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

SystematicSwingStrategy
(138369670)

Created by: UCTrader UCTrader
Started: 11/2021
Stocks, Futures
Last trade: 219 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 $239.00 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).
7.2%
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.

(71.5%)
Max Drawdown
173
Num Trades
62.4%
Win Trades
1.2 : 1
Profit Factor
55.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                      +1.1%+4.8%+6.0%
2022+3.8%+1.3%+0.8%+3.6%+3.1%(0.2%)+10.2%+18.2%(5.1%)+10.1%(13.1%)(56.3%)(41.5%)
2023+28.4%(3.1%)+39.9%+0.8%+5.5%(9.2%)+8.8%+3.9%  -    -    -    -  +90.0%
2024  -    -    -                                                        0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 36 hours.

Trading Record

This strategy has placed 119 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/14/23 13:04 @MNQU3 MICRO E-MINI NASDAQ 100 LONG 6 15036.40 8/23 16:53 15241.50 9.58%
Trade id #145523794
Max drawdown($5,125)
Time8/18/23 0:00
Quant open6
Worst price14609.20
Drawdown as % of equity-9.58%
$2,455
Includes Typical Broker Commissions trade costs of $5.64
7/20/23 12:33 @MNQU3 MICRO E-MINI NASDAQ 100 LONG 10 15686.50 7/27 13:39 15771.37 7.74%
Trade id #145275502
Max drawdown($4,040)
Time7/24/23 0:00
Quant open10
Worst price15484.50
Drawdown as % of equity-7.74%
$1,688
Includes Typical Broker Commissions trade costs of $9.40
7/11/23 10:38 @MNQU3 MICRO E-MINI NASDAQ 100 LONG 5 15192.20 7/12 8:38 15411.70 0.67%
Trade id #145174071
Max drawdown($357)
Time7/11/23 14:36
Quant open5
Worst price15156.50
Drawdown as % of equity-0.67%
$2,190
Includes Typical Broker Commissions trade costs of $4.70
7/6/23 12:03 @MNQU3 MICRO E-MINI NASDAQ 100 LONG 5 15176.20 7/7 10:04 15276.00 0.15%
Trade id #145134629
Max drawdown($79)
Time7/6/23 12:14
Quant open5
Worst price15168.20
Drawdown as % of equity-0.15%
$993
Includes Typical Broker Commissions trade costs of $4.70
6/28/23 13:42 @MNQU3 MICRO E-MINI NASDAQ 100 LONG 10 15113.64 6/30 8:37 15209.03 3.34%
Trade id #145056962
Max drawdown($1,702)
Time6/29/23 0:00
Quant open10
Worst price15028.50
Drawdown as % of equity-3.34%
$1,899
Includes Typical Broker Commissions trade costs of $9.40
6/22/23 10:14 @MNQU3 MICRO E-MINI NASDAQ 100 SHORT 5 15128.00 6/23 9:42 15046.80 2.26%
Trade id #144997590
Max drawdown($1,100)
Time6/22/23 16:54
Quant open5
Worst price15238.00
Drawdown as % of equity-2.26%
$807
Includes Typical Broker Commissions trade costs of $4.70
6/16/23 15:08 @MNQU3 MICRO E-MINI NASDAQ 100 SHORT 10 15298.37 6/21 10:50 15052.92 1.16%
Trade id #144949576
Max drawdown($517)
Time6/16/23 15:35
Quant open10
Worst price15324.20
Drawdown as % of equity-1.16%
$4,900
Includes Typical Broker Commissions trade costs of $9.40
6/7/23 13:36 @MNQM3 MICRO E-MINI NASDAQ 100 SHORT 11 14643.38 6/16 15:08 15253.64 29.15%
Trade id #144863419
Max drawdown($13,652)
Time6/16/23 9:29
Quant open10
Worst price15326.00
Drawdown as % of equity-29.15%
($13,436)
Includes Typical Broker Commissions trade costs of $10.34
6/5/23 15:05 @MNQM3 MICRO E-MINI NASDAQ 100 SHORT 4 14561.50 6/5 15:05 14560.00 n/a $8
Includes Typical Broker Commissions trade costs of $3.76
6/2/23 9:58 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 4 14485.00 6/2 10:59 14584.50 0.21%
Trade id #144813276
Max drawdown($120)
Time6/2/23 10:01
Quant open4
Worst price14470.00
Drawdown as % of equity-0.21%
$792
Includes Typical Broker Commissions trade costs of $3.76
5/31/23 9:45 @MNQM3 MICRO E-MINI NASDAQ 100 SHORT 4 14379.50 5/31 10:25 14289.00 0.4%
Trade id #144788951
Max drawdown($228)
Time5/31/23 9:51
Quant open4
Worst price14408.00
Drawdown as % of equity-0.40%
$720
Includes Typical Broker Commissions trade costs of $3.76
5/25/23 9:35 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 4 13894.00 5/26 7:47 14040.00 0.62%
Trade id #144741703
Max drawdown($342)
Time5/25/23 9:51
Quant open4
Worst price13851.20
Drawdown as % of equity-0.62%
$1,164
Includes Typical Broker Commissions trade costs of $3.76
5/23/23 16:26 @MNQM3 MICRO E-MINI NASDAQ 100 SHORT 5 13726.20 5/24 10:53 13573.20 0.55%
Trade id #144724858
Max drawdown($295)
Time5/23/23 20:23
Quant open5
Worst price13755.80
Drawdown as % of equity-0.55%
$1,525
Includes Typical Broker Commissions trade costs of $4.70
3/27/23 9:50 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 9 12960.70 5/10 10:55 13294.36 7.7%
Trade id #144060874
Max drawdown($3,624)
Time3/28/23 0:00
Quant open6
Worst price12634.80
Drawdown as % of equity-7.70%
$5,998
Includes Typical Broker Commissions trade costs of $8.46
2/14/23 21:48 @MNQH3 MICRO E-MINI NASDAQ 100 LONG 10 12261.39 3/17 12:55 12523.10 23.66%
Trade id #143584998
Max drawdown($8,513)
Time3/2/23 0:00
Quant open7
Worst price11831.50
Drawdown as % of equity-23.66%
$5,225
Includes Typical Broker Commissions trade costs of $9.40
1/12/23 9:59 @MNQH3 MICRO E-MINI NASDAQ 100 LONG 5 11359.50 2/2 13:45 12561.75 1.54%
Trade id #143193187
Max drawdown($510)
Time1/19/23 0:00
Quant open5
Worst price11308.50
Drawdown as % of equity-1.54%
$12,018
Includes Typical Broker Commissions trade costs of $4.70
12/18/22 23:10 @NQH3 E-MINI NASDAQ 100 STK IDX SHORT 1 11370.50 1/6/23 11:00 10994.25 3.31%
Trade id #142918960
Max drawdown($810)
Time12/19/22 0:00
Quant open1
Worst price11411.00
Drawdown as % of equity-3.31%
$7,517
Includes Typical Broker Commissions trade costs of $8.00
12/7/22 10:27 TSLA TESLA INC. SHORT 75 172.81 12/20 9:37 145.59 1.39%
Trade id #142797775
Max drawdown($727)
Time12/9/22 0:00
Quant open75
Worst price182.50
Drawdown as % of equity-1.39%
$2,040
Includes Typical Broker Commissions trade costs of $1.50
12/13/22 8:35 @NQH3 E-MINI NASDAQ 100 STK IDX LONG 1 12192.00 12/15 10:52 11527.00 48.13%
Trade id #142856570
Max drawdown($13,440)
Time12/15/22 10:31
Quant open1
Worst price11520.00
Drawdown as % of equity-48.13%
($13,308)
Includes Typical Broker Commissions trade costs of $8.00
12/12/22 10:24 @NQH3 E-MINI NASDAQ 100 STK IDX SHORT 1 11689.00 12/13 8:30 12379.50 26.13%
Trade id #142846011
Max drawdown($13,000)
Time12/13/22 8:30
Quant open1
Worst price12339.00
Drawdown as % of equity-26.13%
($13,818)
Includes Typical Broker Commissions trade costs of $8.00
12/12/22 10:24 @MESH3 MICRO E-MINI S&P 500 SHORT 5 3979.00 12/13 8:30 4174.08 10.29%
Trade id #142846006
Max drawdown($5,118)
Time12/13/22 8:30
Quant open5
Worst price4183.75
Drawdown as % of equity-10.29%
($4,882)
Includes Typical Broker Commissions trade costs of $4.70
12/12/22 10:23 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 1 11684.00 12/12 10:24 11687.00 0.01%
Trade id #142845996
Max drawdown($6)
Time12/12/22 10:24
Quant open1
Worst price11687.00
Drawdown as % of equity-0.01%
($7)
Includes Typical Broker Commissions trade costs of $0.94
12/7/22 21:57 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 1 11472.25 12/12 10:22 11570.50 10.55%
Trade id #142807116
Max drawdown($5,515)
Time12/9/22 0:00
Quant open1
Worst price11748.00
Drawdown as % of equity-10.55%
($1,973)
Includes Typical Broker Commissions trade costs of $8.00
12/9/22 10:26 @MESZ2 MICRO E-MINI S&P 500 SHORT 5 3958.50 12/12 10:22 3945.50 0.99%
Trade id #142829162
Max drawdown($531)
Time12/9/22 11:52
Quant open5
Worst price3979.75
Drawdown as % of equity-0.99%
$320
Includes Typical Broker Commissions trade costs of $4.70
12/2/22 9:38 TSLA TESLA INC. LONG 75 194.51 12/7 10:27 172.79 2.87%
Trade id #142747837
Max drawdown($1,640)
Time12/7/22 10:27
Quant open75
Worst price172.64
Drawdown as % of equity-2.87%
($1,631)
Includes Typical Broker Commissions trade costs of $1.50
11/10/22 22:41 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 1 11630.75 12/7 7:37 11430.00 7.05%
Trade id #142528955
Max drawdown($4,165)
Time12/7/22 7:36
Quant open1
Worst price11422.50
Drawdown as % of equity-7.05%
($4,023)
Includes Typical Broker Commissions trade costs of $8.00
11/15/22 10:14 TSLA TESLA INC. SHORT 50 198.42 11/30 14:00 185.90 0.17%
Trade id #142569345
Max drawdown($120)
Time11/15/22 10:28
Quant open50
Worst price200.82
Drawdown as % of equity-0.17%
$625
Includes Typical Broker Commissions trade costs of $1.00
11/4/22 11:52 TSLA TESLA INC. SHORT 75 211.83 11/15 10:14 193.17 0.12%
Trade id #142444642
Max drawdown($89)
Time11/4/22 11:55
Quant open75
Worst price213.02
Drawdown as % of equity-0.12%
$1,399
Includes Typical Broker Commissions trade costs of $1.50
11/3/22 7:13 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 1 10845.75 11/10 22:41 11630.75 27.1%
Trade id #142422350
Max drawdown($16,785)
Time11/10/22 18:56
Quant open1
Worst price11685.00
Drawdown as % of equity-27.10%
($15,708)
Includes Typical Broker Commissions trade costs of $8.00
10/31/22 9:52 TSLA TESLA INC. LONG 50 224.89 11/4 11:50 212.90 0.97%
Trade id #142379252
Max drawdown($737)
Time11/3/22 0:00
Quant open50
Worst price210.14
Drawdown as % of equity-0.97%
($601)
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    11/28/2021
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    849.61
  • Age
    28 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    173
  • # Profitable
    108
  • % Profitable
    62.40%
  • Avg trade duration
    2.2 days
  • Max peak-to-valley drawdown
    71.48%
  • drawdown period
    Oct 26, 2022 - Dec 19, 2022
  • Annual Return (Compounded)
    7.2%
  • Avg win
    $1,045
  • Avg loss
    $1,500
  • Model Account Values (Raw)
  • Cash
    $65,361
  • Margin Used
    $0
  • Buying Power
    $65,361
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    0.29
  • Sortino Ratio
    0.38
  • Calmar Ratio
    0.233
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    4.09%
  • Correlation to SP500
    0.08340
  • Return Percent SP500 (cumu) during strategy life
    14.36%
  • Return Statistics
  • Ann Return (w trading costs)
    7.2%
  • Slump
  • Current Slump as Pcnt Equity
    41.60%
  • Instruments
  • Percent Trades Futures
    0.42%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.61%
  • 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)
    0.072%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.58%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    82.50%
  • Chance of 20% account loss
    63.00%
  • Chance of 30% account loss
    43.50%
  • Chance of 40% account loss
    24.50%
  • 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
    8.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,500
  • Avg Win
    $1,045
  • Sum Trade PL (losers)
    $97,517.000
  • Age
  • Num Months filled monthly returns table
    29
  • Win / Loss
  • Sum Trade PL (winners)
    $112,883.000
  • # Winners
    108
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    65
  • % Winners
    62.4%
  • Frequency
  • Avg Position Time (mins)
    3183.73
  • Avg Position Time (hrs)
    53.06
  • Avg Trade Length
    2.2 days
  • Last Trade Ago
    217
  • Leverage
  • Daily leverage (average)
    2.55
  • Daily leverage (max)
    12.63
  • Regression
  • Alpha
    0.04
  • Beta
    0.20
  • Treynor Index
    0.21
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.47
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    22.102
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    0.672
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.093
  • Hold-and-Hope Ratio
    0.045
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28847
  • SD
    0.51870
  • Sharpe ratio (Glass type estimate)
    0.55615
  • Sharpe ratio (Hedges UMVUE)
    0.53499
  • df
    20.00000
  • t
    0.73572
  • p
    0.41884
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94208
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95585
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02583
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72477
  • Upside Potential Ratio
    1.76354
  • Upside part of mean
    0.70192
  • Downside part of mean
    -0.41345
  • Upside SD
    0.32365
  • Downside SD
    0.39802
  • N nonnegative terms
    17.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    -0.04215
  • Mean of criterion
    0.28847
  • SD of predictor
    0.19257
  • SD of criterion
    0.51870
  • Covariance
    0.02877
  • r
    0.28801
  • b (slope, estimate of beta)
    0.77577
  • a (intercept, estimate of alpha)
    0.32117
  • Mean Square Error
    0.25971
  • DF error
    19.00000
  • t(b)
    1.31096
  • p(b)
    0.31921
  • t(a)
    0.83195
  • p(a)
    0.38135
  • Lowerbound of 95% confidence interval for beta
    -0.46279
  • Upperbound of 95% confidence interval for beta
    2.01434
  • Lowerbound of 95% confidence interval for alpha
    -0.48683
  • Upperbound of 95% confidence interval for alpha
    1.12917
  • Treynor index (mean / b)
    0.37185
  • Jensen alpha (a)
    0.32117
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12214
  • SD
    0.63280
  • Sharpe ratio (Glass type estimate)
    0.19301
  • Sharpe ratio (Hedges UMVUE)
    0.18566
  • df
    20.00000
  • t
    0.25533
  • p
    0.47150
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29213
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67343
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29705
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66837
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.22412
  • Upside Potential Ratio
    1.20120
  • Upside part of mean
    0.65462
  • Downside part of mean
    -0.53248
  • Upside SD
    0.29261
  • Downside SD
    0.54497
  • N nonnegative terms
    17.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    -0.05985
  • Mean of criterion
    0.12214
  • SD of predictor
    0.19302
  • SD of criterion
    0.63280
  • Covariance
    0.03320
  • r
    0.27178
  • b (slope, estimate of beta)
    0.89098
  • a (intercept, estimate of alpha)
    0.17546
  • Mean Square Error
    0.39038
  • DF error
    19.00000
  • t(b)
    1.23098
  • p(b)
    0.32914
  • t(a)
    0.36994
  • p(a)
    0.44623
  • Lowerbound of 95% confidence interval for beta
    -0.62395
  • Upperbound of 95% confidence interval for beta
    2.40592
  • Lowerbound of 95% confidence interval for alpha
    -0.81724
  • Upperbound of 95% confidence interval for alpha
    1.16815
  • Treynor index (mean / b)
    0.13708
  • Jensen alpha (a)
    0.17546
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.25195
  • Expected Shortfall on VaR
    0.30538
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03474
  • Expected Shortfall on VaR
    0.09769
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.49510
  • Quartile 1
    1.00651
  • Median
    1.05143
  • Quartile 3
    1.06291
  • Maximum
    1.31245
  • Mean of quarter 1
    0.88254
  • Mean of quarter 2
    1.03350
  • Mean of quarter 3
    1.05620
  • Mean of quarter 4
    1.16200
  • Inter Quartile Range
    0.05640
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09524
  • Mean of outliers low
    0.68667
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.21307
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.92009
  • VaR(95%) (regression method)
    0.23087
  • Expected Shortfall (regression method)
    3.81246
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03148
  • Quartile 1
    0.16490
  • Median
    0.29833
  • Quartile 3
    0.43176
  • Maximum
    0.56518
  • Mean of quarter 1
    0.03148
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.56518
  • Inter Quartile Range
    0.26685
  • 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)
    0.17158
  • Compounded annual return (geometric extrapolation)
    0.16188
  • Calmar ratio (compounded annual return / max draw down)
    0.28643
  • Compounded annual return / average of 25% largest draw downs
    0.28643
  • Compounded annual return / Expected Shortfall lognormal
    0.53010
  • 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
    0.22457
  • SD
    0.45535
  • Sharpe ratio (Glass type estimate)
    0.49318
  • Sharpe ratio (Hedges UMVUE)
    0.49240
  • df
    475.00000
  • t
    0.66475
  • p
    0.25327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96149
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94739
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96204
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94684
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66518
  • Upside Potential Ratio
    5.57598
  • Upside part of mean
    1.88249
  • Downside part of mean
    -1.65792
  • Upside SD
    0.30515
  • Downside SD
    0.33761
  • N nonnegative terms
    210.00000
  • N negative terms
    266.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    476.00000
  • Mean of predictor
    0.05750
  • Mean of criterion
    0.22457
  • SD of predictor
    0.21071
  • SD of criterion
    0.45535
  • Covariance
    0.00782
  • r
    0.08149
  • b (slope, estimate of beta)
    0.17610
  • a (intercept, estimate of alpha)
    0.21400
  • Mean Square Error
    0.20640
  • DF error
    474.00000
  • t(b)
    1.78011
  • p(b)
    0.03785
  • t(a)
    0.63614
  • p(a)
    0.26250
  • Lowerbound of 95% confidence interval for beta
    -0.01829
  • Upperbound of 95% confidence interval for beta
    0.37049
  • Lowerbound of 95% confidence interval for alpha
    -0.44796
  • Upperbound of 95% confidence interval for alpha
    0.87684
  • Treynor index (mean / b)
    1.27523
  • Jensen alpha (a)
    0.21444
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11662
  • SD
    0.47071
  • Sharpe ratio (Glass type estimate)
    0.24775
  • Sharpe ratio (Hedges UMVUE)
    0.24736
  • df
    475.00000
  • t
    0.33394
  • p
    0.36929
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20654
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70184
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20683
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70155
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31777
  • Upside Potential Ratio
    5.00829
  • Upside part of mean
    1.83798
  • Downside part of mean
    -1.72136
  • Upside SD
    0.29407
  • Downside SD
    0.36699
  • N nonnegative terms
    210.00000
  • N negative terms
    266.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    476.00000
  • Mean of predictor
    0.03535
  • Mean of criterion
    0.11662
  • SD of predictor
    0.21065
  • SD of criterion
    0.47071
  • Covariance
    0.00780
  • r
    0.07866
  • b (slope, estimate of beta)
    0.17578
  • a (intercept, estimate of alpha)
    0.11041
  • Mean Square Error
    0.22066
  • DF error
    474.00000
  • t(b)
    1.71788
  • p(b)
    0.04324
  • t(a)
    0.31678
  • p(a)
    0.37578
  • Lowerbound of 95% confidence interval for beta
    -0.02528
  • Upperbound of 95% confidence interval for beta
    0.37683
  • Lowerbound of 95% confidence interval for alpha
    -0.57444
  • Upperbound of 95% confidence interval for alpha
    0.79525
  • Treynor index (mean / b)
    0.66346
  • Jensen alpha (a)
    0.11041
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04628
  • Expected Shortfall on VaR
    0.05775
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01519
  • Expected Shortfall on VaR
    0.03391
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    476.00000
  • Minimum
    0.74442
  • Quartile 1
    0.99665
  • Median
    1.00000
  • Quartile 3
    1.00485
  • Maximum
    1.14502
  • Mean of quarter 1
    0.97554
  • Mean of quarter 2
    0.99939
  • Mean of quarter 3
    1.00193
  • Mean of quarter 4
    1.02700
  • Inter Quartile Range
    0.00820
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.11345
  • Mean of outliers low
    0.95531
  • Number of outliers high
    60.00000
  • Percentage of outliers high
    0.12605
  • Mean of outliers high
    1.04449
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.81621
  • VaR(95%) (moments method)
    0.01975
  • Expected Shortfall (moments method)
    0.11949
  • Extreme Value Index (regression method)
    0.47043
  • VaR(95%) (regression method)
    0.01939
  • Expected Shortfall (regression method)
    0.04620
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00052
  • Median
    0.00748
  • Quartile 3
    0.01946
  • Maximum
    0.66873
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00328
  • Mean of quarter 3
    0.01177
  • Mean of quarter 4
    0.16816
  • Inter Quartile Range
    0.01894
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.17391
  • Mean of outliers high
    0.24044
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.01582
  • VaR(95%) (moments method)
    0.14104
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.79555
  • VaR(95%) (regression method)
    0.20910
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16528
  • Compounded annual return (geometric extrapolation)
    0.15549
  • Calmar ratio (compounded annual return / max draw down)
    0.23252
  • Compounded annual return / average of 25% largest draw downs
    0.92466
  • Compounded annual return / Expected Shortfall lognormal
    2.69262
  • 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
    0.25153
  • SD
    0.24079
  • Sharpe ratio (Glass type estimate)
    1.04459
  • Sharpe ratio (Hedges UMVUE)
    1.03855
  • df
    130.00000
  • t
    0.73864
  • p
    0.46768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73206
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81737
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73613
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.81323
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50852
  • Upside Potential Ratio
    7.53782
  • Upside part of mean
    1.25684
  • Downside part of mean
    -1.00531
  • Upside SD
    0.17314
  • Downside SD
    0.16674
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.46427
  • Mean of criterion
    0.25153
  • SD of predictor
    0.15871
  • SD of criterion
    0.24079
  • Covariance
    0.00425
  • r
    0.11110
  • b (slope, estimate of beta)
    0.16856
  • a (intercept, estimate of alpha)
    0.17327
  • Mean Square Error
    0.05771
  • DF error
    129.00000
  • t(b)
    1.26974
  • p(b)
    0.42942
  • t(a)
    0.50183
  • p(a)
    0.47191
  • Lowerbound of 95% confidence interval for beta
    -0.09409
  • Upperbound of 95% confidence interval for beta
    0.43121
  • Lowerbound of 95% confidence interval for alpha
    -0.50987
  • Upperbound of 95% confidence interval for alpha
    0.85641
  • Treynor index (mean / b)
    1.49221
  • Jensen alpha (a)
    0.17327
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22250
  • SD
    0.24162
  • Sharpe ratio (Glass type estimate)
    0.92087
  • Sharpe ratio (Hedges UMVUE)
    0.91555
  • df
    130.00000
  • t
    0.65115
  • p
    0.47149
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.85489
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.69325
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85849
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.68959
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30433
  • Upside Potential Ratio
    7.28085
  • Upside part of mean
    1.24204
  • Downside part of mean
    -1.01953
  • Upside SD
    0.17037
  • Downside SD
    0.17059
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.45143
  • Mean of criterion
    0.22250
  • SD of predictor
    0.15768
  • SD of criterion
    0.24162
  • Covariance
    0.00426
  • r
    0.11192
  • b (slope, estimate of beta)
    0.17150
  • a (intercept, estimate of alpha)
    0.14508
  • Mean Square Error
    0.05810
  • DF error
    129.00000
  • t(b)
    1.27920
  • p(b)
    0.42890
  • t(a)
    0.41907
  • p(a)
    0.47653
  • VAR (95 Confidence Intrvl)
    0.04600
  • Lowerbound of 95% confidence interval for beta
    -0.09376
  • Upperbound of 95% confidence interval for beta
    0.43676
  • Lowerbound of 95% confidence interval for alpha
    -0.53989
  • Upperbound of 95% confidence interval for alpha
    0.83006
  • Treynor index (mean / b)
    1.29740
  • Jensen alpha (a)
    0.14508
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02343
  • Expected Shortfall on VaR
    0.02948
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01040
  • Expected Shortfall on VaR
    0.02176
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92796
  • Quartile 1
    0.99906
  • Median
    1.00000
  • Quartile 3
    1.00666
  • Maximum
    1.05331
  • Mean of quarter 1
    0.98507
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00119
  • Mean of quarter 4
    1.01804
  • Inter Quartile Range
    0.00760
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.97495
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.02951
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.71599
  • VaR(95%) (moments method)
    0.00518
  • Expected Shortfall (moments method)
    0.00599
  • Extreme Value Index (regression method)
    -0.03101
  • VaR(95%) (regression method)
    0.01646
  • Expected Shortfall (regression method)
    0.02549
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00823
  • Quartile 1
    0.02695
  • Median
    0.04030
  • Quartile 3
    0.08465
  • Maximum
    0.19634
  • Mean of quarter 1
    0.00823
  • Mean of quarter 2
    0.03318
  • Mean of quarter 3
    0.04742
  • Mean of quarter 4
    0.19634
  • Inter Quartile Range
    0.05771
  • 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
    0.19634
  • 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?
    -417995000
  • Max Equity Drawdown (num days)
    54
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26676
  • Compounded annual return (geometric extrapolation)
    0.28455
  • Calmar ratio (compounded annual return / max draw down)
    1.44926
  • Compounded annual return / average of 25% largest draw downs
    1.44926
  • Compounded annual return / Expected Shortfall lognormal
    9.65133

Strategy Description

Swing Trading Strategy using TSLA, /NQ (E-mini NASDAQ Futures and Micro E-mini NASDAQ Futures), and /ES (E-mini SP&P 500 and Micro E-mini S&P 500 Futures) contracts as the trading instrument to capture swings in the market. Entries are based on higher time frame chart after trend confirmation using key support and resistance levels. Over time, I will introduce more tickers.

Summary Statistics

Strategy began
2021-11-28
Suggested Minimum Capital
$40,000
# Trades
173
# Profitable
108
% Profitable
62.4%
Correlation S&P500
0.083
Sharpe Ratio
0.29
Sortino Ratio
0.38
Beta
0.20
Alpha
0.04
Leverage
2.55 Average
12.63 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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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.