Collective2 Collective2
Featured Strategy DXY C2 Followed by live capital $31,200 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

Long/Short Strategy
(118633841)

Created by: NBTK NBTK
Started: 06/2018
Stocks
Last trade: 194 days ago
Trading style: Equity Non-hedged Equity Trend-following

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.

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."
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
0.9%
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.

(74.8%)
Max Drawdown
600
Num Trades
64.7%
Win Trades
1.0 : 1
Profit Factor
53.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                   (0.6%)+0.4%(3.9%)(18.1%)+25.0%(5.5%)+13.1%+4.9%
2019+5.5%+11.0%+12.3%+8.6%+4.5%+6.2%(4.5%)+1.8%+2.2%+0.7%+18.2%+7.2%+100.6%
2020(7.4%)(12.7%)(13.1%)+18.7%(28.8%)(30.1%)+2.1%+3.0%(10.3%)+3.0%+95.7%(5.4%)(25.2%)
2021+48.8%(30.1%)+15.1%+9.1%+1.8%(0.2%)(10.9%)(1.3%)+11.1%(3%)(5.6%)+13.2%+34.4%
2022+14.7%+17.9%(10.7%)+15.0%(5%)+6.8%(12.1%)+6.4%+9.8%(5.5%)+0.4%+14.8%+57.6%
2023(12.8%)+0.3%(15.8%)+12.3%(27%)(7.3%)(9.8%)+1.4%+18.0%+2.6%(24.3%)(9.7%)(57.6%)
2024(11%)(8.7%)+12.9%+14.5%(25.9%)+6.9%+6.8%(2.6%)(20.1%)+11.7%(5.3%)+19.5%(12.6%)
2025+4.6%(5.3%)+11.6%(3.3%)(7.9%)(4.6%)(8%)                              (13.7%)

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 168 hours.

Trading Record

This strategy has placed 2,245 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/21/24 12:02 AFRM AFFIRM HOLDINGS INC. CLASS A SHORT 100 66.10 12/31 14:35 60.69 2.02%
Trade id #150144857
Max drawdown($724)
Time12/16/24 0:00
Quant open100
Worst price73.34
Drawdown as % of equity-2.02%
 $540
Includes Typical Broker Commissions trade costs of $2.00
8/1/24 15:04 CVNA CARVANA CO SHORT 125 155.90 12/2 10:38 246.69 30.65%
Trade id #148800702
Max drawdown($12,935)
Time10/31/24 0:00
Quant open125
Worst price259.39
Drawdown as % of equity-30.65%
 ($11,351)
Includes Typical Broker Commissions trade costs of $2.50
11/6/24 12:19 NVDA NVIDIA SHORT 65 145.56 11/21 12:01 143.09 0.87%
Trade id #150012036
Max drawdown($366)
Time11/21/24 9:32
Quant open50
Worst price152.89
Drawdown as % of equity-0.87%
 $160
Includes Typical Broker Commissions trade costs of $1.30
7/11/24 10:02 ENPH ENPHASE ENERGY SHORT 200 117.54 9/26 15:56 118.46 5.52%
Trade id #148621904
Max drawdown($2,243)
Time8/26/24 0:00
Quant open150
Worst price130.08
Drawdown as % of equity-5.52%
 ($187)
Includes Typical Broker Commissions trade costs of $4.00
7/25/24 13:58 DDOG DATADOG INC. SHORT 50 121.50 9/17 9:57 112.50 0.02%
Trade id #148742977
Max drawdown($6)
Time7/25/24 14:03
Quant open50
Worst price121.63
Drawdown as % of equity-0.02%
 $449
Includes Typical Broker Commissions trade costs of $1.00
6/26/24 15:15 ABNB AIRBNB INC. CLASS A COMMON STOCK SHORT 100 150.27 8/2 11:05 127.25 1.36%
Trade id #148507848
Max drawdown($538)
Time7/9/24 0:00
Quant open100
Worst price155.66
Drawdown as % of equity-1.36%
 $2,300
Includes Typical Broker Commissions trade costs of $2.00
4/25/24 11:11 NVDS AXS 1.25X NVDA BEAR DAILY ETF LONG 225 66.52 8/1 15:03 42.02 21.09%
Trade id #148009842
Max drawdown($7,213)
Time6/20/24 0:00
Quant open225
Worst price34.46
Drawdown as % of equity-21.09%
 ($5,519)
Includes Typical Broker Commissions trade costs of $4.50
7/16/24 14:15 RL RALPH LAUREN SHORT 50 172.89 7/25 13:58 163.46 0.19%
Trade id #148663596
Max drawdown($76)
Time7/16/24 15:21
Quant open50
Worst price174.41
Drawdown as % of equity-0.19%
 $471
Includes Typical Broker Commissions trade costs of $1.00
3/18/24 9:30 QQQ POWERSHARES QQQ SHORT 40 438.83 7/16 10:42 485.25 4.41%
Trade id #147661390
Max drawdown($1,732)
Time7/5/24 0:00
Quant open30
Worst price496.60
Drawdown as % of equity-4.41%
 ($1,858)
Includes Typical Broker Commissions trade costs of $0.80
4/16/24 10:41 IWM ISHARES RUSSELL 2000 INDEX SHORT 55 194.74 7/15 9:43 208.14 1.66%
Trade id #147923270
Max drawdown($826)
Time5/15/24 0:00
Quant open55
Worst price209.77
Drawdown as % of equity-1.66%
 ($738)
Includes Typical Broker Commissions trade costs of $1.10
3/19/24 12:13 SMH VANECK SEMICONDUCTOR ETF SHORT 65 216.76 7/11 9:58 263.97 8.26%
Trade id #147685749
Max drawdown($2,826)
Time6/20/24 0:00
Quant open45
Worst price279.57
Drawdown as % of equity-8.26%
 ($3,070)
Includes Typical Broker Commissions trade costs of $1.30
5/1/24 11:30 MSFT MICROSOFT SHORT 30 395.38 6/11 10:52 428.00 2.7%
Trade id #148062778
Max drawdown($1,146)
Time5/23/24 0:00
Quant open30
Worst price433.60
Drawdown as % of equity-2.70%
 ($980)
Includes Typical Broker Commissions trade costs of $0.60
3/5/24 12:00 SPY SPDR S&P 500 SHORT 30 514.34 5/24 12:39 529.80 1.33%
Trade id #147541351
Max drawdown($561)
Time5/23/24 0:00
Quant open30
Worst price533.07
Drawdown as % of equity-1.33%
 ($465)
Includes Typical Broker Commissions trade costs of $0.60
5/2/24 9:45 CVNA CARVANA CO SHORT 65 118.37 5/22 11:39 115.25 1.08%
Trade id #148072294
Max drawdown($550)
Time5/6/24 0:00
Quant open50
Worst price129.00
Drawdown as % of equity-1.08%
 $202
Includes Typical Broker Commissions trade costs of $1.30
4/9/24 10:27 DDOG DATADOG INC. SHORT 100 127.80 5/16 10:52 120.95 0.94%
Trade id #147848147
Max drawdown($485)
Time4/26/24 0:00
Quant open90
Worst price132.90
Drawdown as % of equity-0.94%
 $683
Includes Typical Broker Commissions trade costs of $2.00
2/9/24 13:18 ENPH ENPHASE ENERGY SHORT 200 119.60 5/2 10:51 102.44 1.85%
Trade id #147271997
Max drawdown($855)
Time4/4/24 0:00
Quant open150
Worst price127.67
Drawdown as % of equity-1.85%
 $3,428
Includes Typical Broker Commissions trade costs of $4.00
2/20/24 12:31 DASH DOORDASH INC. CLASS A SHORT 85 123.00 5/2 9:51 110.84 3.02%
Trade id #147381406
Max drawdown($1,380)
Time4/11/24 0:00
Quant open70
Worst price141.19
Drawdown as % of equity-3.02%
 $1,031
Includes Typical Broker Commissions trade costs of $1.70
4/30/24 15:00 XMMO INVESCO S&P MIDCAP MOMENTUM ETF SHORT 50 109.35 5/1 11:01 108.40 0.01%
Trade id #148055052
Max drawdown($4)
Time4/30/24 15:10
Quant open50
Worst price109.45
Drawdown as % of equity-0.01%
 $47
Includes Typical Broker Commissions trade costs of $1.00
4/1/24 10:42 DJT TRUMP MEDIA & TECHNOLOGY GROUP CORP. LONG 90 44.90 4/30 14:31 48.75 3.81%
Trade id #147772528
Max drawdown($1,853)
Time4/16/24 0:00
Quant open75
Worst price22.55
Drawdown as % of equity-3.81%
 $344
Includes Typical Broker Commissions trade costs of $1.80
2/6/24 10:06 XLK TECHNOLOGY SELECT SECTOR SPDR SHORT 60 204.77 4/26 11:03 201.27 0.68%
Trade id #147237559
Max drawdown($301)
Time3/21/24 0:00
Quant open35
Worst price211.93
Drawdown as % of equity-0.68%
 $209
Includes Typical Broker Commissions trade costs of $1.20
4/19/24 10:06 RUM RUMBLE INC CLASS A LONG 500 6.29 4/24 10:44 6.44 0.3%
Trade id #147956631
Max drawdown($152)
Time4/19/24 12:24
Quant open500
Worst price5.98
Drawdown as % of equity-0.30%
 $68
Includes Typical Broker Commissions trade costs of $10.00
2/5/24 9:37 LI LI AUTO INC SHORT 400 31.49 4/16 15:43 28.76 8.75%
Trade id #147226868
Max drawdown($3,688)
Time2/27/24 0:00
Quant open200
Worst price46.44
Drawdown as % of equity-8.75%
 $1,083
Includes Typical Broker Commissions trade costs of $8.00
4/2/24 10:25 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 350 10.80 4/10 13:57 10.91 0.35%
Trade id #147784060
Max drawdown($162)
Time4/4/24 0:00
Quant open300
Worst price10.28
Drawdown as % of equity-0.35%
 $33
Includes Typical Broker Commissions trade costs of $7.00
3/19/24 14:13 NVDS AXS 1.25X NVDA BEAR DAILY ETF LONG 80 64.04 4/9 14:29 69.37 6.84%
Trade id #147687412
Max drawdown($3,101)
Time4/1/24 0:00
Quant open60
Worst price12.47
Drawdown as % of equity-6.84%
 $424
Includes Typical Broker Commissions trade costs of $1.60
1/31/24 12:01 KRE SPDR S&P REGIONAL BANKING ETF SHORT 175 50.57 4/9 9:57 48.91 0.16%
Trade id #147181392
Max drawdown($68)
Time1/31/24 14:43
Quant open100
Worst price51.53
Drawdown as % of equity-0.16%
 $287
Includes Typical Broker Commissions trade costs of $3.50
2/5/24 9:36 TAL TAL EDUCATION GROUP SHORT 650 11.44 4/9 9:56 11.36 2.8%
Trade id #147226822
Max drawdown($1,224)
Time2/15/24 0:00
Quant open300
Worst price15.52
Drawdown as % of equity-2.80%
 $43
Includes Typical Broker Commissions trade costs of $9.00
3/19/24 14:16 ZS ZSCALER INC. COMMON STOCK SHORT 30 196.08 4/2 10:13 187.12 0.32%
Trade id #147687432
Max drawdown($142)
Time3/21/24 0:00
Quant open20
Worst price202.61
Drawdown as % of equity-0.32%
 $268
Includes Typical Broker Commissions trade costs of $0.60
1/2/24 11:16 XLY SPDR CONSUMER DISCRET SELECT SHORT 30 176.17 3/28 13:32 184.16 0.68%
Trade id #146874560
Max drawdown($273)
Time3/1/24 0:00
Quant open30
Worst price185.29
Drawdown as % of equity-0.68%
 ($241)
Includes Typical Broker Commissions trade costs of $0.60
1/31/24 12:08 XLC COMMUNICATION SERVICES SELECT SPDR FUND SHORT 75 76.75 3/28 13:29 81.70 0.92%
Trade id #147181474
Max drawdown($412)
Time3/21/24 0:00
Quant open75
Worst price82.25
Drawdown as % of equity-0.92%
 ($373)
Includes Typical Broker Commissions trade costs of $1.50
1/30/24 13:11 IDRV ISHARES SELF-DRIVING EV AND TECH ETF SHORT 100 30.62 3/28 13:27 31.65 0.52%
Trade id #147170330
Max drawdown($209)
Time3/1/24 0:00
Quant open100
Worst price32.72
Drawdown as % of equity-0.52%
 ($105)
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    6/25/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2569.54
  • Age
    86 months ago
  • What it trades
    Stocks
  • # Trades
    600
  • # Profitable
    388
  • % Profitable
    64.70%
  • Avg trade duration
    57.4 days
  • Max peak-to-valley drawdown
    74.75%
  • drawdown period
    Dec 28, 2022 - June 12, 2024
  • Annual Return (Compounded)
    0.9%
  • Avg win
    $811.81
  • Avg loss
    $1,421
  • Model Account Values (Raw)
  • Cash
    $101,935
  • Margin Used
    $74,174
  • Buying Power
    $32,069
  • Ratios
  • W:L ratio
    1.05:1
  • Sharpe Ratio
    0.16
  • Sortino Ratio
    0.24
  • Calmar Ratio
    0.082
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -122.79%
  • Correlation to SP500
    0.00940
  • Return Percent SP500 (cumu) during strategy life
    130.39%
  • Return Statistics
  • Ann Return (w trading costs)
    0.9%
  • Slump
  • Current Slump as Pcnt Equity
    221.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.36%
  • 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)
    0.009%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    87.50%
  • Chance of 20% account loss
    87.50%
  • Chance of 30% account loss
    72.50%
  • Chance of 40% account loss
    51.50%
  • Chance of 60% account loss (Monte Carlo)
    26.00%
  • Chance of 70% account loss (Monte Carlo)
    14.50%
  • Chance of 80% account loss (Monte Carlo)
    3.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    37.50%
  • 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
    $1,421
  • Avg Win
    $812
  • Sum Trade PL (losers)
    $301,305.000
  • Age
  • Num Months filled monthly returns table
    86
  • Win / Loss
  • Sum Trade PL (winners)
    $314,984.000
  • # Winners
    388
  • Num Months Winners
    46
  • Dividends
  • Dividends Received in Model Acct
    883
  • AUM
  • AUM (AutoTrader live capital)
    73479
  • Win / Loss
  • # Losers
    212
  • % Winners
    64.7%
  • Frequency
  • Avg Position Time (mins)
    82654.40
  • Avg Position Time (hrs)
    1377.57
  • Avg Trade Length
    57.4 days
  • Last Trade Ago
    188
  • Leverage
  • Daily leverage (average)
    1.80
  • Daily leverage (max)
    2.42
  • Regression
  • Alpha
    0.02
  • Beta
    0.02
  • Treynor Index
    1.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    14.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.49
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    182.693
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.669
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.092
  • Hold-and-Hope Ratio
    0.022
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14496
  • SD
    0.46278
  • Sharpe ratio (Glass type estimate)
    0.31323
  • Sharpe ratio (Hedges UMVUE)
    0.31017
  • df
    77.00000
  • t
    0.79859
  • p
    0.21349
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45812
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.08259
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46015
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08049
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.49718
  • Upside Potential Ratio
    2.31710
  • Upside part of mean
    0.67557
  • Downside part of mean
    -0.53061
  • Upside SD
    0.35800
  • Downside SD
    0.29156
  • N nonnegative terms
    42.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.10359
  • Mean of criterion
    0.14496
  • SD of predictor
    0.16076
  • SD of criterion
    0.46278
  • Covariance
    -0.00997
  • r
    -0.13399
  • b (slope, estimate of beta)
    -0.38573
  • a (intercept, estimate of alpha)
    0.18492
  • Mean Square Error
    0.21309
  • DF error
    76.00000
  • t(b)
    -1.17873
  • p(b)
    0.87891
  • t(a)
    1.00386
  • p(a)
    0.15932
  • Lowerbound of 95% confidence interval for beta
    -1.03748
  • Upperbound of 95% confidence interval for beta
    0.26603
  • Lowerbound of 95% confidence interval for alpha
    -0.18196
  • Upperbound of 95% confidence interval for alpha
    0.55179
  • Treynor index (mean / b)
    -0.37580
  • Jensen alpha (a)
    0.18492
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04105
  • SD
    0.45834
  • Sharpe ratio (Glass type estimate)
    0.08957
  • Sharpe ratio (Hedges UMVUE)
    0.08869
  • df
    77.00000
  • t
    0.22835
  • p
    0.40999
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67961
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.85818
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68020
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85758
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12444
  • Upside Potential Ratio
    1.88053
  • Upside part of mean
    0.62039
  • Downside part of mean
    -0.57934
  • Upside SD
    0.31414
  • Downside SD
    0.32990
  • N nonnegative terms
    42.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.08987
  • Mean of criterion
    0.04105
  • SD of predictor
    0.16445
  • SD of criterion
    0.45834
  • Covariance
    -0.00740
  • r
    -0.09816
  • b (slope, estimate of beta)
    -0.27358
  • a (intercept, estimate of alpha)
    0.06564
  • Mean Square Error
    0.21079
  • DF error
    76.00000
  • t(b)
    -0.85989
  • p(b)
    0.80372
  • t(a)
    0.35998
  • p(a)
    0.35993
  • Lowerbound of 95% confidence interval for beta
    -0.90724
  • Upperbound of 95% confidence interval for beta
    0.36008
  • Lowerbound of 95% confidence interval for alpha
    -0.29751
  • Upperbound of 95% confidence interval for alpha
    0.42879
  • Treynor index (mean / b)
    -0.15005
  • Jensen alpha (a)
    0.06564
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19282
  • Expected Shortfall on VaR
    0.23533
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09762
  • Expected Shortfall on VaR
    0.18556
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    78.00000
  • Minimum
    0.66004
  • Quartile 1
    0.93702
  • Median
    1.01430
  • Quartile 3
    1.09464
  • Maximum
    1.56491
  • Mean of quarter 1
    0.85807
  • Mean of quarter 2
    0.97344
  • Mean of quarter 3
    1.05334
  • Mean of quarter 4
    1.17267
  • Inter Quartile Range
    0.15762
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02564
  • Mean of outliers low
    0.67897
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01282
  • Mean of outliers high
    1.56491
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07857
  • VaR(95%) (moments method)
    0.14065
  • Expected Shortfall (moments method)
    0.19644
  • Extreme Value Index (regression method)
    0.21806
  • VaR(95%) (regression method)
    0.14842
  • Expected Shortfall (regression method)
    0.22734
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01432
  • Quartile 1
    0.11991
  • Median
    0.18446
  • Quartile 3
    0.41734
  • Maximum
    0.61460
  • Mean of quarter 1
    0.05531
  • Mean of quarter 2
    0.16398
  • Mean of quarter 3
    0.22645
  • Mean of quarter 4
    0.61141
  • Inter Quartile Range
    0.29743
  • 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)
    0.08701
  • Compounded annual return (geometric extrapolation)
    0.07139
  • Calmar ratio (compounded annual return / max draw down)
    0.11616
  • Compounded annual return / average of 25% largest draw downs
    0.11676
  • Compounded annual return / Expected Shortfall lognormal
    0.30336
  • 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
    0.10457
  • SD
    0.39828
  • Sharpe ratio (Glass type estimate)
    0.26255
  • Sharpe ratio (Hedges UMVUE)
    0.26244
  • df
    1710.00000
  • t
    0.67095
  • p
    0.49189
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50450
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.02953
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50457
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02945
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38016
  • Upside Potential Ratio
    8.19200
  • Upside part of mean
    2.25338
  • Downside part of mean
    -2.14881
  • Upside SD
    0.28795
  • Downside SD
    0.27507
  • N nonnegative terms
    863.00000
  • N negative terms
    848.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1711.00000
  • Mean of predictor
    0.12041
  • Mean of criterion
    0.10457
  • SD of predictor
    0.21219
  • SD of criterion
    0.39828
  • Covariance
    0.00015
  • r
    0.00181
  • b (slope, estimate of beta)
    0.00341
  • a (intercept, estimate of alpha)
    0.10400
  • Mean Square Error
    0.15872
  • DF error
    1709.00000
  • t(b)
    0.07502
  • p(b)
    0.49884
  • t(a)
    0.66771
  • p(a)
    0.48972
  • Lowerbound of 95% confidence interval for beta
    -0.08565
  • Upperbound of 95% confidence interval for beta
    0.09246
  • Lowerbound of 95% confidence interval for alpha
    -0.20180
  • Upperbound of 95% confidence interval for alpha
    0.41012
  • Treynor index (mean / b)
    30.70170
  • Jensen alpha (a)
    0.10416
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02542
  • SD
    0.39796
  • Sharpe ratio (Glass type estimate)
    0.06387
  • Sharpe ratio (Hedges UMVUE)
    0.06384
  • df
    1710.00000
  • t
    0.16323
  • p
    0.49803
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70309
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83084
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70312
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83081
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08975
  • Upside Potential Ratio
    7.81538
  • Upside part of mean
    2.21333
  • Downside part of mean
    -2.18791
  • Upside SD
    0.27942
  • Downside SD
    0.28320
  • N nonnegative terms
    863.00000
  • N negative terms
    848.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1711.00000
  • Mean of predictor
    0.09776
  • Mean of criterion
    0.02542
  • SD of predictor
    0.21316
  • SD of criterion
    0.39796
  • Covariance
    0.00022
  • r
    0.00255
  • b (slope, estimate of beta)
    0.00477
  • a (intercept, estimate of alpha)
    0.02495
  • Mean Square Error
    0.15846
  • DF error
    1709.00000
  • t(b)
    0.10554
  • p(b)
    0.49838
  • t(a)
    0.16012
  • p(a)
    0.49753
  • Lowerbound of 95% confidence interval for beta
    -0.08381
  • Upperbound of 95% confidence interval for beta
    0.09334
  • Lowerbound of 95% confidence interval for alpha
    -0.28069
  • Upperbound of 95% confidence interval for alpha
    0.33060
  • Treynor index (mean / b)
    5.33290
  • Jensen alpha (a)
    0.02495
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03954
  • Expected Shortfall on VaR
    0.04932
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01877
  • Expected Shortfall on VaR
    0.03700
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1711.00000
  • Minimum
    0.84931
  • Quartile 1
    0.98896
  • Median
    1.00037
  • Quartile 3
    1.01221
  • Maximum
    1.17114
  • Mean of quarter 1
    0.97225
  • Mean of quarter 2
    0.99518
  • Mean of quarter 3
    1.00548
  • Mean of quarter 4
    1.02912
  • Inter Quartile Range
    0.02325
  • Number outliers low
    57.00000
  • Percentage of outliers low
    0.03331
  • Mean of outliers low
    0.93349
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.03039
  • Mean of outliers high
    1.07016
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27279
  • VaR(95%) (moments method)
    0.02800
  • Expected Shortfall (moments method)
    0.04589
  • Extreme Value Index (regression method)
    0.02203
  • VaR(95%) (regression method)
    0.02545
  • Expected Shortfall (regression method)
    0.03475
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    42.00000
  • Minimum
    0.00042
  • Quartile 1
    0.00515
  • Median
    0.01724
  • Quartile 3
    0.05241
  • Maximum
    0.66859
  • Mean of quarter 1
    0.00220
  • Mean of quarter 2
    0.01019
  • Mean of quarter 3
    0.02506
  • Mean of quarter 4
    0.25081
  • Inter Quartile Range
    0.04726
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.39639
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.65592
  • VaR(95%) (moments method)
    0.24947
  • Expected Shortfall (moments method)
    0.81793
  • Extreme Value Index (regression method)
    0.48180
  • VaR(95%) (regression method)
    0.26319
  • Expected Shortfall (regression method)
    0.61283
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06379
  • Compounded annual return (geometric extrapolation)
    0.05477
  • Calmar ratio (compounded annual return / max draw down)
    0.08192
  • Compounded annual return / average of 25% largest draw downs
    0.21838
  • Compounded annual return / Expected Shortfall lognormal
    1.11062
  • 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
    -0.26735
  • SD
    0.52028
  • Sharpe ratio (Glass type estimate)
    -0.51386
  • Sharpe ratio (Hedges UMVUE)
    -0.51089
  • df
    130.00000
  • t
    -0.36336
  • p
    0.51593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.28541
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25961
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.28340
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26161
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.69053
  • Upside Potential Ratio
    7.78124
  • Upside part of mean
    3.01265
  • Downside part of mean
    -3.28000
  • Upside SD
    0.34496
  • Downside SD
    0.38717
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30360
  • Mean of criterion
    -0.26735
  • SD of predictor
    0.29569
  • SD of criterion
    0.52028
  • Covariance
    -0.02840
  • r
    -0.18458
  • b (slope, estimate of beta)
    -0.32477
  • a (intercept, estimate of alpha)
    -0.16875
  • Mean Square Error
    0.26349
  • DF error
    129.00000
  • t(b)
    -2.13303
  • p(b)
    0.61683
  • t(a)
    -0.23199
  • p(a)
    0.51300
  • Lowerbound of 95% confidence interval for beta
    -0.62601
  • Upperbound of 95% confidence interval for beta
    -0.02352
  • Lowerbound of 95% confidence interval for alpha
    -1.60796
  • Upperbound of 95% confidence interval for alpha
    1.27045
  • Treynor index (mean / b)
    0.82321
  • Jensen alpha (a)
    -0.16875
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.40289
  • SD
    0.52338
  • Sharpe ratio (Glass type estimate)
    -0.76977
  • Sharpe ratio (Hedges UMVUE)
    -0.76532
  • df
    130.00000
  • t
    -0.54431
  • p
    0.52384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.54171
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00506
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.53869
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00804
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.00806
  • Upside Potential Ratio
    7.39353
  • Upside part of mean
    2.95494
  • Downside part of mean
    -3.35783
  • Upside SD
    0.33574
  • Downside SD
    0.39967
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25958
  • Mean of criterion
    -0.40289
  • SD of predictor
    0.29830
  • SD of criterion
    0.52338
  • Covariance
    -0.02840
  • r
    -0.18188
  • b (slope, estimate of beta)
    -0.31911
  • a (intercept, estimate of alpha)
    -0.32005
  • Mean Square Error
    0.26692
  • DF error
    129.00000
  • t(b)
    -2.10077
  • p(b)
    0.61515
  • t(a)
    -0.43740
  • p(a)
    0.52449
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    -0.61965
  • Upperbound of 95% confidence interval for beta
    -0.01857
  • Lowerbound of 95% confidence interval for alpha
    -1.76775
  • Upperbound of 95% confidence interval for alpha
    1.12765
  • Treynor index (mean / b)
    1.26252
  • Jensen alpha (a)
    -0.32005
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05325
  • Expected Shortfall on VaR
    0.06589
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02889
  • Expected Shortfall on VaR
    0.05447
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89847
  • Quartile 1
    0.97970
  • Median
    1.00026
  • Quartile 3
    1.01933
  • Maximum
    1.08366
  • Mean of quarter 1
    0.95850
  • Mean of quarter 2
    0.99203
  • Mean of quarter 3
    1.00999
  • Mean of quarter 4
    1.03617
  • Inter Quartile Range
    0.03962
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.91068
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.08135
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23341
  • VaR(95%) (moments method)
    0.04457
  • Expected Shortfall (moments method)
    0.06812
  • Extreme Value Index (regression method)
    0.05252
  • VaR(95%) (regression method)
    0.04469
  • Expected Shortfall (regression method)
    0.06115
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00816
  • Quartile 1
    0.08643
  • Median
    0.16470
  • Quartile 3
    0.24654
  • Maximum
    0.32837
  • Mean of quarter 1
    0.00816
  • Mean of quarter 2
    0.16470
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.32837
  • Inter Quartile Range
    0.16010
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -418661000
  • Max Equity Drawdown (num days)
    532
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.34192
  • Compounded annual return (geometric extrapolation)
    -0.31270
  • Calmar ratio (compounded annual return / max draw down)
    -0.95225
  • Compounded annual return / average of 25% largest draw downs
    -0.95225
  • Compounded annual return / Expected Shortfall lognormal
    -4.74560

Strategy Description

The strategy utilizes technical/fundamental analysis to determine long/short stock trades. The portfolio can be long, short, or long/short depending on the current market environment. The strategy tends to be concentrated in only 10-20 holdings across long/short positions.

The Long/Short strategy is an aggressive growth strategy and investors should be willing to tolerate periods of volatility. The trading strategy can see periods of volatility due to periodic concentration in some positions, either long or short.

Margin is required to emulate the trading strategy.

Trading stops are utilized to limit the downside in each position. On average the strategy's total downside risk is targeted at 15-20% of the value of the total holdings, with some positions above and some positions below this average level.

While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose money, we do make an effort to control risk.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2018-06-25
Suggested Minimum Capital
$15,000
# Trades
600
# Profitable
388
% Profitable
64.7%
Net Dividends
$882
Correlation S&P500
0.009
Sharpe Ratio
0.16
Sortino Ratio
0.24
Beta
0.02
Alpha
0.02
Leverage
1.80 Average
2.42 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.