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Momentum Trades
(75800796)

Created by: Danny Danny
Started: 08/2012
Stocks
Last trade: Yesterday

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 $50.00 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.

26.2%
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.

(24.1%)
Max Drawdown
1459
Num Trades
35.7%
Win Trades
1.5 : 1
Profit Factor
56.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.9%+7.6%+1.0%+1.6%(0.4%)+14.2%
2013+13.8%+0.8%+9.1%(1.6%)+0.1%(5.4%)(2.6%)(2.3%)+22.0%+8.2%+20.9%(0.5%)+75.8%
2014+10.3%(2.2%)(2.2%)(3%)+1.4%(1.2%)(8.4%)+4.2%(0.6%)+2.8%+3.2%+2.5%+5.6%
2015(1.2%)+7.0%+4.6%(5.4%)+20.3%+2.7%+17.4%(4.1%)+3.6%(1.8%)+2.6%+1.8%+54.4%
2016(0.2%)(4.8%)(5.3%)+3.8%(3.9%)+3.4%(0.5%)+0.7%+1.8%+0.5%+9.2%(2.4%)+1.3%
2017(2%)+8.6%+1.0%+5.3%+10.4%(7.2%)+6.9%+6.6%+2.7%+2.6%(3%)(1.3%)+33.1%
2018+9.0%(1.4%)+1.2%(2.6%)+15.5%(2.2%)(5.6%)+7.8%(4.9%)(7.4%)(0.4%)+0.5%+7.4%
2019  -  +4.1%(3.9%)+3.2%  -  +1.8%                                    +5.0%

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.

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

Trading Record

This strategy has placed 2,339 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/21/19 9:30 AVLR AVALARA INC LONG 166 73.99 6/25 15:56 68.35 0.19%
Trade id #124179895
Max drawdown($937)
Time6/25/19 15:56
Quant open166
Worst price68.35
Drawdown as % of equity-0.19%
($940)
Includes Typical Broker Commissions trade costs of $3.32
2/13/19 9:30 FRPT FRESHPET INC. COMMON STOCK LONG 384 37.79 6/25 9:30 47.79 0.14%
Trade id #122499660
Max drawdown($683)
Time2/13/19 9:30
Quant open384
Worst price36.01
Drawdown as % of equity-0.14%
$3,832
Includes Typical Broker Commissions trade costs of $7.68
6/20/19 9:30 ZS ZSCALER INC. COMMON STOCK LONG 150 80.80 6/25 9:30 75.48 0.19%
Trade id #124160043
Max drawdown($974)
Time6/20/19 9:30
Quant open150
Worst price74.30
Drawdown as % of equity-0.19%
($801)
Includes Typical Broker Commissions trade costs of $3.00
6/10/19 9:30 CHGG CHEGG INC LONG 398 39.84 6/25 9:30 38.52 0.16%
Trade id #124001466
Max drawdown($802)
Time6/10/19 9:30
Quant open398
Worst price37.82
Drawdown as % of equity-0.16%
($532)
Includes Typical Broker Commissions trade costs of $7.96
5/23/19 9:30 HAL HALLIBURTON SHORT 620 24.18 6/21 9:30 23.04 0.01%
Trade id #123793068
Max drawdown($43)
Time5/23/19 9:30
Quant open620
Worst price24.25
Drawdown as % of equity-0.01%
$702
Includes Typical Broker Commissions trade costs of $5.00
6/14/19 9:30 MTCH MATCH GROUP INC. COMMON STOCK LONG 206 72.97 6/21 9:30 68.63 0.21%
Trade id #124083183
Max drawdown($1,040)
Time6/14/19 9:30
Quant open206
Worst price67.92
Drawdown as % of equity-0.21%
($898)
Includes Typical Broker Commissions trade costs of $4.12
5/20/19 9:30 NOV NATIONAL OILWELL VARCO SHORT 533 23.85 6/21 9:30 21.80 0.07%
Trade id #123736193
Max drawdown($303)
Time5/20/19 9:30
Quant open533
Worst price24.42
Drawdown as % of equity-0.07%
$1,088
Includes Typical Broker Commissions trade costs of $5.00
6/3/19 9:30 ZYME ZYMEWORKS INC LONG 495 19.24 6/20 9:30 19.20 0.17%
Trade id #123910697
Max drawdown($811)
Time6/3/19 9:30
Quant open495
Worst price17.60
Drawdown as % of equity-0.17%
($30)
Includes Typical Broker Commissions trade costs of $9.90
5/20/19 9:30 AA ALCOA SHORT 584 24.33 6/19 9:32 22.67 0.07%
Trade id #123736175
Max drawdown($321)
Time5/20/19 9:30
Quant open584
Worst price24.88
Drawdown as % of equity-0.07%
$964
Includes Typical Broker Commissions trade costs of $5.00
6/11/19 9:30 USO UNITED STATES OIL SHORT 1,397 11.19 6/19 9:30 11.14 0.03%
Trade id #124026205
Max drawdown($167)
Time6/11/19 9:30
Quant open1,397
Worst price11.31
Drawdown as % of equity-0.03%
$70
Includes Typical Broker Commissions trade costs of $5.00
6/12/19 9:30 OAS OASIS PETROLEUM SHORT 1,604 4.98 6/19 9:30 5.30 0.1%
Trade id #124048393
Max drawdown($522)
Time6/19/19 9:30
Quant open1,604
Worst price5.30
Drawdown as % of equity-0.10%
($527)
Includes Typical Broker Commissions trade costs of $5.00
10/22/18 9:30 GSY INVESCO ULTRA SHORT DURA LONG 2,340 50.19 6/18/19 9:30 50.42 n/a $533
Includes Typical Broker Commissions trade costs of $5.00
5/28/19 9:30 CRAY CRAY LONG 407 35.01 6/17 9:30 34.59 0.04%
Trade id #123842237
Max drawdown($207)
Time6/10/19 16:01
Quant open407
Worst price34.50
Drawdown as % of equity-0.04%
($178)
Includes Typical Broker Commissions trade costs of $8.14
5/10/19 9:30 RGEN REPLIGEN LONG 179 69.85 6/17 9:30 74.49 0.15%
Trade id #123615622
Max drawdown($756)
Time5/20/19 9:31
Quant open179
Worst price65.62
Drawdown as % of equity-0.15%
$827
Includes Typical Broker Commissions trade costs of $3.58
3/8/19 9:30 TLRY TILRAY INC. CLASS 2 COMMON STOCK SHORT 123 64.86 6/11 9:30 43.83 n/a $2,585
Includes Typical Broker Commissions trade costs of $2.46
5/21/19 9:30 WAB WESTINGHOUSE AIR BRAKE SHORT 259 64.86 6/6 9:30 67.43 0.13%
Trade id #123751144
Max drawdown($666)
Time6/6/19 9:30
Quant open0
Worst price67.43
Drawdown as % of equity-0.13%
($671)
Includes Typical Broker Commissions trade costs of $5.18
5/20/19 9:30 ELY CALLAWAY GOLF SHORT 1,081 15.51 6/5 9:30 15.60 0.02%
Trade id #123736184
Max drawdown($97)
Time5/22/19 19:09
Quant open-1,081
Worst price15.60
Drawdown as % of equity-0.02%
($102)
Includes Typical Broker Commissions trade costs of $5.00
5/29/19 9:30 WRK WESTROCK CO SHORT 478 33.80 6/5 9:30 36.15 0.22%
Trade id #123858163
Max drawdown($1,123)
Time6/5/19 9:30
Quant open0
Worst price36.15
Drawdown as % of equity-0.22%
($1,133)
Includes Typical Broker Commissions trade costs of $9.56
5/13/19 9:30 MELI MERCADOLIBRE LONG 45 540.02 6/5 9:30 564.22 0.01%
Trade id #123641833
Max drawdown($38)
Time5/13/19 9:30
Quant open45
Worst price539.15
Drawdown as % of equity-0.01%
$1,088
Includes Typical Broker Commissions trade costs of $0.90
6/3/19 9:31 VGR VECTOR GROUP SHORT 1,689 8.96 6/4 9:30 9.56 0.2%
Trade id #123910836
Max drawdown($1,013)
Time6/4/19 9:30
Quant open0
Worst price9.56
Drawdown as % of equity-0.20%
($1,018)
Includes Typical Broker Commissions trade costs of $5.00
5/20/19 9:30 V VISA LONG 170 163.35 6/3 9:30 161.75 0.1%
Trade id #123736213
Max drawdown($506)
Time6/3/19 5:53
Quant open170
Worst price160.37
Drawdown as % of equity-0.10%
($275)
Includes Typical Broker Commissions trade costs of $3.40
5/28/19 9:30 VCYT VERACYTE INC. COMMON STOCK LONG 382 24.56 6/3 9:30 22.68 0.14%
Trade id #123842247
Max drawdown($754)
Time5/31/19 14:14
Quant open382
Worst price22.59
Drawdown as % of equity-0.14%
($725)
Includes Typical Broker Commissions trade costs of $7.64
5/21/19 9:30 SAM BOSTON BEER COMPANY LONG 50 349.40 5/29 11:28 326.59 0.22%
Trade id #123751212
Max drawdown($1,140)
Time5/29/19 11:28
Quant open0
Worst price326.59
Drawdown as % of equity-0.22%
($1,141)
Includes Typical Broker Commissions trade costs of $1.00
5/22/19 9:30 WRTC WRAP TECHNOLOGIES INC LONG 1,393 7.21 5/29 9:30 6.80 0.11%
Trade id #123766663
Max drawdown($572)
Time5/29/19 9:30
Quant open0
Worst price6.80
Drawdown as % of equity-0.11%
($577)
Includes Typical Broker Commissions trade costs of $5.00
4/1/19 9:30 BOOM DMC GLOBAL INC. COMMON STOCK LONG 256 50.53 5/23 9:30 67.50 0.04%
Trade id #123150232
Max drawdown($179)
Time4/1/19 9:30
Quant open256
Worst price49.83
Drawdown as % of equity-0.04%
$4,339
Includes Typical Broker Commissions trade costs of $5.12
4/29/19 9:30 ECA ENCANA SHORT 1,909 7.07 5/22 9:31 6.76 0.13%
Trade id #123461940
Max drawdown($687)
Time4/30/19 9:34
Quant open-1,909
Worst price7.43
Drawdown as % of equity-0.13%
$587
Includes Typical Broker Commissions trade costs of $5.00
4/24/19 9:30 CVM CEL-SCI LONG 963 6.90 5/17 9:30 5.76 0.24%
Trade id #123411378
Max drawdown($1,203)
Time5/17/19 8:04
Quant open963
Worst price5.65
Drawdown as % of equity-0.24%
($1,099)
Includes Typical Broker Commissions trade costs of $5.00
2/20/19 9:30 PAYC PAYCOM SOFTWARE INC LONG 91 179.38 5/14 9:30 199.15 0.07%
Trade id #122599832
Max drawdown($321)
Time2/20/19 9:30
Quant open91
Worst price175.85
Drawdown as % of equity-0.07%
$1,797
Includes Typical Broker Commissions trade costs of $1.82
5/7/19 9:30 MDB MONGODB INC. CLASS A COMMON STOCK LONG 78 134.87 5/14 9:30 129.40 0.12%
Trade id #123555805
Max drawdown($602)
Time5/9/19 10:07
Quant open78
Worst price127.14
Drawdown as % of equity-0.12%
($429)
Includes Typical Broker Commissions trade costs of $1.56
2/15/19 9:30 RAMP LIVERAMP HOLDINGS INC LONG 305 52.30 5/14 9:30 53.79 0.02%
Trade id #122541591
Max drawdown($76)
Time2/15/19 9:30
Quant open305
Worst price52.05
Drawdown as % of equity-0.02%
$448
Includes Typical Broker Commissions trade costs of $6.10

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2517.17
  • Age
    84 months ago
  • What it trades
    Stocks
  • # Trades
    1459
  • # Profitable
    521
  • % Profitable
    35.70%
  • Avg trade duration
    31.0 days
  • Max peak-to-valley drawdown
    24.06%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    26.2%
  • Avg win
    $2,669
  • Avg loss
    $1,076
  • Model Account Values (Raw)
  • Cash
    $244,388
  • Margin Used
    $254,574
  • Buying Power
    $39,581
  • Ratios
  • W:L ratio
    1.48:1
  • Sharpe Ratio
    1.05
  • Sortino Ratio
    1.51
  • Calmar Ratio
    1.395
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.17990
  • Return Statistics
  • Ann Return (w trading costs)
    26.2%
  • Ann Return (Compnd, No Fees)
    27.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.00%
  • Chance of 20% account loss
    22.50%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    2.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    898
  • Popularity (Last 6 weeks)
    977
  • C2 Score
    98.1
  • 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
    $1,076
  • Avg Win
    $2,670
  • # Winners
    521
  • # Losers
    938
  • % Winners
    35.7%
  • Frequency
  • Avg Position Time (mins)
    44588.00
  • Avg Position Time (hrs)
    743.13
  • Avg Trade Length
    31.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.65
  • Daily leverage (max)
    3.69
  • Unknown
  • Alpha
    0.06
  • Beta
    0.26
  • Treynor Index
    0.25
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24147
  • SD
    0.23744
  • Sharpe ratio (Glass type estimate)
    1.01696
  • Sharpe ratio (Hedges UMVUE)
    1.00740
  • df
    80.00000
  • t
    2.64214
  • p
    0.00495
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24330
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78454
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23703
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77777
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31520
  • Upside Potential Ratio
    4.08730
  • Upside part of mean
    0.42629
  • Downside part of mean
    -0.18482
  • Upside SD
    0.22285
  • Downside SD
    0.10430
  • N nonnegative terms
    47.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.08456
  • Mean of criterion
    0.24147
  • SD of predictor
    0.12194
  • SD of criterion
    0.23744
  • Covariance
    0.00305
  • r
    0.10518
  • b (slope, estimate of beta)
    0.20480
  • a (intercept, estimate of alpha)
    0.22415
  • Mean Square Error
    0.05646
  • DF error
    79.00000
  • t(b)
    0.94007
  • p(b)
    0.17502
  • t(a)
    2.40259
  • p(a)
    0.00931
  • Lowerbound of 95% confidence interval for beta
    -0.22884
  • Upperbound of 95% confidence interval for beta
    0.63844
  • Lowerbound of 95% confidence interval for alpha
    0.03845
  • Upperbound of 95% confidence interval for alpha
    0.40984
  • Treynor index (mean / b)
    1.17902
  • Jensen alpha (a)
    0.22415
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21297
  • SD
    0.22533
  • Sharpe ratio (Glass type estimate)
    0.94515
  • Sharpe ratio (Hedges UMVUE)
    0.93626
  • df
    80.00000
  • t
    2.45557
  • p
    0.00812
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17389
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71075
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16805
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70447
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.96699
  • Upside Potential Ratio
    3.72277
  • Upside part of mean
    0.40307
  • Downside part of mean
    -0.19010
  • Upside SD
    0.20543
  • Downside SD
    0.10827
  • N nonnegative terms
    47.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.07677
  • Mean of criterion
    0.21297
  • SD of predictor
    0.12210
  • SD of criterion
    0.22533
  • Covariance
    0.00303
  • r
    0.11018
  • b (slope, estimate of beta)
    0.20332
  • a (intercept, estimate of alpha)
    0.19736
  • Mean Square Error
    0.05079
  • DF error
    79.00000
  • t(b)
    0.98528
  • p(b)
    0.16375
  • t(a)
    2.23818
  • p(a)
    0.01401
  • Lowerbound of 95% confidence interval for beta
    -0.20742
  • Upperbound of 95% confidence interval for beta
    0.61407
  • Lowerbound of 95% confidence interval for alpha
    0.02184
  • Upperbound of 95% confidence interval for alpha
    0.37287
  • Treynor index (mean / b)
    1.04744
  • Jensen alpha (a)
    0.19736
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08538
  • Expected Shortfall on VaR
    0.10965
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03190
  • Expected Shortfall on VaR
    0.06251
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    81.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97824
  • Median
    1.01873
  • Quartile 3
    1.05010
  • Maximum
    1.27878
  • Mean of quarter 1
    0.95100
  • Mean of quarter 2
    0.99702
  • Mean of quarter 3
    1.03540
  • Mean of quarter 4
    1.10996
  • Inter Quartile Range
    0.07186
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04938
  • Mean of outliers high
    1.22021
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28934
  • VaR(95%) (moments method)
    0.05279
  • Expected Shortfall (moments method)
    0.08692
  • Extreme Value Index (regression method)
    0.09371
  • VaR(95%) (regression method)
    0.05133
  • Expected Shortfall (regression method)
    0.07286
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00377
  • Quartile 1
    0.02099
  • Median
    0.04039
  • Quartile 3
    0.11403
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01292
  • Mean of quarter 2
    0.03641
  • Mean of quarter 3
    0.08995
  • Mean of quarter 4
    0.14898
  • Inter Quartile Range
    0.09304
  • 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)
    -3.03640
  • VaR(95%) (moments method)
    0.15347
  • Expected Shortfall (moments method)
    0.15376
  • Extreme Value Index (regression method)
    -0.63735
  • VaR(95%) (regression method)
    0.16554
  • Expected Shortfall (regression method)
    0.17538
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60489
  • Compounded annual return (geometric extrapolation)
    0.27236
  • Calmar ratio (compounded annual return / max draw down)
    1.61152
  • Compounded annual return / average of 25% largest draw downs
    1.82819
  • Compounded annual return / Expected Shortfall lognormal
    2.48402
  • 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
    0.23192
  • SD
    0.17689
  • Sharpe ratio (Glass type estimate)
    1.31106
  • Sharpe ratio (Hedges UMVUE)
    1.31051
  • df
    1789.00000
  • t
    3.42687
  • p
    0.44865
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06196
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55944
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06158
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91573
  • Upside Potential Ratio
    9.18284
  • Upside part of mean
    1.11167
  • Downside part of mean
    -0.87975
  • Upside SD
    0.12971
  • Downside SD
    0.12106
  • N nonnegative terms
    1004.00000
  • N negative terms
    786.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1790.00000
  • Mean of predictor
    0.08827
  • Mean of criterion
    0.23192
  • SD of predictor
    0.12854
  • SD of criterion
    0.17689
  • Covariance
    0.00400
  • r
    0.17577
  • b (slope, estimate of beta)
    0.24189
  • a (intercept, estimate of alpha)
    0.21100
  • Mean Square Error
    0.03034
  • DF error
    1788.00000
  • t(b)
    7.54999
  • p(b)
    0.41211
  • t(a)
    3.15684
  • p(a)
    0.46277
  • Lowerbound of 95% confidence interval for beta
    0.17905
  • Upperbound of 95% confidence interval for beta
    0.30473
  • Lowerbound of 95% confidence interval for alpha
    0.07974
  • Upperbound of 95% confidence interval for alpha
    0.34138
  • Treynor index (mean / b)
    0.95877
  • Jensen alpha (a)
    0.21057
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21615
  • SD
    0.17701
  • Sharpe ratio (Glass type estimate)
    1.22110
  • Sharpe ratio (Hedges UMVUE)
    1.22058
  • df
    1789.00000
  • t
    3.19173
  • p
    0.45214
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47004
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46967
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97150
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76249
  • Upside Potential Ratio
    8.99602
  • Upside part of mean
    1.10326
  • Downside part of mean
    -0.88711
  • Upside SD
    0.12827
  • Downside SD
    0.12264
  • N nonnegative terms
    1004.00000
  • N negative terms
    786.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1790.00000
  • Mean of predictor
    0.07998
  • Mean of criterion
    0.21615
  • SD of predictor
    0.12870
  • SD of criterion
    0.17701
  • Covariance
    0.00402
  • r
    0.17633
  • b (slope, estimate of beta)
    0.24252
  • a (intercept, estimate of alpha)
    0.19675
  • Mean Square Error
    0.03038
  • DF error
    1788.00000
  • t(b)
    7.57467
  • p(b)
    0.41184
  • t(a)
    2.94854
  • p(a)
    0.46522
  • Lowerbound of 95% confidence interval for beta
    0.17973
  • Upperbound of 95% confidence interval for beta
    0.30532
  • Lowerbound of 95% confidence interval for alpha
    0.06588
  • Upperbound of 95% confidence interval for alpha
    0.32763
  • Treynor index (mean / b)
    0.89126
  • Jensen alpha (a)
    0.19675
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01702
  • Expected Shortfall on VaR
    0.02149
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00705
  • Expected Shortfall on VaR
    0.01461
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1790.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99633
  • Median
    1.00098
  • Quartile 3
    1.00608
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98801
  • Mean of quarter 2
    0.99890
  • Mean of quarter 3
    1.00325
  • Mean of quarter 4
    1.01381
  • Inter Quartile Range
    0.00974
  • Number outliers low
    78.00000
  • Percentage of outliers low
    0.04358
  • Mean of outliers low
    0.97330
  • Number of outliers high
    72.00000
  • Percentage of outliers high
    0.04022
  • Mean of outliers high
    1.02767
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25280
  • VaR(95%) (moments method)
    0.01081
  • Expected Shortfall (moments method)
    0.01804
  • Extreme Value Index (regression method)
    0.10171
  • VaR(95%) (regression method)
    0.01123
  • Expected Shortfall (regression method)
    0.01690
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00341
  • Median
    0.01360
  • Quartile 3
    0.03963
  • Maximum
    0.19820
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.00842
  • Mean of quarter 3
    0.02456
  • Mean of quarter 4
    0.10986
  • Inter Quartile Range
    0.03622
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10769
  • Mean of outliers high
    0.15595
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.15662
  • VaR(95%) (moments method)
    0.09767
  • Expected Shortfall (moments method)
    0.10352
  • Extreme Value Index (regression method)
    -0.56478
  • VaR(95%) (regression method)
    0.08824
  • Expected Shortfall (regression method)
    0.09976
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62916
  • Compounded annual return (geometric extrapolation)
    0.27642
  • Calmar ratio (compounded annual return / max draw down)
    1.39464
  • Compounded annual return / average of 25% largest draw downs
    2.51615
  • Compounded annual return / Expected Shortfall lognormal
    12.86250
  • 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
    0.05945
  • SD
    0.09613
  • Sharpe ratio (Glass type estimate)
    0.61841
  • Sharpe ratio (Hedges UMVUE)
    0.61483
  • df
    130.00000
  • t
    0.43728
  • p
    0.48084
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15551
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39015
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15798
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38765
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87176
  • Upside Potential Ratio
    8.52848
  • Upside part of mean
    0.58158
  • Downside part of mean
    -0.52213
  • Upside SD
    0.06733
  • Downside SD
    0.06819
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.41161
  • Mean of criterion
    0.05945
  • SD of predictor
    0.14276
  • SD of criterion
    0.09613
  • Covariance
    0.00239
  • r
    0.17390
  • b (slope, estimate of beta)
    0.11710
  • a (intercept, estimate of alpha)
    0.01125
  • Mean Square Error
    0.00903
  • DF error
    129.00000
  • t(b)
    2.00570
  • p(b)
    0.38985
  • t(a)
    0.08238
  • p(a)
    0.49538
  • Lowerbound of 95% confidence interval for beta
    0.00159
  • Upperbound of 95% confidence interval for beta
    0.23262
  • Lowerbound of 95% confidence interval for alpha
    -0.25887
  • Upperbound of 95% confidence interval for alpha
    0.28137
  • Treynor index (mean / b)
    0.50765
  • Jensen alpha (a)
    0.01125
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05485
  • SD
    0.09617
  • Sharpe ratio (Glass type estimate)
    0.57034
  • Sharpe ratio (Hedges UMVUE)
    0.56704
  • df
    130.00000
  • t
    0.40329
  • p
    0.48233
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20342
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.34193
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.20562
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33970
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79952
  • Upside Potential Ratio
    8.44398
  • Upside part of mean
    0.57927
  • Downside part of mean
    -0.52442
  • Upside SD
    0.06695
  • Downside SD
    0.06860
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40123
  • Mean of criterion
    0.05485
  • SD of predictor
    0.14187
  • SD of criterion
    0.09617
  • Covariance
    0.00243
  • r
    0.17785
  • b (slope, estimate of beta)
    0.12056
  • a (intercept, estimate of alpha)
    0.00648
  • Mean Square Error
    0.00903
  • DF error
    129.00000
  • t(b)
    2.05268
  • p(b)
    0.38738
  • t(a)
    0.04748
  • p(a)
    0.49734
  • Lowerbound of 95% confidence interval for beta
    0.00436
  • Upperbound of 95% confidence interval for beta
    0.23676
  • Lowerbound of 95% confidence interval for alpha
    -0.26340
  • Upperbound of 95% confidence interval for alpha
    0.27635
  • Treynor index (mean / b)
    0.45495
  • Jensen alpha (a)
    0.00648
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00952
  • Expected Shortfall on VaR
    0.01197
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00423
  • Expected Shortfall on VaR
    0.00856
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98258
  • Quartile 1
    0.99765
  • Median
    1.00066
  • Quartile 3
    1.00305
  • Maximum
    1.01990
  • Mean of quarter 1
    0.99307
  • Mean of quarter 2
    0.99931
  • Mean of quarter 3
    1.00178
  • Mean of quarter 4
    1.00722
  • Inter Quartile Range
    0.00539
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98541
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01604
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24034
  • VaR(95%) (moments method)
    0.00660
  • Expected Shortfall (moments method)
    0.01076
  • Extreme Value Index (regression method)
    -0.13640
  • VaR(95%) (regression method)
    0.00748
  • Expected Shortfall (regression method)
    0.00996
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00227
  • Quartile 1
    0.00899
  • Median
    0.01968
  • Quartile 3
    0.02786
  • Maximum
    0.07389
  • Mean of quarter 1
    0.00506
  • Mean of quarter 2
    0.01237
  • Mean of quarter 3
    0.02698
  • Mean of quarter 4
    0.05102
  • Inter Quartile Range
    0.01887
  • 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
    0.16667
  • Mean of outliers high
    0.07389
  • 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)
    0.08449
  • Compounded annual return (geometric extrapolation)
    0.08628
  • Calmar ratio (compounded annual return / max draw down)
    1.16765
  • Compounded annual return / average of 25% largest draw downs
    1.69106
  • Compounded annual return / Expected Shortfall lognormal
    7.20701

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2012-08-04
Suggested Minimum Capital
$35,000
# Trades
1459
# Profitable
521
% Profitable
35.7%
Net Dividends
Correlation S&P500
0.180
Sharpe Ratio
1.05
Sortino Ratio
1.51
Beta
0.26
Alpha
0.06
Leverage
1.65 Average
3.69 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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 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.

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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