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

T One
(128551067)

Created by: martinH martinH
Started: 04/2020
Stocks
Last trade: 1,092 days ago
Trading style: Equity Non-hedged Equity

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
10.8%
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.

(14.9%)
Max Drawdown
203
Num Trades
69.0%
Win Trades
2.1 : 1
Profit Factor
25.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                     +6.4%+5.9%+9.1%+5.4%+3.7%+3.3%(3.2%)+5.4%+3.1%+45.8%
2021+0.4%+1.1%+0.5%+0.9%  -    -    -    -    -    -    -    -  +3.0%
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

System developer has asked us to delay this information by 8 hours.

Trading Record

This strategy has placed 505 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1106 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/30/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 50 86.95 4/1 15:59 95.96 0.27%
Trade id #134926508
Max drawdown($99)
Time3/30/21 10:23
Quant open50
Worst price84.96
Drawdown as % of equity-0.27%
$450
Includes Typical Broker Commissions trade costs of $1.00
3/30/21 9:30 HD HOME DEPOT LONG 20 301.65 4/1 15:59 307.90 0.09%
Trade id #134926506
Max drawdown($32)
Time3/30/21 12:04
Quant open20
Worst price300.04
Drawdown as % of equity-0.09%
$125
Includes Typical Broker Commissions trade costs of $0.40
3/29/21 9:30 FB META PLATFORMS INC LONG 20 285.77 3/31 15:59 294.87 n/a $182
Includes Typical Broker Commissions trade costs of $0.40
3/25/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 50 83.82 3/26 9:30 84.72 0.3%
Trade id #134856836
Max drawdown($108)
Time3/25/21 11:25
Quant open50
Worst price81.65
Drawdown as % of equity-0.30%
$44
Includes Typical Broker Commissions trade costs of $1.00
3/22/21 9:30 FB META PLATFORMS INC LONG 40 291.80 3/25 15:59 284.17 0.76%
Trade id #134760976
Max drawdown($281)
Time3/25/21 15:57
Quant open20
Worst price277.75
Drawdown as % of equity-0.76%
($306)
Includes Typical Broker Commissions trade costs of $0.80
3/22/21 9:30 V VISA LONG 20 206.55 3/23 9:30 209.05 0.01%
Trade id #134761012
Max drawdown($5)
Time3/22/21 9:35
Quant open20
Worst price206.29
Drawdown as % of equity-0.01%
$50
Includes Typical Broker Commissions trade costs of $0.40
3/22/21 9:30 AAPL APPLE LONG 40 120.33 3/23 9:30 123.33 n/a $119
Includes Typical Broker Commissions trade costs of $0.80
3/22/21 9:30 MSFT MICROSOFT LONG 20 230.27 3/23 9:30 237.49 n/a $144
Includes Typical Broker Commissions trade costs of $0.40
3/22/21 9:30 MA MASTERCARD LONG 20 355.94 3/22 15:59 357.96 0.11%
Trade id #134760992
Max drawdown($38)
Time3/22/21 9:34
Quant open20
Worst price354.00
Drawdown as % of equity-0.11%
$40
Includes Typical Broker Commissions trade costs of $0.40
3/18/21 9:30 HD HOME DEPOT LONG 19 279.03 3/22 15:59 288.81 0.07%
Trade id #134696420
Max drawdown($24)
Time3/18/21 9:33
Quant open19
Worst price277.76
Drawdown as % of equity-0.07%
$186
Includes Typical Broker Commissions trade costs of $0.38
3/2/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 92.69 3/22 9:30 86.29 5.51%
Trade id #134361149
Max drawdown($1,942)
Time3/5/21 0:00
Quant open100
Worst price75.03
Drawdown as % of equity-5.51%
($963)
Includes Typical Broker Commissions trade costs of $3.00
3/16/21 9:30 FB META PLATFORMS INC LONG 40 276.02 3/17 15:59 283.80 0.07%
Trade id #134644465
Max drawdown($24)
Time3/17/21 9:37
Quant open40
Worst price275.41
Drawdown as % of equity-0.07%
$310
Includes Typical Broker Commissions trade costs of $0.80
3/11/21 9:30 FB META PLATFORMS INC LONG 20 267.95 3/12 9:30 268.26 0.05%
Trade id #134558628
Max drawdown($18)
Time3/12/21 0:00
Quant open20
Worst price267.03
Drawdown as % of equity-0.05%
$6
Includes Typical Broker Commissions trade costs of $0.40
3/1/21 9:30 HD HOME DEPOT LONG 60 258.05 3/10 15:59 263.27 0.77%
Trade id #134336327
Max drawdown($273)
Time3/5/21 0:00
Quant open20
Worst price246.59
Drawdown as % of equity-0.77%
$312
Includes Typical Broker Commissions trade costs of $1.20
3/5/21 9:30 JNJ JOHNSON & JOHNSON LONG 45 153.98 3/5 15:59 155.88 0.11%
Trade id #134442840
Max drawdown($38)
Time3/5/21 9:50
Quant open45
Worst price153.13
Drawdown as % of equity-0.11%
$85
Includes Typical Broker Commissions trade costs of $0.90
3/5/21 9:30 CRM SALESFORCE INC LONG 35 210.21 3/5 15:59 210.83 0.7%
Trade id #134442836
Max drawdown($244)
Time3/5/21 11:28
Quant open35
Worst price203.22
Drawdown as % of equity-0.70%
$21
Includes Typical Broker Commissions trade costs of $0.70
3/4/21 9:30 CRM SALESFORCE INC LONG 35 206.84 3/4 15:59 205.22 0.52%
Trade id #134412665
Max drawdown($186)
Time3/4/21 14:00
Quant open35
Worst price201.51
Drawdown as % of equity-0.52%
($58)
Includes Typical Broker Commissions trade costs of $0.70
3/3/21 9:30 FB META PLATFORMS INC LONG 22 260.47 3/4 15:59 257.29 0.43%
Trade id #134385379
Max drawdown($153)
Time3/4/21 13:57
Quant open22
Worst price253.50
Drawdown as % of equity-0.43%
($70)
Includes Typical Broker Commissions trade costs of $0.44
3/1/21 9:30 WMT WALMART INC LONG 55 131.75 3/1 15:59 131.25 0.09%
Trade id #134336339
Max drawdown($34)
Time3/1/21 15:51
Quant open55
Worst price131.13
Drawdown as % of equity-0.09%
($29)
Includes Typical Broker Commissions trade costs of $1.10
2/25/21 9:30 HD HOME DEPOT LONG 71 259.16 2/26 15:59 257.72 0.68%
Trade id #134276707
Max drawdown($252)
Time2/25/21 15:37
Quant open50
Worst price254.71
Drawdown as % of equity-0.68%
($104)
Includes Typical Broker Commissions trade costs of $1.42
2/26/21 9:30 WMT WALMART INC LONG 55 132.19 2/26 15:59 130.15 0.35%
Trade id #134304621
Max drawdown($127)
Time2/26/21 15:59
Quant open55
Worst price129.87
Drawdown as % of equity-0.35%
($113)
Includes Typical Broker Commissions trade costs of $1.10
2/24/21 9:30 AAPL APPLE LONG 43 124.98 2/26 9:30 122.61 0.51%
Trade id #134249951
Max drawdown($190)
Time2/25/21 0:00
Quant open43
Worst price120.54
Drawdown as % of equity-0.51%
($103)
Includes Typical Broker Commissions trade costs of $0.86
2/25/21 9:30 PFE PFIZER LONG 200 33.75 2/25 15:59 33.80 0.11%
Trade id #134276721
Max drawdown($42)
Time2/25/21 15:36
Quant open200
Worst price33.54
Drawdown as % of equity-0.11%
$5
Includes Typical Broker Commissions trade costs of $4.00
2/25/21 9:30 WMT WALMART INC LONG 55 133.00 2/25 15:59 131.80 0.22%
Trade id #134276561
Max drawdown($83)
Time2/25/21 15:40
Quant open55
Worst price131.48
Drawdown as % of equity-0.22%
($67)
Includes Typical Broker Commissions trade costs of $1.10
2/22/21 9:30 MSFT MICROSOFT LONG 46 235.93 2/25 9:30 232.19 0.88%
Trade id #134190351
Max drawdown($331)
Time2/23/21 0:00
Quant open46
Worst price228.73
Drawdown as % of equity-0.88%
($173)
Includes Typical Broker Commissions trade costs of $0.92
2/24/21 9:30 PFE PFIZER LONG 200 33.86 2/24 15:59 33.76 0.1%
Trade id #134249978
Max drawdown($38)
Time2/24/21 9:40
Quant open200
Worst price33.67
Drawdown as % of equity-0.10%
($25)
Includes Typical Broker Commissions trade costs of $4.00
2/22/21 9:30 FB META PLATFORMS INC LONG 40 258.49 2/24 15:59 263.29 0.14%
Trade id #134190368
Max drawdown($52)
Time2/23/21 0:00
Quant open20
Worst price254.96
Drawdown as % of equity-0.14%
$191
Includes Typical Broker Commissions trade costs of $0.80
2/22/21 9:30 AMZN AMAZON.COM LONG 1 3207.69 2/24 9:30 3166.00 0.3%
Trade id #134190370
Max drawdown($114)
Time2/23/21 0:00
Quant open1
Worst price3093.60
Drawdown as % of equity-0.30%
($42)
Includes Typical Broker Commissions trade costs of $0.02
2/22/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 70 98.63 2/24 9:30 93.33 2.27%
Trade id #134190396
Max drawdown($854)
Time2/23/21 0:00
Quant open70
Worst price86.42
Drawdown as % of equity-2.27%
($372)
Includes Typical Broker Commissions trade costs of $1.40
2/22/21 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 60 110.92 2/23 9:30 111.71 0.42%
Trade id #134190339
Max drawdown($156)
Time2/23/21 0:00
Quant open60
Worst price108.31
Drawdown as % of equity-0.42%
$46
Includes Typical Broker Commissions trade costs of $1.20

Statistics

  • Strategy began
    4/14/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1437.73
  • Age
    48 months ago
  • What it trades
    Stocks
  • # Trades
    203
  • # Profitable
    140
  • % Profitable
    69.00%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    14.94%
  • drawdown period
    April 17, 2020 - April 28, 2020
  • Annual Return (Compounded)
    10.8%
  • Avg win
    $200.31
  • Avg loss
    $213.60
  • Model Account Values (Raw)
  • Cash
    $39,644
  • Margin Used
    $0
  • Buying Power
    $39,644
  • Ratios
  • W:L ratio
    2.09:1
  • Sharpe Ratio
    0.71
  • Sortino Ratio
    1.07
  • Calmar Ratio
    3.511
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -34.02%
  • Correlation to SP500
    0.25040
  • Return Percent SP500 (cumu) during strategy life
    84.41%
  • Return Statistics
  • Ann Return (w trading costs)
    10.8%
  • Slump
  • Current Slump as Pcnt Equity
    1.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.78%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.108%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.50%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $214
  • Avg Win
    $200
  • Sum Trade PL (losers)
    $13,457.000
  • Age
  • Num Months filled monthly returns table
    48
  • Win / Loss
  • Sum Trade PL (winners)
    $28,043.000
  • # Winners
    140
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    63
  • Win / Loss
  • # Losers
    63
  • % Winners
    69.0%
  • Frequency
  • Avg Position Time (mins)
    3966.30
  • Avg Position Time (hrs)
    66.11
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    1086
  • Leverage
  • Daily leverage (average)
    0.95
  • Daily leverage (max)
    3.11
  • Regression
  • Alpha
    0.02
  • Beta
    0.13
  • Treynor Index
    0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.57
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.783
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.507
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.657
  • Hold-and-Hope Ratio
    0.359
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29668
  • SD
    0.12615
  • Sharpe ratio (Glass type estimate)
    2.35177
  • Sharpe ratio (Hedges UMVUE)
    2.23184
  • df
    15.00000
  • t
    2.71558
  • p
    0.15573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21174
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35597
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.10772
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.51715
  • Upside Potential Ratio
    7.83117
  • Upside part of mean
    0.35650
  • Downside part of mean
    -0.05982
  • Upside SD
    0.14206
  • Downside SD
    0.04552
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.32342
  • Mean of criterion
    0.29668
  • SD of predictor
    0.21569
  • SD of criterion
    0.12615
  • Covariance
    0.00333
  • r
    0.12220
  • b (slope, estimate of beta)
    0.07147
  • a (intercept, estimate of alpha)
    0.27356
  • Mean Square Error
    0.01680
  • DF error
    14.00000
  • t(b)
    0.46069
  • p(b)
    0.43890
  • t(a)
    2.22514
  • p(a)
    0.24443
  • Lowerbound of 95% confidence interval for beta
    -0.26127
  • Upperbound of 95% confidence interval for beta
    0.40421
  • Lowerbound of 95% confidence interval for alpha
    0.00988
  • Upperbound of 95% confidence interval for alpha
    0.53725
  • Treynor index (mean / b)
    4.15101
  • Jensen alpha (a)
    0.27356
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28528
  • SD
    0.12344
  • Sharpe ratio (Glass type estimate)
    2.31100
  • Sharpe ratio (Hedges UMVUE)
    2.19316
  • df
    15.00000
  • t
    2.66852
  • p
    0.15924
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39502
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16496
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32313
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06319
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.14978
  • Upside Potential Ratio
    7.45915
  • Upside part of mean
    0.34602
  • Downside part of mean
    -0.06074
  • Upside SD
    0.13754
  • Downside SD
    0.04639
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.29590
  • Mean of criterion
    0.28528
  • SD of predictor
    0.22422
  • SD of criterion
    0.12344
  • Covariance
    0.00370
  • r
    0.13374
  • b (slope, estimate of beta)
    0.07363
  • a (intercept, estimate of alpha)
    0.26349
  • Mean Square Error
    0.01603
  • DF error
    14.00000
  • t(b)
    0.50494
  • p(b)
    0.43313
  • t(a)
    2.23589
  • p(a)
    0.24352
  • Lowerbound of 95% confidence interval for beta
    -0.23912
  • Upperbound of 95% confidence interval for beta
    0.38638
  • Lowerbound of 95% confidence interval for alpha
    0.01074
  • Upperbound of 95% confidence interval for alpha
    0.51625
  • Treynor index (mean / b)
    3.87453
  • Jensen alpha (a)
    0.26349
  • 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
    0.04843
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00918
  • Expected Shortfall on VaR
    0.02071
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.95570
  • Quartile 1
    1.00000
  • Median
    1.03061
  • Quartile 3
    1.05430
  • Maximum
    1.08125
  • Mean of quarter 1
    0.98355
  • Mean of quarter 2
    1.00903
  • Mean of quarter 3
    1.04531
  • Mean of quarter 4
    1.07031
  • Inter Quartile Range
    0.05430
  • 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)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.91365
  • VaR(95%) (regression method)
    0.04660
  • Expected Shortfall (regression method)
    0.05688
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02149
  • Quartile 1
    0.02719
  • Median
    0.03289
  • Quartile 3
    0.03860
  • Maximum
    0.04430
  • Mean of quarter 1
    0.02149
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04430
  • Inter Quartile Range
    0.01141
  • 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)
    0.38871
  • Compounded annual return (geometric extrapolation)
    0.36778
  • Calmar ratio (compounded annual return / max draw down)
    8.30189
  • Compounded annual return / average of 25% largest draw downs
    8.30189
  • Compounded annual return / Expected Shortfall lognormal
    7.59357
  • 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
    0.28777
  • SD
    0.15232
  • Sharpe ratio (Glass type estimate)
    1.88918
  • Sharpe ratio (Hedges UMVUE)
    1.88523
  • df
    359.00000
  • t
    2.21449
  • p
    0.01371
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21016
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56565
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20751
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56295
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91599
  • Upside Potential Ratio
    7.92053
  • Upside part of mean
    0.78164
  • Downside part of mean
    -0.49388
  • Upside SD
    0.11711
  • Downside SD
    0.09869
  • N nonnegative terms
    142.00000
  • N negative terms
    218.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    360.00000
  • Mean of predictor
    0.44576
  • Mean of criterion
    0.28777
  • SD of predictor
    0.28040
  • SD of criterion
    0.15232
  • Covariance
    0.01107
  • r
    0.25925
  • b (slope, estimate of beta)
    0.14083
  • a (intercept, estimate of alpha)
    0.22500
  • Mean Square Error
    0.02170
  • DF error
    358.00000
  • t(b)
    5.07882
  • p(b)
    0.00000
  • t(a)
    1.78159
  • p(a)
    0.03783
  • Lowerbound of 95% confidence interval for beta
    0.08630
  • Upperbound of 95% confidence interval for beta
    0.19537
  • Lowerbound of 95% confidence interval for alpha
    -0.02337
  • Upperbound of 95% confidence interval for alpha
    0.47334
  • Treynor index (mean / b)
    2.04331
  • Jensen alpha (a)
    0.22499
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27600
  • SD
    0.15251
  • Sharpe ratio (Glass type estimate)
    1.80974
  • Sharpe ratio (Hedges UMVUE)
    1.80596
  • df
    359.00000
  • t
    2.12137
  • p
    0.01729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13123
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.48578
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12871
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.48321
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.74172
  • Upside Potential Ratio
    7.69690
  • Upside part of mean
    0.77482
  • Downside part of mean
    -0.49882
  • Upside SD
    0.11555
  • Downside SD
    0.10067
  • N nonnegative terms
    142.00000
  • N negative terms
    218.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    360.00000
  • Mean of predictor
    0.40587
  • Mean of criterion
    0.27600
  • SD of predictor
    0.28207
  • SD of criterion
    0.15251
  • Covariance
    0.01117
  • r
    0.25960
  • b (slope, estimate of beta)
    0.14036
  • a (intercept, estimate of alpha)
    0.21903
  • Mean Square Error
    0.02175
  • DF error
    358.00000
  • t(b)
    5.08617
  • p(b)
    0.00000
  • t(a)
    1.73400
  • p(a)
    0.04189
  • Lowerbound of 95% confidence interval for beta
    0.08609
  • Upperbound of 95% confidence interval for beta
    0.19463
  • Lowerbound of 95% confidence interval for alpha
    -0.02938
  • Upperbound of 95% confidence interval for alpha
    0.46745
  • Treynor index (mean / b)
    1.96642
  • Jensen alpha (a)
    0.21903
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01434
  • Expected Shortfall on VaR
    0.01821
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00478
  • Expected Shortfall on VaR
    0.01053
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    360.00000
  • Minimum
    0.93617
  • Quartile 1
    0.99945
  • Median
    1.00000
  • Quartile 3
    1.00289
  • Maximum
    1.05586
  • Mean of quarter 1
    0.99276
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00077
  • Mean of quarter 4
    1.01133
  • Inter Quartile Range
    0.00344
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.10278
  • Mean of outliers low
    0.98588
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.01765
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49733
  • VaR(95%) (moments method)
    0.00456
  • Expected Shortfall (moments method)
    0.01126
  • Extreme Value Index (regression method)
    0.23162
  • VaR(95%) (regression method)
    0.00533
  • Expected Shortfall (regression method)
    0.00974
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00553
  • Median
    0.01043
  • Quartile 3
    0.01630
  • Maximum
    0.10115
  • Mean of quarter 1
    0.00167
  • Mean of quarter 2
    0.00771
  • Mean of quarter 3
    0.01265
  • Mean of quarter 4
    0.05052
  • Inter Quartile Range
    0.01077
  • 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
    0.15385
  • Mean of outliers high
    0.07385
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.07530
  • VaR(95%) (moments method)
    0.04497
  • Expected Shortfall (moments method)
    0.06620
  • Extreme Value Index (regression method)
    0.09266
  • VaR(95%) (regression method)
    0.04960
  • Expected Shortfall (regression method)
    0.07342
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37720
  • Compounded annual return (geometric extrapolation)
    0.35514
  • Calmar ratio (compounded annual return / max draw down)
    3.51090
  • Compounded annual return / average of 25% largest draw downs
    7.03008
  • Compounded annual return / Expected Shortfall lognormal
    19.50530
  • 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
    0.05377
  • SD
    0.05057
  • Sharpe ratio (Glass type estimate)
    1.06314
  • Sharpe ratio (Hedges UMVUE)
    1.05699
  • df
    130.00000
  • t
    0.75175
  • p
    0.46710
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71362
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.83602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71779
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83177
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86104
  • Upside Potential Ratio
    5.94121
  • Upside part of mean
    0.17164
  • Downside part of mean
    -0.11788
  • Upside SD
    0.04141
  • Downside SD
    0.02889
  • N nonnegative terms
    13.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.65111
  • Mean of criterion
    0.05377
  • SD of predictor
    0.38625
  • SD of criterion
    0.05057
  • Covariance
    0.00091
  • r
    0.04678
  • b (slope, estimate of beta)
    0.00613
  • a (intercept, estimate of alpha)
    0.04978
  • Mean Square Error
    0.00257
  • DF error
    129.00000
  • t(b)
    0.53193
  • p(b)
    0.47023
  • t(a)
    0.69030
  • p(a)
    0.46140
  • Lowerbound of 95% confidence interval for beta
    -0.01666
  • Upperbound of 95% confidence interval for beta
    0.02891
  • Lowerbound of 95% confidence interval for alpha
    -0.09289
  • Upperbound of 95% confidence interval for alpha
    0.19245
  • Treynor index (mean / b)
    8.77760
  • Jensen alpha (a)
    0.04978
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05249
  • SD
    0.05048
  • Sharpe ratio (Glass type estimate)
    1.03985
  • Sharpe ratio (Hedges UMVUE)
    1.03384
  • df
    130.00000
  • t
    0.73529
  • p
    0.46782
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81261
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74081
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80850
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80622
  • Upside Potential Ratio
    5.87654
  • Upside part of mean
    0.17077
  • Downside part of mean
    -0.11828
  • Upside SD
    0.04116
  • Downside SD
    0.02906
  • N nonnegative terms
    13.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.57567
  • Mean of criterion
    0.05249
  • SD of predictor
    0.38890
  • SD of criterion
    0.05048
  • Covariance
    0.00094
  • r
    0.04784
  • b (slope, estimate of beta)
    0.00621
  • a (intercept, estimate of alpha)
    0.04891
  • Mean Square Error
    0.00256
  • DF error
    129.00000
  • t(b)
    0.54399
  • p(b)
    0.46956
  • t(a)
    0.68049
  • p(a)
    0.46195
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.01637
  • Upperbound of 95% confidence interval for beta
    0.02879
  • Lowerbound of 95% confidence interval for alpha
    -0.09330
  • Upperbound of 95% confidence interval for alpha
    0.19113
  • Treynor index (mean / b)
    8.45295
  • Jensen alpha (a)
    0.04891
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00492
  • Expected Shortfall on VaR
    0.00621
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00147
  • Expected Shortfall on VaR
    0.00320
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98443
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01522
  • Mean of quarter 1
    0.99860
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00264
  • Inter Quartile Range
    0.00000
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.99485
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.00671
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.25104
  • VaR(95%) (moments method)
    0.00122
  • Expected Shortfall (moments method)
    0.00199
  • Extreme Value Index (regression method)
    0.00711
  • VaR(95%) (regression method)
    0.00175
  • Expected Shortfall (regression method)
    0.00552
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00851
  • Quartile 1
    0.00865
  • Median
    0.00896
  • Quartile 3
    0.01188
  • Maximum
    0.01982
  • Mean of quarter 1
    0.00851
  • Mean of quarter 2
    0.00869
  • Mean of quarter 3
    0.00923
  • Mean of quarter 4
    0.01982
  • Inter Quartile Range
    0.00323
  • 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
    0.25000
  • Mean of outliers high
    0.01982
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -330117000
  • Max Equity Drawdown (num days)
    11
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08203
  • Compounded annual return (geometric extrapolation)
    0.08372
  • Calmar ratio (compounded annual return / max draw down)
    4.22312
  • Compounded annual return / average of 25% largest draw downs
    4.22312
  • Compounded annual return / Expected Shortfall lognormal
    13.47610

Strategy Description

Simple stock strategy trading leverages ETFs (like TQQQ) and some very liquid stocks.

This strategy reflects my basic automatic strategies on my IB account and includes more than 5 independent strategies.

Some strategies will trade the same stocks but with different rules or styles (some strategies might be qualified as trend-following, others as contrarian).
New strategies will be added to this pool of strategies if they increase the overall reward/risk ratio as calculated by (Annual Return/Max Drawdown) based on several years of backtets.
All strategies are backtested over a long period of time and must be consistently profitable each year and under different market regimes.

Trading algorithms are rather straightforward and based mostly on volatility measures or market sentiment.
Buy / Sell order are issued to be placed at Market Open or Market Close

I personnaly trade this strategy on my IB account with CFDs (in Europe, we cannot trade US ETFs due to PRIIPS).
Backtest since 2012 available upon request.

Summary Statistics

Strategy began
2020-04-14
Suggested Minimum Capital
$15,000
# Trades
203
# Profitable
140
% Profitable
69.0%
Net Dividends
Correlation S&P500
0.250
Sharpe Ratio
0.71
Sortino Ratio
1.07
Beta
0.13
Alpha
0.02
Leverage
0.95 Average
3.11 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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.