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

Alpha Capital Compound
(127924250)

Created by: AlphaCapital AlphaCapital
Started: 03/2020
Stocks
Last trade: 262 days ago
Trading style: Equity Sector Rotation Short-term Reversal

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 $150.00 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
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
15.3%
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.

(48.0%)
Max Drawdown
1219
Num Trades
58.4%
Win Trades
1.2 : 1
Profit Factor
59.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              (3.6%)+15.5%+9.8%+15.4%+15.0%+4.5%+9.9%+4.6%+17.0%+0.6%+129.6%
2021+3.4%+3.2%+3.0%(3.5%)(0.4%)(1.4%)(1.1%)+1.8%(4.5%)(4.6%)+4.2%+3.5%+3.1%
2022(4.4%)(3%)(9.2%)(5%)(3.2%)(12%)+3.5%+0.9%(15.9%)+9.8%+8.2%(9.1%)(35.4%)
2023+4.0%+2.0%(8.8%)(3.2%)+0.5%+4.4%+5.1%+0.9%(3.4%)(1.9%)+8.1%(4.7%)+1.7%
2024+1.7%+6.1%+6.0%                                                      +14.4%

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 2,072 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 412 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/29/23 9:30 LW LAMB WESTON HOLDINGS INC LONG 68 112.31 7/10 9:31 112.66 0%
Trade id #145062922
Max drawdown($2)
Time6/29/23 9:33
Quant open68
Worst price112.28
Drawdown as % of equity-0.00%
$23
Includes Typical Broker Commissions trade costs of $1.36
6/14/23 14:07 AKAM AKAMAI TECHNOLOGIES LONG 82 91.27 7/10 9:31 89.36 0.48%
Trade id #144923033
Max drawdown($355)
Time6/22/23 0:00
Quant open82
Worst price86.94
Drawdown as % of equity-0.48%
($159)
Includes Typical Broker Commissions trade costs of $1.64
6/14/23 10:14 BIIB BIOGEN INC. COMMON STOCK LONG 24 301.28 7/5 9:43 286.62 0.78%
Trade id #144919427
Max drawdown($565)
Time6/27/23 0:00
Quant open24
Worst price277.71
Drawdown as % of equity-0.78%
($352)
Includes Typical Broker Commissions trade costs of $0.48
6/29/23 9:30 ORCL ORACLE CORP LONG 67 115.58 6/30 9:30 119.84 0.09%
Trade id #145062971
Max drawdown($63)
Time6/29/23 9:34
Quant open67
Worst price114.63
Drawdown as % of equity-0.09%
$284
Includes Typical Broker Commissions trade costs of $1.34
6/16/23 9:54 AMD ADVANCED MICRO DEVICES INC. C LONG 61 121.66 6/30 9:30 112.86 1.22%
Trade id #144944163
Max drawdown($889)
Time6/27/23 0:00
Quant open61
Worst price107.08
Drawdown as % of equity-1.22%
($538)
Includes Typical Broker Commissions trade costs of $1.22
6/14/23 10:44 SON SONOCO PRODUCTS LONG 123 60.65 6/30 9:30 59.16 0.64%
Trade id #144919963
Max drawdown($472)
Time6/23/23 0:00
Quant open123
Worst price56.80
Drawdown as % of equity-0.64%
($185)
Includes Typical Broker Commissions trade costs of $2.46
6/23/23 9:30 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 53 143.17 6/29 9:30 145.89 0.13%
Trade id #145013905
Max drawdown($96)
Time6/26/23 0:00
Quant open53
Worst price141.35
Drawdown as % of equity-0.13%
$143
Includes Typical Broker Commissions trade costs of $1.06
6/22/23 10:41 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 9 839.18 6/28 10:33 852.67 0.25%
Trade id #144998057
Max drawdown($182)
Time6/23/23 0:00
Quant open9
Worst price818.85
Drawdown as % of equity-0.25%
$121
Includes Typical Broker Commissions trade costs of $0.18
6/21/23 10:02 MRVL MARVELL TECHNOLOGY LONG 125 60.12 6/28 10:33 61.03 0.6%
Trade id #144980158
Max drawdown($441)
Time6/23/23 0:00
Quant open125
Worst price56.59
Drawdown as % of equity-0.60%
$112
Includes Typical Broker Commissions trade costs of $2.50
6/16/23 11:37 ON ON SEMICONDUCTOR CORP LONG 83 90.05 6/28 10:33 92.41 0.43%
Trade id #144945650
Max drawdown($319)
Time6/23/23 0:00
Quant open83
Worst price86.20
Drawdown as % of equity-0.43%
$194
Includes Typical Broker Commissions trade costs of $1.66
6/16/23 9:42 LRCX LAM RESEARCH LONG 12 614.80 6/27 9:30 624.36 0.27%
Trade id #144943905
Max drawdown($196)
Time6/22/23 0:00
Quant open12
Worst price598.42
Drawdown as % of equity-0.27%
$115
Includes Typical Broker Commissions trade costs of $0.24
6/12/23 10:36 DVA DAVITA INC LONG 75 96.63 6/21 12:30 98.29 0.05%
Trade id #144897681
Max drawdown($36)
Time6/15/23 0:00
Quant open75
Worst price96.14
Drawdown as % of equity-0.05%
$124
Includes Typical Broker Commissions trade costs of $1.50
6/14/23 10:02 KELYA KELLY SERVICES LONG 419 17.84 6/21 11:54 17.82 0.42%
Trade id #144919203
Max drawdown($310)
Time6/14/23 15:51
Quant open419
Worst price17.10
Drawdown as % of equity-0.42%
($16)
Includes Typical Broker Commissions trade costs of $8.38
6/14/23 9:36 CRM SALESFORCE INC LONG 36 205.55 6/20 9:47 213.09 0.03%
Trade id #144918648
Max drawdown($19)
Time6/14/23 9:39
Quant open36
Worst price205.02
Drawdown as % of equity-0.03%
$270
Includes Typical Broker Commissions trade costs of $0.72
6/9/23 9:31 TTWO TAKE-TWO INTERACTIVE SFTW LONG 57 133.54 6/13 9:30 136.55 0.11%
Trade id #144880423
Max drawdown($82)
Time6/9/23 11:26
Quant open57
Worst price132.09
Drawdown as % of equity-0.11%
$171
Includes Typical Broker Commissions trade costs of $1.14
6/8/23 9:30 META META PLATFORMS INC. CLASS A LONG 28 260.31 6/13 9:30 275.00 0.05%
Trade id #144869804
Max drawdown($40)
Time6/8/23 9:35
Quant open28
Worst price258.88
Drawdown as % of equity-0.05%
$410
Includes Typical Broker Commissions trade costs of $0.56
6/6/23 9:30 MU MICRON TECHNOLOGY LONG 111 66.97 6/13 9:30 68.64 0.45%
Trade id #144844300
Max drawdown($328)
Time6/8/23 0:00
Quant open111
Worst price64.01
Drawdown as % of equity-0.45%
$183
Includes Typical Broker Commissions trade costs of $2.22
6/9/23 9:31 CRM SALESFORCE INC LONG 35 212.50 6/12 9:30 216.81 n/a $150
Includes Typical Broker Commissions trade costs of $0.70
6/9/23 9:31 NVDA NVIDIA LONG 20 391.96 6/12 9:30 391.82 0.17%
Trade id #144880421
Max drawdown($125)
Time6/9/23 15:50
Quant open20
Worst price385.67
Drawdown as % of equity-0.17%
($3)
Includes Typical Broker Commissions trade costs of $0.40
6/9/23 9:31 CDNS CADENCE DESIGN SYSTEMS LONG 33 229.65 6/12 9:30 230.91 0.04%
Trade id #144880420
Max drawdown($31)
Time6/9/23 12:40
Quant open33
Worst price228.70
Drawdown as % of equity-0.04%
$41
Includes Typical Broker Commissions trade costs of $0.66
6/6/23 9:32 LOGI LOGITECH INTERNATIONAL LONG 119 62.25 6/9 9:32 63.41 n/a $136
Includes Typical Broker Commissions trade costs of $2.38
6/6/23 9:30 ANET ARISTA NETWORKS INC LONG 46 160.75 6/9 9:30 164.19 0.33%
Trade id #144844362
Max drawdown($243)
Time6/7/23 0:00
Quant open46
Worst price155.46
Drawdown as % of equity-0.33%
$157
Includes Typical Broker Commissions trade costs of $0.92
5/23/23 11:07 LULU LULULEMON ATHLETICA LONG 10 358.63 6/6 9:46 359.61 0.44%
Trade id #144720253
Max drawdown($317)
Time6/1/23 0:00
Quant open10
Worst price326.93
Drawdown as % of equity-0.44%
$10
Includes Typical Broker Commissions trade costs of $0.20
5/2/23 11:22 GILD GILEAD SCIENCES LONG 124 80.59 6/6 9:30 78.34 0.82%
Trade id #144502543
Max drawdown($593)
Time6/2/23 0:00
Quant open124
Worst price75.80
Drawdown as % of equity-0.82%
($281)
Includes Typical Broker Commissions trade costs of $2.48
5/9/23 10:38 CLX CLOROX LONG 45 165.47 6/5 9:47 161.90 0.57%
Trade id #144567245
Max drawdown($415)
Time5/30/23 0:00
Quant open45
Worst price156.24
Drawdown as % of equity-0.57%
($162)
Includes Typical Broker Commissions trade costs of $0.90
5/18/23 9:44 WST WEST PHARMACEUTICAL LONG 10 344.62 6/2 9:32 342.90 0.2%
Trade id #144661093
Max drawdown($144)
Time5/31/23 0:00
Quant open10
Worst price330.16
Drawdown as % of equity-0.20%
($17)
Includes Typical Broker Commissions trade costs of $0.20
5/24/23 9:30 LRCX LAM RESEARCH LONG 11 563.54 6/2 9:30 620.00 0.07%
Trade id #144728838
Max drawdown($45)
Time5/24/23 15:00
Quant open11
Worst price559.41
Drawdown as % of equity-0.07%
$621
Includes Typical Broker Commissions trade costs of $0.22
5/24/23 9:30 NVDA NVIDIA LONG 25 301.91 6/2 9:30 400.94 0.14%
Trade id #144728833
Max drawdown($96)
Time5/24/23 11:01
Quant open25
Worst price298.06
Drawdown as % of equity-0.14%
$2,476
Includes Typical Broker Commissions trade costs of $0.50
5/23/23 9:30 PHM PULTEGROUP LONG 55 66.41 6/2 9:30 67.81 0.1%
Trade id #144717925
Max drawdown($68)
Time5/23/23 9:47
Quant open55
Worst price65.16
Drawdown as % of equity-0.10%
$76
Includes Typical Broker Commissions trade costs of $1.10
5/18/23 9:40 FSLR FIRST SOLAR INC LONG 18 206.19 6/2 9:30 212.33 0.25%
Trade id #144660962
Max drawdown($174)
Time5/25/23 0:00
Quant open18
Worst price196.48
Drawdown as % of equity-0.25%
$111
Includes Typical Broker Commissions trade costs of $0.36

Statistics

  • Strategy began
    3/9/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1479.79
  • Age
    49 months ago
  • What it trades
    Stocks
  • # Trades
    1219
  • # Profitable
    712
  • % Profitable
    58.40%
  • Avg trade duration
    8.6 days
  • Max peak-to-valley drawdown
    47.95%
  • drawdown period
    April 07, 2021 - Oct 13, 2022
  • Annual Return (Compounded)
    15.2%
  • Avg win
    $417.29
  • Avg loss
    $500.66
  • Model Account Values (Raw)
  • Cash
    $63,690
  • Margin Used
    $0
  • Buying Power
    $77,540
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.54
  • Sortino Ratio
    0.78
  • Calmar Ratio
    0.487
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -13.13%
  • Correlation to SP500
    0.39040
  • Return Percent SP500 (cumu) during strategy life
    91.09%
  • Return Statistics
  • Ann Return (w trading costs)
    15.2%
  • Slump
  • Current Slump as Pcnt Equity
    45.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.73%
  • 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)
    0.152%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    74.50%
  • Chance of 20% account loss
    47.00%
  • Chance of 30% account loss
    25.00%
  • Chance of 40% account loss
    11.50%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.00%
  • Popularity
  • Popularity (Today)
    387
  • Popularity (Last 6 weeks)
    518
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    455
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $501
  • Avg Win
    $417
  • Sum Trade PL (losers)
    $253,836.000
  • Age
  • Num Months filled monthly returns table
    49
  • Win / Loss
  • Sum Trade PL (winners)
    $297,107.000
  • # Winners
    712
  • Num Months Winners
    29
  • Dividends
  • Dividends Received in Model Acct
    6617
  • Win / Loss
  • # Losers
    507
  • % Winners
    58.4%
  • Frequency
  • Avg Position Time (mins)
    12433.30
  • Avg Position Time (hrs)
    207.22
  • Avg Trade Length
    8.6 days
  • Last Trade Ago
    262
  • Leverage
  • Daily leverage (average)
    0.98
  • Daily leverage (max)
    2.94
  • Regression
  • Alpha
    0.02
  • Beta
    0.41
  • Treynor Index
    0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.19
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    34.406
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.689
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.687
  • Hold-and-Hope Ratio
    0.017
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17886
  • SD
    0.27271
  • Sharpe ratio (Glass type estimate)
    0.65588
  • Sharpe ratio (Hedges UMVUE)
    0.64463
  • df
    44.00000
  • t
    1.27011
  • p
    0.10536
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36904
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67356
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66567
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24051
  • Upside Potential Ratio
    3.01866
  • Upside part of mean
    0.43525
  • Downside part of mean
    -0.25638
  • Upside SD
    0.23365
  • Downside SD
    0.14419
  • N nonnegative terms
    25.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.15452
  • Mean of criterion
    0.17886
  • SD of predictor
    0.16167
  • SD of criterion
    0.27271
  • Covariance
    0.02674
  • r
    0.60662
  • b (slope, estimate of beta)
    1.02328
  • a (intercept, estimate of alpha)
    0.02075
  • Mean Square Error
    0.04809
  • DF error
    43.00000
  • t(b)
    5.00371
  • p(b)
    0.00001
  • t(a)
    0.17646
  • p(a)
    0.43038
  • Lowerbound of 95% confidence interval for beta
    0.61086
  • Upperbound of 95% confidence interval for beta
    1.43571
  • Lowerbound of 95% confidence interval for alpha
    -0.21637
  • Upperbound of 95% confidence interval for alpha
    0.25786
  • Treynor index (mean / b)
    0.17479
  • Jensen alpha (a)
    0.02075
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14300
  • SD
    0.26264
  • Sharpe ratio (Glass type estimate)
    0.54447
  • Sharpe ratio (Hedges UMVUE)
    0.53513
  • df
    44.00000
  • t
    1.05436
  • p
    0.14874
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55990
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48315
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55341
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94236
  • Upside Potential Ratio
    2.70122
  • Upside part of mean
    0.40989
  • Downside part of mean
    -0.26690
  • Upside SD
    0.21476
  • Downside SD
    0.15174
  • N nonnegative terms
    25.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.14052
  • Mean of criterion
    0.14300
  • SD of predictor
    0.16175
  • SD of criterion
    0.26264
  • Covariance
    0.02640
  • r
    0.62143
  • b (slope, estimate of beta)
    1.00901
  • a (intercept, estimate of alpha)
    0.00121
  • Mean Square Error
    0.04332
  • DF error
    43.00000
  • t(b)
    5.20119
  • p(b)
    0.00000
  • t(a)
    0.01088
  • p(a)
    0.49568
  • Lowerbound of 95% confidence interval for beta
    0.61778
  • Upperbound of 95% confidence interval for beta
    1.40024
  • Lowerbound of 95% confidence interval for alpha
    -0.22242
  • Upperbound of 95% confidence interval for alpha
    0.22484
  • Treynor index (mean / b)
    0.14172
  • Jensen alpha (a)
    0.00121
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10666
  • Expected Shortfall on VaR
    0.13418
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04593
  • Expected Shortfall on VaR
    0.08903
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    45.00000
  • Minimum
    0.87007
  • Quartile 1
    0.97343
  • Median
    1.01344
  • Quartile 3
    1.06214
  • Maximum
    1.26258
  • Mean of quarter 1
    0.93139
  • Mean of quarter 2
    0.99447
  • Mean of quarter 3
    1.03354
  • Mean of quarter 4
    1.11734
  • Inter Quartile Range
    0.08871
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04444
  • Mean of outliers high
    1.24735
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07565
  • VaR(95%) (moments method)
    0.06403
  • Expected Shortfall (moments method)
    0.08468
  • Extreme Value Index (regression method)
    -0.48111
  • VaR(95%) (regression method)
    0.07870
  • Expected Shortfall (regression method)
    0.09265
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00409
  • Quartile 1
    0.02095
  • Median
    0.02922
  • Quartile 3
    0.12150
  • Maximum
    0.39040
  • Mean of quarter 1
    0.00409
  • Mean of quarter 2
    0.02657
  • Mean of quarter 3
    0.03186
  • Mean of quarter 4
    0.39040
  • Inter Quartile Range
    0.10055
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.39040
  • 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)
    0.23951
  • Compounded annual return (geometric extrapolation)
    0.18638
  • Calmar ratio (compounded annual return / max draw down)
    0.47740
  • Compounded annual return / average of 25% largest draw downs
    0.47740
  • Compounded annual return / Expected Shortfall lognormal
    1.38900
  • 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
    0.17900
  • SD
    0.22115
  • Sharpe ratio (Glass type estimate)
    0.80939
  • Sharpe ratio (Hedges UMVUE)
    0.80878
  • df
    993.00000
  • t
    1.57653
  • p
    0.05761
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19768
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81608
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19809
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81566
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18486
  • Upside Potential Ratio
    8.40493
  • Upside part of mean
    1.26976
  • Downside part of mean
    -1.09076
  • Upside SD
    0.16174
  • Downside SD
    0.15107
  • N nonnegative terms
    524.00000
  • N negative terms
    470.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    994.00000
  • Mean of predictor
    0.16870
  • Mean of criterion
    0.17900
  • SD of predictor
    0.22706
  • SD of criterion
    0.22115
  • Covariance
    0.01907
  • r
    0.37976
  • b (slope, estimate of beta)
    0.36989
  • a (intercept, estimate of alpha)
    0.11700
  • Mean Square Error
    0.04190
  • DF error
    992.00000
  • t(b)
    12.92940
  • p(b)
    0.00000
  • t(a)
    1.10839
  • p(a)
    0.13398
  • Lowerbound of 95% confidence interval for beta
    0.31375
  • Upperbound of 95% confidence interval for beta
    0.42603
  • Lowerbound of 95% confidence interval for alpha
    -0.08984
  • Upperbound of 95% confidence interval for alpha
    0.32304
  • Treynor index (mean / b)
    0.48393
  • Jensen alpha (a)
    0.11660
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15448
  • SD
    0.22132
  • Sharpe ratio (Glass type estimate)
    0.69799
  • Sharpe ratio (Hedges UMVUE)
    0.69747
  • df
    993.00000
  • t
    1.35954
  • p
    0.08714
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30888
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70455
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30925
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70418
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00371
  • Upside Potential Ratio
    8.16590
  • Upside part of mean
    1.25683
  • Downside part of mean
    -1.10234
  • Upside SD
    0.15918
  • Downside SD
    0.15391
  • N nonnegative terms
    524.00000
  • N negative terms
    470.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    994.00000
  • Mean of predictor
    0.14279
  • Mean of criterion
    0.15448
  • SD of predictor
    0.22778
  • SD of criterion
    0.22132
  • Covariance
    0.01912
  • r
    0.37928
  • b (slope, estimate of beta)
    0.36853
  • a (intercept, estimate of alpha)
    0.10186
  • Mean Square Error
    0.04198
  • DF error
    992.00000
  • t(b)
    12.91050
  • p(b)
    0.00000
  • t(a)
    0.96762
  • p(a)
    0.16673
  • Lowerbound of 95% confidence interval for beta
    0.31252
  • Upperbound of 95% confidence interval for beta
    0.42455
  • Lowerbound of 95% confidence interval for alpha
    -0.10472
  • Upperbound of 95% confidence interval for alpha
    0.30844
  • Treynor index (mean / b)
    0.41918
  • Jensen alpha (a)
    0.10186
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02166
  • Expected Shortfall on VaR
    0.02722
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00917
  • Expected Shortfall on VaR
    0.01886
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    994.00000
  • Minimum
    0.91792
  • Quartile 1
    0.99488
  • Median
    1.00048
  • Quartile 3
    1.00634
  • Maximum
    1.06738
  • Mean of quarter 1
    0.98546
  • Mean of quarter 2
    0.99816
  • Mean of quarter 3
    1.00318
  • Mean of quarter 4
    1.01637
  • Inter Quartile Range
    0.01146
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.03421
  • Mean of outliers low
    0.96313
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.04326
  • Mean of outliers high
    1.03606
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31402
  • VaR(95%) (moments method)
    0.01421
  • Expected Shortfall (moments method)
    0.02471
  • Extreme Value Index (regression method)
    0.17415
  • VaR(95%) (regression method)
    0.01338
  • Expected Shortfall (regression method)
    0.02051
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00439
  • Median
    0.01290
  • Quartile 3
    0.03449
  • Maximum
    0.41097
  • Mean of quarter 1
    0.00227
  • Mean of quarter 2
    0.00939
  • Mean of quarter 3
    0.02563
  • Mean of quarter 4
    0.10942
  • Inter Quartile Range
    0.03011
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.19643
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.58807
  • VaR(95%) (moments method)
    0.11001
  • Expected Shortfall (moments method)
    0.28828
  • Extreme Value Index (regression method)
    1.06260
  • VaR(95%) (regression method)
    0.08486
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26296
  • Compounded annual return (geometric extrapolation)
    0.20008
  • Calmar ratio (compounded annual return / max draw down)
    0.48686
  • Compounded annual return / average of 25% largest draw downs
    1.82855
  • Compounded annual return / Expected Shortfall lognormal
    7.34933
  • 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
    0.27856
  • SD
    0.17741
  • Sharpe ratio (Glass type estimate)
    1.57013
  • Sharpe ratio (Hedges UMVUE)
    1.56106
  • df
    130.00000
  • t
    1.11025
  • p
    0.45154
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21114
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.34560
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21724
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.33935
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35713
  • Upside Potential Ratio
    8.80596
  • Upside part of mean
    1.04068
  • Downside part of mean
    -0.76212
  • Upside SD
    0.13253
  • Downside SD
    0.11818
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30905
  • Mean of criterion
    0.27856
  • SD of predictor
    0.13668
  • SD of criterion
    0.17741
  • Covariance
    0.01216
  • r
    0.50159
  • b (slope, estimate of beta)
    0.65106
  • a (intercept, estimate of alpha)
    0.07735
  • Mean Square Error
    0.02374
  • DF error
    129.00000
  • t(b)
    6.58534
  • p(b)
    0.19462
  • t(a)
    0.35157
  • p(a)
    0.48031
  • Lowerbound of 95% confidence interval for beta
    0.45545
  • Upperbound of 95% confidence interval for beta
    0.84666
  • Lowerbound of 95% confidence interval for alpha
    -0.35797
  • Upperbound of 95% confidence interval for alpha
    0.51268
  • Treynor index (mean / b)
    0.42786
  • Jensen alpha (a)
    0.07735
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26274
  • SD
    0.17780
  • Sharpe ratio (Glass type estimate)
    1.47775
  • Sharpe ratio (Hedges UMVUE)
    1.46921
  • df
    130.00000
  • t
    1.04493
  • p
    0.45437
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.30265
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.25259
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30834
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.24676
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.17823
  • Upside Potential Ratio
    8.55538
  • Upside part of mean
    1.03195
  • Downside part of mean
    -0.76921
  • Upside SD
    0.13071
  • Downside SD
    0.12062
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29966
  • Mean of criterion
    0.26274
  • SD of predictor
    0.13576
  • SD of criterion
    0.17780
  • Covariance
    0.01193
  • r
    0.49427
  • b (slope, estimate of beta)
    0.64732
  • a (intercept, estimate of alpha)
    0.06876
  • Mean Square Error
    0.02407
  • DF error
    129.00000
  • t(b)
    6.45778
  • p(b)
    0.19867
  • t(a)
    0.31049
  • p(a)
    0.48261
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.44899
  • Upperbound of 95% confidence interval for beta
    0.84564
  • Lowerbound of 95% confidence interval for alpha
    -0.36942
  • Upperbound of 95% confidence interval for alpha
    0.50695
  • Treynor index (mean / b)
    0.40588
  • Jensen alpha (a)
    0.06876
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01692
  • Expected Shortfall on VaR
    0.02141
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00606
  • Expected Shortfall on VaR
    0.01311
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93810
  • Quartile 1
    0.99661
  • Median
    1.00097
  • Quartile 3
    1.00502
  • Maximum
    1.04320
  • Mean of quarter 1
    0.98987
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00324
  • Mean of quarter 4
    1.01274
  • Inter Quartile Range
    0.00841
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96744
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02917
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46049
  • VaR(95%) (moments method)
    0.01030
  • Expected Shortfall (moments method)
    0.02158
  • Extreme Value Index (regression method)
    0.36760
  • VaR(95%) (regression method)
    0.00957
  • Expected Shortfall (regression method)
    0.01754
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00047
  • Quartile 1
    0.00758
  • Median
    0.01423
  • Quartile 3
    0.03378
  • Maximum
    0.07653
  • Mean of quarter 1
    0.00347
  • Mean of quarter 2
    0.01177
  • Mean of quarter 3
    0.02540
  • Mean of quarter 4
    0.05035
  • Inter Quartile Range
    0.02620
  • 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
    0.09091
  • Mean of outliers high
    0.07653
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14609
  • VaR(95%) (moments method)
    0.05717
  • Expected Shortfall (moments method)
    0.07853
  • Extreme Value Index (regression method)
    2.59749
  • VaR(95%) (regression method)
    0.08959
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -413214000
  • Max Equity Drawdown (num days)
    554
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31282
  • Compounded annual return (geometric extrapolation)
    0.33729
  • Calmar ratio (compounded annual return / max draw down)
    4.40731
  • Compounded annual return / average of 25% largest draw downs
    6.69828
  • Compounded annual return / Expected Shortfall lognormal
    15.75120

Strategy Description

System updated with Limit orders to reduce slippage in November 2021.

This system uses a very unique two stage filtration system. The first filter calculates, compares and then ranks the entire universe of stocks against one another to find the STRONGEST stocks in the Index using a distinct set of parameters. The second filter, is looking for a timing trigger to enter at just the right time to catch the explosive move up.

Average hold period is around 3 days.

Do not join open positions.
This system holds a max of 15 positions. I allocate 10k per position.

Scale your account accordingly or contact me with questions.

Summary Statistics

Strategy began
2020-03-09
Suggested Minimum Capital
$15,000
# Trades
1219
# Profitable
712
% Profitable
58.4%
Net Dividends
Correlation S&P500
0.390
Sharpe Ratio
0.54
Sortino Ratio
0.78
Beta
0.41
Alpha
0.02
Leverage
0.98 Average
2.94 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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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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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.