100 90.00 4/26/22 11:40 60.70 4.13%
Trade id #137426337
Max drawdown($4,100)
Time2/23/22 0:00
Quant open100
Worst price49.00
Drawdown as % of equity-4.13%
($2,932)
Includes Typical Broker Commissions trade costs of $2.00
3/16/22 14:17 @QOJ2 miNY Gold LONG 2 1900.00 3/17 3:39 1935.25 0.46%
Trade id #139808414
Max drawdown($450)
Time3/16/22 14:20
Quant open2
Worst price1895.50
Drawdown as % of equity-0.46%
$3,509
Includes Typical Broker Commissions trade costs of $16.00
3/11/22 9:30 GLD SPDR GOLD SHARES LONG 100 183.77 3/16 10:15 178.00 0.62%
Trade id #139749134
Max drawdown($605)
Time3/16/22 10:15
Quant open100
Worst price177.72
Drawdown as % of equity-0.62%
($579)
Includes Typical Broker Commissions trade costs of $2.00
3/15/22 9:30 CVX CHEVRON LONG 100 159.31 3/15 10:10 156.00 0.36%
Trade id #139785828
Max drawdown($351)
Time3/15/22 10:10
Quant open100
Worst price155.80
Drawdown as % of equity-0.36%
($333)
Includes Typical Broker Commissions trade costs of $2.00
3/7/22 9:44 COP CONOCOPHILLIPS LONG 100 99.50 3/9 9:30 94.84 0.6%
Trade id #139676064
Max drawdown($595)
Time3/9/22 9:30
Quant open100
Worst price93.55
Drawdown as % of equity-0.60%
($468)
Includes Typical Broker Commissions trade costs of $2.00
3/8/22 9:31 FNV FRANCO-NEVADA LONG 50 162.70 3/9 9:30 155.46 0.43%
Trade id #139693160
Max drawdown($425)
Time3/9/22 0:00
Quant open50
Worst price154.19
Drawdown as % of equity-0.43%
($363)
Includes Typical Broker Commissions trade costs of $1.00
3/7/22 11:37 CVX CHEVRON LONG 100 156.80 3/8 11:10 172.48 0.11%
Trade id #139679191
Max drawdown($108)
Time3/7/22 12:23
Quant open100
Worst price155.72
Drawdown as % of equity-0.11%
$1,566
Includes Typical Broker Commissions trade costs of $2.00
3/7/22 11:44 AA ALCOA LONG 50 88.00 3/7 12:16 85.35 0.14%
Trade id #139679321
Max drawdown($137)
Time3/7/22 12:16
Quant open50
Worst price85.25
Drawdown as % of equity-0.14%
($134)
Includes Typical Broker Commissions trade costs of $1.00
9/21/21 10:48 IR INGERSOLL RAND LONG 100 52.25 2/24/22 9:31 49.63 0.28%
Trade id #137461731
Max drawdown($275)
Time2/24/22 9:31
Quant open100
Worst price49.50
Drawdown as % of equity-0.28%
($264)
Includes Typical Broker Commissions trade costs of $2.00
9/28/21 9:30 MSFT MICROSOFT LONG 36 289.25 2/24/22 9:30 272.60 0.65%
Trade id #137557707
Max drawdown($638)
Time2/24/22 9:30
Quant open36
Worst price271.52
Drawdown as % of equity-0.65%
($600)
Includes Typical Broker Commissions trade costs of $0.72
1/20/22 14:16 MGA MAGNA INTERNATIONAL LONG 84 82.50 1/21 15:06 78.34 0.35%
Trade id #139034232
Max drawdown($353)
Time1/21/22 15:06
Quant open84
Worst price78.29
Drawdown as % of equity-0.35%
($351)
Includes Typical Broker Commissions trade costs of $1.68
9/15/21 9:30 WCN WASTE CONNECTIONS LONG 50 130.00 1/20/22 15:58 123.00 0.34%
Trade id #137380004
Max drawdown($351)
Time1/20/22 15:58
Quant open50
Worst price122.97
Drawdown as % of equity-0.34%
($351)
Includes Typical Broker Commissions trade costs of $1.00
12/14/21 11:17 HD HOME DEPOT LONG 18 400.00 1/19/22 15:53 360.00 0.71%
Trade id #138576618
Max drawdown($721)
Time1/19/22 15:53
Quant open18
Worst price359.94
Drawdown as % of equity-0.71%
($720)
Includes Typical Broker Commissions trade costs of $0.36
10/4/21 13:03 MDB MONGODB INC. CLASS A COMMON STOCK LONG 16 435.00 1/6/22 10:11 413.33 0.34%
Trade id #137651717
Max drawdown($350)
Time1/6/22 10:11
Quant open16
Worst price413.10
Drawdown as % of equity-0.34%
($347)
Includes Typical Broker Commissions trade costs of $0.32
12/3/21 10:48 INTU INTUIT LONG 10 644.93 1/6/22 9:30 580.25 0.62%
Trade id #138446457
Max drawdown($647)
Time1/6/22 9:30
Quant open10
Worst price580.21
Drawdown as % of equity-0.62%
($647)
Includes Typical Broker Commissions trade costs of $0.20
9/30/21 11:16 USO2221M53 USO Jan21'22 53 put LONG 1 4.05 11/26 10:42 5.05 0.22%
Trade id #137600131
Max drawdown($235)
Time10/26/21 0:00
Quant open1
Worst price1.70
Drawdown as % of equity-0.22%
$98
Includes Typical Broker Commissions trade costs of $2.00
1/26/21 10:19 QRVO QORVO INC. COMMON STOCK LONG 10 176.00 11/4 9:31 158.50 0.17%
Trade id #133598179
Max drawdown($188)
Time11/4/21 9:31
Quant open10
Worst price157.20
Drawdown as % of equity-0.17%
($175)
Includes Typical Broker Commissions trade costs of $0.20
9/28/21 9:37 GOOG ALPHABET INC CLASS C LONG 3 2771.90 9/29 13:40 2687.30 0.24%
Trade id #137558678
Max drawdown($253)
Time9/29/21 13:40
Quant open3
Worst price2687.30
Drawdown as % of equity-0.24%
($254)
Includes Typical Broker Commissions trade costs of $0.06
7/8/21 9:30 QCOM QUALCOMM LONG 43 137.00 9/29 12:25 129.00 0.33%
Trade id #136377180
Max drawdown($347)
Time9/29/21 12:25
Quant open43
Worst price128.93
Drawdown as % of equity-0.33%
($345)
Includes Typical Broker Commissions trade costs of $0.86
9/22/21 9:30 FB META PLATFORMS INC LONG 28 347.23 9/22 9:49 343.35 0.11%
Trade id #137475021
Max drawdown($117)
Time9/22/21 9:49
Quant open28
Worst price343.02
Drawdown as % of equity-0.11%
($110)
Includes Typical Broker Commissions trade costs of $0.56
9/13/21 9:30 OSH OAK STREET HEALTH INC LONG 140 52.37 9/20 15:16 49.68 0.36%
Trade id #137344783
Max drawdown($376)
Time9/20/21 15:16
Quant open140
Worst price49.68
Drawdown as % of equity-0.36%
($380)
Includes Typical Broker Commissions trade costs of $2.80
1/11/21 9:30 ABC AMERISOURCEBERGEN LONG 16 109.49 9/20 11:53 121.77 0.15%
Trade id #133302048
Max drawdown($140)
Time2/26/21 0:00
Quant open16
Worst price100.71
Drawdown as % of equity-0.15%
$196
Includes Typical Broker Commissions trade costs of $0.32
8/11/21 13:21 BNTX BIONTECH SE LONG 20 345.01 9/20 11:53 347.93 0.5%
Trade id #136924504
Max drawdown($500)
Time8/17/21 0:00
Quant open20
Worst price320.00
Drawdown as % of equity-0.50%
$58
Includes Typical Broker Commissions trade costs of $0.40
1/12/21 12:10 BAX BAXTER INTERNATIONAL LONG 33 80.00 9/20 11:53 82.63 0.22%
Trade id #133330907
Max drawdown($227)
Time8/26/21 0:00
Quant open33
Worst price73.12
Drawdown as % of equity-0.22%
$86
Includes Typical Broker Commissions trade costs of $0.66
9/13/21 10:24 CSGP2117U90 CSGP Sep17'21 90 put SHORT 1 1.00 9/18 9:37 0.00 0.04%
Trade id #137347823
Max drawdown($40)
Time9/15/21 0:00
Quant open1
Worst price1.40
Drawdown as % of equity-0.04%
$99
Includes Typical Broker Commissions trade costs of $1.00
8/17/21 9:33 SPXW2130K4350 SPX Nov30'21 4350 call LONG 1 207.50 9/9 9:33 242.20 2.23%
Trade id #136996296
Max drawdown($2,231)
Time8/19/21 0:00
Quant open1
Worst price185.19
Drawdown as % of equity-2.23%
$3,468
Includes Typical Broker Commissions trade costs of $2.00
3/30/21 9:30 JNJ JOHNSON & JOHNSON LONG 100 165.02 9/9 9:30 171.19 1%
Trade id #134926470
Max drawdown($849)
Time4/13/21 0:00
Quant open100
Worst price156.53
Drawdown as % of equity-1.00%
$615
Includes Typical Broker Commissions trade costs of $2.00
3/30/21 9:31 DHR DANAHER LONG 50 224.81 9/9 9:30 330.50 0.15%
Trade id #134926673
Max drawdown($129)
Time3/30/21 13:05
Quant open50
Worst price222.22
Drawdown as % of equity-0.15%
$5,284
Includes Typical Broker Commissions trade costs of $1.00
4/14/21 9:31 KEYS KEYSIGHT TECHNOLOGIES INC LONG 100 143.00 9/9 9:30 181.91 0.99%
Trade id #135141963
Max drawdown($835)
Time5/19/21 0:00
Quant open100
Worst price134.65
Drawdown as % of equity-0.99%
$3,889
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    11/11/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1593.17
  • Age
    53 months ago
  • What it trades
    Stocks, Options
  • # Trades
    253
  • # Profitable
    123
  • % Profitable
    48.60%
  • Avg trade duration
    20.4 days
  • Max peak-to-valley drawdown
    43.41%
  • drawdown period
    Feb 19, 2020 - Feb 26, 2020
  • Annual Return (Compounded)
    17.6%
  • Avg win
    $1,297
  • Avg loss
    $802.95
  • Model Account Values (Raw)
  • Cash
    $105,964
  • Margin Used
    $0
  • Buying Power
    $105,964
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    0.42
  • Sortino Ratio
    1
  • Calmar Ratio
    0.8
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    33.63%
  • Correlation to SP500
    0.05090
  • Return Percent SP500 (cumu) during strategy life
    70.02%
  • Return Statistics
  • Ann Return (w trading costs)
    17.6%
  • Slump
  • Current Slump as Pcnt Equity
    7.20%
  • Instruments
  • Percent Trades Futures
    0.12%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.54%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    25.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.176%
  • Instruments
  • Percent Trades Options
    0.22%
  • Percent Trades Stocks
    0.66%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    67.00%
  • Chance of 20% account loss
    41.00%
  • Chance of 30% account loss
    20.00%
  • Chance of 40% account loss
    5.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $803
  • Avg Win
    $1,298
  • Sum Trade PL (losers)
    $104,383.000
  • Age
  • Num Months filled monthly returns table
    53
  • Win / Loss
  • Sum Trade PL (winners)
    $159,614.000
  • # Winners
    123
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    735
  • Win / Loss
  • # Losers
    130
  • % Winners
    48.6%
  • Frequency
  • Avg Position Time (mins)
    29333.10
  • Avg Position Time (hrs)
    488.88
  • Avg Trade Length
    20.4 days
  • Last Trade Ago
    696
  • Leverage
  • Daily leverage (average)
    2.51
  • Daily leverage (max)
    28.86
  • Regression
  • Alpha
    0.06
  • Beta
    0.10
  • Treynor Index
    0.62
  • 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)
    1.13
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    7.549
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.403
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.183
  • Hold-and-Hope Ratio
    0.132
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29685
  • SD
    0.34421
  • Sharpe ratio (Glass type estimate)
    0.86241
  • Sharpe ratio (Hedges UMVUE)
    0.84201
  • df
    32.00000
  • t
    1.43015
  • p
    0.08118
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34458
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05644
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35776
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04178
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86418
  • Upside Potential Ratio
    4.75066
  • Upside part of mean
    0.49237
  • Downside part of mean
    -0.19552
  • Upside SD
    0.33390
  • Downside SD
    0.10364
  • N nonnegative terms
    15.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.11844
  • Mean of criterion
    0.29685
  • SD of predictor
    0.18484
  • SD of criterion
    0.34421
  • Covariance
    0.00183
  • r
    0.02878
  • b (slope, estimate of beta)
    0.05359
  • a (intercept, estimate of alpha)
    0.29050
  • Mean Square Error
    0.12220
  • DF error
    31.00000
  • t(b)
    0.16031
  • p(b)
    0.43684
  • t(a)
    1.35441
  • p(a)
    0.09270
  • Lowerbound of 95% confidence interval for beta
    -0.62826
  • Upperbound of 95% confidence interval for beta
    0.73545
  • Lowerbound of 95% confidence interval for alpha
    -0.14695
  • Upperbound of 95% confidence interval for alpha
    0.72795
  • Treynor index (mean / b)
    5.53876
  • Jensen alpha (a)
    0.29050
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24521
  • SD
    0.30238
  • Sharpe ratio (Glass type estimate)
    0.81095
  • Sharpe ratio (Hedges UMVUE)
    0.79176
  • df
    32.00000
  • t
    1.34480
  • p
    0.09407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39352
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00319
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40595
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98948
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29595
  • Upside Potential Ratio
    4.17462
  • Upside part of mean
    0.44586
  • Downside part of mean
    -0.20065
  • Upside SD
    0.28682
  • Downside SD
    0.10680
  • N nonnegative terms
    15.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.09994
  • Mean of criterion
    0.24521
  • SD of predictor
    0.19513
  • SD of criterion
    0.30238
  • Covariance
    -0.00012
  • r
    -0.00211
  • b (slope, estimate of beta)
    -0.00326
  • a (intercept, estimate of alpha)
    0.24554
  • Mean Square Error
    0.09438
  • DF error
    31.00000
  • t(b)
    -0.01173
  • p(b)
    0.50464
  • t(a)
    1.31070
  • p(a)
    0.09979
  • Lowerbound of 95% confidence interval for beta
    -0.57091
  • Upperbound of 95% confidence interval for beta
    0.56438
  • Lowerbound of 95% confidence interval for alpha
    -0.13653
  • Upperbound of 95% confidence interval for alpha
    0.62761
  • Treynor index (mean / b)
    -75.11700
  • Jensen alpha (a)
    0.24554
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11586
  • Expected Shortfall on VaR
    0.14709
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03988
  • Expected Shortfall on VaR
    0.07240
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.92366
  • Quartile 1
    0.97804
  • Median
    1.00000
  • Quartile 3
    1.04775
  • Maximum
    1.46291
  • Mean of quarter 1
    0.94836
  • Mean of quarter 2
    0.99601
  • Mean of quarter 3
    1.02363
  • Mean of quarter 4
    1.15010
  • Inter Quartile Range
    0.06971
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.26180
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.50876
  • VaR(95%) (moments method)
    0.04847
  • Expected Shortfall (moments method)
    0.04883
  • Extreme Value Index (regression method)
    -1.04659
  • VaR(95%) (regression method)
    0.06200
  • Expected Shortfall (regression method)
    0.06634
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00302
  • Quartile 1
    0.06418
  • Median
    0.07902
  • Quartile 3
    0.08958
  • Maximum
    0.09638
  • Mean of quarter 1
    0.02751
  • Mean of quarter 2
    0.07768
  • Mean of quarter 3
    0.08677
  • Mean of quarter 4
    0.09438
  • Inter Quartile Range
    0.02540
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.00302
  • 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)
    0.40701
  • Compounded annual return (geometric extrapolation)
    0.31406
  • Calmar ratio (compounded annual return / max draw down)
    3.25836
  • Compounded annual return / average of 25% largest draw downs
    3.32741
  • Compounded annual return / Expected Shortfall lognormal
    2.13515
  • 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
    0.36085
  • SD
    0.54366
  • Sharpe ratio (Glass type estimate)
    0.66374
  • Sharpe ratio (Hedges UMVUE)
    0.66307
  • df
    739.00000
  • t
    1.11549
  • p
    0.13250
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50365
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82978
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57485
  • Upside Potential Ratio
    6.20081
  • Upside part of mean
    1.42081
  • Downside part of mean
    -1.05996
  • Upside SD
    0.49311
  • Downside SD
    0.22913
  • N nonnegative terms
    318.00000
  • N negative terms
    422.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    740.00000
  • Mean of predictor
    0.19456
  • Mean of criterion
    0.36085
  • SD of predictor
    0.28214
  • SD of criterion
    0.54366
  • Covariance
    0.00794
  • r
    0.05178
  • b (slope, estimate of beta)
    0.09977
  • a (intercept, estimate of alpha)
    0.34100
  • Mean Square Error
    0.29517
  • DF error
    738.00000
  • t(b)
    1.40846
  • p(b)
    0.07971
  • t(a)
    1.05522
  • p(a)
    0.14583
  • Lowerbound of 95% confidence interval for beta
    -0.03929
  • Upperbound of 95% confidence interval for beta
    0.23883
  • Lowerbound of 95% confidence interval for alpha
    -0.29379
  • Upperbound of 95% confidence interval for alpha
    0.97666
  • Treynor index (mean / b)
    3.61682
  • Jensen alpha (a)
    0.34144
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23802
  • SD
    0.47573
  • Sharpe ratio (Glass type estimate)
    0.50032
  • Sharpe ratio (Hedges UMVUE)
    0.49981
  • df
    739.00000
  • t
    0.84084
  • p
    0.20036
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66636
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66669
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66669
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66631
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99004
  • Upside Potential Ratio
    5.51493
  • Upside part of mean
    1.32584
  • Downside part of mean
    -1.08783
  • Upside SD
    0.41040
  • Downside SD
    0.24041
  • N nonnegative terms
    318.00000
  • N negative terms
    422.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    740.00000
  • Mean of predictor
    0.15435
  • Mean of criterion
    0.23802
  • SD of predictor
    0.28433
  • SD of criterion
    0.47573
  • Covariance
    0.00987
  • r
    0.07298
  • b (slope, estimate of beta)
    0.12210
  • a (intercept, estimate of alpha)
    0.21917
  • Mean Square Error
    0.22542
  • DF error
    738.00000
  • t(b)
    1.98781
  • p(b)
    0.02360
  • t(a)
    0.77537
  • p(a)
    0.21919
  • Lowerbound of 95% confidence interval for beta
    0.00151
  • Upperbound of 95% confidence interval for beta
    0.24269
  • Lowerbound of 95% confidence interval for alpha
    -0.33575
  • Upperbound of 95% confidence interval for alpha
    0.77409
  • Treynor index (mean / b)
    1.94931
  • Jensen alpha (a)
    0.21917
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04633
  • Expected Shortfall on VaR
    0.05791
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00982
  • Expected Shortfall on VaR
    0.02208
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    740.00000
  • Minimum
    0.84502
  • Quartile 1
    0.99796
  • Median
    1.00000
  • Quartile 3
    1.00249
  • Maximum
    1.64524
  • Mean of quarter 1
    0.98443
  • Mean of quarter 2
    0.99963
  • Mean of quarter 3
    1.00080
  • Mean of quarter 4
    1.02108
  • Inter Quartile Range
    0.00453
  • Number outliers low
    82.00000
  • Percentage of outliers low
    0.11081
  • Mean of outliers low
    0.97038
  • Number of outliers high
    66.00000
  • Percentage of outliers high
    0.08919
  • Mean of outliers high
    1.04928
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.91717
  • VaR(95%) (moments method)
    0.01271
  • Expected Shortfall (moments method)
    0.16585
  • Extreme Value Index (regression method)
    0.55592
  • VaR(95%) (regression method)
    0.01199
  • Expected Shortfall (regression method)
    0.03302
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00306
  • Median
    0.00708
  • Quartile 3
    0.06565
  • Maximum
    0.38102
  • Mean of quarter 1
    0.00140
  • Mean of quarter 2
    0.00518
  • Mean of quarter 3
    0.01986
  • Mean of quarter 4
    0.17000
  • Inter Quartile Range
    0.06259
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13889
  • Mean of outliers high
    0.24204
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.24275
  • VaR(95%) (moments method)
    0.17233
  • Expected Shortfall (moments method)
    0.27982
  • Extreme Value Index (regression method)
    0.82638
  • VaR(95%) (regression method)
    0.15342
  • Expected Shortfall (regression method)
    0.69464
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39629
  • Compounded annual return (geometric extrapolation)
    0.30463
  • Calmar ratio (compounded annual return / max draw down)
    0.79952
  • Compounded annual return / average of 25% largest draw downs
    1.79199
  • Compounded annual return / Expected Shortfall lognormal
    5.26028
  • 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
    -0.02835
  • SD
    0.01179
  • Sharpe ratio (Glass type estimate)
    -2.40451
  • Sharpe ratio (Hedges UMVUE)
    -2.39061
  • df
    130.00000
  • t
    -1.70025
  • p
    0.57374
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.18720
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.38715
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.17761
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39638
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.83441
  • Upside Potential Ratio
    2.39111
  • Upside part of mean
    0.02392
  • Downside part of mean
    -0.05227
  • Upside SD
    0.00640
  • Downside SD
    0.01000
  • N nonnegative terms
    15.00000
  • N negative terms
    116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34779
  • Mean of criterion
    -0.02835
  • SD of predictor
    0.39916
  • SD of criterion
    0.01179
  • Covariance
    -0.00005
  • r
    -0.01155
  • b (slope, estimate of beta)
    -0.00034
  • a (intercept, estimate of alpha)
    -0.02823
  • Mean Square Error
    0.00014
  • DF error
    129.00000
  • t(b)
    -0.13115
  • p(b)
    0.50735
  • t(a)
    -1.68426
  • p(a)
    0.59305
  • Lowerbound of 95% confidence interval for beta
    -0.00549
  • Upperbound of 95% confidence interval for beta
    0.00480
  • Lowerbound of 95% confidence interval for alpha
    -0.06140
  • Upperbound of 95% confidence interval for alpha
    0.00493
  • Treynor index (mean / b)
    83.12570
  • Jensen alpha (a)
    -0.02823
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02842
  • SD
    0.01181
  • Sharpe ratio (Glass type estimate)
    -2.40728
  • Sharpe ratio (Hedges UMVUE)
    -2.39337
  • df
    130.00000
  • t
    -1.70220
  • p
    0.57383
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.19000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.38442
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.18040
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39366
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.83480
  • Upside Potential Ratio
    2.38345
  • Upside part of mean
    0.02390
  • Downside part of mean
    -0.05232
  • Upside SD
    0.00639
  • Downside SD
    0.01003
  • N nonnegative terms
    15.00000
  • N negative terms
    116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26741
  • Mean of criterion
    -0.02842
  • SD of predictor
    0.40350
  • SD of criterion
    0.01181
  • Covariance
    -0.00006
  • r
    -0.01162
  • b (slope, estimate of beta)
    -0.00034
  • a (intercept, estimate of alpha)
    -0.02833
  • Mean Square Error
    0.00014
  • DF error
    129.00000
  • t(b)
    -0.13199
  • p(b)
    0.50740
  • t(a)
    -1.68891
  • p(a)
    0.59330
  • VAR (95 Confidence Intrvl)
    0.04600
  • Lowerbound of 95% confidence interval for beta
    -0.00544
  • Upperbound of 95% confidence interval for beta
    0.00476
  • Lowerbound of 95% confidence interval for alpha
    -0.06152
  • Upperbound of 95% confidence interval for alpha
    0.00486
  • Treynor index (mean / b)
    83.59250
  • Jensen alpha (a)
    -0.02833
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00131
  • Expected Shortfall on VaR
    0.00161
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00065
  • Expected Shortfall on VaR
    0.00136
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99414
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00288
  • Mean of quarter 1
    0.99958
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00041
  • Inter Quartile Range
    0.00000
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.99862
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.00090
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.65743
  • VaR(95%) (moments method)
    -0.00006
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.47408
  • VaR(95%) (regression method)
    0.00026
  • Expected Shortfall (regression method)
    0.00167
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00019
  • Median
    0.00022
  • Quartile 3
    0.00400
  • Maximum
    0.00779
  • Mean of quarter 1
    0.00016
  • Mean of quarter 2
    0.00022
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00779
  • Inter Quartile Range
    0.00382
  • 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?
    -480699000
  • Max Equity Drawdown (num days)
    7
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00051
  • Compounded annual return (geometric extrapolation)
    -0.00051
  • Calmar ratio (compounded annual return / max draw down)
    -0.06601
  • Compounded annual return / average of 25% largest draw downs
    -0.06601
  • Compounded annual return / Expected Shortfall lognormal
    -0.31900

Strategy Description

The strategy will be invested with a dynamic asset allocation strategy. The investment process will seek to generate alpha from a top-down, macro cross-asset investing by identifying asset classes that are in a momentum. The typical time horizon for the dynamic asset strategies will be between one to three months. Investment in equities will be in high quality growth stocks with expected above market ROE and net margins. The strategy employs a process that ranks stocks based on a stock ranking system. The system incorporates valuation, momentum and technical components to rank the investment universe and aims to identify high quality securities with sustainable earnings or earning potential and have strong momentum. The system looks for securities which have prices and/or earnings that have been increasing and that we believe will continue to increase. Aside from alpha generation the investment process also serves to provide integrated risk management. Most orders will be placed with their limit and stop orders. Individual stocks open positions will not reach 20% of the capital in all time. Larger positions will be placed only on general asset class instruments such as ETFs.

Summary Statistics

Strategy began
2019-11-11
Suggested Minimum Capital
$25,000
# Trades
253
# Profitable
123
% Profitable
48.6%
Net Dividends
Correlation S&P500
0.051
Sharpe Ratio
0.42
Sortino Ratio
1.00
Beta
0.10
Alpha
0.06
Leverage
2.51 Average
28.86 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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