Collective2 Collective2
Featured Strategy Aduna Capital II +8.5% Cumul. Return since June 22, 2020 Hypothetical

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Long/Short Strategy
(118633841)

Created by: NBTK NBTK
Started: 06/2018
Stocks
Last trade: 6 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.
-7.1%
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.

(66.1%)
Max Drawdown
371
Num Trades
60.9%
Win Trades
1.0 : 1
Profit Factor
60.7%
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%(8%)                  (59.8%)

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 120 hours.

Trading Record

This strategy has placed 680 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
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/1/20 10:11 IBB ISHARES NASDAQ BIOTECHNOLOGY E SHORT 40 133.93 9/22 15:09 131.79 0.34%
Trade id #130921377
Max drawdown($102)
Time9/16/20 0:00
Quant open25
Worst price138.05
Drawdown as % of equity-0.34%
 $85
Includes Typical Broker Commissions trade costs of $0.80
9/4/20 10:40 QQQ POWERSHARES QQQ SHORT 25 274.04 9/22 10:15 269.35 0.63%
Trade id #131003898
Max drawdown($203)
Time9/10/20 0:00
Quant open25
Worst price282.19
Drawdown as % of equity-0.63%
 $117
Includes Typical Broker Commissions trade costs of $0.50
9/2/20 10:00 FSLY FASTLY INC SHORT 65 89.40 9/15 14:49 82.62 0.77%
Trade id #130941474
Max drawdown($244)
Time9/2/20 14:50
Quant open65
Worst price93.16
Drawdown as % of equity-0.77%
 $440
Includes Typical Broker Commissions trade costs of $1.30
9/4/20 12:10 NEON NEONODE SHORT 100 9.51 9/11 12:04 9.34 0.24%
Trade id #131007225
Max drawdown($80)
Time9/8/20 0:00
Quant open100
Worst price10.31
Drawdown as % of equity-0.24%
 $15
Includes Typical Broker Commissions trade costs of $2.00
7/1/20 12:51 GBT GLOBAL BLOOD THERAPEUTICS INC. COMMON STOCK LONG 150 68.77 9/8 9:32 57.41 5.18%
Trade id #129848520
Max drawdown($1,704)
Time9/8/20 9:32
Quant open150
Worst price57.41
Drawdown as % of equity-5.18%
 ($1,707)
Includes Typical Broker Commissions trade costs of $3.00
8/12/20 14:35 TWTR TWITTER INC SHORT 200 38.15 9/2 10:52 42.50 2.76%
Trade id #130587598
Max drawdown($884)
Time9/2/20 10:52
Quant open200
Worst price42.57
Drawdown as % of equity-2.76%
 ($875)
Includes Typical Broker Commissions trade costs of $4.00
8/24/20 11:53 ZS ZSCALER INC. COMMON STOCK SHORT 75 134.61 9/1 9:42 150.00 3.72%
Trade id #130760509
Max drawdown($1,195)
Time9/1/20 9:42
Quant open75
Worst price150.55
Drawdown as % of equity-3.72%
 ($1,157)
Includes Typical Broker Commissions trade costs of $1.50
8/26/20 14:55 KEYS KEYSIGHT TECHNOLOGIES INC LONG 75 98.56 8/31 15:50 98.65 0.86%
Trade id #130802346
Max drawdown($235)
Time8/27/20 0:00
Quant open75
Worst price95.42
Drawdown as % of equity-0.86%
 $6
Includes Typical Broker Commissions trade costs of $1.50
8/12/20 14:37 MRNA MODERNA INC. COMMON STOCK SHORT 100 70.26 8/31 14:20 63.94 0.48%
Trade id #130587649
Max drawdown($138)
Time8/26/20 0:00
Quant open100
Worst price71.64
Drawdown as % of equity-0.48%
 $630
Includes Typical Broker Commissions trade costs of $2.00
8/3/20 11:20 AIMT AIMMUNE THERAPEUTICS INC. COMMON STOCK LONG 200 13.50 8/31 9:30 34.18 1.21%
Trade id #130422811
Max drawdown($336)
Time8/28/20 0:00
Quant open200
Worst price11.82
Drawdown as % of equity-1.21%
 $4,132
Includes Typical Broker Commissions trade costs of $4.00
7/16/20 13:00 SLV ISHARES SILVER TRUST LONG 200 17.91 8/27 11:33 24.92 0.09%
Trade id #130119250
Max drawdown($25)
Time7/16/20 15:51
Quant open200
Worst price17.78
Drawdown as % of equity-0.09%
 $1,400
Includes Typical Broker Commissions trade costs of $4.00
7/1/20 12:50 SAIC SCIENCE APPLICATIONS INTL CORP LONG 150 77.53 8/26 14:51 82.68 4.9%
Trade id #129848468
Max drawdown($1,315)
Time7/13/20 0:00
Quant open150
Worst price68.76
Drawdown as % of equity-4.90%
 $770
Includes Typical Broker Commissions trade costs of $3.00
7/8/20 11:52 DIS WALT DISNEY SHORT 75 114.74 8/25 14:35 130.30 4.39%
Trade id #129971142
Max drawdown($1,369)
Time8/12/20 0:00
Quant open75
Worst price133.00
Drawdown as % of equity-4.39%
 ($1,169)
Includes Typical Broker Commissions trade costs of $1.50
8/4/20 12:06 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK SHORT 75 103.86 8/20 12:06 112.42 0.69%
Trade id #130449253
Max drawdown($211)
Time8/20/20 12:06
Quant open-25
Worst price112.31
Drawdown as % of equity-0.69%
 ($644)
Includes Typical Broker Commissions trade costs of $1.50
7/20/20 10:12 LUV SOUTHWEST AIRLINES LONG 100 33.13 8/12 14:30 35.02 0.89%
Trade id #130166490
Max drawdown($289)
Time7/31/20 0:00
Quant open100
Worst price30.24
Drawdown as % of equity-0.89%
 $187
Includes Typical Broker Commissions trade costs of $2.00
8/3/20 11:27 PTC PTC INC. COMMON STOCK LONG 50 86.22 8/12 14:29 86.35 0.24%
Trade id #130422941
Max drawdown($79)
Time8/11/20 0:00
Quant open50
Worst price84.64
Drawdown as % of equity-0.24%
 $6
Includes Typical Broker Commissions trade costs of $1.00
7/24/20 13:32 BEAT BIOTELEMETRY INC. COMMON STOC LONG 75 40.10 8/12 14:29 43.50 0.26%
Trade id #130265693
Max drawdown($81)
Time7/28/20 0:00
Quant open75
Worst price39.01
Drawdown as % of equity-0.26%
 $254
Includes Typical Broker Commissions trade costs of $1.50
7/6/20 11:14 IBM INTERNATIONAL BUSINESS MACHINE LONG 25 119.91 8/12 14:28 126.67 0.42%
Trade id #129925816
Max drawdown($117)
Time7/9/20 0:00
Quant open25
Worst price115.20
Drawdown as % of equity-0.42%
 $169
Includes Typical Broker Commissions trade costs of $0.50
7/6/20 9:50 NVCR NOVOCURE LIMITED ORDINARY SHARES LONG 50 61.61 8/12 14:26 75.10 1.13%
Trade id #129923082
Max drawdown($310)
Time7/14/20 0:00
Quant open50
Worst price55.40
Drawdown as % of equity-1.13%
 $674
Includes Typical Broker Commissions trade costs of $1.00
6/22/20 9:32 GLD SPDR GOLD SHARES LONG 75 165.58 8/11 15:27 173.74 0.14%
Trade id #129685065
Max drawdown($44)
Time6/26/20 0:00
Quant open50
Worst price164.22
Drawdown as % of equity-0.14%
 $611
Includes Typical Broker Commissions trade costs of $1.50
7/24/20 13:45 CRUS CIRRUS LOGIC SHORT 100 65.25 8/3 9:30 71.78 2.61%
Trade id #130265974
Max drawdown($839)
Time8/3/20 9:30
Quant open100
Worst price73.64
Drawdown as % of equity-2.61%
 ($655)
Includes Typical Broker Commissions trade costs of $2.00
7/6/20 10:03 INTC INTEL SHORT 100 59.08 7/24 9:31 51.75 0.99%
Trade id #129923581
Max drawdown($284)
Time7/21/20 0:00
Quant open100
Worst price61.93
Drawdown as % of equity-0.99%
 $731
Includes Typical Broker Commissions trade costs of $2.00
7/1/20 12:57 TWTR TWITTER INC SHORT 250 30.76 7/8 10:40 35.00 3.81%
Trade id #129848689
Max drawdown($1,082)
Time7/8/20 10:40
Quant open250
Worst price35.09
Drawdown as % of equity-3.81%
 ($1,064)
Includes Typical Broker Commissions trade costs of $5.00
4/14/20 14:56 PTON PELOTON INTERACTIVE INC. CLASS A COMMON STOCK SHORT 450 38.11 7/1 12:47 56.24 14.66%
Trade id #128561839
Max drawdown($5,801)
Time6/15/20 0:00
Quant open450
Worst price51.00
Drawdown as % of equity-14.66%
 ($8,171)
Includes Typical Broker Commissions trade costs of $9.00
4/28/20 15:22 ALGN ALIGN TECHNOLOGY SHORT 100 215.79 7/1 12:46 272.67 20.96%
Trade id #128775779
Max drawdown($7,624)
Time6/8/20 0:00
Quant open100
Worst price292.04
Drawdown as % of equity-20.96%
 ($5,690)
Includes Typical Broker Commissions trade costs of $2.00
4/9/20 9:41 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK SHORT 350 67.46 7/1 12:46 102.79 38.76%
Trade id #128494051
Max drawdown($13,101)
Time6/19/20 0:00
Quant open350
Worst price104.89
Drawdown as % of equity-38.76%
 ($12,375)
Includes Typical Broker Commissions trade costs of $7.00
6/11/20 11:27 NKLA NIKOLA CORP LONG 100 66.28 6/19 10:54 66.82 2.04%
Trade id #129495264
Max drawdown($828)
Time6/11/20 15:28
Quant open100
Worst price58.00
Drawdown as % of equity-2.04%
 $52
Includes Typical Broker Commissions trade costs of $2.00
4/14/20 14:15 WING WINGSTOP INC. COMMON STOCK SHORT 125 109.97 6/3 14:20 122.50 4.62%
Trade id #128561167
Max drawdown($2,377)
Time5/18/20 0:00
Quant open100
Worst price130.99
Drawdown as % of equity-4.62%
 ($1,569)
Includes Typical Broker Commissions trade costs of $2.50
5/26/20 11:16 MDB MONGODB INC. CLASS A COMMON STOCK SHORT 75 216.95 6/1 11:06 232.50 3.44%
Trade id #129193226
Max drawdown($1,532)
Time6/1/20 9:45
Quant open75
Worst price237.38
Drawdown as % of equity-3.44%
 ($1,168)
Includes Typical Broker Commissions trade costs of $1.50
5/18/20 11:28 BYND BEYOND MEAT INC. COMMON STOCK SHORT 50 135.75 5/28 12:13 124.30 0.92%
Trade id #129069495
Max drawdown($458)
Time5/20/20 0:00
Quant open50
Worst price144.92
Drawdown as % of equity-0.92%
 $572
Includes Typical Broker Commissions trade costs of $1.00
Next

Statistics

  • Strategy began
    6/25/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    825.72
  • Age
    28 months ago
  • What it trades
    Stocks
  • # Trades
    371
  • # Profitable
    226
  • % Profitable
    60.90%
  • Avg trade duration
    36.1 days
  • Max peak-to-valley drawdown
    66.12%
  • drawdown period
    Jan 13, 2020 - July 14, 2020
  • Annual Return (Compounded)
    -7.1%
  • Avg win
    $476.60
  • Avg loss
    $753.59
  • Model Account Values (Raw)
  • Cash
    $49,835
  • Margin Used
    $42,240
  • Buying Power
    $5,261
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    0.04
  • Sortino Ratio
    0.05
  • Calmar Ratio
    -0.018
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -36.88%
  • Correlation to SP500
    0.39690
  • Return Percent SP500 (cumu) during strategy life
    21.40%
  • Return Statistics
  • Ann Return (w trading costs)
    -7.1%
  • Slump
  • Current Slump as Pcnt Equity
    164.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.31%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.071%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    46.50%
  • Chance of 20% account loss
    17.00%
  • Chance of 30% account loss
    8.00%
  • Chance of 40% account loss
    n/a
  • Chance of 100% 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 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    696
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    804
  • Popularity (7 days, Percentile 1000 scale)
    319
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $754
  • Avg Win
    $477
  • Sum Trade PL (losers)
    $109,271.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    28
  • Win / Loss
  • Sum Trade PL (winners)
    $107,712.000
  • # Winners
    226
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    698
  • AUM
  • AUM (AutoTrader live capital)
    49982
  • Win / Loss
  • # Losers
    145
  • % Winners
    60.9%
  • Frequency
  • Avg Position Time (mins)
    51930.20
  • Avg Position Time (hrs)
    865.50
  • Avg Trade Length
    36.1 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.57
  • Daily leverage (max)
    2.30
  • Regression
  • Alpha
    -0.01
  • Beta
    0.75
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • 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)
    1.14
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -39.145
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.690
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.086
  • Hold-and-Hope Ratio
    -0.020
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13970
  • SD
    0.52209
  • Sharpe ratio (Glass type estimate)
    0.26757
  • Sharpe ratio (Hedges UMVUE)
    0.25945
  • df
    25.00000
  • t
    0.39385
  • p
    0.34851
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06863
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59850
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07402
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59292
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36460
  • Upside Potential Ratio
    2.00473
  • Upside part of mean
    0.76812
  • Downside part of mean
    -0.62842
  • Upside SD
    0.34193
  • Downside SD
    0.38315
  • N nonnegative terms
    16.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.08734
  • Mean of criterion
    0.13970
  • SD of predictor
    0.19689
  • SD of criterion
    0.52209
  • Covariance
    0.01788
  • r
    0.17393
  • b (slope, estimate of beta)
    0.46121
  • a (intercept, estimate of alpha)
    0.09941
  • Mean Square Error
    0.27535
  • DF error
    24.00000
  • t(b)
    0.86529
  • p(b)
    0.19772
  • t(a)
    0.27652
  • p(a)
    0.39226
  • Lowerbound of 95% confidence interval for beta
    -0.63888
  • Upperbound of 95% confidence interval for beta
    1.56130
  • Lowerbound of 95% confidence interval for alpha
    -0.64259
  • Upperbound of 95% confidence interval for alpha
    0.84142
  • Treynor index (mean / b)
    0.30289
  • Jensen alpha (a)
    0.09941
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00322
  • SD
    0.55898
  • Sharpe ratio (Glass type estimate)
    -0.00575
  • Sharpe ratio (Hedges UMVUE)
    -0.00558
  • df
    25.00000
  • t
    -0.00847
  • p
    0.50335
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33726
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32581
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33711
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32595
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00715
  • Upside Potential Ratio
    1.58850
  • Upside part of mean
    0.71440
  • Downside part of mean
    -0.71762
  • Upside SD
    0.31334
  • Downside SD
    0.44973
  • N nonnegative terms
    16.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.06725
  • Mean of criterion
    -0.00322
  • SD of predictor
    0.20539
  • SD of criterion
    0.55898
  • Covariance
    0.02717
  • r
    0.23664
  • b (slope, estimate of beta)
    0.64401
  • a (intercept, estimate of alpha)
    -0.04653
  • Mean Square Error
    0.30725
  • DF error
    24.00000
  • t(b)
    1.19317
  • p(b)
    0.12223
  • t(a)
    -0.12298
  • p(a)
    0.54843
  • Lowerbound of 95% confidence interval for beta
    -0.46997
  • Upperbound of 95% confidence interval for beta
    1.75799
  • Lowerbound of 95% confidence interval for alpha
    -0.82734
  • Upperbound of 95% confidence interval for alpha
    0.73429
  • Treynor index (mean / b)
    -0.00499
  • Jensen alpha (a)
    -0.04653
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23332
  • Expected Shortfall on VaR
    0.28206
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10114
  • Expected Shortfall on VaR
    0.20931
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.66004
  • Quartile 1
    0.96047
  • Median
    1.03680
  • Quartile 3
    1.11582
  • Maximum
    1.28166
  • Mean of quarter 1
    0.82003
  • Mean of quarter 2
    0.99628
  • Mean of quarter 3
    1.07351
  • Mean of quarter 4
    1.17204
  • Inter Quartile Range
    0.15535
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.67897
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.02313
  • VaR(95%) (moments method)
    0.13199
  • Expected Shortfall (moments method)
    0.14429
  • Extreme Value Index (regression method)
    -0.80765
  • VaR(95%) (regression method)
    0.27056
  • Expected Shortfall (regression method)
    0.30763
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.09631
  • Quartile 1
    0.16138
  • Median
    0.22645
  • Quartile 3
    0.42052
  • Maximum
    0.61460
  • Mean of quarter 1
    0.09631
  • Mean of quarter 2
    0.22645
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.61460
  • Inter Quartile Range
    0.25915
  • 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)
    0.02536
  • Compounded annual return (geometric extrapolation)
    0.02500
  • Calmar ratio (compounded annual return / max draw down)
    0.04067
  • Compounded annual return / average of 25% largest draw downs
    0.04067
  • Compounded annual return / Expected Shortfall lognormal
    0.08862
  • 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
    0.05687
  • SD
    0.43894
  • Sharpe ratio (Glass type estimate)
    0.12957
  • Sharpe ratio (Hedges UMVUE)
    0.12940
  • df
    579.00000
  • t
    0.19278
  • p
    0.42360
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18781
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44684
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18792
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44672
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18707
  • Upside Potential Ratio
    7.27985
  • Upside part of mean
    2.21318
  • Downside part of mean
    -2.15631
  • Upside SD
    0.31611
  • Downside SD
    0.30401
  • N nonnegative terms
    292.00000
  • N negative terms
    288.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    580.00000
  • Mean of predictor
    0.09223
  • Mean of criterion
    0.05687
  • SD of predictor
    0.25427
  • SD of criterion
    0.43894
  • Covariance
    0.04025
  • r
    0.36059
  • b (slope, estimate of beta)
    0.62249
  • a (intercept, estimate of alpha)
    -0.00100
  • Mean Square Error
    0.16791
  • DF error
    578.00000
  • t(b)
    9.29450
  • p(b)
    0.00000
  • t(a)
    -0.00194
  • p(a)
    0.50077
  • Lowerbound of 95% confidence interval for beta
    0.49095
  • Upperbound of 95% confidence interval for beta
    0.75403
  • Lowerbound of 95% confidence interval for alpha
    -0.54159
  • Upperbound of 95% confidence interval for alpha
    0.54052
  • Treynor index (mean / b)
    0.09136
  • Jensen alpha (a)
    -0.00054
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03898
  • SD
    0.43814
  • Sharpe ratio (Glass type estimate)
    -0.08896
  • Sharpe ratio (Hedges UMVUE)
    -0.08885
  • df
    579.00000
  • t
    -0.13237
  • p
    0.55263
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40628
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22835
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40616
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22846
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.12358
  • Upside Potential Ratio
    6.86596
  • Upside part of mean
    2.16563
  • Downside part of mean
    -2.20461
  • Upside SD
    0.30357
  • Downside SD
    0.31542
  • N nonnegative terms
    292.00000
  • N negative terms
    288.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    580.00000
  • Mean of predictor
    0.05968
  • Mean of criterion
    -0.03898
  • SD of predictor
    0.25586
  • SD of criterion
    0.43814
  • Covariance
    0.04055
  • r
    0.36172
  • b (slope, estimate of beta)
    0.61942
  • a (intercept, estimate of alpha)
    -0.07595
  • Mean Square Error
    0.16714
  • DF error
    578.00000
  • t(b)
    9.32798
  • p(b)
    0.00000
  • t(a)
    -0.27637
  • p(a)
    0.60882
  • Lowerbound of 95% confidence interval for beta
    0.48899
  • Upperbound of 95% confidence interval for beta
    0.74984
  • Lowerbound of 95% confidence interval for alpha
    -0.61568
  • Upperbound of 95% confidence interval for alpha
    0.46379
  • Treynor index (mean / b)
    -0.06293
  • Jensen alpha (a)
    -0.07595
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04369
  • Expected Shortfall on VaR
    0.05440
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01869
  • Expected Shortfall on VaR
    0.03844
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    580.00000
  • Minimum
    0.84931
  • Quartile 1
    0.99133
  • Median
    1.00026
  • Quartile 3
    1.01051
  • Maximum
    1.17114
  • Mean of quarter 1
    0.97104
  • Mean of quarter 2
    0.99625
  • Mean of quarter 3
    1.00496
  • Mean of quarter 4
    1.02904
  • Inter Quartile Range
    0.01918
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.05345
  • Mean of outliers low
    0.93400
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.04310
  • Mean of outliers high
    1.07303
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37674
  • VaR(95%) (moments method)
    0.02724
  • Expected Shortfall (moments method)
    0.05200
  • Extreme Value Index (regression method)
    0.12462
  • VaR(95%) (regression method)
    0.02624
  • Expected Shortfall (regression method)
    0.04001
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00042
  • Quartile 1
    0.00456
  • Median
    0.01052
  • Quartile 3
    0.02892
  • Maximum
    0.61947
  • Mean of quarter 1
    0.00182
  • Mean of quarter 2
    0.00777
  • Mean of quarter 3
    0.01952
  • Mean of quarter 4
    0.17534
  • Inter Quartile Range
    0.02436
  • 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
    0.16129
  • Mean of outliers high
    0.25563
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.75672
  • VaR(95%) (moments method)
    0.15420
  • Expected Shortfall (moments method)
    0.71642
  • Extreme Value Index (regression method)
    1.03281
  • VaR(95%) (regression method)
    0.24525
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01094
  • Compounded annual return (geometric extrapolation)
    -0.01101
  • Calmar ratio (compounded annual return / max draw down)
    -0.01778
  • Compounded annual return / average of 25% largest draw downs
    -0.06280
  • Compounded annual return / Expected Shortfall lognormal
    -0.20242
  • 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
    -0.69575
  • SD
    0.53743
  • Sharpe ratio (Glass type estimate)
    -1.29458
  • Sharpe ratio (Hedges UMVUE)
    -1.28710
  • df
    130.00000
  • t
    -0.91541
  • p
    0.54001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.06843
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48411
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.06331
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48912
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.87609
  • Upside Potential Ratio
    7.12514
  • Upside part of mean
    2.64235
  • Downside part of mean
    -3.33810
  • Upside SD
    0.38852
  • Downside SD
    0.37085
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.52732
  • Mean of criterion
    -0.69575
  • SD of predictor
    0.25900
  • SD of criterion
    0.53743
  • Covariance
    -0.00014
  • r
    -0.00100
  • b (slope, estimate of beta)
    -0.00208
  • a (intercept, estimate of alpha)
    -0.69465
  • Mean Square Error
    0.29107
  • DF error
    129.00000
  • t(b)
    -0.01141
  • p(b)
    0.50064
  • t(a)
    -0.90327
  • p(a)
    0.55042
  • Lowerbound of 95% confidence interval for beta
    -0.36355
  • Upperbound of 95% confidence interval for beta
    0.35938
  • Lowerbound of 95% confidence interval for alpha
    -2.21621
  • Upperbound of 95% confidence interval for alpha
    0.82691
  • Treynor index (mean / b)
    333.79200
  • Jensen alpha (a)
    -0.69465
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.83868
  • SD
    0.53348
  • Sharpe ratio (Glass type estimate)
    -1.57209
  • Sharpe ratio (Hedges UMVUE)
    -1.56301
  • df
    130.00000
  • t
    -1.11164
  • p
    0.54852
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.34758
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20920
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.34132
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.21530
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.19451
  • Upside Potential Ratio
    6.72637
  • Upside part of mean
    2.57063
  • Downside part of mean
    -3.40931
  • Upside SD
    0.37290
  • Downside SD
    0.38217
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49352
  • Mean of criterion
    -0.83868
  • SD of predictor
    0.25890
  • SD of criterion
    0.53348
  • Covariance
    -0.00173
  • r
    -0.01250
  • b (slope, estimate of beta)
    -0.02575
  • a (intercept, estimate of alpha)
    -0.82597
  • Mean Square Error
    0.28676
  • DF error
    129.00000
  • t(b)
    -0.14194
  • p(b)
    0.50796
  • t(a)
    -1.08312
  • p(a)
    0.56034
  • VAR (95 Confidence Intrvl)
    0.04400
  • Lowerbound of 95% confidence interval for beta
    -0.38467
  • Upperbound of 95% confidence interval for beta
    0.33317
  • Lowerbound of 95% confidence interval for alpha
    -2.33476
  • Upperbound of 95% confidence interval for alpha
    0.68282
  • Treynor index (mean / b)
    32.57120
  • Jensen alpha (a)
    -0.82597
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05580
  • Expected Shortfall on VaR
    0.06864
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03279
  • Expected Shortfall on VaR
    0.05805
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90131
  • Quartile 1
    0.98121
  • Median
    0.99641
  • Quartile 3
    1.01055
  • Maximum
    1.13098
  • Mean of quarter 1
    0.96076
  • Mean of quarter 2
    0.98959
  • Mean of quarter 3
    1.00221
  • Mean of quarter 4
    1.03738
  • Inter Quartile Range
    0.02934
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.92112
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.09778
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13648
  • VaR(95%) (moments method)
    0.04047
  • Expected Shortfall (moments method)
    0.05767
  • Extreme Value Index (regression method)
    0.25237
  • VaR(95%) (regression method)
    0.04216
  • Expected Shortfall (regression method)
    0.06529
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00143
  • Quartile 1
    0.01872
  • Median
    0.03473
  • Quartile 3
    0.09135
  • Maximum
    0.53712
  • Mean of quarter 1
    0.00986
  • Mean of quarter 2
    0.01999
  • Mean of quarter 3
    0.04946
  • Mean of quarter 4
    0.32122
  • Inter Quartile Range
    0.07264
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.53712
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -274282000
  • Max Equity Drawdown (num days)
    183
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.66656
  • Compounded annual return (geometric extrapolation)
    -0.55549
  • Calmar ratio (compounded annual return / max draw down)
    -1.03420
  • Compounded annual return / average of 25% largest draw downs
    -1.72932
  • Compounded annual return / Expected Shortfall lognormal
    -8.09264

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 Interactive Brokers

Summary Statistics

Strategy began
2018-06-25
Suggested Minimum Capital
$35,000
Rank at C2 
#128
# Trades
371
# Profitable
226
% Profitable
60.9%
Net Dividends
$697
Correlation S&P500
0.397
Sharpe Ratio
0.04
Sortino Ratio
0.05
Beta
0.75
Alpha
-0.01
Leverage
1.57 Average
2.30 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.