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

Global Multi Asset
(131123661)

Created by: Profil Profil
Started: 09/2020
Stocks
Last trade: 160 days ago
Trading style: Equity Momentum

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 $29.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
5.1%
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.

(20.1%)
Max Drawdown
56
Num Trades
42.9%
Win Trades
2.0 : 1
Profit Factor
58.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        (2.7%)(1.3%)+7.4%+4.9%+8.2%
2021(2.7%)+0.8%+0.8%+8.6%+2.2%+1.7%+3.5%+1.2%(6.7%)+7.8%(2.4%)+4.6%+19.9%
2022(7.8%)+1.6%+2.8%(2.4%)+0.7%(3.9%)(0.5%)(2.9%)(1.2%)(0.1%)+0.1%(2.3%)(15.2%)
2023+9.3%(6.3%)+3.0%+1.5%(5.3%)+1.7%+0.8%(1.7%)(1.6%)(1.6%)+3.1%+0.6%+2.7%
2024+1.0%+1.3%+3.0%                                                      +5.3%

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 10 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 847 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/28/23 9:37 XLY SPDR CONSUMER DISCRET SELECT LONG 16 165.38 10/20 11:19 152.00 0.78%
Trade id #145660593
Max drawdown($215)
Time10/20/23 11:19
Quant open16
Worst price151.91
Drawdown as % of equity-0.78%
($214)
Includes Typical Broker Commissions trade costs of $0.32
7/3/23 10:07 EMB ISHARES JPMORGAN USD EMERG MAR LONG 123 86.30 9/1 9:31 85.46 1.19%
Trade id #145099768
Max drawdown($328)
Time8/21/23 0:00
Quant open123
Worst price83.63
Drawdown as % of equity-1.19%
($105)
Includes Typical Broker Commissions trade costs of $2.46
8/28/23 9:36 USO UNITED STATES OIL SHORT 38 72.55 8/31 10:05 74.60 0.28%
Trade id #145660502
Max drawdown($78)
Time8/31/23 10:05
Quant open38
Worst price74.61
Drawdown as % of equity-0.28%
($79)
Includes Typical Broker Commissions trade costs of $0.76
7/24/23 12:23 GBTC GRAYSCALE BITCOIN TRUST (BTC) SHORT 150 19.19 8/28 9:33 17.44 0.7%
Trade id #145305928
Max drawdown($194)
Time8/9/23 0:00
Quant open150
Worst price20.49
Drawdown as % of equity-0.70%
$260
Includes Typical Broker Commissions trade costs of $3.00
8/9/23 11:56 KWEB KRANESHARES CSI CHINA INTERNET LONG 100 29.50 8/16 9:30 27.61 0.8%
Trade id #145483886
Max drawdown($217)
Time8/16/23 9:30
Quant open100
Worst price27.33
Drawdown as % of equity-0.80%
($191)
Includes Typical Broker Commissions trade costs of $2.00
8/1/23 12:13 KWEB KRANESHARES CSI CHINA INTERNET LONG 92 31.21 8/9 10:55 29.53 0.75%
Trade id #145394982
Max drawdown($209)
Time8/8/23 0:00
Quant open92
Worst price28.93
Drawdown as % of equity-0.75%
($157)
Includes Typical Broker Commissions trade costs of $1.84
8/4/23 9:52 EUO PROSHARES ULTRASHORT EURO LONG 100 28.65 8/9 10:54 28.85 0.04%
Trade id #145430804
Max drawdown($12)
Time8/4/23 11:45
Quant open100
Worst price28.53
Drawdown as % of equity-0.04%
$18
Includes Typical Broker Commissions trade costs of $2.00
7/26/23 12:06 QQQ POWERSHARES QQQ SHORT 8 376.90 8/9 10:53 369.25 0.22%
Trade id #145330028
Max drawdown($63)
Time7/31/23 0:00
Quant open8
Worst price384.88
Drawdown as % of equity-0.22%
$61
Includes Typical Broker Commissions trade costs of $0.16
7/19/23 9:32 GLD SPDR GOLD SHARES LONG 16 183.67 8/1 9:30 180.85 0.19%
Trade id #145259565
Max drawdown($53)
Time7/27/23 0:00
Quant open16
Worst price180.32
Drawdown as % of equity-0.19%
($45)
Includes Typical Broker Commissions trade costs of $0.32
7/3/23 10:08 VNQ VANGUARD REAL ESTATE ETF LONG 126 84.22 8/1 9:30 85.06 0.83%
Trade id #145099778
Max drawdown($234)
Time7/6/23 0:00
Quant open126
Worst price82.36
Drawdown as % of equity-0.83%
$103
Includes Typical Broker Commissions trade costs of $2.52
7/3/23 10:09 LTPZ PIMCO 15+ YEAR US TIPS INDEX E LONG 176 60.14 8/1 9:30 57.83 1.7%
Trade id #145099810
Max drawdown($468)
Time7/10/23 0:00
Quant open176
Worst price57.48
Drawdown as % of equity-1.70%
($411)
Includes Typical Broker Commissions trade costs of $3.52
6/1/23 9:37 BNDX VANGUARD TOTAL INTERNATIONAL B LONG 214 48.93 7/3 10:06 48.79 0.36%
Trade id #144800645
Max drawdown($100)
Time6/14/23 0:00
Quant open214
Worst price48.46
Drawdown as % of equity-0.36%
($34)
Includes Typical Broker Commissions trade costs of $4.28
6/1/23 9:36 SHV ISHARES BARCLAYS SHORT TREASUR LONG 63 110.00 7/3 10:06 110.01 0%
Trade id #144800603
Max drawdown($1)
Time6/1/23 10:13
Quant open63
Worst price109.98
Drawdown as % of equity-0.00%
$0
Includes Typical Broker Commissions trade costs of $1.26
12/1/22 9:33 IAU ISHARES GOLD TRUST LONG 309 34.16 7/3/23 10:06 36.62 0.73%
Trade id #142732164
Max drawdown($203)
Time12/5/22 0:00
Quant open309
Worst price33.50
Drawdown as % of equity-0.73%
$753
Includes Typical Broker Commissions trade costs of $6.18
5/1/23 9:35 VNQI VANGUARD GLOBAL EX-US REAL EST LONG 471 42.08 6/1 9:31 40.48 2.78%
Trade id #144485155
Max drawdown($781)
Time5/31/23 0:00
Quant open263
Worst price39.11
Drawdown as % of equity-2.78%
($763)
Includes Typical Broker Commissions trade costs of $9.42
4/3/23 10:12 EMB ISHARES JPMORGAN USD EMERG MAR LONG 131 86.15 6/1 9:31 84.60 1.1%
Trade id #144154614
Max drawdown($308)
Time5/25/23 0:00
Quant open131
Worst price83.80
Drawdown as % of equity-1.10%
($206)
Includes Typical Broker Commissions trade costs of $2.62
12/1/22 9:31 IEFA ISHARES CORE MSCI EAFE ETF LONG 165 63.74 6/1/23 9:30 66.36 1.59%
Trade id #142732051
Max drawdown($438)
Time12/22/22 0:00
Quant open165
Worst price61.08
Drawdown as % of equity-1.59%
$429
Includes Typical Broker Commissions trade costs of $3.30
4/3/23 10:13 REET ISHARES GLOBAL REIT LONG 471 23.11 5/1 9:34 23.26 1.07%
Trade id #144154618
Max drawdown($315)
Time4/14/23 0:00
Quant open471
Worst price22.44
Drawdown as % of equity-1.07%
$62
Includes Typical Broker Commissions trade costs of $9.42
3/2/23 9:36 SHV ISHARES BARCLAYS SHORT TREASUR LONG 128 110.00 4/3 10:11 110.11 0.01%
Trade id #143750953
Max drawdown($2)
Time3/2/23 10:13
Quant open128
Worst price109.98
Drawdown as % of equity-0.01%
$11
Includes Typical Broker Commissions trade costs of $2.56
12/1/22 9:32 VNQI VANGUARD GLOBAL EX-US REAL EST LONG 250 42.30 3/2/23 9:32 41.32 1.56%
Trade id #142732141
Max drawdown($425)
Time12/20/22 0:00
Quant open250
Worst price40.60
Drawdown as % of equity-1.56%
($250)
Includes Typical Broker Commissions trade costs of $5.00
12/1/22 9:32 EMB ISHARES JPMORGAN USD EMERG MAR LONG 126 86.57 3/2/23 9:32 83.68 1.3%
Trade id #142732079
Max drawdown($366)
Time3/2/23 9:30
Quant open126
Worst price83.66
Drawdown as % of equity-1.30%
($367)
Includes Typical Broker Commissions trade costs of $2.52
10/3/22 10:02 SHV ISHARES BARCLAYS SHORT TREASUR LONG 256 109.84 12/1 9:30 109.84 0.08%
Trade id #142011235
Max drawdown($23)
Time11/1/22 0:00
Quant open256
Worst price109.75
Drawdown as % of equity-0.08%
($5)
Includes Typical Broker Commissions trade costs of $5.12
8/1/22 9:44 VTIP VANGUARD SHRT-TERM INFL-PROT S LONG 291 50.32 9/1 15:11 49.46 0.89%
Trade id #141251244
Max drawdown($253)
Time9/1/22 10:47
Quant open291
Worst price49.45
Drawdown as % of equity-0.89%
($256)
Includes Typical Broker Commissions trade costs of $5.82
8/1/22 9:43 IVV ISHARES CORE S&P 500 ETF LONG 27 412.52 9/1 15:11 397.14 1.94%
Trade id #141251221
Max drawdown($552)
Time9/1/22 11:04
Quant open27
Worst price392.06
Drawdown as % of equity-1.94%
($416)
Includes Typical Broker Commissions trade costs of $0.54
2/1/22 12:25 DBC INVESCO DB COMMODITY INDEX LONG 535 22.68 9/1 15:11 25.46 0.13%
Trade id #139196666
Max drawdown($37)
Time2/3/22 0:00
Quant open500
Worst price22.34
Drawdown as % of equity-0.13%
$1,473
Includes Typical Broker Commissions trade costs of $10.70
5/2/22 9:47 VTIP VANGUARD SHRT-TERM INFL-PROT S LONG 453 50.70 7/1 11:29 49.73 1.54%
Trade id #140332357
Max drawdown($448)
Time7/1/22 11:07
Quant open453
Worst price49.71
Drawdown as % of equity-1.54%
($449)
Includes Typical Broker Commissions trade costs of $9.06
3/1/22 9:37 IAU ISHARES GOLD TRUST LONG 324 36.48 6/1 9:33 35.10 2.43%
Trade id #139588554
Max drawdown($729)
Time5/13/22 0:00
Quant open324
Worst price34.23
Drawdown as % of equity-2.43%
($454)
Includes Typical Broker Commissions trade costs of $6.48
4/1/22 15:17 IVV ISHARES CORE S&P 500 ETF LONG 26 453.56 5/2 9:44 414.54 3.63%
Trade id #140002991
Max drawdown($1,106)
Time5/2/22 9:40
Quant open26
Worst price411.00
Drawdown as % of equity-3.63%
($1,016)
Includes Typical Broker Commissions trade costs of $0.52
3/2/22 9:31 VTIP VANGUARD SHRT-TERM INFL-PROT S LONG 550 51.89 4/1 15:16 51.09 1.45%
Trade id #139607600
Max drawdown($449)
Time4/1/22 11:09
Quant open330
Worst price50.52
Drawdown as % of equity-1.45%
($448)
Includes Typical Broker Commissions trade costs of $11.00
1/3/22 10:37 VTIP VANGUARD SHRT-TERM INFL-PROT S LONG 243 51.32 2/1 12:24 50.98 0.39%
Trade id #138790583
Max drawdown($111)
Time1/27/22 0:00
Quant open243
Worst price50.86
Drawdown as % of equity-0.39%
($88)
Includes Typical Broker Commissions trade costs of $4.86

Statistics

  • Strategy began
    9/11/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1287.68
  • Age
    43 months ago
  • What it trades
    Stocks
  • # Trades
    56
  • # Profitable
    24
  • % Profitable
    42.90%
  • Avg trade duration
    78.6 days
  • Max peak-to-valley drawdown
    20.11%
  • drawdown period
    March 08, 2022 - Jan 02, 2023
  • Annual Return (Compounded)
    5.1%
  • Avg win
    $575.78
  • Avg loss
    $329.75
  • Model Account Values (Raw)
  • Cash
    $13,433
  • Margin Used
    $0
  • Buying Power
    $15,133
  • Ratios
  • W:L ratio
    2.05:1
  • Sharpe Ratio
    0.29
  • Sortino Ratio
    0.41
  • Calmar Ratio
    0.552
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -37.87%
  • Correlation to SP500
    0.33490
  • Return Percent SP500 (cumu) during strategy life
    57.09%
  • Return Statistics
  • Ann Return (w trading costs)
    5.1%
  • Slump
  • Current Slump as Pcnt Equity
    11.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • 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)
    0.051%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    44.50%
  • Chance of 20% account loss
    11.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $328
  • Avg Win
    $579
  • Sum Trade PL (losers)
    $10,492.000
  • Age
  • Num Months filled monthly returns table
    43
  • Win / Loss
  • Sum Trade PL (winners)
    $13,894.000
  • # Winners
    24
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    3847
  • Win / Loss
  • # Losers
    32
  • % Winners
    42.9%
  • Frequency
  • Avg Position Time (mins)
    112830.00
  • Avg Position Time (hrs)
    1880.50
  • Avg Trade Length
    78.4 days
  • Last Trade Ago
    202
  • Leverage
  • Daily leverage (average)
    1.34
  • Daily leverage (max)
    1.90
  • Regression
  • Alpha
    0.00
  • Beta
    0.21
  • Treynor Index
    0.05
  • 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)
    -0.30
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    5.822
  • 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
    0.305
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.337
  • Hold-and-Hope Ratio
    0.188
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03792
  • SD
    0.10436
  • Sharpe ratio (Glass type estimate)
    0.36336
  • Sharpe ratio (Hedges UMVUE)
    0.35594
  • df
    37.00000
  • t
    0.64661
  • p
    0.26094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74356
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46032
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51749
  • Upside Potential Ratio
    2.23677
  • Upside part of mean
    0.16391
  • Downside part of mean
    -0.12599
  • Upside SD
    0.07318
  • Downside SD
    0.07328
  • N nonnegative terms
    24.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.08702
  • Mean of criterion
    0.03792
  • SD of predictor
    0.16310
  • SD of criterion
    0.10436
  • Covariance
    0.00779
  • r
    0.45743
  • b (slope, estimate of beta)
    0.29269
  • a (intercept, estimate of alpha)
    0.01245
  • Mean Square Error
    0.00885
  • DF error
    36.00000
  • t(b)
    3.08642
  • p(b)
    0.00194
  • t(a)
    0.23268
  • p(a)
    0.40867
  • Lowerbound of 95% confidence interval for beta
    0.10036
  • Upperbound of 95% confidence interval for beta
    0.48502
  • Lowerbound of 95% confidence interval for alpha
    -0.09607
  • Upperbound of 95% confidence interval for alpha
    0.12097
  • Treynor index (mean / b)
    0.12956
  • Jensen alpha (a)
    0.01245
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03248
  • SD
    0.10453
  • Sharpe ratio (Glass type estimate)
    0.31072
  • Sharpe ratio (Hedges UMVUE)
    0.30437
  • df
    37.00000
  • t
    0.55293
  • p
    0.29182
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79501
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41230
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79922
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40795
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43288
  • Upside Potential Ratio
    2.14496
  • Upside part of mean
    0.16094
  • Downside part of mean
    -0.12846
  • Upside SD
    0.07140
  • Downside SD
    0.07503
  • N nonnegative terms
    24.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.07338
  • Mean of criterion
    0.03248
  • SD of predictor
    0.16559
  • SD of criterion
    0.10453
  • Covariance
    0.00802
  • r
    0.46357
  • b (slope, estimate of beta)
    0.29263
  • a (intercept, estimate of alpha)
    0.01101
  • Mean Square Error
    0.00882
  • DF error
    36.00000
  • t(b)
    3.13908
  • p(b)
    0.00169
  • t(a)
    0.20685
  • p(a)
    0.41865
  • Lowerbound of 95% confidence interval for beta
    0.10357
  • Upperbound of 95% confidence interval for beta
    0.48170
  • Lowerbound of 95% confidence interval for alpha
    -0.09691
  • Upperbound of 95% confidence interval for alpha
    0.11892
  • Treynor index (mean / b)
    0.11099
  • Jensen alpha (a)
    0.01101
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04584
  • Expected Shortfall on VaR
    0.05774
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01984
  • Expected Shortfall on VaR
    0.04040
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.92926
  • Quartile 1
    0.99129
  • Median
    1.01225
  • Quartile 3
    1.02164
  • Maximum
    1.08026
  • Mean of quarter 1
    0.96496
  • Mean of quarter 2
    1.00315
  • Mean of quarter 3
    1.01745
  • Mean of quarter 4
    1.03735
  • Inter Quartile Range
    0.03036
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02632
  • Mean of outliers low
    0.92926
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02632
  • Mean of outliers high
    1.08026
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.16851
  • VaR(95%) (moments method)
    0.02478
  • Expected Shortfall (moments method)
    0.02486
  • Extreme Value Index (regression method)
    -0.74318
  • VaR(95%) (regression method)
    0.04402
  • Expected Shortfall (regression method)
    0.05034
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00518
  • Quartile 1
    0.03164
  • Median
    0.05810
  • Quartile 3
    0.08457
  • Maximum
    0.11103
  • Mean of quarter 1
    0.00518
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11103
  • Inter Quartile Range
    0.05293
  • 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)
    0.06655
  • Compounded annual return (geometric extrapolation)
    0.06225
  • Calmar ratio (compounded annual return / max draw down)
    0.56063
  • Compounded annual return / average of 25% largest draw downs
    0.56063
  • Compounded annual return / Expected Shortfall lognormal
    1.07805
  • 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
    0.05811
  • SD
    0.10732
  • Sharpe ratio (Glass type estimate)
    0.54144
  • Sharpe ratio (Hedges UMVUE)
    0.54095
  • df
    845.00000
  • t
    0.97293
  • p
    0.16543
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54974
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63231
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63198
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75821
  • Upside Potential Ratio
    8.57259
  • Upside part of mean
    0.65699
  • Downside part of mean
    -0.59889
  • Upside SD
    0.07513
  • Downside SD
    0.07664
  • N nonnegative terms
    450.00000
  • N negative terms
    396.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    846.00000
  • Mean of predictor
    0.12763
  • Mean of criterion
    0.05811
  • SD of predictor
    0.17903
  • SD of criterion
    0.10732
  • Covariance
    0.00647
  • r
    0.33698
  • b (slope, estimate of beta)
    0.20201
  • a (intercept, estimate of alpha)
    0.03200
  • Mean Square Error
    0.01022
  • DF error
    844.00000
  • t(b)
    10.39820
  • p(b)
    0.00000
  • t(a)
    0.57398
  • p(a)
    0.28307
  • Lowerbound of 95% confidence interval for beta
    0.16388
  • Upperbound of 95% confidence interval for beta
    0.24014
  • Lowerbound of 95% confidence interval for alpha
    -0.07822
  • Upperbound of 95% confidence interval for alpha
    0.14287
  • Treynor index (mean / b)
    0.28765
  • Jensen alpha (a)
    0.03233
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05234
  • SD
    0.10738
  • Sharpe ratio (Glass type estimate)
    0.48746
  • Sharpe ratio (Hedges UMVUE)
    0.48703
  • df
    845.00000
  • t
    0.87594
  • p
    0.19066
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60362
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60394
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57799
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67848
  • Upside Potential Ratio
    8.47911
  • Upside part of mean
    0.65413
  • Downside part of mean
    -0.60179
  • Upside SD
    0.07467
  • Downside SD
    0.07715
  • N nonnegative terms
    450.00000
  • N negative terms
    396.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    846.00000
  • Mean of predictor
    0.11156
  • Mean of criterion
    0.05234
  • SD of predictor
    0.17919
  • SD of criterion
    0.10738
  • Covariance
    0.00649
  • r
    0.33710
  • b (slope, estimate of beta)
    0.20200
  • a (intercept, estimate of alpha)
    0.02981
  • Mean Square Error
    0.01023
  • DF error
    844.00000
  • t(b)
    10.40230
  • p(b)
    0.00000
  • t(a)
    0.52911
  • p(a)
    0.29843
  • Lowerbound of 95% confidence interval for beta
    0.16388
  • Upperbound of 95% confidence interval for beta
    0.24011
  • Lowerbound of 95% confidence interval for alpha
    -0.08076
  • Upperbound of 95% confidence interval for alpha
    0.14037
  • Treynor index (mean / b)
    0.25912
  • Jensen alpha (a)
    0.02981
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01065
  • Expected Shortfall on VaR
    0.01339
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00504
  • Expected Shortfall on VaR
    0.01002
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    846.00000
  • Minimum
    0.97258
  • Quartile 1
    0.99732
  • Median
    1.00040
  • Quartile 3
    1.00400
  • Maximum
    1.02610
  • Mean of quarter 1
    0.99193
  • Mean of quarter 2
    0.99917
  • Mean of quarter 3
    1.00210
  • Mean of quarter 4
    1.00812
  • Inter Quartile Range
    0.00669
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.03546
  • Mean of outliers low
    0.98335
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.02482
  • Mean of outliers high
    1.01796
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07389
  • VaR(95%) (moments method)
    0.00687
  • Expected Shortfall (moments method)
    0.00915
  • Extreme Value Index (regression method)
    -0.14855
  • VaR(95%) (regression method)
    0.00799
  • Expected Shortfall (regression method)
    0.01052
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00051
  • Quartile 1
    0.00284
  • Median
    0.02469
  • Quartile 3
    0.03949
  • Maximum
    0.15132
  • Mean of quarter 1
    0.00112
  • Mean of quarter 2
    0.01262
  • Mean of quarter 3
    0.03032
  • Mean of quarter 4
    0.08065
  • Inter Quartile Range
    0.03665
  • 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
    0.08696
  • Mean of outliers high
    0.12787
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.01725
  • VaR(95%) (moments method)
    0.08478
  • Expected Shortfall (moments method)
    0.11173
  • Extreme Value Index (regression method)
    0.40050
  • VaR(95%) (regression method)
    0.10358
  • Expected Shortfall (regression method)
    0.18405
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09160
  • Compounded annual return (geometric extrapolation)
    0.08356
  • Calmar ratio (compounded annual return / max draw down)
    0.55218
  • Compounded annual return / average of 25% largest draw downs
    1.03602
  • Compounded annual return / Expected Shortfall lognormal
    6.24013
  • 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
    0.08780
  • SD
    0.09066
  • Sharpe ratio (Glass type estimate)
    0.96852
  • Sharpe ratio (Hedges UMVUE)
    0.96293
  • df
    130.00000
  • t
    0.68485
  • p
    0.47002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80759
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74102
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.73720
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45853
  • Upside Potential Ratio
    9.76801
  • Upside part of mean
    0.58803
  • Downside part of mean
    -0.50023
  • Upside SD
    0.06754
  • Downside SD
    0.06020
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34196
  • Mean of criterion
    0.08780
  • SD of predictor
    0.13539
  • SD of criterion
    0.09066
  • Covariance
    0.00638
  • r
    0.52004
  • b (slope, estimate of beta)
    0.34821
  • a (intercept, estimate of alpha)
    -0.03127
  • Mean Square Error
    0.00604
  • DF error
    129.00000
  • t(b)
    6.91508
  • p(b)
    0.18453
  • t(a)
    -0.28102
  • p(a)
    0.51575
  • Lowerbound of 95% confidence interval for beta
    0.24858
  • Upperbound of 95% confidence interval for beta
    0.44783
  • Lowerbound of 95% confidence interval for alpha
    -0.25142
  • Upperbound of 95% confidence interval for alpha
    0.18888
  • Treynor index (mean / b)
    0.25216
  • Jensen alpha (a)
    -0.03127
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08371
  • SD
    0.09056
  • Sharpe ratio (Glass type estimate)
    0.92437
  • Sharpe ratio (Hedges UMVUE)
    0.91903
  • df
    130.00000
  • t
    0.65363
  • p
    0.47138
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.85140
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.69676
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85503
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.69308
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38400
  • Upside Potential Ratio
    9.68385
  • Upside part of mean
    0.58571
  • Downside part of mean
    -0.50200
  • Upside SD
    0.06713
  • Downside SD
    0.06048
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33266
  • Mean of criterion
    0.08371
  • SD of predictor
    0.13492
  • SD of criterion
    0.09056
  • Covariance
    0.00636
  • r
    0.52022
  • b (slope, estimate of beta)
    0.34918
  • a (intercept, estimate of alpha)
    -0.03245
  • Mean Square Error
    0.00603
  • DF error
    129.00000
  • t(b)
    6.91842
  • p(b)
    0.18443
  • t(a)
    -0.29212
  • p(a)
    0.51637
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    0.24932
  • Upperbound of 95% confidence interval for beta
    0.44903
  • Lowerbound of 95% confidence interval for alpha
    -0.25221
  • Upperbound of 95% confidence interval for alpha
    0.18731
  • Treynor index (mean / b)
    0.23973
  • Jensen alpha (a)
    -0.03245
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00884
  • Expected Shortfall on VaR
    0.01116
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00427
  • Expected Shortfall on VaR
    0.00820
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98437
  • Quartile 1
    0.99775
  • Median
    1.00050
  • Quartile 3
    1.00387
  • Maximum
    1.02340
  • Mean of quarter 1
    0.99358
  • Mean of quarter 2
    0.99908
  • Mean of quarter 3
    1.00198
  • Mean of quarter 4
    1.00717
  • Inter Quartile Range
    0.00613
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.98525
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01956
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.57194
  • VaR(95%) (moments method)
    0.00578
  • Expected Shortfall (moments method)
    0.00664
  • Extreme Value Index (regression method)
    -0.21004
  • VaR(95%) (regression method)
    0.00674
  • Expected Shortfall (regression method)
    0.00867
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00115
  • Median
    0.00264
  • Quartile 3
    0.02253
  • Maximum
    0.05443
  • Mean of quarter 1
    0.00068
  • Mean of quarter 2
    0.00264
  • Mean of quarter 3
    0.02253
  • Mean of quarter 4
    0.05443
  • Inter Quartile Range
    0.02138
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -397404000
  • Max Equity Drawdown (num days)
    300
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11479
  • Compounded annual return (geometric extrapolation)
    0.11808
  • Calmar ratio (compounded annual return / max draw down)
    2.16936
  • Compounded annual return / average of 25% largest draw downs
    2.16936
  • Compounded annual return / Expected Shortfall lognormal
    10.58490

Strategy Description

Long-term trading. ETFs and individual stocks are used. In case a strong momentum is absent on the market, the SHY, VTIP or SHV positions open.
Open short positions are not allowed. Only long positions.
The portfolio is revised on the first working day of every month.
Martingale or its any variants are not allowed.
Stop losses are not placed. The portfolio is balanced in such a way that losses in one of the assets (stocks, bonds, gold) are usually compensated by another asset growth.
Must have margin account to enable swapping and avoid freeriding (T+2) restrictions.
If starting the system, enter any existing open positions.

Summary Statistics

Strategy began
2020-09-11
Suggested Minimum Capital
$15,000
# Trades
56
# Profitable
24
% Profitable
42.9%
Net Dividends
Correlation S&P500
0.335
Sharpe Ratio
0.29
Sortino Ratio
0.41
Beta
0.21
Alpha
0.00
Leverage
1.34 Average
1.90 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.