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jkStocks
(116199608)

Created by: JohnKristl JohnKristl
Started: 01/2018
Stocks
Last trade: Today

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 $149.00 per month.

36.1%
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.

(17.3%)
Max Drawdown
137
Num Trades
65.0%
Win Trades
1.9 : 1
Profit Factor
52.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018(0.5%)+13.5%(4.2%)+4.6%(3.3%)(3.1%)+8.2%+9.4%+2.1%  -  (0.8%)(2%)+24.7%
2019+7.1%+2.6%+3.8%+8.3%(2.6%)                                          +20.3%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/14/19 15:57 TNA DIREXION DAILY SMALL CAP BULL LONG 200 60.50 5/16 9:45 62.62 0.7%
Trade id #123670443
Max drawdown($338)
Time5/15/19 9:34
Quant open200
Worst price58.81
Drawdown as % of equity-0.70%
$420
Includes Typical Broker Commissions trade costs of $4.00
5/2/19 15:50 QLD PROSHARES ULTRA QQQ LONG 215 97.98 5/7 14:58 95.22 1.6%
Trade id #123513388
Max drawdown($771)
Time5/7/19 14:51
Quant open215
Worst price94.39
Drawdown as % of equity-1.60%
($597)
Includes Typical Broker Commissions trade costs of $4.30
4/30/19 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 367 66.00 5/7 14:57 63.65 2.16%
Trade id #123475031
Max drawdown($1,041)
Time5/7/19 14:51
Quant open200
Worst price60.80
Drawdown as % of equity-2.16%
($871)
Includes Typical Broker Commissions trade costs of $7.34
5/3/19 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 100 101.65 5/7 9:30 98.72 1.05%
Trade id #123519217
Max drawdown($540)
Time5/6/19 9:25
Quant open100
Worst price96.25
Drawdown as % of equity-1.05%
($295)
Includes Typical Broker Commissions trade costs of $2.00
5/2/19 12:59 TNA DIREXION DAILY SMALL CAP BULL LONG 200 65.06 5/6 12:57 68.83 0.11%
Trade id #123509941
Max drawdown($54)
Time5/2/19 13:05
Quant open200
Worst price64.79
Drawdown as % of equity-0.11%
$750
Includes Typical Broker Commissions trade costs of $4.00
4/26/19 9:30 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 270 16.92 4/30 9:30 17.33 0.01%
Trade id #123440310
Max drawdown($5)
Time4/26/19 10:15
Quant open270
Worst price16.90
Drawdown as % of equity-0.01%
$106
Includes Typical Broker Commissions trade costs of $5.40
4/24/19 9:30 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,000 20.01 4/25 9:41 20.20 0.02%
Trade id #123411493
Max drawdown($8)
Time4/24/19 9:32
Quant open1,000
Worst price20.00
Drawdown as % of equity-0.02%
$186
Includes Typical Broker Commissions trade costs of $5.00
2/6/19 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 750 57.40 4/24 9:30 64.59 1.53%
Trade id #122389546
Max drawdown($666)
Time3/8/19 9:09
Quant open300
Worst price47.47
Drawdown as % of equity-1.53%
$5,381
Includes Typical Broker Commissions trade costs of $15.00
4/17/19 10:06 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,000 19.66 4/23 9:30 19.74 0.23%
Trade id #123342835
Max drawdown($110)
Time4/17/19 10:49
Quant open1,000
Worst price19.55
Drawdown as % of equity-0.23%
$75
Includes Typical Broker Commissions trade costs of $5.00
2/4/19 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 46.46 2/5 9:50 49.05 0.04%
Trade id #122340952
Max drawdown($18)
Time2/4/19 9:42
Quant open300
Worst price46.40
Drawdown as % of equity-0.04%
$771
Includes Typical Broker Commissions trade costs of $6.00
1/15/19 9:37 DWT VELOCITYSHARES 3X INV CRUDE & S&P SHORT 1,000 10.76 1/24 9:31 9.75 0.76%
Trade id #121977876
Max drawdown($310)
Time1/17/19 11:05
Quant open-1,000
Worst price11.07
Drawdown as % of equity-0.76%
$1,005
Includes Typical Broker Commissions trade costs of $9.00
1/11/19 10:12 SPXL DIREXION DAILY S&P500 BULL 3X LONG 400 35.78 1/24 9:30 38.60 0.71%
Trade id #121919311
Max drawdown($288)
Time1/14/19 5:19
Quant open400
Worst price35.06
Drawdown as % of equity-0.71%
$1,120
Includes Typical Broker Commissions trade costs of $8.00
1/7/19 10:10 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 1,500 17.88 1/24 9:30 18.75 0.15%
Trade id #121817327
Max drawdown($60)
Time1/7/19 10:21
Quant open1,500
Worst price17.84
Drawdown as % of equity-0.15%
$1,300
Includes Typical Broker Commissions trade costs of $12.50
12/28/18 9:57 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 1,500 18.65 1/3/19 9:55 17.83 3.58%
Trade id #121696749
Max drawdown($1,425)
Time1/2/19 18:49
Quant open1,500
Worst price17.70
Drawdown as % of equity-3.58%
($1,235)
Includes Typical Broker Commissions trade costs of $5.00
9/12/18 10:27 ULE PROSHARES ULTRA EURO LONG 1,000 15.81 9/13 10:40 15.93 0.06%
Trade id #119822199
Max drawdown($22)
Time9/12/18 12:05
Quant open1,000
Worst price15.79
Drawdown as % of equity-0.06%
$115
Includes Typical Broker Commissions trade costs of $5.00
9/12/18 9:31 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,000 18.26 9/13 9:30 18.39 0.27%
Trade id #119818402
Max drawdown($110)
Time9/13/18 8:01
Quant open1,000
Worst price18.15
Drawdown as % of equity-0.27%
$125
Includes Typical Broker Commissions trade costs of $5.00
9/5/18 14:00 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 795 11.61 9/7 9:31 12.14 0.02%
Trade id #119735732
Max drawdown($8)
Time9/5/18 14:02
Quant open795
Worst price11.60
Drawdown as % of equity-0.02%
$411
Includes Typical Broker Commissions trade costs of $10.45
9/6/18 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 600 22.00 9/7 9:30 22.50 0.12%
Trade id #119743343
Max drawdown($48)
Time9/6/18 10:00
Quant open600
Worst price21.92
Drawdown as % of equity-0.12%
$295
Includes Typical Broker Commissions trade costs of $5.00
8/28/18 9:51 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 600 21.68 8/31 9:30 21.82 0.48%
Trade id #119624060
Max drawdown($188)
Time8/29/18 15:40
Quant open600
Worst price21.37
Drawdown as % of equity-0.48%
$74
Includes Typical Broker Commissions trade costs of $8.50
8/27/18 9:30 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 631 18.82 8/28 9:30 19.20 0.05%
Trade id #119602870
Max drawdown($18)
Time8/27/18 10:54
Quant open631
Worst price18.79
Drawdown as % of equity-0.05%
$235
Includes Typical Broker Commissions trade costs of $5.00
8/22/18 9:32 SPXL DIREXION DAILY S&P500 BULL 3X LONG 800 51.51 8/27 9:30 52.66 0.65%
Trade id #119547785
Max drawdown($252)
Time8/23/18 11:41
Quant open800
Worst price51.19
Drawdown as % of equity-0.65%
$903
Includes Typical Broker Commissions trade costs of $16.00
8/15/18 10:07 SPXL DIREXION DAILY S&P500 BULL 3X LONG 300 48.88 8/16 9:33 50.28 0.32%
Trade id #119449419
Max drawdown($120)
Time8/15/18 10:57
Quant open300
Worst price48.48
Drawdown as % of equity-0.32%
$414
Includes Typical Broker Commissions trade costs of $6.00
8/15/18 10:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 63.76 8/16 9:33 65.62 0.47%
Trade id #119450990
Max drawdown($176)
Time8/15/18 10:57
Quant open300
Worst price63.17
Drawdown as % of equity-0.47%
$552
Includes Typical Broker Commissions trade costs of $6.00
8/14/18 11:19 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,495 12.16 8/15 10:31 12.55 0.49%
Trade id #119431644
Max drawdown($179)
Time8/14/18 12:30
Quant open1,495
Worst price12.04
Drawdown as % of equity-0.49%
$570
Includes Typical Broker Commissions trade costs of $7.50
8/10/18 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 66.18 8/14 11:02 66.53 1.03%
Trade id #119376307
Max drawdown($378)
Time8/13/18 4:14
Quant open300
Worst price64.92
Drawdown as % of equity-1.03%
$99
Includes Typical Broker Commissions trade costs of $6.00
8/13/18 9:42 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 400 23.30 8/14 11:02 23.21 0.2%
Trade id #119406685
Max drawdown($74)
Time8/13/18 10:27
Quant open400
Worst price23.11
Drawdown as % of equity-0.20%
($44)
Includes Typical Broker Commissions trade costs of $8.00
8/8/18 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 66.53 8/9 9:41 67.55 0%
Trade id #119337456
Max drawdown($1)
Time8/8/18 9:35
Quant open300
Worst price66.53
Drawdown as % of equity-0.00%
$299
Includes Typical Broker Commissions trade costs of $6.00
8/7/18 9:40 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 791 22.75 8/8 9:30 22.81 0.22%
Trade id #119316404
Max drawdown($79)
Time8/7/18 10:40
Quant open791
Worst price22.65
Drawdown as % of equity-0.22%
$42
Includes Typical Broker Commissions trade costs of $5.00
8/7/18 9:31 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,495 12.03 8/8 9:30 12.06 0.37%
Trade id #119315829
Max drawdown($134)
Time8/7/18 9:36
Quant open1,495
Worst price11.94
Drawdown as % of equity-0.37%
$40
Includes Typical Broker Commissions trade costs of $5.00
8/1/18 10:02 TZA DIREXION DAILY SMALL CAP BEAR LONG 500 8.92 8/2 9:46 8.96 0.11%
Trade id #119225129
Max drawdown($40)
Time8/1/18 10:25
Quant open500
Worst price8.84
Drawdown as % of equity-0.11%
$10
Includes Typical Broker Commissions trade costs of $10.00

Statistics

  • Strategy began
    1/31/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    476.98
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    137
  • # Profitable
    89
  • % Profitable
    65.00%
  • Avg trade duration
    3.6 days
  • Max peak-to-valley drawdown
    17.34%
  • drawdown period
    June 19, 2018 - June 28, 2018
  • Annual Return (Compounded)
    36.1%
  • Avg win
    $436.89
  • Avg loss
    $433.48
  • Model Account Values (Raw)
  • Cash
    $30,624
  • Margin Used
    $0
  • Buying Power
    $30,003
  • Ratios
  • W:L ratio
    1.87:1
  • Sharpe Ratio
    1.73
  • Sortino Ratio
    2.85
  • Calmar Ratio
    3.998
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.12260
  • Return Statistics
  • Ann Return (w trading costs)
    36.1%
  • Ann Return (Compnd, No Fees)
    43.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    843
  • Popularity (Last 6 weeks)
    952
  • C2 Score
    94.2
  • 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
    $432
  • Avg Win
    $437
  • # Winners
    89
  • # Losers
    48
  • % Winners
    65.0%
  • Frequency
  • Avg Position Time (mins)
    5243.67
  • Avg Position Time (hrs)
    87.39
  • Avg Trade Length
    3.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.92
  • Daily leverage (max)
    4.16
  • Unknown
  • Alpha
    0.09
  • Beta
    0.11
  • Treynor Index
    0.76
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46701
  • SD
    0.17831
  • Sharpe ratio (Glass type estimate)
    2.61906
  • Sharpe ratio (Hedges UMVUE)
    2.45128
  • df
    12.00000
  • t
    2.72600
  • p
    0.19079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42828
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.72705
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57443
  • Statistics related to Sortino ratio
  • Sortino ratio
    22.19220
  • Upside Potential Ratio
    23.96060
  • Upside part of mean
    0.50423
  • Downside part of mean
    -0.03721
  • Upside SD
    0.21699
  • Downside SD
    0.02104
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.01325
  • Mean of criterion
    0.46701
  • SD of predictor
    0.13026
  • SD of criterion
    0.17831
  • Covariance
    0.00448
  • r
    0.19305
  • b (slope, estimate of beta)
    0.26426
  • a (intercept, estimate of alpha)
    0.46351
  • Mean Square Error
    0.03339
  • DF error
    11.00000
  • t(b)
    0.65256
  • p(b)
    0.26372
  • t(a)
    2.63882
  • p(a)
    0.01152
  • Lowerbound of 95% confidence interval for beta
    -0.62705
  • Upperbound of 95% confidence interval for beta
    1.15558
  • Lowerbound of 95% confidence interval for alpha
    0.07691
  • Upperbound of 95% confidence interval for alpha
    0.85012
  • Treynor index (mean / b)
    1.76722
  • Jensen alpha (a)
    0.46351
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44489
  • SD
    0.16851
  • Sharpe ratio (Glass type estimate)
    2.64017
  • Sharpe ratio (Hedges UMVUE)
    2.47105
  • df
    12.00000
  • t
    2.74798
  • p
    0.18926
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44520
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.75204
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34424
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59785
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.00490
  • Upside Potential Ratio
    22.77230
  • Upside part of mean
    0.48233
  • Downside part of mean
    -0.03744
  • Upside SD
    0.20556
  • Downside SD
    0.02118
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.00535
  • Mean of criterion
    0.44489
  • SD of predictor
    0.13103
  • SD of criterion
    0.16851
  • Covariance
    0.00445
  • r
    0.20155
  • b (slope, estimate of beta)
    0.25920
  • a (intercept, estimate of alpha)
    0.44350
  • Mean Square Error
    0.02972
  • DF error
    11.00000
  • t(b)
    0.68248
  • p(b)
    0.25453
  • t(a)
    2.67754
  • p(a)
    0.01075
  • Lowerbound of 95% confidence interval for beta
    -0.57671
  • Upperbound of 95% confidence interval for beta
    1.09511
  • Lowerbound of 95% confidence interval for alpha
    0.07894
  • Upperbound of 95% confidence interval for alpha
    0.80807
  • Treynor index (mean / b)
    1.71641
  • Jensen alpha (a)
    0.44350
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04203
  • Expected Shortfall on VaR
    0.06115
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00519
  • Expected Shortfall on VaR
    0.01077
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.98480
  • Quartile 1
    0.99658
  • Median
    1.02455
  • Quartile 3
    1.07340
  • Maximum
    1.15654
  • Mean of quarter 1
    0.98992
  • Mean of quarter 2
    1.01388
  • Mean of quarter 3
    1.05769
  • Mean of quarter 4
    1.11051
  • Inter Quartile Range
    0.07683
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -24.01240
  • VaR(95%) (moments method)
    0.00793
  • Expected Shortfall (moments method)
    0.00793
  • Extreme Value Index (regression method)
    -1.42868
  • VaR(95%) (regression method)
    0.01591
  • Expected Shortfall (regression method)
    0.01657
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00342
  • Quartile 1
    0.00666
  • Median
    0.00990
  • Quartile 3
    0.01836
  • Maximum
    0.02681
  • Mean of quarter 1
    0.00342
  • Mean of quarter 2
    0.00990
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02681
  • Inter Quartile Range
    0.01169
  • 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)
    0.57162
  • Compounded annual return (geometric extrapolation)
    0.56032
  • Calmar ratio (compounded annual return / max draw down)
    20.90150
  • Compounded annual return / average of 25% largest draw downs
    20.90150
  • Compounded annual return / Expected Shortfall lognormal
    9.16259
  • 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
    0.45082
  • SD
    0.15605
  • Sharpe ratio (Glass type estimate)
    2.88893
  • Sharpe ratio (Hedges UMVUE)
    2.88135
  • df
    286.00000
  • t
    3.02362
  • p
    0.00136
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.99892
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77399
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99386
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76883
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.85312
  • Upside Potential Ratio
    10.81180
  • Upside part of mean
    1.00433
  • Downside part of mean
    -0.55351
  • Upside SD
    0.12812
  • Downside SD
    0.09289
  • N nonnegative terms
    198.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    287.00000
  • Mean of predictor
    0.01408
  • Mean of criterion
    0.45082
  • SD of predictor
    0.16479
  • SD of criterion
    0.15605
  • Covariance
    0.00446
  • r
    0.17326
  • b (slope, estimate of beta)
    0.16407
  • a (intercept, estimate of alpha)
    0.44900
  • Mean Square Error
    0.02370
  • DF error
    285.00000
  • t(b)
    2.96986
  • p(b)
    0.00162
  • t(a)
    3.04893
  • p(a)
    0.00126
  • Lowerbound of 95% confidence interval for beta
    0.05533
  • Upperbound of 95% confidence interval for beta
    0.27280
  • Lowerbound of 95% confidence interval for alpha
    0.15896
  • Upperbound of 95% confidence interval for alpha
    0.73805
  • Treynor index (mean / b)
    2.74777
  • Jensen alpha (a)
    0.44850
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43836
  • SD
    0.15554
  • Sharpe ratio (Glass type estimate)
    2.81833
  • Sharpe ratio (Hedges UMVUE)
    2.81093
  • df
    286.00000
  • t
    2.94973
  • p
    0.00172
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.92910
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70279
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92417
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69770
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.66389
  • Upside Potential Ratio
    10.59960
  • Upside part of mean
    0.99626
  • Downside part of mean
    -0.55790
  • Upside SD
    0.12652
  • Downside SD
    0.09399
  • N nonnegative terms
    198.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    287.00000
  • Mean of predictor
    0.00050
  • Mean of criterion
    0.43836
  • SD of predictor
    0.16521
  • SD of criterion
    0.15554
  • Covariance
    0.00446
  • r
    0.17347
  • b (slope, estimate of beta)
    0.16331
  • a (intercept, estimate of alpha)
    0.43828
  • Mean Square Error
    0.02355
  • DF error
    285.00000
  • t(b)
    2.97355
  • p(b)
    0.00160
  • t(a)
    2.98934
  • p(a)
    0.00152
  • Lowerbound of 95% confidence interval for beta
    0.05521
  • Upperbound of 95% confidence interval for beta
    0.27142
  • Lowerbound of 95% confidence interval for alpha
    0.14969
  • Upperbound of 95% confidence interval for alpha
    0.72686
  • Treynor index (mean / b)
    2.68419
  • Jensen alpha (a)
    0.43828
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01403
  • Expected Shortfall on VaR
    0.01798
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00336
  • Expected Shortfall on VaR
    0.00792
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    287.00000
  • Minimum
    0.96396
  • Quartile 1
    0.99875
  • Median
    1.00038
  • Quartile 3
    1.00489
  • Maximum
    1.04481
  • Mean of quarter 1
    0.99171
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00249
  • Mean of quarter 4
    1.01279
  • Inter Quartile Range
    0.00614
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.06272
  • Mean of outliers low
    0.98086
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.08014
  • Mean of outliers high
    1.02331
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51505
  • VaR(95%) (moments method)
    0.00610
  • Expected Shortfall (moments method)
    0.01520
  • Extreme Value Index (regression method)
    0.23073
  • VaR(95%) (regression method)
    0.00760
  • Expected Shortfall (regression method)
    0.01369
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00222
  • Median
    0.00588
  • Quartile 3
    0.02323
  • Maximum
    0.13761
  • Mean of quarter 1
    0.00082
  • Mean of quarter 2
    0.00372
  • Mean of quarter 3
    0.01745
  • Mean of quarter 4
    0.07184
  • Inter Quartile Range
    0.02101
  • 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
    0.14286
  • Mean of outliers high
    0.09375
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.36921
  • VaR(95%) (moments method)
    0.06081
  • Expected Shortfall (moments method)
    0.07382
  • Extreme Value Index (regression method)
    0.13753
  • VaR(95%) (regression method)
    0.10216
  • Expected Shortfall (regression method)
    0.16264
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.56269
  • Compounded annual return (geometric extrapolation)
    0.55017
  • Calmar ratio (compounded annual return / max draw down)
    3.99808
  • Compounded annual return / average of 25% largest draw downs
    7.65775
  • Compounded annual return / Expected Shortfall lognormal
    30.60200
  • 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
    0.38406
  • SD
    0.12557
  • Sharpe ratio (Glass type estimate)
    3.05843
  • Sharpe ratio (Hedges UMVUE)
    3.04075
  • df
    130.00000
  • t
    2.16263
  • p
    0.40682
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25608
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.84933
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24441
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.83709
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.62725
  • Upside Potential Ratio
    11.17840
  • Upside part of mean
    0.76293
  • Downside part of mean
    -0.37887
  • Upside SD
    0.10749
  • Downside SD
    0.06825
  • N nonnegative terms
    98.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01640
  • Mean of criterion
    0.38406
  • SD of predictor
    0.18018
  • SD of criterion
    0.12557
  • Covariance
    0.00719
  • r
    0.31766
  • b (slope, estimate of beta)
    0.22140
  • a (intercept, estimate of alpha)
    0.38769
  • Mean Square Error
    0.01429
  • DF error
    129.00000
  • t(b)
    3.80499
  • p(b)
    0.30123
  • t(a)
    2.29342
  • p(a)
    0.37482
  • Lowerbound of 95% confidence interval for beta
    0.10627
  • Upperbound of 95% confidence interval for beta
    0.33652
  • Lowerbound of 95% confidence interval for alpha
    0.05323
  • Upperbound of 95% confidence interval for alpha
    0.72215
  • Treynor index (mean / b)
    1.73472
  • Jensen alpha (a)
    0.38769
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37603
  • SD
    0.12481
  • Sharpe ratio (Glass type estimate)
    3.01288
  • Sharpe ratio (Hedges UMVUE)
    2.99546
  • df
    130.00000
  • t
    2.13043
  • p
    0.40816
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21138
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.80306
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19985
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.79108
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.45517
  • Upside Potential Ratio
    10.98580
  • Upside part of mean
    0.75726
  • Downside part of mean
    -0.38123
  • Upside SD
    0.10605
  • Downside SD
    0.06893
  • N nonnegative terms
    98.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03252
  • Mean of criterion
    0.37603
  • SD of predictor
    0.18026
  • SD of criterion
    0.12481
  • Covariance
    0.00718
  • r
    0.31899
  • b (slope, estimate of beta)
    0.22086
  • a (intercept, estimate of alpha)
    0.38321
  • Mean Square Error
    0.01410
  • DF error
    129.00000
  • t(b)
    3.82274
  • p(b)
    0.30042
  • t(a)
    2.28182
  • p(a)
    0.37542
  • Lowerbound of 95% confidence interval for beta
    0.10655
  • Upperbound of 95% confidence interval for beta
    0.33518
  • Lowerbound of 95% confidence interval for alpha
    0.05094
  • Upperbound of 95% confidence interval for alpha
    0.71548
  • Treynor index (mean / b)
    1.70253
  • Jensen alpha (a)
    0.38321
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01118
  • Expected Shortfall on VaR
    0.01436
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00192
  • Expected Shortfall on VaR
    0.00483
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96817
  • Quartile 1
    0.99996
  • Median
    1.00000
  • Quartile 3
    1.00370
  • Maximum
    1.04481
  • Mean of quarter 1
    0.99426
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00158
  • Mean of quarter 4
    1.01002
  • Inter Quartile Range
    0.00374
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98867
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.01775
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.00206
  • VaR(95%) (moments method)
    0.00165
  • Expected Shortfall (moments method)
    0.00170
  • Extreme Value Index (regression method)
    -0.03798
  • VaR(95%) (regression method)
    0.00651
  • Expected Shortfall (regression method)
    0.01041
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00116
  • Median
    0.00530
  • Quartile 3
    0.02199
  • Maximum
    0.04762
  • Mean of quarter 1
    0.00025
  • Mean of quarter 2
    0.00306
  • Mean of quarter 3
    0.01304
  • Mean of quarter 4
    0.03373
  • Inter Quartile Range
    0.02083
  • 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)
    -1.39719
  • VaR(95%) (moments method)
    0.03921
  • Expected Shortfall (moments method)
    0.04134
  • Extreme Value Index (regression method)
    0.27935
  • VaR(95%) (regression method)
    0.04748
  • Expected Shortfall (regression method)
    0.07452
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41370
  • Compounded annual return (geometric extrapolation)
    0.45649
  • Calmar ratio (compounded annual return / max draw down)
    9.58530
  • Compounded annual return / average of 25% largest draw downs
    13.53170
  • Compounded annual return / Expected Shortfall lognormal
    31.78600

Strategy Description

A new set of bars is created from the stock price and other components. The new chart is compared with the price chart and, combined with trends of the two charts as well as the standard deviation, patterns show up indicating turning points and profit exits. A standard disaster stop is used though it is seldom hit since the strategy will usually reverse itself first.

Summary Statistics

Includes fees & commissions
Strategy began
2018-01-31
Suggested Minimum Capital
$15,000
# Trades
137
# Profitable
89
% Profitable
65.0%
Net Dividends
Correlation S&P500
0.123
Sharpe Ratio
1.73
Sortino Ratio
2.85
Beta
0.11
Alpha
0.09
Leverage
1.92 Average
4.16 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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