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Demla Swing Trader
(104636666)

Created by: DemlaAnalytics DemlaAnalytics
Started: 07/2017
Stocks
Last trade: 5 days ago

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 $100.00 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.

7.4%
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.

(9.1%)
Max Drawdown
528
Num Trades
42.0%
Win Trades
1.4 : 1
Profit Factor
72.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                          +4.6%+1.6%+1.2%(1.8%)+1.4%+2.1%+9.3%
2018+7.5%+3.3%+1.2%(3.7%)(1.9%)+1.2%(2.3%)+2.2%+0.5%+0.7%(3.1%)+0.4%+5.6%
2019+1.0%+1.5%+0.8%(0.9%)(3%)+0.2%+0.7%                              +0.2%

Model Account Details

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

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

Trading Record

This strategy has placed 239 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/3/19 12:15 LULU LULULEMON ATHLETICA LONG 40 183.66 7/10 9:30 187.00 0.34%
Trade id #124328098
Max drawdown($118)
Time7/3/19 12:15
Quant open40
Worst price180.70
Drawdown as % of equity-0.34%
$133
Includes Typical Broker Commissions trade costs of $0.80
6/28/19 12:22 SPY SPDR S&P 500 LONG 50 292.97 7/2 13:17 291.21 0.25%
Trade id #124269871
Max drawdown($88)
Time7/2/19 13:17
Quant open50
Worst price291.21
Drawdown as % of equity-0.25%
($89)
Includes Typical Broker Commissions trade costs of $1.00
6/19/19 10:20 ULTA ULTA BEAUTY INC LONG 20 348.50 7/2 9:34 339.05 0.55%
Trade id #124143635
Max drawdown($189)
Time7/2/19 9:34
Quant open20
Worst price339.05
Drawdown as % of equity-0.55%
($189)
Includes Typical Broker Commissions trade costs of $0.40
6/18/19 12:53 IWM ISHARES RUSSELL 2000 INDEX LONG 65 153.93 6/20 9:30 156.10 0.1%
Trade id #124129443
Max drawdown($34)
Time6/18/19 12:53
Quant open65
Worst price153.40
Drawdown as % of equity-0.10%
$140
Includes Typical Broker Commissions trade costs of $1.30
5/16/19 9:36 CSCO CISCO SYSTEMS LONG 60 54.86 5/31 10:03 52.10 0.44%
Trade id #123693552
Max drawdown($166)
Time5/31/19 10:03
Quant open0
Worst price52.10
Drawdown as % of equity-0.44%
($167)
Includes Typical Broker Commissions trade costs of $1.20
5/28/19 14:21 DIA SPDR DOW JONES INDUSTRIAL AVER SHORT 62 255.40 5/29 11:34 250.65 0%
Trade id #123848303
Max drawdown($1)
Time5/28/19 14:35
Quant open-62
Worst price255.43
Drawdown as % of equity-0.00%
$294
Includes Typical Broker Commissions trade costs of $1.24
5/28/19 14:21 INTC INTEL SHORT 110 43.49 5/29 10:15 44.29 0.24%
Trade id #123848321
Max drawdown($88)
Time5/29/19 10:15
Quant open0
Worst price44.29
Drawdown as % of equity-0.24%
($90)
Includes Typical Broker Commissions trade costs of $2.20
5/16/19 9:37 SPY SPDR S&P 500 LONG 50 286.36 5/16 15:09 287.85 0.01%
Trade id #123693609
Max drawdown($3)
Time5/16/19 9:39
Quant open50
Worst price286.30
Drawdown as % of equity-0.01%
$74
Includes Typical Broker Commissions trade costs of $1.00
5/14/19 9:42 DIA SPDR DOW JONES INDUSTRIAL AVER SHORT 60 254.81 5/14 11:49 256.95 0.34%
Trade id #123661037
Max drawdown($128)
Time5/14/19 11:49
Quant open0
Worst price256.95
Drawdown as % of equity-0.34%
($129)
Includes Typical Broker Commissions trade costs of $1.20
4/24/19 9:38 CPRT COPART LONG 35 66.29 5/10 9:30 65.06 0.11%
Trade id #123411964
Max drawdown($43)
Time5/10/19 9:30
Quant open0
Worst price65.06
Drawdown as % of equity-0.11%
($44)
Includes Typical Broker Commissions trade costs of $0.70
5/6/19 9:35 IWM ISHARES RUSSELL 2000 INDEX LONG 85 159.69 5/7 14:32 156.88 0.64%
Trade id #123540446
Max drawdown($239)
Time5/7/19 14:32
Quant open33
Worst price156.88
Drawdown as % of equity-0.64%
($241)
Includes Typical Broker Commissions trade costs of $1.70
5/3/19 11:05 SPY SPDR S&P 500 LONG 55 293.67 5/7 13:25 287.00 0.98%
Trade id #123521597
Max drawdown($367)
Time5/7/19 13:25
Quant open0
Worst price287.00
Drawdown as % of equity-0.98%
($368)
Includes Typical Broker Commissions trade costs of $1.10
4/16/19 9:49 EFA ISHARES MSCI EAFE INDEX LONG 80 66.69 5/7 11:58 65.10 0.34%
Trade id #123327107
Max drawdown($127)
Time5/7/19 11:58
Quant open0
Worst price65.10
Drawdown as % of equity-0.34%
($129)
Includes Typical Broker Commissions trade costs of $1.60
4/23/19 9:38 SPY SPDR S&P 500 LONG 55 290.78 5/1 15:58 291.90 0.01%
Trade id #123399635
Max drawdown($2)
Time4/25/19 10:33
Quant open55
Worst price290.73
Drawdown as % of equity-0.01%
$61
Includes Typical Broker Commissions trade costs of $1.10
4/24/19 10:33 IWM ISHARES RUSSELL 2000 INDEX LONG 50 158.10 4/30 11:13 157.16 0.35%
Trade id #123413211
Max drawdown($131)
Time4/25/19 10:33
Quant open50
Worst price155.47
Drawdown as % of equity-0.35%
($48)
Includes Typical Broker Commissions trade costs of $1.00
4/12/19 10:01 SPY SPDR S&P 500 LONG 50 290.25 4/17 10:08 289.70 0.15%
Trade id #123294988
Max drawdown($58)
Time4/15/19 10:46
Quant open50
Worst price289.07
Drawdown as % of equity-0.15%
($29)
Includes Typical Broker Commissions trade costs of $1.00
4/5/19 10:14 IONS IONIS PHARMACEUTICALS INC. COMMON STOCK LONG 50 83.55 4/17 9:30 79.07 0.79%
Trade id #123219667
Max drawdown($302)
Time4/17/19 9:26
Quant open50
Worst price77.50
Drawdown as % of equity-0.79%
($225)
Includes Typical Broker Commissions trade costs of $1.00
4/16/19 9:47 MTCH MATCH GROUP INC. COMMON STOCK LONG 50 61.16 4/16 12:19 58.45 0.35%
Trade id #123327055
Max drawdown($136)
Time4/16/19 12:19
Quant open0
Worst price58.45
Drawdown as % of equity-0.35%
($137)
Includes Typical Broker Commissions trade costs of $1.00
4/5/19 10:15 AMD ADVANCED MICRO DEVICES INC. C LONG 180 29.01 4/8 9:30 28.49 0.24%
Trade id #123219693
Max drawdown($94)
Time4/8/19 9:30
Quant open0
Worst price28.49
Drawdown as % of equity-0.24%
($98)
Includes Typical Broker Commissions trade costs of $3.60
3/29/19 15:01 VTI VANGUARD TOTAL STOCK MARKET ET LONG 30 144.75 4/2 11:07 146.02 0.03%
Trade id #123133081
Max drawdown($10)
Time3/29/19 19:15
Quant open30
Worst price144.39
Drawdown as % of equity-0.03%
$37
Includes Typical Broker Commissions trade costs of $0.60
3/29/19 9:30 SPY SPDR S&P 500 LONG 30 282.39 4/2 9:31 286.04 0.13%
Trade id #123125055
Max drawdown($48)
Time3/29/19 16:02
Quant open30
Worst price280.78
Drawdown as % of equity-0.13%
$109
Includes Typical Broker Commissions trade costs of $0.60
3/29/19 9:46 TWLO TWILIO INC LONG 20 127.20 4/1 10:06 126.12 0.06%
Trade id #123125737
Max drawdown($22)
Time4/1/19 10:06
Quant open0
Worst price126.12
Drawdown as % of equity-0.06%
($22)
Includes Typical Broker Commissions trade costs of $0.40
3/26/19 10:51 QQQ POWERSHARES QQQ LONG 25 180.25 3/27 11:34 177.20 0.2%
Trade id #123077217
Max drawdown($76)
Time3/27/19 11:34
Quant open0
Worst price177.20
Drawdown as % of equity-0.20%
($77)
Includes Typical Broker Commissions trade costs of $0.50
3/14/19 10:01 MSFT MICROSOFT LONG 25 114.70 3/22 11:49 118.12 0.02%
Trade id #122910233
Max drawdown($8)
Time3/14/19 10:09
Quant open25
Worst price114.35
Drawdown as % of equity-0.02%
$85
Includes Typical Broker Commissions trade costs of $0.50
3/21/19 9:42 SOXX ISHARES PHLX SEMICONDUCTOR ETF LONG 20 192.18 3/22 11:49 191.78 0.03%
Trade id #123011831
Max drawdown($10)
Time3/22/19 11:47
Quant open20
Worst price191.65
Drawdown as % of equity-0.03%
($8)
Includes Typical Broker Commissions trade costs of $0.40
3/21/19 10:08 TWLO TWILIO INC LONG 10 133.07 3/22 11:14 131.84 0.04%
Trade id #123012540
Max drawdown($15)
Time3/22/19 11:13
Quant open10
Worst price131.50
Drawdown as % of equity-0.04%
($12)
Includes Typical Broker Commissions trade costs of $0.20
3/21/19 11:42 QQQ POWERSHARES QQQ LONG 55 181.52 3/22 11:14 180.47 0.19%
Trade id #123015117
Max drawdown($73)
Time3/22/19 11:13
Quant open55
Worst price180.19
Drawdown as % of equity-0.19%
($59)
Includes Typical Broker Commissions trade costs of $1.10
3/11/19 10:15 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 45 70.86 3/21 11:36 74.46 0.01%
Trade id #122863238
Max drawdown($4)
Time3/11/19 10:17
Quant open45
Worst price70.77
Drawdown as % of equity-0.01%
$161
Includes Typical Broker Commissions trade costs of $0.90
3/11/19 12:05 VTI VANGUARD TOTAL STOCK MARKET ET LONG 55 142.72 3/20 10:17 144.80 0.02%
Trade id #122865850
Max drawdown($7)
Time3/11/19 12:24
Quant open55
Worst price142.58
Drawdown as % of equity-0.02%
$113
Includes Typical Broker Commissions trade costs of $1.10
3/11/19 11:24 GOOGL ALPHABET INC CLASS A LONG 3 1166.95 3/18 12:17 1182.00 0.01%
Trade id #122864597
Max drawdown($4)
Time3/11/19 11:27
Quant open3
Worst price1165.49
Drawdown as % of equity-0.01%
$45
Includes Typical Broker Commissions trade costs of $0.06

Statistics

  • Strategy began
    7/5/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    740.82
  • Age
    25 months ago
  • What it trades
    Stocks
  • # Trades
    528
  • # Profitable
    222
  • % Profitable
    42.00%
  • Avg trade duration
    4.8 days
  • Max peak-to-valley drawdown
    9.14%
  • drawdown period
    March 13, 2018 - Aug 03, 2018
  • Annual Return (Compounded)
    7.4%
  • Avg win
    $131.60
  • Avg loss
    $70.95
  • Model Account Values (Raw)
  • Cash
    $24,712
  • Margin Used
    $0
  • Buying Power
    $25,076
  • Ratios
  • W:L ratio
    1.39:1
  • Sharpe Ratio
    0.73
  • Sortino Ratio
    1.14
  • Calmar Ratio
    1.781
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.13680
  • Return Statistics
  • Ann Return (w trading costs)
    7.4%
  • Ann Return (Compnd, No Fees)
    12.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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)
    0
  • Popularity (Last 6 weeks)
    745
  • C2 Score
    59.5
  • 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
    $71
  • Avg Win
    $132
  • # Winners
    222
  • # Losers
    306
  • % Winners
    42.0%
  • Frequency
  • Avg Position Time (mins)
    6846.90
  • Avg Position Time (hrs)
    114.11
  • Avg Trade Length
    4.8 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    0.64
  • Daily leverage (max)
    2.58
  • Unknown
  • Alpha
    0.01
  • Beta
    0.06
  • 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
    0.09232
  • SD
    0.10186
  • Sharpe ratio (Glass type estimate)
    0.90634
  • Sharpe ratio (Hedges UMVUE)
    0.87641
  • df
    23.00000
  • t
    1.28176
  • p
    0.10635
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30706
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53245
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28526
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94248
  • Upside Potential Ratio
    3.66735
  • Upside part of mean
    0.17430
  • Downside part of mean
    -0.08198
  • Upside SD
    0.09162
  • Downside SD
    0.04753
  • N nonnegative terms
    15.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.08506
  • Mean of criterion
    0.09232
  • SD of predictor
    0.10496
  • SD of criterion
    0.10186
  • Covariance
    0.00515
  • r
    0.48152
  • b (slope, estimate of beta)
    0.46729
  • a (intercept, estimate of alpha)
    0.05258
  • Mean Square Error
    0.00833
  • DF error
    22.00000
  • t(b)
    2.57694
  • p(b)
    0.00860
  • t(a)
    0.79223
  • p(a)
    0.21834
  • Lowerbound of 95% confidence interval for beta
    0.09122
  • Upperbound of 95% confidence interval for beta
    0.84336
  • Lowerbound of 95% confidence interval for alpha
    -0.08505
  • Upperbound of 95% confidence interval for alpha
    0.19021
  • Treynor index (mean / b)
    0.19757
  • Jensen alpha (a)
    0.05258
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08696
  • SD
    0.09965
  • Sharpe ratio (Glass type estimate)
    0.87266
  • Sharpe ratio (Hedges UMVUE)
    0.84384
  • df
    23.00000
  • t
    1.23413
  • p
    0.11481
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54488
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56336
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25103
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80484
  • Upside Potential Ratio
    3.52618
  • Upside part of mean
    0.16990
  • Downside part of mean
    -0.08294
  • Upside SD
    0.08846
  • Downside SD
    0.04818
  • N nonnegative terms
    15.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.07931
  • Mean of criterion
    0.08696
  • SD of predictor
    0.10507
  • SD of criterion
    0.09965
  • Covariance
    0.00507
  • r
    0.48416
  • b (slope, estimate of beta)
    0.45917
  • a (intercept, estimate of alpha)
    0.05054
  • Mean Square Error
    0.00795
  • DF error
    22.00000
  • t(b)
    2.59537
  • p(b)
    0.00826
  • t(a)
    0.78263
  • p(a)
    0.22109
  • Lowerbound of 95% confidence interval for beta
    0.09226
  • Upperbound of 95% confidence interval for beta
    0.82608
  • Lowerbound of 95% confidence interval for alpha
    -0.08339
  • Upperbound of 95% confidence interval for alpha
    0.18448
  • Treynor index (mean / b)
    0.18938
  • Jensen alpha (a)
    0.05054
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03928
  • Expected Shortfall on VaR
    0.05070
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01307
  • Expected Shortfall on VaR
    0.02649
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.96535
  • Quartile 1
    0.99413
  • Median
    1.00696
  • Quartile 3
    1.01995
  • Maximum
    1.09281
  • Mean of quarter 1
    0.97790
  • Mean of quarter 2
    1.00142
  • Mean of quarter 3
    1.01480
  • Mean of quarter 4
    1.04597
  • Inter Quartile Range
    0.02582
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.07986
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.19778
  • VaR(95%) (moments method)
    0.01778
  • Expected Shortfall (moments method)
    0.02366
  • Extreme Value Index (regression method)
    0.84898
  • VaR(95%) (regression method)
    0.01004
  • Expected Shortfall (regression method)
    0.03951
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01233
  • Quartile 1
    0.02439
  • Median
    0.03645
  • Quartile 3
    0.04851
  • Maximum
    0.06057
  • Mean of quarter 1
    0.01233
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06057
  • Inter Quartile Range
    0.02412
  • 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)
    0.12913
  • Compounded annual return (geometric extrapolation)
    0.12172
  • Calmar ratio (compounded annual return / max draw down)
    2.00956
  • Compounded annual return / average of 25% largest draw downs
    2.00956
  • Compounded annual return / Expected Shortfall lognormal
    2.40075
  • 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
    0.08891
  • SD
    0.06211
  • Sharpe ratio (Glass type estimate)
    1.43148
  • Sharpe ratio (Hedges UMVUE)
    1.42943
  • df
    523.00000
  • t
    2.02442
  • p
    0.02172
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04220
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81943
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81804
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.33751
  • Upside Potential Ratio
    10.21130
  • Upside part of mean
    0.38838
  • Downside part of mean
    -0.29947
  • Upside SD
    0.04933
  • Downside SD
    0.03803
  • N nonnegative terms
    251.00000
  • N negative terms
    273.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    524.00000
  • Mean of predictor
    0.08909
  • Mean of criterion
    0.08891
  • SD of predictor
    0.13969
  • SD of criterion
    0.06211
  • Covariance
    0.00128
  • r
    0.14809
  • b (slope, estimate of beta)
    0.06584
  • a (intercept, estimate of alpha)
    0.08300
  • Mean Square Error
    0.00378
  • DF error
    522.00000
  • t(b)
    3.42115
  • p(b)
    0.00034
  • t(a)
    1.90862
  • p(a)
    0.02843
  • Lowerbound of 95% confidence interval for beta
    0.02803
  • Upperbound of 95% confidence interval for beta
    0.10365
  • Lowerbound of 95% confidence interval for alpha
    -0.00243
  • Upperbound of 95% confidence interval for alpha
    0.16851
  • Treynor index (mean / b)
    1.35029
  • Jensen alpha (a)
    0.08304
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08696
  • SD
    0.06201
  • Sharpe ratio (Glass type estimate)
    1.40229
  • Sharpe ratio (Hedges UMVUE)
    1.40028
  • df
    523.00000
  • t
    1.98314
  • p
    0.02394
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01312
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79014
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01178
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78878
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27862
  • Upside Potential Ratio
    10.14390
  • Upside part of mean
    0.38713
  • Downside part of mean
    -0.30017
  • Upside SD
    0.04910
  • Downside SD
    0.03816
  • N nonnegative terms
    251.00000
  • N negative terms
    273.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    524.00000
  • Mean of predictor
    0.07931
  • Mean of criterion
    0.08696
  • SD of predictor
    0.13997
  • SD of criterion
    0.06201
  • Covariance
    0.00128
  • r
    0.14748
  • b (slope, estimate of beta)
    0.06534
  • a (intercept, estimate of alpha)
    0.08178
  • Mean Square Error
    0.00377
  • DF error
    522.00000
  • t(b)
    3.40683
  • p(b)
    0.00035
  • t(a)
    1.88263
  • p(a)
    0.03015
  • Lowerbound of 95% confidence interval for beta
    0.02766
  • Upperbound of 95% confidence interval for beta
    0.10302
  • Lowerbound of 95% confidence interval for alpha
    -0.00356
  • Upperbound of 95% confidence interval for alpha
    0.16711
  • Treynor index (mean / b)
    1.33086
  • Jensen alpha (a)
    0.08178
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00595
  • Expected Shortfall on VaR
    0.00754
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00270
  • Expected Shortfall on VaR
    0.00527
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    524.00000
  • Minimum
    0.98703
  • Quartile 1
    0.99860
  • Median
    1.00000
  • Quartile 3
    1.00199
  • Maximum
    1.01700
  • Mean of quarter 1
    0.99612
  • Mean of quarter 2
    0.99953
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    1.00519
  • Inter Quartile Range
    0.00339
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.99116
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.04962
  • Mean of outliers high
    1.01061
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07019
  • VaR(95%) (moments method)
    0.00347
  • Expected Shortfall (moments method)
    0.00494
  • Extreme Value Index (regression method)
    -0.09220
  • VaR(95%) (regression method)
    0.00357
  • Expected Shortfall (regression method)
    0.00472
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00042
  • Quartile 1
    0.00516
  • Median
    0.00942
  • Quartile 3
    0.01910
  • Maximum
    0.06833
  • Mean of quarter 1
    0.00196
  • Mean of quarter 2
    0.00747
  • Mean of quarter 3
    0.01292
  • Mean of quarter 4
    0.03781
  • Inter Quartile Range
    0.01393
  • 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
    0.05556
  • Mean of outliers high
    0.06833
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.40378
  • VaR(95%) (moments method)
    0.04154
  • Expected Shortfall (moments method)
    0.04883
  • Extreme Value Index (regression method)
    -0.06301
  • VaR(95%) (regression method)
    0.03740
  • Expected Shortfall (regression method)
    0.04643
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12913
  • Compounded annual return (geometric extrapolation)
    0.12172
  • Calmar ratio (compounded annual return / max draw down)
    1.78137
  • Compounded annual return / average of 25% largest draw downs
    3.21901
  • Compounded annual return / Expected Shortfall lognormal
    16.14150
  • 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
    -0.01521
  • SD
    0.03734
  • Sharpe ratio (Glass type estimate)
    -0.40726
  • Sharpe ratio (Hedges UMVUE)
    -0.40491
  • df
    130.00000
  • t
    -0.28798
  • p
    0.51262
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.17879
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36571
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.17715
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36733
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.53620
  • Upside Potential Ratio
    6.76025
  • Upside part of mean
    0.19170
  • Downside part of mean
    -0.20691
  • Upside SD
    0.02408
  • Downside SD
    0.02836
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27683
  • Mean of criterion
    -0.01521
  • SD of predictor
    0.10971
  • SD of criterion
    0.03734
  • Covariance
    0.00159
  • r
    0.38885
  • b (slope, estimate of beta)
    0.13233
  • a (intercept, estimate of alpha)
    -0.05184
  • Mean Square Error
    0.00119
  • DF error
    129.00000
  • t(b)
    4.79372
  • p(b)
    0.25884
  • t(a)
    -1.04878
  • p(a)
    0.55845
  • Lowerbound of 95% confidence interval for beta
    0.07771
  • Upperbound of 95% confidence interval for beta
    0.18695
  • Lowerbound of 95% confidence interval for alpha
    -0.14963
  • Upperbound of 95% confidence interval for alpha
    0.04595
  • Treynor index (mean / b)
    -0.11490
  • Jensen alpha (a)
    -0.05184
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01590
  • SD
    0.03738
  • Sharpe ratio (Glass type estimate)
    -0.42525
  • Sharpe ratio (Hedges UMVUE)
    -0.42280
  • df
    130.00000
  • t
    -0.30070
  • p
    0.51318
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.19682
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34776
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.19508
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34949
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55851
  • Upside Potential Ratio
    6.72428
  • Upside part of mean
    0.19139
  • Downside part of mean
    -0.20729
  • Upside SD
    0.02403
  • Downside SD
    0.02846
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27068
  • Mean of criterion
    -0.01590
  • SD of predictor
    0.10977
  • SD of criterion
    0.03738
  • Covariance
    0.00160
  • r
    0.38933
  • b (slope, estimate of beta)
    0.13259
  • a (intercept, estimate of alpha)
    -0.05179
  • Mean Square Error
    0.00119
  • DF error
    129.00000
  • t(b)
    4.80079
  • p(b)
    0.25855
  • t(a)
    -1.04724
  • p(a)
    0.55837
  • Lowerbound of 95% confidence interval for beta
    0.07795
  • Upperbound of 95% confidence interval for beta
    0.18724
  • Lowerbound of 95% confidence interval for alpha
    -0.14963
  • Upperbound of 95% confidence interval for alpha
    0.04605
  • Treynor index (mean / b)
    -0.11989
  • Jensen alpha (a)
    -0.05179
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00385
  • Expected Shortfall on VaR
    0.00481
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00205
  • Expected Shortfall on VaR
    0.00405
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98724
  • Quartile 1
    0.99912
  • Median
    1.00000
  • Quartile 3
    1.00131
  • Maximum
    1.00751
  • Mean of quarter 1
    0.99747
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00036
  • Mean of quarter 4
    1.00273
  • Inter Quartile Range
    0.00220
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.99261
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.00655
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21778
  • VaR(95%) (moments method)
    0.00243
  • Expected Shortfall (moments method)
    0.00388
  • Extreme Value Index (regression method)
    0.57957
  • VaR(95%) (regression method)
    0.00234
  • Expected Shortfall (regression method)
    0.00554
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00031
  • Quartile 1
    0.00051
  • Median
    0.00252
  • Quartile 3
    0.00670
  • Maximum
    0.03806
  • Mean of quarter 1
    0.00034
  • Mean of quarter 2
    0.00082
  • Mean of quarter 3
    0.00505
  • Mean of quarter 4
    0.02319
  • Inter Quartile Range
    0.00619
  • 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
    0.12500
  • Mean of outliers high
    0.03806
  • 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)
    0.01205
  • Compounded annual return (geometric extrapolation)
    0.01208
  • Calmar ratio (compounded annual return / max draw down)
    0.31749
  • Compounded annual return / average of 25% largest draw downs
    0.52093
  • Compounded annual return / Expected Shortfall lognormal
    2.51068

Strategy Description

The investment objective of the program is to achieve capital growth through compounding. Capital preservation and risk management are key components of the strategy. The program will strive to maintain low drawdown and volatility at all times and will tailor the strategy for both long and short sides. The strategy will try to generate alpha in all market environments.

The strategy uses "Quantamental" approach that combines fundamental and quantitative investing recently favored by hedge funds. The portfolio manager believes that best companies / sectors / industries can be screened for their fundamental strength (weakness). For the Long (Short) side, the program will swing trade those fundamentally strong (weak) companies / sectors with a catalyst through sophisticated algorithms and methodologies. Thematic investing may also be used through ETFs and strong (weak) ETFs are determined for swing trading. The strategy is a hybrid rule-based system: the program quantitatively determines entry level, target and stop-loss for each trade by analyzing price and volume patterns of each security at multi-time frame levels and ranks the prospective trades based on their risk/reward. Position sizing is calculated at portfolio level commensurate with the risk of each trade. Once a trade is executed, stop-loss and price targets may be adjusted depending on how the trade behaves. Most of the time (95%), orders will be entered before market opens therefore the program can be easily traded manually. In strong trending markets, leveraged may be used conservatively.

Summary Statistics

Strategy began
2017-07-05
Suggested Minimum Capital
$35,000
# Trades
528
# Profitable
222
% Profitable
42.0%
Net Dividends
Correlation S&P500
0.137
Sharpe Ratio
0.73
Sortino Ratio
1.14
Beta
0.06
Alpha
0.01
Leverage
0.64 Average
2.58 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.