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

SuperSystemXL
(117987070)

Created by: SelfQuant SelfQuant
Started: 05/2018
Stocks
Last trade: 302 days ago
Trading style: Equity Non-hedged Equity
Subscriptions not currently available.

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 $199.00 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."
1.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(6.8%)
Max Drawdown
68
Num Trades
61.8%
Win Trades
2.5 : 1
Profit Factor
5.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +4.5%+5.1%+8.4%(2.2%)+0.1%(0.1%)(0.1%)(0.1%)+16.3%
2019(0.1%)(0.1%)(0.1%)(0.1%)  -    -  (0.2%)(0.1%)(0.1%)(0.1%)(0.1%)(1%)
2020(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(1%)
2021(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.2%)  -  (0.1%)(0.2%)(0.1%)(1.1%)
2022(0.1%)(0.1%)(0.1%)(0.1%)  -  (0.1%)(0.2%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(1%)
2023(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)  -    -    -    -    -    -    -  (0.4%)
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.

Trading Record

This strategy has placed 29 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2109 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/30/23 15:59 EWT ISHARES MSCI TAIWAN INDEX LONG 64 46.77 5/31 15:59 46.21 0.02%
Trade id #144784217
Max drawdown($56)
Time5/31/23 0:00
Quant open64
Worst price45.88
Drawdown as % of equity-0.02%
($37)
Includes Typical Broker Commissions trade costs of $1.28
5/30/23 15:59 BRO BROWN & BROWN LONG 47 63.04 5/31 15:58 62.28 0.02%
Trade id #144784224
Max drawdown($56)
Time5/31/23 0:00
Quant open47
Worst price61.84
Drawdown as % of equity-0.02%
($37)
Includes Typical Broker Commissions trade costs of $0.94
5/30/23 15:59 CPRT COPART SHORT 22 88.57 5/31 15:58 87.56 0%
Trade id #144784214
Max drawdown($5)
Time5/31/23 0:00
Quant open22
Worst price88.82
Drawdown as % of equity-0.00%
$22
Includes Typical Broker Commissions trade costs of $0.44
5/30/23 15:59 EVLV EVOLV TECHNOLOGIES HOLDINGS INC SHORT 357 5.59 5/31 15:58 5.96 0.05%
Trade id #144784204
Max drawdown($146)
Time5/31/23 0:00
Quant open357
Worst price6.00
Drawdown as % of equity-0.05%
($139)
Includes Typical Broker Commissions trade costs of $7.14
5/26/23 15:58 BSV VANGUARD SHORT-TERM BOND ETF LONG 39 75.77 5/30 10:52 75.90 n/a $4
Includes Typical Broker Commissions trade costs of $0.78
5/26/23 15:58 GPI GROUP 1 AUTOMOTIVE SHORT 8 225.30 5/30 10:52 227.81 0.01%
Trade id #144761722
Max drawdown($29)
Time5/30/23 9:32
Quant open8
Worst price228.94
Drawdown as % of equity-0.01%
($20)
Includes Typical Broker Commissions trade costs of $0.16
5/26/23 15:58 DTE DTE ENERGY HOLDING LONG 28 106.54 5/30 10:51 106.60 0%
Trade id #144761723
Max drawdown($11)
Time5/30/23 9:37
Quant open28
Worst price106.12
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $0.56
5/26/23 15:58 DIN DINE BRANDS GLOBAL INC SHORT 31 62.64 5/30 10:51 61.86 0%
Trade id #144761718
Max drawdown($12)
Time5/30/23 9:36
Quant open31
Worst price63.05
Drawdown as % of equity-0.00%
$23
Includes Typical Broker Commissions trade costs of $0.62
5/25/23 15:58 XOM EXXON MOBIL SHORT 23 105.65 5/26 15:57 105.13 0.01%
Trade id #144749146
Max drawdown($29)
Time5/26/23 9:35
Quant open23
Worst price106.95
Drawdown as % of equity-0.01%
$12
Includes Typical Broker Commissions trade costs of $0.46
5/25/23 15:58 HIBB HIBBETT INC SHORT 55 44.14 5/26 15:57 39.39 n/a $260
Includes Typical Broker Commissions trade costs of $1.10
5/25/23 15:58 NUV NUVEEN MUNICIPAL VALUE COMMON LONG 286 8.73 5/26 15:57 8.74 0%
Trade id #144749148
Max drawdown($5)
Time5/26/23 9:30
Quant open286
Worst price8.71
Drawdown as % of equity-0.00%
($3)
Includes Typical Broker Commissions trade costs of $5.72
5/25/23 15:58 HVT HAVERTY FURNITURE LONG 94 25.77 5/26 15:57 25.80 0.02%
Trade id #144749147
Max drawdown($44)
Time5/26/23 10:02
Quant open94
Worst price25.30
Drawdown as % of equity-0.02%
$1
Includes Typical Broker Commissions trade costs of $1.88
8/14/18 15:57 JPM JPMORGAN CHASE LONG 1,102 114.66 8/21 12:38 116.06 0.22%
Trade id #119439583
Max drawdown($619)
Time8/15/18 14:33
Quant open358
Worst price112.97
Drawdown as % of equity-0.22%
$1,527
Includes Typical Broker Commissions trade costs of $13.52
8/9/18 15:57 INTC INTEL LONG 2,340 48.59 8/21 12:38 47.54 1.62%
Trade id #119367826
Max drawdown($4,633)
Time8/17/18 9:34
Quant open1,560
Worst price46.33
Drawdown as % of equity-1.62%
($2,478)
Includes Typical Broker Commissions trade costs of $12.50
8/15/18 15:57 BA BOEING LONG 117 331.71 8/21 12:38 352.29 0.01%
Trade id #119459336
Max drawdown($38)
Time8/15/18 16:00
Quant open117
Worst price331.38
Drawdown as % of equity-0.01%
$2,406
Includes Typical Broker Commissions trade costs of $2.34
8/14/18 15:57 BAC BANK OF AMERICA CORPORATION LONG 1,300 30.81 8/21 12:38 31.20 0.3%
Trade id #119439585
Max drawdown($851)
Time8/15/18 14:03
Quant open1,300
Worst price30.16
Drawdown as % of equity-0.30%
$502
Includes Typical Broker Commissions trade costs of $5.00
8/16/18 15:58 T AT&T LONG 2,700 33.11 8/21 12:38 33.49 0.05%
Trade id #119477063
Max drawdown($143)
Time8/17/18 9:39
Quant open1,300
Worst price32.96
Drawdown as % of equity-0.05%
$1,015
Includes Typical Broker Commissions trade costs of $7.50
8/13/18 15:58 ORCL ORACLE CORP LONG 876 48.05 8/21 12:38 48.51 0.26%
Trade id #119418865
Max drawdown($735)
Time8/16/18 16:21
Quant open876
Worst price47.21
Drawdown as % of equity-0.26%
$398
Includes Typical Broker Commissions trade costs of $5.00
8/17/18 15:57 AAPL APPLE LONG 208 217.81 8/21 12:37 216.43 0.27%
Trade id #119496849
Max drawdown($787)
Time8/21/18 10:13
Quant open208
Worst price214.03
Drawdown as % of equity-0.27%
($291)
Includes Typical Broker Commissions trade costs of $4.16
8/2/18 15:57 BABA ALIBABA GROUP HOLDING LIMITED LONG 663 179.59 8/17 15:56 175.14 1.34%
Trade id #119256982
Max drawdown($3,899)
Time8/14/18 9:53
Quant open442
Worst price170.77
Drawdown as % of equity-1.34%
($2,963)
Includes Typical Broker Commissions trade costs of $13.26
8/7/18 15:57 AMD ADVANCED MICRO DEVICES INC. C LONG 4,420 19.61 8/16 15:56 19.50 1.17%
Trade id #119327781
Max drawdown($3,381)
Time8/10/18 14:29
Quant open4,420
Worst price18.85
Drawdown as % of equity-1.17%
($540)
Includes Typical Broker Commissions trade costs of $10.00
8/2/18 15:58 SBUX STARBUCKS LONG 1,560 51.63 8/16 15:56 52.26 0.23%
Trade id #119256984
Max drawdown($678)
Time8/10/18 9:41
Quant open1,560
Worst price51.20
Drawdown as % of equity-0.23%
$973
Includes Typical Broker Commissions trade costs of $10.00
8/3/18 15:57 BA BOEING LONG 351 348.74 8/15 15:56 336.39 1.54%
Trade id #119281275
Max drawdown($4,335)
Time8/15/18 15:56
Quant open234
Worst price331.70
Drawdown as % of equity-1.54%
($4,342)
Includes Typical Broker Commissions trade costs of $7.02
8/3/18 15:57 BAC BANK OF AMERICA CORPORATION LONG 1,300 31.48 8/13 15:56 30.48 0.46%
Trade id #119281277
Max drawdown($1,339)
Time8/13/18 15:51
Quant open1,300
Worst price30.45
Drawdown as % of equity-0.46%
($1,305)
Includes Typical Broker Commissions trade costs of $5.00
8/1/18 15:57 VZ VERIZON COMMUNICATIONS SHORT 780 51.79 8/9 15:56 53.03 0.39%
Trade id #119235788
Max drawdown($1,154)
Time8/9/18 15:21
Quant open-780
Worst price53.27
Drawdown as % of equity-0.39%
($972)
Includes Typical Broker Commissions trade costs of $5.00
7/31/18 15:57 CVX CHEVRON LONG 312 126.26 8/8 15:56 123.92 0.31%
Trade id #119215528
Max drawdown($923)
Time8/2/18 11:01
Quant open312
Worst price123.30
Drawdown as % of equity-0.31%
($736)
Includes Typical Broker Commissions trade costs of $6.24
7/12/18 15:57 CELG CELGENE LONG 2,964 86.30 8/8 15:56 88.22 0.53%
Trade id #118903727
Max drawdown($1,511)
Time7/19/18 19:47
Quant open1,482
Worst price84.35
Drawdown as % of equity-0.53%
$5,642
Includes Typical Broker Commissions trade costs of $59.28
7/30/18 15:57 NFLX NETFLIX SHORT 98 334.34 8/7 15:56 351.75 0.76%
Trade id #119193058
Max drawdown($2,251)
Time8/7/18 9:38
Quant open-98
Worst price357.31
Drawdown as % of equity-0.76%
($1,708)
Includes Typical Broker Commissions trade costs of $1.96
7/25/18 15:57 C CITIGROUP LONG 1,144 71.97 8/7 15:56 72.08 0.37%
Trade id #119125046
Max drawdown($1,092)
Time8/2/18 9:37
Quant open1,144
Worst price71.02
Drawdown as % of equity-0.37%
$104
Includes Typical Broker Commissions trade costs of $10.00
7/27/18 15:57 WFC WELLS FARGO LONG 702 58.63 8/6 15:56 58.87 0.38%
Trade id #119169742
Max drawdown($1,144)
Time8/1/18 4:53
Quant open702
Worst price57.00
Drawdown as % of equity-0.38%
$163
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/17/2018
  • Suggested Minimum Cap
    $250,000
  • Strategy Age (days)
    2132.81
  • Age
    71 months ago
  • What it trades
    Stocks
  • # Trades
    68
  • # Profitable
    42
  • % Profitable
    61.80%
  • Avg trade duration
    10.2 days
  • Max peak-to-valley drawdown
    6.85%
  • drawdown period
    Aug 01, 2018 - May 26, 2023
  • Annual Return (Compounded)
    1.8%
  • Avg win
    $1,667
  • Avg loss
    $1,143
  • Model Account Values (Raw)
  • Cash
    $293,241
  • Margin Used
    $0
  • Buying Power
    $293,241
  • Ratios
  • W:L ratio
    2.45:1
  • Sharpe Ratio
    -0.01
  • Sortino Ratio
    -0.02
  • Calmar Ratio
    1.742
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -78.79%
  • Correlation to SP500
    0.03680
  • Return Percent SP500 (cumu) during strategy life
    92.95%
  • Return Statistics
  • Ann Return (w trading costs)
    1.8%
  • Slump
  • Current Slump as Pcnt Equity
    7.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • 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)
    0.018%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.8%
  • 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 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
    47.41%
  • 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
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,143
  • Avg Win
    $1,668
  • Sum Trade PL (losers)
    $29,721.000
  • Age
  • Num Months filled monthly returns table
    71
  • Win / Loss
  • Sum Trade PL (winners)
    $70,037.000
  • # Winners
    42
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    2923
  • Win / Loss
  • # Losers
    26
  • % Winners
    61.8%
  • Frequency
  • Avg Position Time (mins)
    14629.70
  • Avg Position Time (hrs)
    243.83
  • Avg Trade Length
    10.2 days
  • Last Trade Ago
    293
  • Leverage
  • Daily leverage (average)
    1.37
  • Daily leverage (max)
    1.80
  • Regression
  • Alpha
    -0.00
  • Beta
    0.01
  • Treynor Index
    -0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.74
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    55.14
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.12
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.034
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.454
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.675
  • Hold-and-Hope Ratio
    0.492
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05914
  • SD
    0.08938
  • Sharpe ratio (Glass type estimate)
    0.66165
  • Sharpe ratio (Hedges UMVUE)
    0.63879
  • df
    22.00000
  • t
    0.91601
  • p
    0.18480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08333
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78945
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06703
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.05806
  • Upside Potential Ratio
    11.27260
  • Upside part of mean
    0.08273
  • Downside part of mean
    -0.02359
  • Upside SD
    0.08876
  • Downside SD
    0.00734
  • N nonnegative terms
    3.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.26279
  • Mean of criterion
    0.05914
  • SD of predictor
    0.29212
  • SD of criterion
    0.08938
  • Covariance
    -0.00053
  • r
    -0.02044
  • b (slope, estimate of beta)
    -0.00625
  • a (intercept, estimate of alpha)
    0.06078
  • Mean Square Error
    0.00837
  • DF error
    21.00000
  • t(b)
    -0.09368
  • p(b)
    0.51301
  • t(a)
    0.88920
  • p(a)
    0.37947
  • Lowerbound of 95% confidence interval for beta
    -0.14508
  • Upperbound of 95% confidence interval for beta
    0.13257
  • Lowerbound of 95% confidence interval for alpha
    -0.08137
  • Upperbound of 95% confidence interval for alpha
    0.20294
  • Treynor index (mean / b)
    -9.45663
  • Jensen alpha (a)
    0.06078
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05533
  • SD
    0.08451
  • Sharpe ratio (Glass type estimate)
    0.65470
  • Sharpe ratio (Hedges UMVUE)
    0.63208
  • df
    22.00000
  • t
    0.90639
  • p
    0.18728
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78126
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07618
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06005
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.54774
  • Upside Potential Ratio
    10.76220
  • Upside part of mean
    0.07889
  • Downside part of mean
    -0.02356
  • Upside SD
    0.08386
  • Downside SD
    0.00733
  • N nonnegative terms
    3.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.21982
  • Mean of criterion
    0.05533
  • SD of predictor
    0.28892
  • SD of criterion
    0.08451
  • Covariance
    -0.00022
  • r
    -0.00890
  • b (slope, estimate of beta)
    -0.00260
  • a (intercept, estimate of alpha)
    0.05590
  • Mean Square Error
    0.00748
  • DF error
    21.00000
  • t(b)
    -0.04079
  • p(b)
    0.50567
  • t(a)
    0.87300
  • p(a)
    0.38156
  • Lowerbound of 95% confidence interval for beta
    -0.13534
  • Upperbound of 95% confidence interval for beta
    0.13013
  • Lowerbound of 95% confidence interval for alpha
    -0.07726
  • Upperbound of 95% confidence interval for alpha
    0.18906
  • Treynor index (mean / b)
    -21.25200
  • Jensen alpha (a)
    0.05590
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03489
  • Expected Shortfall on VaR
    0.04464
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00272
  • Expected Shortfall on VaR
    0.00272
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.12211
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02782
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.21739
  • Mean of outliers high
    1.03338
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09024
  • Compounded annual return (geometric extrapolation)
    0.08680
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.94426
  • 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
    0.05417
  • SD
    0.04961
  • Sharpe ratio (Glass type estimate)
    1.09207
  • Sharpe ratio (Hedges UMVUE)
    1.09049
  • df
    516.00000
  • t
    1.53408
  • p
    0.06281
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30526
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48843
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30635
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48733
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10026
  • Upside Potential Ratio
    5.96707
  • Upside part of mean
    0.15391
  • Downside part of mean
    -0.09974
  • Upside SD
    0.04245
  • Downside SD
    0.02579
  • N nonnegative terms
    46.00000
  • N negative terms
    471.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    517.00000
  • Mean of predictor
    0.36727
  • Mean of criterion
    0.05417
  • SD of predictor
    0.36077
  • SD of criterion
    0.04961
  • Covariance
    0.00065
  • r
    0.03636
  • b (slope, estimate of beta)
    0.00500
  • a (intercept, estimate of alpha)
    0.05200
  • Mean Square Error
    0.00246
  • DF error
    515.00000
  • t(b)
    0.82561
  • p(b)
    0.20470
  • t(a)
    1.47870
  • p(a)
    0.06992
  • Lowerbound of 95% confidence interval for beta
    -0.00690
  • Upperbound of 95% confidence interval for beta
    0.01689
  • Lowerbound of 95% confidence interval for alpha
    -0.01720
  • Upperbound of 95% confidence interval for alpha
    0.12187
  • Treynor index (mean / b)
    10.83660
  • Jensen alpha (a)
    0.05234
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05294
  • SD
    0.04940
  • Sharpe ratio (Glass type estimate)
    1.07161
  • Sharpe ratio (Hedges UMVUE)
    1.07005
  • df
    516.00000
  • t
    1.50532
  • p
    0.06643
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32567
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46790
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32673
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46683
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04122
  • Upside Potential Ratio
    5.89932
  • Upside part of mean
    0.15300
  • Downside part of mean
    -0.10006
  • Upside SD
    0.04212
  • Downside SD
    0.02594
  • N nonnegative terms
    46.00000
  • N negative terms
    471.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    517.00000
  • Mean of predictor
    0.29759
  • Mean of criterion
    0.05294
  • SD of predictor
    0.38028
  • SD of criterion
    0.04940
  • Covariance
    0.00067
  • r
    0.03566
  • b (slope, estimate of beta)
    0.00463
  • a (intercept, estimate of alpha)
    0.05156
  • Mean Square Error
    0.00244
  • DF error
    515.00000
  • t(b)
    0.80987
  • p(b)
    0.20919
  • t(a)
    1.46391
  • p(a)
    0.07191
  • Lowerbound of 95% confidence interval for beta
    -0.00661
  • Upperbound of 95% confidence interval for beta
    0.01587
  • Lowerbound of 95% confidence interval for alpha
    -0.01763
  • Upperbound of 95% confidence interval for alpha
    0.12076
  • Treynor index (mean / b)
    11.42620
  • Jensen alpha (a)
    0.05156
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00481
  • Expected Shortfall on VaR
    0.00607
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00125
  • Expected Shortfall on VaR
    0.00274
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    517.00000
  • Minimum
    0.98178
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02366
  • Mean of quarter 1
    0.99887
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00239
  • Inter Quartile Range
    0.00000
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.05803
  • Mean of outliers low
    0.99511
  • Number of outliers high
    46.00000
  • Percentage of outliers high
    0.08897
  • Mean of outliers high
    1.00671
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.37587
  • VaR(95%) (moments method)
    0.00002
  • Expected Shortfall (moments method)
    0.00173
  • Extreme Value Index (regression method)
    -0.22987
  • VaR(95%) (regression method)
    0.00025
  • Expected Shortfall (regression method)
    0.00413
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00127
  • Median
    0.02326
  • Quartile 3
    0.04571
  • Maximum
    0.04835
  • Mean of quarter 1
    0.00002
  • Mean of quarter 2
    0.00168
  • Mean of quarter 3
    0.04483
  • Mean of quarter 4
    0.04835
  • Inter Quartile Range
    0.04444
  • 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)
    0.08765
  • Compounded annual return (geometric extrapolation)
    0.08420
  • Calmar ratio (compounded annual return / max draw down)
    1.74163
  • Compounded annual return / average of 25% largest draw downs
    1.74163
  • Compounded annual return / Expected Shortfall lognormal
    13.86230
  • 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
    -0.02717
  • SD
    0.00123
  • Sharpe ratio (Glass type estimate)
    -22.05290
  • Sharpe ratio (Hedges UMVUE)
    -21.92550
  • df
    130.00000
  • t
    -15.59380
  • p
    0.90362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -25.77070
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -18.08030
  • Statistics related to Sortino ratio
  • Sortino ratio
    -14.44960
  • Upside Potential Ratio
    0.81896
  • Upside part of mean
    0.00154
  • Downside part of mean
    -0.02871
  • Upside SD
    0.00089
  • Downside SD
    0.00188
  • N nonnegative terms
    2.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.37482
  • Mean of criterion
    -0.02717
  • SD of predictor
    0.38284
  • SD of criterion
    0.00123
  • Covariance
    0.00001
  • r
    0.03115
  • b (slope, estimate of beta)
    0.00010
  • a (intercept, estimate of alpha)
    -0.02721
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.35399
  • p(b)
    0.48017
  • t(a)
    -15.53410
  • p(a)
    0.95070
  • Lowerbound of 95% confidence interval for beta
    -0.00046
  • Upperbound of 95% confidence interval for beta
    0.00066
  • Lowerbound of 95% confidence interval for alpha
    -0.03067
  • Upperbound of 95% confidence interval for alpha
    -0.02374
  • Treynor index (mean / b)
    -271.01800
  • Jensen alpha (a)
    -0.02721
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02717
  • SD
    0.00123
  • Sharpe ratio (Glass type estimate)
    -22.05720
  • Sharpe ratio (Hedges UMVUE)
    -21.92970
  • df
    130.00000
  • t
    -15.59680
  • p
    0.90365
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -25.77520
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -18.08410
  • Statistics related to Sortino ratio
  • Sortino ratio
    -14.44960
  • Upside Potential Ratio
    0.81868
  • Upside part of mean
    0.00154
  • Downside part of mean
    -0.02871
  • Upside SD
    0.00089
  • Downside SD
    0.00188
  • N nonnegative terms
    2.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30183
  • Mean of criterion
    -0.02717
  • SD of predictor
    0.38304
  • SD of criterion
    0.00123
  • Covariance
    0.00001
  • r
    0.03140
  • b (slope, estimate of beta)
    0.00010
  • a (intercept, estimate of alpha)
    -0.02720
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.35680
  • p(b)
    0.48001
  • t(a)
    -15.54320
  • p(a)
    0.95076
  • VAR (95 Confidence Intrvl)
    0.00500
  • Lowerbound of 95% confidence interval for beta
    -0.00046
  • Upperbound of 95% confidence interval for beta
    0.00066
  • Lowerbound of 95% confidence interval for alpha
    -0.03066
  • Upperbound of 95% confidence interval for alpha
    -0.02374
  • Treynor index (mean / b)
    -269.07500
  • Jensen alpha (a)
    -0.02720
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00023
  • Expected Shortfall on VaR
    0.00026
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00014
  • Expected Shortfall on VaR
    0.00014
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99969
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00071
  • Mean of quarter 1
    0.99998
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00003
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.99985
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.00049
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00001
  • Median
    0.00001
  • Quartile 3
    0.00030
  • Maximum
    0.00059
  • Mean of quarter 1
    0.00001
  • Mean of quarter 2
    0.00001
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00059
  • Inter Quartile Range
    0.00029
  • 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
  • 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?
    -397028000
  • Max Equity Drawdown (num days)
    1759
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00074
  • Compounded annual return (geometric extrapolation)
    0.00074
  • Calmar ratio (compounded annual return / max draw down)
    1.25481
  • Compounded annual return / average of 25% largest draw downs
    1.25481
  • Compounded annual return / Expected Shortfall lognormal
    2.82762

Strategy Description

SuperSystemXL is a cycle based stock trading strategy on highly liquid underlyings. The system tried to identify the most promising cycle for a stock and enters two long or short positions at the end of each trading day. These positions are held for six trading days and exited via a time stop. There are no other entry or exit signals. Because of the stock universe it trades (highly liquid US stocks) it has a lot of capacity. When it is perfectly in sync with the market it highly magnifies regular S&P returns (check the period from May 22 to June 7 2018). When it is out of sync (check the period from June 8 - June 24 2018) it slowly drains the trading account with typically very low draw down compared to the S&P. Since the system is still very new I send out a weekly survey to new system subscribers to evaluate their fills and overall comfort level. SuperSystemXL has a smaller brother (https://collective2.com/details/117809554) that trades signficantly smaller and fewer positions. Based on that the variance is higher.
If you have any questions please send me a message on C2 and I'll be happy to answer.

Summary Statistics

Strategy began
2018-05-17
Suggested Minimum Capital
$280,000
# Trades
68
# Profitable
42
% Profitable
61.8%
Net Dividends
Correlation S&P500
0.037
Sharpe Ratio
-0.01
Sortino Ratio
-0.02
Beta
0.01
Alpha
-0.00
Leverage
1.37 Average
1.80 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.