Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

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

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

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

Okay, no problem

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

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

Got it

Later

You can find it here.

Got it

Video Saved for Later

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

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

TopChasing
(140379284)

Created by: TopChasing TopChasing
Started: 05/2022
Stocks
Last trade: 571 days ago
Trading style: Equity Trend-following

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $188.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
-6.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(95.0%)
Max Drawdown
725
Num Trades
61.1%
Win Trades
1.0 : 1
Profit Factor
26.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +251.8%+44.4%+5.8%+0.9%(11.3%)(18.3%)+11.7%+20.1%+427.8%
2023+3.8%+1.3%(12.8%)(82.7%)  -    -    -    -    -    -    -    -  (84.1%)
2024  -    -    -    -    -    -    -    -    -    -              

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 one hour.

Trading Record

This strategy has placed 1,298 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 572 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/12/23 10:02 GFAI GUARDFORCE AI CO. LIMITED SHORT 3,000 23.46 4/12 15:46 31.59 1140.87%
Trade id #144268926
Max drawdown($32,275)
Time4/12/23 15:35
Quant open2,837
Worst price34.84
Drawdown as % of equity-1140.87%
($24,400)
Includes Typical Broker Commissions trade costs of $9.13
4/11/23 10:13 COIN COINBASE GLOBAL INC. CLASS A SHORT 1,000 71.38 4/11 15:46 69.62 2.58%
Trade id #144251677
Max drawdown($803)
Time4/11/23 12:12
Quant open1,000
Worst price72.18
Drawdown as % of equity-2.58%
$1,743
Includes Typical Broker Commissions trade costs of $12.50
4/11/23 9:49 ZIM ZIM INTEGRATED SHIPPING SERVICES LTD SHORT 2,000 18.86 4/11 10:35 19.58 4.73%
Trade id #144251084
Max drawdown($1,512)
Time4/11/23 10:30
Quant open2,000
Worst price19.62
Drawdown as % of equity-4.73%
($1,430)
Includes Typical Broker Commissions trade costs of $5.00
4/11/23 9:52 FSLY FASTLY INC SHORT 2,000 16.71 4/11 9:56 16.55 n/a $328
Includes Typical Broker Commissions trade costs of $5.00
4/11/23 9:42 KMX CARMAX SHORT 600 70.92 4/11 9:44 70.86 n/a $32
Includes Typical Broker Commissions trade costs of $5.00
4/10/23 10:45 CNK CINEMARK HOLDINGS SHORT 2,000 16.49 4/10 11:06 16.34 0.47%
Trade id #144240347
Max drawdown($149)
Time4/10/23 10:49
Quant open2,000
Worst price16.57
Drawdown as % of equity-0.47%
$286
Includes Typical Broker Commissions trade costs of $5.00
4/10/23 9:53 WDC WESTERN DIGITAL SHORT 1,000 37.95 4/10 10:28 37.69 1.17%
Trade id #144239335
Max drawdown($370)
Time4/10/23 10:10
Quant open1,000
Worst price38.32
Drawdown as % of equity-1.17%
$252
Includes Typical Broker Commissions trade costs of $5.00
4/6/23 11:03 GFAI GUARDFORCE AI CO. LIMITED SHORT 4,000 14.81 4/6 12:14 14.55 9.15%
Trade id #144212107
Max drawdown($2,740)
Time4/6/23 11:16
Quant open4,000
Worst price15.50
Drawdown as % of equity-9.15%
$1,048
Includes Typical Broker Commissions trade costs of $12.50
4/6/23 9:55 GFAI GUARDFORCE AI CO. LIMITED SHORT 6,000 12.84 4/6 10:58 15.34 36.25%
Trade id #144210403
Max drawdown($15,940)
Time4/6/23 10:58
Quant open6,000
Worst price15.50
Drawdown as % of equity-36.25%
($14,990)
Includes Typical Broker Commissions trade costs of $10.00
4/6/23 9:51 GFAI GUARDFORCE AI CO. LIMITED LONG 3,000 13.28 4/6 9:55 12.40 6.11%
Trade id #144210314
Max drawdown($2,940)
Time4/6/23 9:55
Quant open3,000
Worst price12.30
Drawdown as % of equity-6.11%
($2,645)
Includes Typical Broker Commissions trade costs of $5.00
3/31/23 11:40 AI C3.AI INC SHORT 3,400 31.36 3/31 15:46 33.06 14.19%
Trade id #144129671
Max drawdown($6,820)
Time3/31/23 15:28
Quant open3,400
Worst price33.37
Drawdown as % of equity-14.19%
($5,796)
Includes Typical Broker Commissions trade costs of $12.00
3/31/23 10:15 UPST UPSTART HOLDINGS INC. COMMON STOCK SHORT 5,000 15.48 3/31 11:42 15.66 2.95%
Trade id #144128247
Max drawdown($1,600)
Time3/31/23 11:35
Quant open5,000
Worst price15.80
Drawdown as % of equity-2.95%
($928)
Includes Typical Broker Commissions trade costs of $7.50
3/31/23 10:41 PATH UIPATH INC SHORT 2,000 17.78 3/31 11:40 17.97 0.73%
Trade id #144128746
Max drawdown($390)
Time3/31/23 11:40
Quant open2,000
Worst price17.98
Drawdown as % of equity-0.73%
($385)
Includes Typical Broker Commissions trade costs of $5.00
3/30/23 11:16 EBS EMERGENT BIOSOLUTIONS SHORT 5,000 10.44 3/30 12:38 10.30 2.64%
Trade id #144116085
Max drawdown($1,440)
Time3/30/23 11:44
Quant open5,000
Worst price10.73
Drawdown as % of equity-2.64%
$703
Includes Typical Broker Commissions trade costs of $7.50
3/30/23 10:10 PDD PINDUODUO INC. ADS SHORT 700 77.51 3/30 10:23 76.43 n/a $754
Includes Typical Broker Commissions trade costs of $5.00
3/29/23 11:02 CALM CAL-MAINE FOODS SHORT 500 60.40 3/29 11:57 59.50 0.11%
Trade id #144104258
Max drawdown($57)
Time3/29/23 11:31
Quant open500
Worst price60.52
Drawdown as % of equity-0.11%
$441
Includes Typical Broker Commissions trade costs of $10.00
3/29/23 11:28 ENVX ENOVIX CORP SHORT 1,500 13.02 3/29 11:36 13.19 0.49%
Trade id #144104637
Max drawdown($266)
Time3/29/23 11:36
Quant open1,500
Worst price13.20
Drawdown as % of equity-0.49%
($261)
Includes Typical Broker Commissions trade costs of $5.00
3/29/23 10:01 RIVN RIVIAN AUTOMOTIVE INC. CLASS A SHORT 6,000 14.01 3/29 10:49 13.80 1.94%
Trade id #144103047
Max drawdown($999)
Time3/29/23 10:17
Quant open6,000
Worst price14.18
Drawdown as % of equity-1.94%
$1,273
Includes Typical Broker Commissions trade costs of $7.50
3/29/23 9:46 MU MICRON TECHNOLOGY SHORT 1,000 63.97 3/29 9:56 63.00 0.18%
Trade id #144102564
Max drawdown($93)
Time3/29/23 9:49
Quant open1,000
Worst price64.06
Drawdown as % of equity-0.18%
$962
Includes Typical Broker Commissions trade costs of $5.00
3/28/23 10:16 BA BOEING SHORT 400 205.60 3/28 12:00 206.28 0.54%
Trade id #144091855
Max drawdown($280)
Time3/28/23 12:00
Quant open400
Worst price206.30
Drawdown as % of equity-0.54%
($279)
Includes Typical Broker Commissions trade costs of $8.00
3/24/23 9:49 TZA DIREXION DAILY SMALL CAP BEAR LONG 1,000 37.48 3/24 9:59 36.78 1.55%
Trade id #144024706
Max drawdown($813)
Time3/24/23 9:59
Quant open1,000
Worst price36.67
Drawdown as % of equity-1.55%
($710)
Includes Typical Broker Commissions trade costs of $5.00
3/24/23 9:35 ETNB 89BIO INC. LONG 2,000 18.00 3/24 9:52 16.60 5.52%
Trade id #144024243
Max drawdown($2,900)
Time3/24/23 9:52
Quant open2,000
Worst price16.55
Drawdown as % of equity-5.52%
($2,805)
Includes Typical Broker Commissions trade costs of $5.00
3/23/23 12:00 AMD ADVANCED MICRO DEVICES INC. C LONG 200 101.77 3/23 14:41 99.00 1.05%
Trade id #144014301
Max drawdown($566)
Time3/23/23 14:41
Quant open200
Worst price98.94
Drawdown as % of equity-1.05%
($559)
Includes Typical Broker Commissions trade costs of $4.00
3/23/23 10:31 AMD ADVANCED MICRO DEVICES INC. C LONG 600 101.18 3/23 11:17 102.33 0.15%
Trade id #144012079
Max drawdown($82)
Time3/23/23 10:37
Quant open600
Worst price101.04
Drawdown as % of equity-0.15%
$685
Includes Typical Broker Commissions trade costs of $8.50
3/22/23 20:08: Rescaled downward to 50% of previous Model Account size
3/22/23 20:07: Rescaled downward to 40% of previous Model Account size
3/22/23 10:19 NVDA NVIDIA LONG 40 268.95 3/22 14:46 274.93 0.04%
Trade id #143992699
Max drawdown($23)
Time3/22/23 10:25
Quant open40
Worst price268.36
Drawdown as % of equity-0.04%
$238
Includes Typical Broker Commissions trade costs of $0.80
3/21/23 10:44 GOOGL ALPHABET INC CLASS A LONG 80 102.85 3/21 15:00 104.46 0.02%
Trade id #143978052
Max drawdown($12)
Time3/21/23 10:58
Quant open16
Worst price102.08
Drawdown as % of equity-0.02%
$126
Includes Typical Broker Commissions trade costs of $1.60
3/20/23 11:33 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 300 8.45 3/21 15:00 9.05 0.02%
Trade id #143967191
Max drawdown($13)
Time3/20/23 12:13
Quant open60
Worst price8.23
Drawdown as % of equity-0.02%
$174
Includes Typical Broker Commissions trade costs of $6.00
3/17/23 11:07 NEM NEWMONT CORP SHORT 200 47.86 3/17 11:44 48.15 0.02%
Trade id #143946404
Max drawdown($11)
Time3/17/23 11:44
Quant open40
Worst price48.15
Drawdown as % of equity-0.02%
($61)
Includes Typical Broker Commissions trade costs of $4.00
3/17/23 10:12 NVDA NVIDIA LONG 80 262.58 3/17 11:06 258.28 0.14%
Trade id #143944685
Max drawdown($80)
Time3/17/23 10:53
Quant open16
Worst price257.54
Drawdown as % of equity-0.14%
($346)
Includes Typical Broker Commissions trade costs of $1.60
3/17/23 10:08 MSFT MICROSOFT LONG 60 282.06 3/17 10:11 282.43 0%
Trade id #143944552
Max drawdown($0)
Time3/17/23 10:11
Quant open12
Worst price282.00
Drawdown as % of equity-0.00%
$21
Includes Typical Broker Commissions trade costs of $1.20

Statistics

  • Strategy began
    5/5/2022
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    903.71
  • Age
    30 months ago
  • What it trades
    Stocks
  • # Trades
    725
  • # Profitable
    443
  • % Profitable
    61.10%
  • Avg trade duration
    1.7 hours
  • Max peak-to-valley drawdown
    95.02%
  • drawdown period
    July 21, 2022 - April 12, 2023
  • Annual Return (Compounded)
    -6.9%
  • Avg win
    $341.09
  • Avg loss
    $524.51
  • Model Account Values (Raw)
  • Cash
    $13,200
  • Margin Used
    $0
  • Buying Power
    $13,200
  • Ratios
  • W:L ratio
    1.02:1
  • Sharpe Ratio
    0.22
  • Sortino Ratio
    0.26
  • Calmar Ratio
    0.373
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -56.30%
  • Correlation to SP500
    0.06170
  • Return Percent SP500 (cumu) during strategy life
    38.15%
  • Return Statistics
  • Ann Return (w trading costs)
    -6.9%
  • Slump
  • Current Slump as Pcnt Equity
    576.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • 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)
    -0.069%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    89.50%
  • Chance of 20% account loss
    74.50%
  • Chance of 30% account loss
    69.00%
  • Chance of 40% account loss
    62.00%
  • Chance of 60% account loss (Monte Carlo)
    32.00%
  • Chance of 70% account loss (Monte Carlo)
    22.50%
  • Chance of 80% account loss (Monte Carlo)
    4.50%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    1.16%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    44.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $525
  • Avg Win
    $341
  • Sum Trade PL (losers)
    $147,912.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $151,104.000
  • # Winners
    443
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    282
  • % Winners
    61.1%
  • Frequency
  • Avg Position Time (mins)
    104.98
  • Avg Position Time (hrs)
    1.75
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    562
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    3.73
  • Regression
  • Alpha
    0.03
  • Beta
    0.22
  • Treynor Index
    0.20
  • 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)
    0.06
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -3.916
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.280
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.612
  • Hold-and-Hope Ratio
    -0.255
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.74002
  • SD
    3.64893
  • Sharpe ratio (Glass type estimate)
    0.75091
  • Sharpe ratio (Hedges UMVUE)
    0.70281
  • df
    12.00000
  • t
    0.78157
  • p
    0.38996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64225
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20114
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60676
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.64323
  • Upside Potential Ratio
    5.22615
  • Upside part of mean
    3.93051
  • Downside part of mean
    -1.19049
  • Upside SD
    3.51433
  • Downside SD
    0.75208
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.20283
  • Mean of criterion
    2.74002
  • SD of predictor
    0.27216
  • SD of criterion
    3.64893
  • Covariance
    -0.07954
  • r
    -0.08010
  • b (slope, estimate of beta)
    -1.07391
  • a (intercept, estimate of alpha)
    2.95783
  • Mean Square Error
    14.43200
  • DF error
    11.00000
  • t(b)
    -0.26651
  • p(b)
    0.60261
  • t(a)
    0.79080
  • p(a)
    0.22289
  • Lowerbound of 95% confidence interval for beta
    -9.94285
  • Upperbound of 95% confidence interval for beta
    7.79503
  • Lowerbound of 95% confidence interval for alpha
    -5.27449
  • Upperbound of 95% confidence interval for alpha
    11.19020
  • Treynor index (mean / b)
    -2.55143
  • Jensen alpha (a)
    2.95783
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24241
  • SD
    1.98471
  • Sharpe ratio (Glass type estimate)
    0.12214
  • Sharpe ratio (Hedges UMVUE)
    0.11432
  • df
    12.00000
  • t
    0.12713
  • p
    0.48166
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76404
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00337
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76931
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99794
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20553
  • Upside Potential Ratio
    1.64448
  • Upside part of mean
    1.93963
  • Downside part of mean
    -1.69721
  • Upside SD
    1.49993
  • Downside SD
    1.17948
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.16975
  • Mean of criterion
    0.24241
  • SD of predictor
    0.25493
  • SD of criterion
    1.98471
  • Covariance
    -0.02623
  • r
    -0.05185
  • b (slope, estimate of beta)
    -0.40365
  • a (intercept, estimate of alpha)
    0.31093
  • Mean Square Error
    4.28561
  • DF error
    11.00000
  • t(b)
    -0.17219
  • p(b)
    0.56679
  • t(a)
    0.15329
  • p(a)
    0.44047
  • Lowerbound of 95% confidence interval for beta
    -5.56325
  • Upperbound of 95% confidence interval for beta
    4.75595
  • Lowerbound of 95% confidence interval for alpha
    -4.15349
  • Upperbound of 95% confidence interval for alpha
    4.77536
  • Treynor index (mean / b)
    -0.60055
  • Jensen alpha (a)
    0.31093
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.60235
  • Expected Shortfall on VaR
    0.68053
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.21565
  • Expected Shortfall on VaR
    0.44045
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.31935
  • Quartile 1
    0.91221
  • Median
    1.01962
  • Quartile 3
    1.08568
  • Maximum
    4.64589
  • Mean of quarter 1
    0.68065
  • Mean of quarter 2
    1.00710
  • Mean of quarter 3
    1.06635
  • Mean of quarter 4
    2.35189
  • Inter Quartile Range
    0.17347
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.31935
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    4.64589
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.77026
  • VaR(95%) (moments method)
    0.26417
  • Expected Shortfall (moments method)
    0.27223
  • Extreme Value Index (regression method)
    0.16638
  • VaR(95%) (regression method)
    0.62329
  • Expected Shortfall (regression method)
    1.04786
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.26881
  • Quartile 1
    0.39656
  • Median
    0.52431
  • Quartile 3
    0.65206
  • Maximum
    0.77981
  • Mean of quarter 1
    0.26881
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.77981
  • Inter Quartile Range
    0.25550
  • 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)
    0.31406
  • Compounded annual return (geometric extrapolation)
    0.31038
  • Calmar ratio (compounded annual return / max draw down)
    0.39802
  • Compounded annual return / average of 25% largest draw downs
    0.39802
  • Compounded annual return / Expected Shortfall lognormal
    0.45609
  • 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
    0.58356
  • SD
    0.76782
  • Sharpe ratio (Glass type estimate)
    0.76002
  • Sharpe ratio (Hedges UMVUE)
    0.75812
  • df
    299.00000
  • t
    0.81327
  • p
    0.20835
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07325
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59204
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59075
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95431
  • Upside Potential Ratio
    4.08293
  • Upside part of mean
    2.49671
  • Downside part of mean
    -1.91315
  • Upside SD
    0.46362
  • Downside SD
    0.61150
  • N nonnegative terms
    138.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    300.00000
  • Mean of predictor
    0.28019
  • Mean of criterion
    0.58356
  • SD of predictor
    0.24064
  • SD of criterion
    0.76782
  • Covariance
    0.01219
  • r
    0.06595
  • b (slope, estimate of beta)
    0.21044
  • a (intercept, estimate of alpha)
    0.52500
  • Mean Square Error
    0.58895
  • DF error
    298.00000
  • t(b)
    1.14103
  • p(b)
    0.12739
  • t(a)
    0.72958
  • p(a)
    0.23311
  • Lowerbound of 95% confidence interval for beta
    -0.15251
  • Upperbound of 95% confidence interval for beta
    0.57339
  • Lowerbound of 95% confidence interval for alpha
    -0.89044
  • Upperbound of 95% confidence interval for alpha
    1.93964
  • Treynor index (mean / b)
    2.77307
  • Jensen alpha (a)
    0.52460
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22785
  • SD
    0.89358
  • Sharpe ratio (Glass type estimate)
    0.25498
  • Sharpe ratio (Hedges UMVUE)
    0.25434
  • df
    299.00000
  • t
    0.27285
  • p
    0.39258
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57698
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08652
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57740
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08608
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29276
  • Upside Potential Ratio
    3.08045
  • Upside part of mean
    2.39737
  • Downside part of mean
    -2.16953
  • Upside SD
    0.43628
  • Downside SD
    0.77826
  • N nonnegative terms
    138.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    300.00000
  • Mean of predictor
    0.25125
  • Mean of criterion
    0.22785
  • SD of predictor
    0.24016
  • SD of criterion
    0.89358
  • Covariance
    0.00975
  • r
    0.04545
  • b (slope, estimate of beta)
    0.16912
  • a (intercept, estimate of alpha)
    0.18535
  • Mean Square Error
    0.79951
  • DF error
    298.00000
  • t(b)
    0.78546
  • p(b)
    0.21640
  • t(a)
    0.22136
  • p(a)
    0.41248
  • Lowerbound of 95% confidence interval for beta
    -0.25461
  • Upperbound of 95% confidence interval for beta
    0.59285
  • Lowerbound of 95% confidence interval for alpha
    -1.46253
  • Upperbound of 95% confidence interval for alpha
    1.83323
  • Treynor index (mean / b)
    1.34723
  • Jensen alpha (a)
    0.18535
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08601
  • Expected Shortfall on VaR
    0.10667
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01687
  • Expected Shortfall on VaR
    0.03979
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    300.00000
  • Minimum
    0.50863
  • Quartile 1
    0.99905
  • Median
    1.00000
  • Quartile 3
    1.00416
  • Maximum
    1.20954
  • Mean of quarter 1
    0.97111
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00183
  • Mean of quarter 4
    1.03648
  • Inter Quartile Range
    0.00511
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.09667
  • Mean of outliers low
    0.93154
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.15667
  • Mean of outliers high
    1.05431
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.49649
  • VaR(95%) (moments method)
    0.01613
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.10726
  • VaR(95%) (regression method)
    0.01477
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00214
  • Median
    0.01344
  • Quartile 3
    0.06362
  • Maximum
    0.78048
  • Mean of quarter 1
    0.00072
  • Mean of quarter 2
    0.00639
  • Mean of quarter 3
    0.05276
  • Mean of quarter 4
    0.39955
  • Inter Quartile Range
    0.06148
  • 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
    0.15385
  • Mean of outliers high
    0.54124
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.05473
  • VaR(95%) (moments method)
    0.22149
  • Expected Shortfall (moments method)
    0.33532
  • Extreme Value Index (regression method)
    0.94087
  • VaR(95%) (regression method)
    0.70215
  • Expected Shortfall (regression method)
    13.30820
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29714
  • Compounded annual return (geometric extrapolation)
    0.29143
  • Calmar ratio (compounded annual return / max draw down)
    0.37340
  • Compounded annual return / average of 25% largest draw downs
    0.72940
  • Compounded annual return / Expected Shortfall lognormal
    2.73220
  • 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
    -2.36420
  • SD
    0.88245
  • Sharpe ratio (Glass type estimate)
    -2.67914
  • Sharpe ratio (Hedges UMVUE)
    -2.66365
  • df
    130.00000
  • t
    -1.89444
  • p
    0.58195
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.46491
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.11671
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.45430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12700
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.65922
  • Upside Potential Ratio
    0.36892
  • Upside part of mean
    0.32799
  • Downside part of mean
    -2.69219
  • Upside SD
    0.06066
  • Downside SD
    0.88906
  • N nonnegative terms
    39.00000
  • N negative terms
    92.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.82175
  • Mean of criterion
    -2.36420
  • SD of predictor
    0.22746
  • SD of criterion
    0.88245
  • Covariance
    -0.00548
  • r
    -0.02730
  • b (slope, estimate of beta)
    -0.10591
  • a (intercept, estimate of alpha)
    -2.27717
  • Mean Square Error
    0.78417
  • DF error
    129.00000
  • t(b)
    -0.31018
  • p(b)
    0.51738
  • t(a)
    -1.77436
  • p(a)
    0.59787
  • Lowerbound of 95% confidence interval for beta
    -0.78147
  • Upperbound of 95% confidence interval for beta
    0.56965
  • Lowerbound of 95% confidence interval for alpha
    -4.81637
  • Upperbound of 95% confidence interval for alpha
    0.26203
  • Treynor index (mean / b)
    22.32270
  • Jensen alpha (a)
    -2.27717
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.91914
  • SD
    1.13944
  • Sharpe ratio (Glass type estimate)
    -2.56192
  • Sharpe ratio (Hedges UMVUE)
    -2.54711
  • df
    130.00000
  • t
    -1.81155
  • p
    0.57846
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.34631
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.23206
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.33615
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24193
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.54337
  • Upside Potential Ratio
    0.28416
  • Upside part of mean
    0.32614
  • Downside part of mean
    -3.24528
  • Upside SD
    0.06008
  • Downside SD
    1.14774
  • N nonnegative terms
    39.00000
  • N negative terms
    92.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.79494
  • Mean of criterion
    -2.91914
  • SD of predictor
    0.22626
  • SD of criterion
    1.13944
  • Covariance
    -0.00863
  • r
    -0.03349
  • b (slope, estimate of beta)
    -0.16863
  • a (intercept, estimate of alpha)
    -2.78509
  • Mean Square Error
    1.30691
  • DF error
    129.00000
  • t(b)
    -0.38054
  • p(b)
    0.52131
  • t(a)
    -1.68318
  • p(a)
    0.59299
  • VAR (95 Confidence Intrvl)
    0.08600
  • Lowerbound of 95% confidence interval for beta
    -1.04538
  • Upperbound of 95% confidence interval for beta
    0.70812
  • Lowerbound of 95% confidence interval for alpha
    -6.05888
  • Upperbound of 95% confidence interval for alpha
    0.48870
  • Treynor index (mean / b)
    17.31090
  • Jensen alpha (a)
    -2.78509
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11921
  • Expected Shortfall on VaR
    0.14445
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02842
  • Expected Shortfall on VaR
    0.06513
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.50863
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00112
  • Maximum
    1.02631
  • Mean of quarter 1
    0.95950
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00011
  • Mean of quarter 4
    1.00499
  • Inter Quartile Range
    0.00112
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.92625
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.00761
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.09903
  • VaR(95%) (moments method)
    0.01293
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.94419
  • VaR(95%) (regression method)
    0.01093
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00100
  • Median
    0.00241
  • Quartile 3
    0.00337
  • Maximum
    0.78048
  • Mean of quarter 1
    0.00051
  • Mean of quarter 2
    0.00182
  • Mean of quarter 3
    0.00286
  • Mean of quarter 4
    0.26580
  • Inter Quartile Range
    0.00237
  • 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
    0.20000
  • Mean of outliers high
    0.39696
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    2.49537
  • VaR(95%) (moments method)
    0.14865
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    5.26622
  • VaR(95%) (regression method)
    3.39634
  • 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?
    -527183000
  • Max Equity Drawdown (num days)
    265
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.52880
  • Compounded annual return (geometric extrapolation)
    -0.94449
  • Calmar ratio (compounded annual return / max draw down)
    -1.21015
  • Compounded annual return / average of 25% largest draw downs
    -3.55340
  • Compounded annual return / Expected Shortfall lognormal
    -6.53866

Strategy Description

I'm Stock Trader With 10+ years of trading.
My strategy is based on "calculated Top and Dip" of stock move.
- Winning rate: > 70%;
- Risk loss: < 1% of capital.
- Stocks to trade: Very high volume.
- Time of trade: less than 2 hours, and the trade will be closed before 16h00.

Summary Statistics

Strategy began
2022-05-05
Suggested Minimum Capital
$15,000
# Trades
725
# Profitable
443
% Profitable
61.1%
Correlation S&P500
0.062
Sharpe Ratio
0.22
Sortino Ratio
0.26
Beta
0.22
Alpha
0.03
Leverage
0.91 Average
3.73 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

Okay, gotcha.

Not available

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

Want to see available plans and features?

Please hold...

Strategy is now visible

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

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

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

Continue to designate your strategy as Private?

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.