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Intermarket Cycles
(114948669)

Created by: CameronMitchell CameronMitchell
Started: 11/2017
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following Momentum

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 $10.00 per month.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
26.9%
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.

(31.5%)
Max Drawdown
178
Num Trades
47.2%
Win Trades
1.6 : 1
Profit Factor
63.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                                      +0.5%+0.7%+1.1%
2018+18.4%(5.9%)(10.8%)(9.2%)+10.1%  -  +0.6%(7.2%)(6.8%)+0.4%+4.8%+25.2%+13.7%
2019+8.9%+9.4%+2.5%+4.2%(2%)                                          +24.6%

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.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 6 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/16/19 9:30 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 2 80.12 5/22 9:52 83.95 0.01%
Trade id #123693189
Max drawdown($1)
Time5/16/19 9:32
Quant open2
Worst price79.27
Drawdown as % of equity-0.01%
$8
Includes Typical Broker Commissions trade costs of $0.04
5/16/19 9:30 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 2 126.90 5/20 14:45 124.45 0.03%
Trade id #123693120
Max drawdown($5)
Time5/20/19 14:45
Quant open0
Worst price124.45
Drawdown as % of equity-0.03%
($5)
Includes Typical Broker Commissions trade costs of $0.04
5/10/19 9:31 HPQ HEWLETT-PACKARD SHORT 10 19.19 5/20 10:20 19.10 0.01%
Trade id #123615719
Max drawdown($1)
Time5/10/19 9:48
Quant open-10
Worst price19.31
Drawdown as % of equity-0.01%
$1
Includes Typical Broker Commissions trade costs of $0.20
5/15/19 9:59 NOW SERVICENOW LONG 2 275.50 5/20 10:14 264.42 0.15%
Trade id #123678974
Max drawdown($22)
Time5/20/19 10:14
Quant open0
Worst price264.42
Drawdown as % of equity-0.15%
($22)
Includes Typical Broker Commissions trade costs of $0.04
5/9/19 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 30 32.87 5/16 9:57 32.26 0.17%
Trade id #123587729
Max drawdown($25)
Time5/10/19 15:30
Quant open30
Worst price32.02
Drawdown as % of equity-0.17%
($19)
Includes Typical Broker Commissions trade costs of $0.60
5/13/19 9:30 KL KIRKLAND LAKE GOLD LTD LONG 6 34.05 5/16 9:48 32.74 0.05%
Trade id #123641797
Max drawdown($8)
Time5/16/19 9:48
Quant open0
Worst price32.74
Drawdown as % of equity-0.05%
($8)
Includes Typical Broker Commissions trade costs of $0.12
5/13/19 9:30 EXTN EXTERRAN CORP SHORT 15 13.24 5/15 13:14 13.74 0.05%
Trade id #123641809
Max drawdown($8)
Time5/15/19 13:14
Quant open0
Worst price13.74
Drawdown as % of equity-0.05%
($8)
Includes Typical Broker Commissions trade costs of $0.30
5/6/19 9:30 NVDA NVIDIA SHORT 2 175.69 5/15 10:09 158.85 0.03%
Trade id #123540045
Max drawdown($4)
Time5/6/19 15:37
Quant open-1
Worst price180.34
Drawdown as % of equity-0.03%
$34
Includes Typical Broker Commissions trade costs of $0.04
5/9/19 11:57 COUP COUPA SOFTWARE INCORPORATED COMMON STOCK LONG 2 101.50 5/15 9:31 103.50 0.04%
Trade id #123592959
Max drawdown($5)
Time5/13/19 16:12
Quant open2
Worst price98.86
Drawdown as % of equity-0.04%
$4
Includes Typical Broker Commissions trade costs of $0.04
5/9/19 9:31 ROKU ROKU INC. CLASS A COMMON STOCK LONG 4 70.57 5/14 9:30 80.66 0%
Trade id #123588022
Max drawdown($0)
Time5/9/19 9:33
Quant open4
Worst price70.49
Drawdown as % of equity-0.00%
$40
Includes Typical Broker Commissions trade costs of $0.08
5/10/19 14:32 FFTY ACADEMY FUNDS INNOVATOR IBD 50 LONG 12 33.46 5/14 9:30 32.38 0.11%
Trade id #123626040
Max drawdown($15)
Time5/13/19 15:38
Quant open12
Worst price32.18
Drawdown as % of equity-0.11%
($13)
Includes Typical Broker Commissions trade costs of $0.24
2/12/19 9:30 FTNT FORTINET LONG 14 84.27 5/14 9:30 86.55 0.13%
Trade id #122474507
Max drawdown($19)
Time5/13/19 15:54
Quant open4
Worst price79.42
Drawdown as % of equity-0.13%
$32
Includes Typical Broker Commissions trade costs of $0.28
5/10/19 13:36 ZS ZSCALER INC. COMMON STOCK LONG 7 72.75 5/14 9:30 69.97 0.25%
Trade id #123624994
Max drawdown($36)
Time5/13/19 15:54
Quant open7
Worst price67.51
Drawdown as % of equity-0.25%
($19)
Includes Typical Broker Commissions trade costs of $0.14
5/6/19 9:51 VGT VANGUARD INFORMATION TECHNOLOG LONG 5 209.99 5/9 11:48 203.64 0.27%
Trade id #123541045
Max drawdown($38)
Time5/9/19 10:27
Quant open5
Worst price202.31
Drawdown as % of equity-0.27%
($32)
Includes Typical Broker Commissions trade costs of $0.10
1/25/19 15:17 VEEV VEEVA SYSTEMS INC LONG 10 109.25 5/9 11:48 131.49 0.38%
Trade id #122192212
Max drawdown($45)
Time1/29/19 15:54
Quant open10
Worst price104.68
Drawdown as % of equity-0.38%
$222
Includes Typical Broker Commissions trade costs of $0.20
3/28/19 13:30 UBNT UBIQUITI NETWORKS LONG 3 149.32 5/9 11:47 159.74 0.07%
Trade id #123116932
Max drawdown($9)
Time3/29/19 8:01
Quant open3
Worst price146.00
Drawdown as % of equity-0.07%
$31
Includes Typical Broker Commissions trade costs of $0.06
1/15/19 9:39 TWLO TWILIO INC LONG 21 54.34 5/9 11:47 115.21 0.24%
Trade id #121977980
Max drawdown($29)
Time1/16/19 10:42
Quant open10
Worst price97.59
Drawdown as % of equity-0.24%
$1,278
Includes Typical Broker Commissions trade costs of $0.42
1/23/19 9:35 WDAY WORKDAY LONG 5 172.70 5/9 11:47 191.81 n/a $96
Includes Typical Broker Commissions trade costs of $0.10
4/12/19 10:52 WIX WIX.COM LTD. ORDINARY SHARES LONG 3 126.00 5/9 11:47 134.66 0.09%
Trade id #123296546
Max drawdown($12)
Time4/18/19 10:29
Quant open2
Worst price119.56
Drawdown as % of equity-0.09%
$26
Includes Typical Broker Commissions trade costs of $0.06
1/7/19 9:37 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 21 97.91 5/9 11:47 107.69 0.31%
Trade id #121815475
Max drawdown($38)
Time1/22/19 9:55
Quant open10
Worst price87.18
Drawdown as % of equity-0.31%
$205
Includes Typical Broker Commissions trade costs of $0.42
3/18/19 10:21 RP REALPAGE LONG 15 62.02 5/9 11:47 62.37 0.4%
Trade id #122951880
Max drawdown($57)
Time3/26/19 16:03
Quant open15
Worst price58.20
Drawdown as % of equity-0.40%
$5
Includes Typical Broker Commissions trade costs of $0.30
2/6/19 9:30 PAYC PAYCOM SOFTWARE INC LONG 8 172.97 5/9 11:46 189.06 0.27%
Trade id #122389327
Max drawdown($34)
Time2/7/19 9:38
Quant open7
Worst price165.12
Drawdown as % of equity-0.27%
$129
Includes Typical Broker Commissions trade costs of $0.16
4/15/19 9:30 PANW PALO ALTO NETWORKS LONG 1 245.97 5/9 11:46 234.77 0.1%
Trade id #123312624
Max drawdown($14)
Time4/18/19 10:29
Quant open1
Worst price231.34
Drawdown as % of equity-0.10%
($11)
Includes Typical Broker Commissions trade costs of $0.02
1/30/19 15:58 NOW SERVICENOW LONG 16 208.96 5/9 11:46 239.55 0.53%
Trade id #122279263
Max drawdown($63)
Time1/30/19 16:12
Quant open5
Worst price181.23
Drawdown as % of equity-0.53%
$489
Includes Typical Broker Commissions trade costs of $0.32
1/30/19 10:12 MRCY MERCURY SYSTEMS LONG 7 61.55 5/9 11:45 73.91 n/a $87
Includes Typical Broker Commissions trade costs of $0.14
4/9/19 11:06 MPWR MONOLITHIC POWER SYSTEMS LONG 2 146.00 5/9 11:45 134.73 0.19%
Trade id #123255194
Max drawdown($26)
Time5/9/19 10:26
Quant open2
Worst price132.59
Drawdown as % of equity-0.19%
($23)
Includes Typical Broker Commissions trade costs of $0.04
1/24/19 10:59 KEYS KEYSIGHT TECHNOLOGIES INC LONG 10 70.50 5/9 11:45 88.37 n/a $179
Includes Typical Broker Commissions trade costs of $0.20
5/9/19 11:44 FN FABRINET SHORT 4 57.13 5/9 11:45 57.25 n/a $0
Includes Typical Broker Commissions trade costs of $0.08
4/16/19 14:23 FN FABRINET LONG 4 60.03 5/9 11:44 57.12 0.11%
Trade id #123331893
Max drawdown($16)
Time5/7/19 10:14
Quant open4
Worst price55.88
Drawdown as % of equity-0.11%
($12)
Includes Typical Broker Commissions trade costs of $0.08
4/1/19 9:30 FFTY ACADEMY FUNDS INNOVATOR IBD 50 LONG 25 33.84 5/9 11:44 33.82 0.08%
Trade id #123150319
Max drawdown($11)
Time5/9/19 10:28
Quant open12
Worst price32.91
Drawdown as % of equity-0.08%
($1)
Includes Typical Broker Commissions trade costs of $0.50

Statistics

  • Strategy began
    11/20/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    548.69
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    178
  • # Profitable
    84
  • % Profitable
    47.20%
  • Avg trade duration
    61.6 days
  • Max peak-to-valley drawdown
    31.55%
  • drawdown period
    Jan 26, 2018 - Dec 03, 2018
  • Annual Return (Compounded)
    26.9%
  • Avg win
    $142.65
  • Avg loss
    $80.52
  • Model Account Values (Raw)
  • Cash
    $13,372
  • Margin Used
    $4,814
  • Buying Power
    $8,723
  • Ratios
  • W:L ratio
    1.64:1
  • Sharpe Ratio
    0.66
  • Sortino Ratio
    0.93
  • Calmar Ratio
    1.225
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.13540
  • Return Statistics
  • Ann Return (w trading costs)
    26.9%
  • Ann Return (Compnd, No Fees)
    28.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    64.50%
  • Chance of 20% account loss
    28.50%
  • Chance of 30% account loss
    12.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    357
  • Popularity (Last 6 weeks)
    901
  • C2 Score
    81.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $81
  • Avg Win
    $143
  • # Winners
    84
  • # Losers
    94
  • % Winners
    47.2%
  • Frequency
  • Avg Position Time (mins)
    88749.70
  • Avg Position Time (hrs)
    1479.16
  • Avg Trade Length
    61.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.16
  • Daily leverage (max)
    7.75
  • Unknown
  • Alpha
    0.07
  • Beta
    0.34
  • Treynor Index
    0.24
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38035
  • SD
    0.31255
  • Sharpe ratio (Glass type estimate)
    1.21692
  • Sharpe ratio (Hedges UMVUE)
    1.14510
  • df
    13.00000
  • t
    1.31442
  • p
    0.28630
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67750
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06791
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72210
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01229
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.64905
  • Upside Potential Ratio
    4.44732
  • Upside part of mean
    0.63854
  • Downside part of mean
    -0.25819
  • Upside SD
    0.28662
  • Downside SD
    0.14358
  • N nonnegative terms
    10.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.11774
  • Mean of criterion
    0.38035
  • SD of predictor
    0.16347
  • SD of criterion
    0.31255
  • Covariance
    0.00081
  • r
    0.01577
  • b (slope, estimate of beta)
    0.03015
  • a (intercept, estimate of alpha)
    0.37680
  • Mean Square Error
    0.10580
  • DF error
    12.00000
  • t(b)
    0.05464
  • p(b)
    0.49211
  • t(a)
    1.22307
  • p(a)
    0.33354
  • Lowerbound of 95% confidence interval for beta
    -1.17228
  • Upperbound of 95% confidence interval for beta
    1.23259
  • Lowerbound of 95% confidence interval for alpha
    -0.29444
  • Upperbound of 95% confidence interval for alpha
    1.04803
  • Treynor index (mean / b)
    12.61320
  • Jensen alpha (a)
    0.37680
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33226
  • SD
    0.30076
  • Sharpe ratio (Glass type estimate)
    1.10475
  • Sharpe ratio (Hedges UMVUE)
    1.03955
  • df
    13.00000
  • t
    1.19327
  • p
    0.30332
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77783
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94745
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81849
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89760
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21697
  • Upside Potential Ratio
    4.01254
  • Upside part of mean
    0.60137
  • Downside part of mean
    -0.26911
  • Upside SD
    0.26595
  • Downside SD
    0.14987
  • N nonnegative terms
    10.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.10467
  • Mean of criterion
    0.33226
  • SD of predictor
    0.16516
  • SD of criterion
    0.30076
  • Covariance
    0.00096
  • r
    0.01930
  • b (slope, estimate of beta)
    0.03514
  • a (intercept, estimate of alpha)
    0.32859
  • Mean Square Error
    0.09796
  • DF error
    12.00000
  • t(b)
    0.06686
  • p(b)
    0.49035
  • t(a)
    1.11408
  • p(a)
    0.34692
  • Lowerbound of 95% confidence interval for beta
    -1.11003
  • Upperbound of 95% confidence interval for beta
    1.18032
  • Lowerbound of 95% confidence interval for alpha
    -0.31403
  • Upperbound of 95% confidence interval for alpha
    0.97120
  • Treynor index (mean / b)
    9.45502
  • Jensen alpha (a)
    0.32859
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10874
  • Expected Shortfall on VaR
    0.14006
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03422
  • Expected Shortfall on VaR
    0.07151
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.91206
  • Quartile 1
    0.97220
  • Median
    1.03263
  • Quartile 3
    1.05078
  • Maximum
    1.19445
  • Mean of quarter 1
    0.92469
  • Mean of quarter 2
    1.02372
  • Mean of quarter 3
    1.03742
  • Mean of quarter 4
    1.14038
  • Inter Quartile Range
    0.07858
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.19445
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -495.70500
  • VaR(95%) (moments method)
    0.07311
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.74814
  • VaR(95%) (regression method)
    0.09605
  • Expected Shortfall (regression method)
    0.09613
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.21566
  • Quartile 1
    0.21566
  • Median
    0.21566
  • Quartile 3
    0.21566
  • Maximum
    0.21566
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.40586
  • Compounded annual return (geometric extrapolation)
    0.39412
  • Calmar ratio (compounded annual return / max draw down)
    1.82749
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.81404
  • 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
    0.39275
  • SD
    0.40492
  • Sharpe ratio (Glass type estimate)
    0.96994
  • Sharpe ratio (Hedges UMVUE)
    0.96767
  • df
    320.00000
  • t
    1.07361
  • p
    0.14190
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80310
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74150
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80463
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73996
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37852
  • Upside Potential Ratio
    8.08569
  • Upside part of mean
    2.30364
  • Downside part of mean
    -1.91090
  • Upside SD
    0.28786
  • Downside SD
    0.28490
  • N nonnegative terms
    183.00000
  • N negative terms
    138.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    321.00000
  • Mean of predictor
    0.09551
  • Mean of criterion
    0.39275
  • SD of predictor
    0.16206
  • SD of criterion
    0.40492
  • Covariance
    0.01008
  • r
    0.15356
  • b (slope, estimate of beta)
    0.38368
  • a (intercept, estimate of alpha)
    0.35600
  • Mean Square Error
    0.16059
  • DF error
    319.00000
  • t(b)
    2.77567
  • p(b)
    0.00292
  • t(a)
    0.98293
  • p(a)
    0.16319
  • Lowerbound of 95% confidence interval for beta
    0.11172
  • Upperbound of 95% confidence interval for beta
    0.65563
  • Lowerbound of 95% confidence interval for alpha
    -0.35667
  • Upperbound of 95% confidence interval for alpha
    1.06887
  • Treynor index (mean / b)
    1.02363
  • Jensen alpha (a)
    0.35610
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31039
  • SD
    0.40660
  • Sharpe ratio (Glass type estimate)
    0.76338
  • Sharpe ratio (Hedges UMVUE)
    0.76159
  • df
    320.00000
  • t
    0.84497
  • p
    0.19938
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53448
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01010
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53328
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05472
  • Upside Potential Ratio
    7.69211
  • Upside part of mean
    2.26366
  • Downside part of mean
    -1.95327
  • Upside SD
    0.28030
  • Downside SD
    0.29428
  • N nonnegative terms
    183.00000
  • N negative terms
    138.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    321.00000
  • Mean of predictor
    0.08235
  • Mean of criterion
    0.31039
  • SD of predictor
    0.16252
  • SD of criterion
    0.40660
  • Covariance
    0.01050
  • r
    0.15897
  • b (slope, estimate of beta)
    0.39772
  • a (intercept, estimate of alpha)
    0.27764
  • Mean Square Error
    0.16165
  • DF error
    319.00000
  • t(b)
    2.87580
  • p(b)
    0.00215
  • t(a)
    0.76397
  • p(a)
    0.22273
  • Lowerbound of 95% confidence interval for beta
    0.12562
  • Upperbound of 95% confidence interval for beta
    0.66981
  • Lowerbound of 95% confidence interval for alpha
    -0.43735
  • Upperbound of 95% confidence interval for alpha
    0.99262
  • Treynor index (mean / b)
    0.78043
  • Jensen alpha (a)
    0.27764
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03934
  • Expected Shortfall on VaR
    0.04933
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01495
  • Expected Shortfall on VaR
    0.03206
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    321.00000
  • Minimum
    0.89431
  • Quartile 1
    0.99266
  • Median
    1.00180
  • Quartile 3
    1.01073
  • Maximum
    1.09803
  • Mean of quarter 1
    0.97340
  • Mean of quarter 2
    0.99794
  • Mean of quarter 3
    1.00548
  • Mean of quarter 4
    1.02952
  • Inter Quartile Range
    0.01807
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.06542
  • Mean of outliers low
    0.94031
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.06231
  • Mean of outliers high
    1.05590
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63346
  • VaR(95%) (moments method)
    0.02769
  • Expected Shortfall (moments method)
    0.08276
  • Extreme Value Index (regression method)
    0.29263
  • VaR(95%) (regression method)
    0.02443
  • Expected Shortfall (regression method)
    0.04320
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00259
  • Quartile 1
    0.00700
  • Median
    0.02504
  • Quartile 3
    0.03977
  • Maximum
    0.29707
  • Mean of quarter 1
    0.00449
  • Mean of quarter 2
    0.01724
  • Mean of quarter 3
    0.03527
  • Mean of quarter 4
    0.11295
  • Inter Quartile Range
    0.03277
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    0.29707
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.72384
  • VaR(95%) (moments method)
    0.12662
  • Expected Shortfall (moments method)
    0.48554
  • Extreme Value Index (regression method)
    1.83847
  • VaR(95%) (regression method)
    0.16008
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37766
  • Compounded annual return (geometric extrapolation)
    0.36395
  • Calmar ratio (compounded annual return / max draw down)
    1.22514
  • Compounded annual return / average of 25% largest draw downs
    3.22227
  • Compounded annual return / Expected Shortfall lognormal
    7.37820
  • 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
    0.91295
  • SD
    0.37977
  • Sharpe ratio (Glass type estimate)
    2.40392
  • Sharpe ratio (Hedges UMVUE)
    2.39003
  • df
    130.00000
  • t
    1.69983
  • p
    0.42627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38773
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.18660
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39696
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.17702
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.40532
  • Upside Potential Ratio
    10.85850
  • Upside part of mean
    2.25028
  • Downside part of mean
    -1.33733
  • Upside SD
    0.32150
  • Downside SD
    0.20724
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13382
  • Mean of criterion
    0.91295
  • SD of predictor
    0.17040
  • SD of criterion
    0.37977
  • Covariance
    -0.00682
  • r
    -0.10546
  • b (slope, estimate of beta)
    -0.23503
  • a (intercept, estimate of alpha)
    0.94440
  • Mean Square Error
    0.14373
  • DF error
    129.00000
  • t(b)
    -1.20450
  • p(b)
    0.56701
  • t(a)
    1.75935
  • p(a)
    0.40293
  • Lowerbound of 95% confidence interval for beta
    -0.62110
  • Upperbound of 95% confidence interval for beta
    0.15103
  • Lowerbound of 95% confidence interval for alpha
    -0.11765
  • Upperbound of 95% confidence interval for alpha
    2.00644
  • Treynor index (mean / b)
    -3.88430
  • Jensen alpha (a)
    0.94440
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84131
  • SD
    0.37447
  • Sharpe ratio (Glass type estimate)
    2.24667
  • Sharpe ratio (Hedges UMVUE)
    2.23368
  • df
    130.00000
  • t
    1.58864
  • p
    0.43100
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54280
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.02766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55139
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.01876
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.96060
  • Upside Potential Ratio
    10.36080
  • Upside part of mean
    2.20083
  • Downside part of mean
    -1.35952
  • Upside SD
    0.31102
  • Downside SD
    0.21242
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11941
  • Mean of criterion
    0.84131
  • SD of predictor
    0.17018
  • SD of criterion
    0.37447
  • Covariance
    -0.00669
  • r
    -0.10503
  • b (slope, estimate of beta)
    -0.23111
  • a (intercept, estimate of alpha)
    0.86891
  • Mean Square Error
    0.13976
  • DF error
    129.00000
  • t(b)
    -1.19950
  • p(b)
    0.56674
  • t(a)
    1.64196
  • p(a)
    0.40923
  • Lowerbound of 95% confidence interval for beta
    -0.61231
  • Upperbound of 95% confidence interval for beta
    0.15010
  • Lowerbound of 95% confidence interval for alpha
    -0.17811
  • Upperbound of 95% confidence interval for alpha
    1.91592
  • Treynor index (mean / b)
    -3.64036
  • Jensen alpha (a)
    0.86891
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03424
  • Expected Shortfall on VaR
    0.04350
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00999
  • Expected Shortfall on VaR
    0.02190
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92827
  • Quartile 1
    0.99555
  • Median
    1.00167
  • Quartile 3
    1.00732
  • Maximum
    1.09803
  • Mean of quarter 1
    0.98090
  • Mean of quarter 2
    0.99922
  • Mean of quarter 3
    1.00401
  • Mean of quarter 4
    1.02982
  • Inter Quartile Range
    0.01178
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.96155
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.05540
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51512
  • VaR(95%) (moments method)
    0.01757
  • Expected Shortfall (moments method)
    0.04213
  • Extreme Value Index (regression method)
    0.02696
  • VaR(95%) (regression method)
    0.01805
  • Expected Shortfall (regression method)
    0.02679
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00341
  • Quartile 1
    0.01152
  • Median
    0.02845
  • Quartile 3
    0.04009
  • Maximum
    0.19310
  • Mean of quarter 1
    0.00552
  • Mean of quarter 2
    0.02040
  • Mean of quarter 3
    0.03675
  • Mean of quarter 4
    0.09105
  • Inter Quartile Range
    0.02858
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    0.19310
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.15361
  • VaR(95%) (moments method)
    0.08981
  • Expected Shortfall (moments method)
    0.13829
  • Extreme Value Index (regression method)
    1.02240
  • VaR(95%) (regression method)
    0.14089
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.04592
  • Compounded annual return (geometric extrapolation)
    1.31940
  • Calmar ratio (compounded annual return / max draw down)
    6.83257
  • Compounded annual return / average of 25% largest draw downs
    14.49080
  • Compounded annual return / Expected Shortfall lognormal
    30.33240

Strategy Description

-Business Cycle Follower/ Relays on Economic Fundamentals for a broader bias (Long/Short Fund)
- Uses Market internals for timing the market
- Interprets Macro-Driven Events within conjunction of the timing model
-This is not an Algorithm, this is a real person managing the portfolio that uses quantitative data to interpret in which i trade the exact same in my real-portfolio.
-Trend Follower that looks for Stocks & ETF's with certain Technical and Fundamental Criteria to make decisions. i..e. The All-Weather Portfolio (Passive) mix & CANSLIM (Growth). Which makes this a hybrid approach to position trading over the intermediate term.
-I do short but try not to during Bull Markets as the risk is skewed geometrically against you. (Trend Follower)

Disclaimer: Investing always carries risk. That is why Risk-Management & Position Sizing are crucial.

FAQ:

What do you trade?
I trade Super-Stocks and ETFs.

Do you use Stops?
Yes, i use stops to limit risk typically around a 7% initial breakout stop-loss and then use a stop typically based on volatility to move up as the trend progresses.

Is this an Algorithm?
No, research and order placements are typically done during the evening and weekends. I don't call audibles throughout the day.

Do you short?
Yes, but not often. I would like to short during a bear market or add shorts when the signal starts to become louder. In which case I'll short weaker fundamental and technical charts/companies, and also short index ETFs.

Do you use leverage?
Yes in short, but it's based on conviction.

How would you describe your strategy briefly?
Trend-Following & Risk Manager that invests in thematic themes like e-commerce, AI, Data, Cyber-security stocks (Growth-industries) with good fundamentals and good technical stock character. I also have around 1/3 of my portfolio in a diverse balanced fund so i'm always active in the market collecting income with low-risk.

Summary Statistics

Includes fees & commissions
Strategy began
2017-11-20
Suggested Minimum Capital
$35,000
# Trades
178
# Profitable
84
% Profitable
47.2%
Net Dividends
Correlation S&P500
0.135
Sharpe Ratio
0.66
Sortino Ratio
0.93
Beta
0.34
Alpha
0.07
Leverage
2.16 Average
7.75 Maximum

Collective2 AutoTrade Systems 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 nominal 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.

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.

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