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These are hypothetical performance results that have certain inherent limitations. Learn more
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LuckyMonday
(121806658)

Created by: AlgoRobotStrategies AlgoRobotStrategies
Started: 01/2019
Stocks
Last trade: 1,610 days ago
Trading style: Equity Trend-following Sector Rotation
Subscriptions not currently available.

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 $50.00 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.
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
27.1%
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.

(40.5%)
Max Drawdown
71
Num Trades
60.6%
Win Trades
9.4 : 1
Profit Factor
65.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+0.7%+6.5%+2.9%+6.9%(15.7%)+9.1%+4.0%+0.9%(2.5%)+3.0%+3.5%+9.8%+29.8%
2020+3.5%(7.1%)(7.2%)+3.0%+15.6%+3.7%+15.7%+7.2%(7.9%)+5.7%+19.9%+5.0%+67.1%
2021+3.9%+4.1%(2.4%)+6.2%(1.8%)+6.4%+5.2%+4.2%(0.2%)(0.3%)+4.3%+4.3%+39.1%
2022(19.2%)(1.1%)(3.5%)(5.7%)+1.9%(10.8%)+16.0%+2.8%(21.1%)+4.3%+13.0%(9.2%)(33.4%)
2023+14.6%+5.5%(6.4%)+7.1%+10.1%+3.3%+2.5%(4.2%)(0.9%)(1.2%)+14.4%+3.4%+56.9%
2024+8.2%+9.9%(2.8%)(2.6%)                                                +12.5%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/21/19 9:30 CELG CELGENE LONG 42 103.00 11/21 9:30 0.00 0.04%
Trade id #125874405
Max drawdown($25)
Time10/21/19 10:01
Quant open42
Worst price102.40
Drawdown as % of equity-0.04%
 ($4,327)
Includes Typical Broker Commissions trade costs of $0.84
9/23/19 9:31 ATVI ACTIVISION BLIZZARD LONG 53 54.47 10/21 9:30 55.25 0.41%
Trade id #125458495
Max drawdown($223)
Time10/2/19 0:00
Quant open53
Worst price50.25
Drawdown as % of equity-0.41%
 $40
Includes Typical Broker Commissions trade costs of $1.06
9/23/19 9:31 AAPL APPLE LONG 18 218.95 10/21 9:30 237.52 0.13%
Trade id #125458482
Max drawdown($68)
Time10/3/19 0:00
Quant open18
Worst price215.13
Drawdown as % of equity-0.13%
 $334
Includes Typical Broker Commissions trade costs of $0.36
9/16/19 9:30 TXN TEXAS INSTRUMENTS LONG 30 128.76 10/14 9:30 129.58 0.28%
Trade id #125366877
Max drawdown($153)
Time10/8/19 0:00
Quant open30
Worst price123.63
Drawdown as % of equity-0.28%
 $24
Includes Typical Broker Commissions trade costs of $0.60
9/16/19 9:30 MU MICRON TECHNOLOGY LONG 52 49.53 10/14 9:30 45.08 0.73%
Trade id #125366867
Max drawdown($404)
Time10/1/19 0:00
Quant open52
Worst price41.75
Drawdown as % of equity-0.73%
 ($232)
Includes Typical Broker Commissions trade costs of $1.04
1/28/19 9:30 AMD ADVANCED MICRO DEVICES INC. C LONG 148 25.13 10/7 9:30 30.29 0.14%
Trade id #122214216
Max drawdown($68)
Time1/29/19 0:00
Quant open54
Worst price19.05
Drawdown as % of equity-0.14%
 $760
Includes Typical Broker Commissions trade costs of $2.96
6/3/19 9:30 CERN CERNER LONG 63 70.28 9/23 9:31 68.47 0.47%
Trade id #123910754
Max drawdown($265)
Time9/10/19 0:00
Quant open60
Worst price65.86
Drawdown as % of equity-0.47%
 ($115)
Includes Typical Broker Commissions trade costs of $1.26
2/11/19 9:31 CDNS CADENCE DESIGN SYSTEMS LONG 83 52.48 9/23 9:31 66.26 0.05%
Trade id #122454484
Max drawdown($23)
Time2/11/19 14:49
Quant open78
Worst price50.70
Drawdown as % of equity-0.05%
 $1,142
Includes Typical Broker Commissions trade costs of $1.66
8/26/19 9:30 INTU INTUIT LONG 14 280.00 9/16 9:30 262.81 0.4%
Trade id #125084389
Max drawdown($225)
Time9/10/19 0:00
Quant open14
Worst price263.88
Drawdown as % of equity-0.40%
 ($241)
Includes Typical Broker Commissions trade costs of $0.28
6/24/19 9:30 EBAY EBAY LONG 180 40.03 9/16 9:30 39.85 0.34%
Trade id #124202032
Max drawdown($183)
Time6/25/19 0:00
Quant open166
Worst price38.91
Drawdown as % of equity-0.34%
 ($36)
Includes Typical Broker Commissions trade costs of $3.60
2/4/19 9:30 VRSN VERISIGN LONG 44 194.36 9/16 9:30 201.62 0.23%
Trade id #122340375
Max drawdown($130)
Time9/16/19 9:30
Quant open20
Worst price187.82
Drawdown as % of equity-0.23%
 $318
Includes Typical Broker Commissions trade costs of $0.88
6/24/19 9:30 CHTR CHARTER COMMUNICATIONS LONG 27 404.04 9/9 9:30 414.11 0.62%
Trade id #124202039
Max drawdown($332)
Time8/8/19 0:00
Quant open10
Worst price370.78
Drawdown as % of equity-0.62%
 $271
Includes Typical Broker Commissions trade costs of $0.54
2/19/19 9:31 PYPL PAYPAL HOLDINGS CORP LONG 44 95.65 9/3 9:35 108.78 0.04%
Trade id #122583687
Max drawdown($19)
Time2/20/19 0:00
Quant open42
Worst price93.98
Drawdown as % of equity-0.04%
 $577
Includes Typical Broker Commissions trade costs of $0.88
7/22/19 9:31 JD JD.COM INC LONG 81 30.91 8/26 9:30 29.18 0.77%
Trade id #124561772
Max drawdown($416)
Time8/5/19 0:00
Quant open81
Worst price25.77
Drawdown as % of equity-0.77%
 ($142)
Includes Typical Broker Commissions trade costs of $1.62
5/28/19 9:31 FB META PLATFORMS INC LONG 24 183.43 8/26 9:30 184.14 0.97%
Trade id #123842365
Max drawdown($455)
Time6/4/19 0:00
Quant open22
Worst price160.84
Drawdown as % of equity-0.97%
 $17
Includes Typical Broker Commissions trade costs of $0.48
1/28/19 9:31 WDAY WORKDAY LONG 23 191.13 8/12 9:30 200.43 0.22%
Trade id #122214458
Max drawdown($110)
Time1/28/19 9:31
Quant open11
Worst price164.48
Drawdown as % of equity-0.22%
 $214
Includes Typical Broker Commissions trade costs of $0.46
7/1/19 9:32 MDLZ MONDELEZ INTERNATIONAL LONG 80 54.41 8/12 9:30 54.50 0.37%
Trade id #124287138
Max drawdown($199)
Time7/1/19 9:32
Quant open80
Worst price51.92
Drawdown as % of equity-0.37%
 $5
Includes Typical Broker Commissions trade costs of $1.60
5/13/19 9:30 ALGN ALIGN TECHNOLOGY LONG 16 308.32 8/5 9:30 242.02 1.96%
Trade id #123641803
Max drawdown($1,061)
Time8/5/19 9:30
Quant open8
Worst price194.40
Drawdown as % of equity-1.96%
 ($1,061)
Includes Typical Broker Commissions trade costs of $0.32
6/3/19 9:30 CELG CELGENE LONG 50 93.70 7/29 9:30 92.39 0.45%
Trade id #123910730
Max drawdown($221)
Time6/3/19 9:30
Quant open48
Worst price89.08
Drawdown as % of equity-0.45%
 ($66)
Includes Typical Broker Commissions trade costs of $1.00
6/3/19 9:31 PAYX PAYCHEX LONG 54 85.94 7/29 9:30 86.53 0.43%
Trade id #123910802
Max drawdown($215)
Time6/3/19 9:31
Quant open46
Worst price81.27
Drawdown as % of equity-0.43%
 $31
Includes Typical Broker Commissions trade costs of $1.08
2/4/19 9:30 ULTA ULTA BEAUTY INC LONG 15 298.72 7/22 9:31 354.91 0.18%
Trade id #122340425
Max drawdown($89)
Time2/4/19 9:30
Quant open13
Worst price282.90
Drawdown as % of equity-0.18%
 $843
Includes Typical Broker Commissions trade costs of $0.30
4/1/19 9:31 LRCX LAM RESEARCH LONG 22 182.00 7/22 9:30 202.00 0.42%
Trade id #123150484
Max drawdown($230)
Time4/1/19 9:31
Quant open21
Worst price171.04
Drawdown as % of equity-0.42%
 $440
Includes Typical Broker Commissions trade costs of $0.44
1/28/19 9:31 XLNX XILINX LONG 39 113.45 7/15 9:30 120.94 1.23%
Trade id #122214425
Max drawdown($614)
Time1/28/19 9:31
Quant open39
Worst price97.68
Drawdown as % of equity-1.23%
 $291
Includes Typical Broker Commissions trade costs of $0.78
4/30/19 10:11 ADSK AUTODESK LONG 26 173.08 6/24 9:30 170.61 0.81%
Trade id #123476635
Max drawdown($468)
Time4/30/19 10:11
Quant open24
Worst price153.55
Drawdown as % of equity-0.81%
 ($65)
Includes Typical Broker Commissions trade costs of $0.52
4/22/19 9:30 MCHP MICROCHIP TECHNOLOGY LONG 47 98.42 6/17 9:30 82.71 1.93%
Trade id #123384073
Max drawdown($975)
Time5/28/19 11:03
Quant open47
Worst price77.66
Drawdown as % of equity-1.93%
 ($739)
Includes Typical Broker Commissions trade costs of $0.94
3/25/19 9:31 CTRP CTRIP.COM INTERNATIONAL LONG 107 40.15 6/17 9:30 33.80 1.66%
Trade id #123056372
Max drawdown($786)
Time6/4/19 7:01
Quant open107
Worst price32.80
Drawdown as % of equity-1.66%
 ($681)
Includes Typical Broker Commissions trade costs of $2.14
4/15/19 9:30 JD JD.COM INC LONG 159 30.19 6/10 9:31 27.25 1.25%
Trade id #123312602
Max drawdown($696)
Time5/9/19 9:37
Quant open159
Worst price25.81
Drawdown as % of equity-1.25%
 ($471)
Includes Typical Broker Commissions trade costs of $3.18
3/18/19 9:30 KLAC KLA CORP LONG 33 119.89 6/10 9:31 110.85 1.28%
Trade id #122950274
Max drawdown($612)
Time6/3/19 15:05
Quant open33
Worst price101.34
Drawdown as % of equity-1.28%
 ($299)
Includes Typical Broker Commissions trade costs of $0.66
2/19/19 9:31 ADI ANALOG DEVICES LONG 40 106.10 6/10 9:31 104.29 0.8%
Trade id #122583719
Max drawdown($434)
Time5/20/19 5:21
Quant open40
Worst price95.23
Drawdown as % of equity-0.80%
 ($73)
Includes Typical Broker Commissions trade costs of $0.80
4/8/19 9:30 CSCO CISCO SYSTEMS LONG 83 55.26 6/3 9:31 52.37 0.67%
Trade id #123237422
Max drawdown($348)
Time5/13/19 14:39
Quant open83
Worst price51.06
Drawdown as % of equity-0.67%
 ($242)
Includes Typical Broker Commissions trade costs of $1.66
Next

Statistics

  • Strategy began
    1/6/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1923.91
  • Age
    64 months ago
  • What it trades
    Stocks
  • # Trades
    71
  • # Profitable
    43
  • % Profitable
    60.60%
  • Avg trade duration
    661.3 days
  • Max peak-to-valley drawdown
    40.53%
  • drawdown period
    Nov 19, 2021 - Oct 14, 2022
  • Annual Return (Compounded)
    27.1%
  • Avg win
    $3,158
  • Avg loss
    $543.04
  • Model Account Values (Raw)
  • Cash
    $15,310
  • Margin Used
    $0
  • Buying Power
    $140,544
  • Ratios
  • W:L ratio
    9.45:1
  • Sharpe Ratio
    0.79
  • Sortino Ratio
    1.21
  • Calmar Ratio
    3.635
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    152.59%
  • Correlation to SP500
    0.72420
  • Return Percent SP500 (cumu) during strategy life
    97.92%
  • Return Statistics
  • Ann Return (w trading costs)
    27.1%
  • Slump
  • Current Slump as Pcnt Equity
    5.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • 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)
    0.271%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    27.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    45.50%
  • Chance of 20% account loss
    7.50%
  • Chance of 30% account loss
    1.00%
  • 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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $543
  • Avg Win
    $3,158
  • Sum Trade PL (losers)
    $15,205.000
  • Age
  • Num Months filled monthly returns table
    64
  • Win / Loss
  • Sum Trade PL (winners)
    $135,802.000
  • # Winners
    43
  • Num Months Winners
    42
  • Dividends
  • Dividends Received in Model Acct
    7849
  • Win / Loss
  • # Losers
    28
  • % Winners
    60.6%
  • Frequency
  • Avg Position Time (mins)
    952224.00
  • Avg Position Time (hrs)
    15870.40
  • Avg Trade Length
    661.3 days
  • Last Trade Ago
    1605
  • Leverage
  • Daily leverage (average)
    1.50
  • Daily leverage (max)
    1.94
  • Regression
  • Alpha
    0.03
  • Beta
    1.25
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    88.48
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    37.36
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.68
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.318
  • 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
    0.168
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.989
  • Hold-and-Hope Ratio
    6.374
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.83666
  • SD
    0.56479
  • Sharpe ratio (Glass type estimate)
    1.48136
  • Sharpe ratio (Hedges UMVUE)
    1.40583
  • df
    15.00000
  • t
    1.71053
  • p
    0.24998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31785
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23589
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36453
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17618
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.98123
  • Upside Potential Ratio
    5.17779
  • Upside part of mean
    1.08811
  • Downside part of mean
    -0.25146
  • Upside SD
    0.55966
  • Downside SD
    0.21015
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.39674
  • Mean of criterion
    0.83666
  • SD of predictor
    0.32228
  • SD of criterion
    0.56479
  • Covariance
    0.16637
  • r
    0.91399
  • b (slope, estimate of beta)
    1.60171
  • a (intercept, estimate of alpha)
    0.20120
  • Mean Square Error
    0.05626
  • DF error
    14.00000
  • t(b)
    8.42854
  • p(b)
    0.04301
  • t(a)
    0.91946
  • p(a)
    0.38068
  • Lowerbound of 95% confidence interval for beta
    1.19413
  • Upperbound of 95% confidence interval for beta
    2.00930
  • Lowerbound of 95% confidence interval for alpha
    -0.26813
  • Upperbound of 95% confidence interval for alpha
    0.67052
  • Treynor index (mean / b)
    0.52235
  • Jensen alpha (a)
    0.20120
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68457
  • SD
    0.50566
  • Sharpe ratio (Glass type estimate)
    1.35381
  • Sharpe ratio (Hedges UMVUE)
    1.28477
  • df
    15.00000
  • t
    1.56324
  • p
    0.26741
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43092
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09714
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47376
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04331
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.87647
  • Upside Potential Ratio
    4.03993
  • Upside part of mean
    0.96146
  • Downside part of mean
    -0.27689
  • Upside SD
    0.47130
  • Downside SD
    0.23799
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.34511
  • Mean of criterion
    0.68457
  • SD of predictor
    0.30607
  • SD of criterion
    0.50566
  • Covariance
    0.14069
  • r
    0.90903
  • b (slope, estimate of beta)
    1.50179
  • a (intercept, estimate of alpha)
    0.16628
  • Mean Square Error
    0.04758
  • DF error
    14.00000
  • t(b)
    8.16171
  • p(b)
    0.04549
  • t(a)
    0.83439
  • p(a)
    0.39117
  • Lowerbound of 95% confidence interval for beta
    1.10714
  • Upperbound of 95% confidence interval for beta
    1.89644
  • Lowerbound of 95% confidence interval for alpha
    -0.26115
  • Upperbound of 95% confidence interval for alpha
    0.59371
  • Treynor index (mean / b)
    0.45583
  • Jensen alpha (a)
    0.16628
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16728
  • Expected Shortfall on VaR
    0.21543
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03823
  • Expected Shortfall on VaR
    0.08830
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.76558
  • Quartile 1
    0.99228
  • Median
    1.05126
  • Quartile 3
    1.10517
  • Maximum
    1.52568
  • Mean of quarter 1
    0.92092
  • Mean of quarter 2
    1.01990
  • Mean of quarter 3
    1.06511
  • Mean of quarter 4
    1.28226
  • Inter Quartile Range
    0.11289
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06250
  • Mean of outliers low
    0.76558
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.52568
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.96761
  • VaR(95%) (moments method)
    0.07891
  • Expected Shortfall (moments method)
    2.51494
  • Extreme Value Index (regression method)
    2.44722
  • VaR(95%) (regression method)
    0.12520
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03827
  • Quartile 1
    0.04309
  • Median
    0.04790
  • Quartile 3
    0.14116
  • Maximum
    0.23442
  • Mean of quarter 1
    0.03827
  • Mean of quarter 2
    0.04790
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23442
  • Inter Quartile Range
    0.09807
  • 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)
    1.18921
  • Compounded annual return (geometric extrapolation)
    1.03903
  • Calmar ratio (compounded annual return / max draw down)
    4.43225
  • Compounded annual return / average of 25% largest draw downs
    4.43225
  • Compounded annual return / Expected Shortfall lognormal
    4.82308
  • 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
    1.03338
  • SD
    0.56711
  • Sharpe ratio (Glass type estimate)
    1.82217
  • Sharpe ratio (Hedges UMVUE)
    1.81848
  • df
    370.00000
  • t
    2.16833
  • p
    0.01538
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16868
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16621
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.47075
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.98458
  • Upside Potential Ratio
    9.59009
  • Upside part of mean
    3.32046
  • Downside part of mean
    -2.28708
  • Upside SD
    0.45271
  • Downside SD
    0.34624
  • N nonnegative terms
    208.00000
  • N negative terms
    163.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    371.00000
  • Mean of predictor
    0.52538
  • Mean of criterion
    1.03338
  • SD of predictor
    0.31143
  • SD of criterion
    0.56711
  • Covariance
    0.12933
  • r
    0.73228
  • b (slope, estimate of beta)
    1.33347
  • a (intercept, estimate of alpha)
    0.33300
  • Mean Square Error
    0.14956
  • DF error
    369.00000
  • t(b)
    20.65580
  • p(b)
    -0.00000
  • t(a)
    1.01849
  • p(a)
    0.15456
  • Lowerbound of 95% confidence interval for beta
    1.20653
  • Upperbound of 95% confidence interval for beta
    1.46042
  • Lowerbound of 95% confidence interval for alpha
    -0.30974
  • Upperbound of 95% confidence interval for alpha
    0.97533
  • Treynor index (mean / b)
    0.77495
  • Jensen alpha (a)
    0.33280
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87376
  • SD
    0.56091
  • Sharpe ratio (Glass type estimate)
    1.55775
  • Sharpe ratio (Hedges UMVUE)
    1.55459
  • df
    370.00000
  • t
    1.85367
  • p
    0.03229
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09417
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09628
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.20546
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42001
  • Upside Potential Ratio
    8.92926
  • Upside part of mean
    3.22397
  • Downside part of mean
    -2.35021
  • Upside SD
    0.43166
  • Downside SD
    0.36106
  • N nonnegative terms
    208.00000
  • N negative terms
    163.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    371.00000
  • Mean of predictor
    0.47598
  • Mean of criterion
    0.87376
  • SD of predictor
    0.31404
  • SD of criterion
    0.56091
  • Covariance
    0.12918
  • r
    0.73336
  • b (slope, estimate of beta)
    1.30986
  • a (intercept, estimate of alpha)
    0.25030
  • Mean Square Error
    0.14581
  • DF error
    369.00000
  • t(b)
    20.72140
  • p(b)
    -0.00000
  • t(a)
    0.77660
  • p(a)
    0.21895
  • Lowerbound of 95% confidence interval for beta
    1.18555
  • Upperbound of 95% confidence interval for beta
    1.43416
  • Lowerbound of 95% confidence interval for alpha
    -0.38348
  • Upperbound of 95% confidence interval for alpha
    0.88407
  • Treynor index (mean / b)
    0.66707
  • Jensen alpha (a)
    0.25030
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05225
  • Expected Shortfall on VaR
    0.06580
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01814
  • Expected Shortfall on VaR
    0.03896
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    371.00000
  • Minimum
    0.86545
  • Quartile 1
    0.99233
  • Median
    1.00217
  • Quartile 3
    1.01274
  • Maximum
    1.19623
  • Mean of quarter 1
    0.96752
  • Mean of quarter 2
    0.99812
  • Mean of quarter 3
    1.00703
  • Mean of quarter 4
    1.04356
  • Inter Quartile Range
    0.02041
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.07278
  • Mean of outliers low
    0.93329
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.09164
  • Mean of outliers high
    1.07851
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40172
  • VaR(95%) (moments method)
    0.02785
  • Expected Shortfall (moments method)
    0.05637
  • Extreme Value Index (regression method)
    0.04507
  • VaR(95%) (regression method)
    0.03414
  • Expected Shortfall (regression method)
    0.05198
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    34.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00686
  • Median
    0.02292
  • Quartile 3
    0.06259
  • Maximum
    0.40270
  • Mean of quarter 1
    0.00235
  • Mean of quarter 2
    0.01392
  • Mean of quarter 3
    0.03438
  • Mean of quarter 4
    0.15661
  • Inter Quartile Range
    0.05573
  • 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
    0.11765
  • Mean of outliers high
    0.24201
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.18031
  • VaR(95%) (moments method)
    0.15915
  • Expected Shortfall (moments method)
    0.24227
  • Extreme Value Index (regression method)
    0.52662
  • VaR(95%) (regression method)
    0.20094
  • Expected Shortfall (regression method)
    0.45869
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.82561
  • Compounded annual return (geometric extrapolation)
    1.46371
  • Calmar ratio (compounded annual return / max draw down)
    3.63477
  • Compounded annual return / average of 25% largest draw downs
    9.34617
  • Compounded annual return / Expected Shortfall lognormal
    22.24550
  • 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
    2.26108
  • SD
    0.89420
  • Sharpe ratio (Glass type estimate)
    2.52859
  • Sharpe ratio (Hedges UMVUE)
    2.51398
  • df
    130.00000
  • t
    1.78799
  • p
    0.42254
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.31266
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27462
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.30258
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.23751
  • Upside Potential Ratio
    12.41790
  • Upside part of mean
    6.62601
  • Downside part of mean
    -4.36493
  • Upside SD
    0.72684
  • Downside SD
    0.53359
  • 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
    0.99620
  • Mean of criterion
    2.26108
  • SD of predictor
    0.49641
  • SD of criterion
    0.89420
  • Covariance
    0.32888
  • r
    0.74091
  • b (slope, estimate of beta)
    1.33464
  • a (intercept, estimate of alpha)
    0.93151
  • Mean Square Error
    0.36345
  • DF error
    129.00000
  • t(b)
    12.53000
  • p(b)
    0.07600
  • t(a)
    1.08420
  • p(a)
    0.43960
  • Lowerbound of 95% confidence interval for beta
    1.12389
  • Upperbound of 95% confidence interval for beta
    1.54538
  • Lowerbound of 95% confidence interval for alpha
    -0.76837
  • Upperbound of 95% confidence interval for alpha
    2.63139
  • Treynor index (mean / b)
    1.69415
  • Jensen alpha (a)
    0.93151
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.86288
  • SD
    0.88415
  • Sharpe ratio (Glass type estimate)
    2.10698
  • Sharpe ratio (Hedges UMVUE)
    2.09480
  • df
    130.00000
  • t
    1.48986
  • p
    0.43522
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68051
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.88659
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68868
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.87828
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33494
  • Upside Potential Ratio
    11.41910
  • Upside part of mean
    6.37863
  • Downside part of mean
    -4.51575
  • Upside SD
    0.69063
  • Downside SD
    0.55859
  • 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
    0.87067
  • Mean of criterion
    1.86288
  • SD of predictor
    0.50136
  • SD of criterion
    0.88415
  • Covariance
    0.32932
  • r
    0.74291
  • b (slope, estimate of beta)
    1.31013
  • a (intercept, estimate of alpha)
    0.72218
  • Mean Square Error
    0.35298
  • DF error
    129.00000
  • t(b)
    12.60540
  • p(b)
    0.07515
  • t(a)
    0.85458
  • p(a)
    0.45228
  • VAR (95 Confidence Intrvl)
    0.05200
  • Lowerbound of 95% confidence interval for beta
    1.10450
  • Upperbound of 95% confidence interval for beta
    1.51577
  • Lowerbound of 95% confidence interval for alpha
    -0.94983
  • Upperbound of 95% confidence interval for alpha
    2.39420
  • Treynor index (mean / b)
    1.42190
  • Jensen alpha (a)
    0.72218
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07941
  • Expected Shortfall on VaR
    0.10000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03721
  • Expected Shortfall on VaR
    0.07207
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86545
  • Quartile 1
    0.97586
  • Median
    1.00429
  • Quartile 3
    1.04296
  • Maximum
    1.19623
  • Mean of quarter 1
    0.94315
  • Mean of quarter 2
    0.99124
  • Mean of quarter 3
    1.02184
  • Mean of quarter 4
    1.07911
  • Inter Quartile Range
    0.06710
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.86545
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.18746
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08442
  • VaR(95%) (moments method)
    0.05523
  • Expected Shortfall (moments method)
    0.07775
  • Extreme Value Index (regression method)
    -0.33711
  • VaR(95%) (regression method)
    0.06139
  • Expected Shortfall (regression method)
    0.07425
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00570
  • Quartile 1
    0.01917
  • Median
    0.03338
  • Quartile 3
    0.09338
  • Maximum
    0.40270
  • Mean of quarter 1
    0.00989
  • Mean of quarter 2
    0.02949
  • Mean of quarter 3
    0.06697
  • Mean of quarter 4
    0.22090
  • Inter Quartile Range
    0.07421
  • 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
    0.13333
  • Mean of outliers high
    0.31704
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.80170
  • VaR(95%) (moments method)
    0.23333
  • Expected Shortfall (moments method)
    0.26199
  • Extreme Value Index (regression method)
    0.18978
  • VaR(95%) (regression method)
    0.35748
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.58478
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -364566000
  • Max Equity Drawdown (num days)
    329
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.14766
  • Compounded annual return (geometric extrapolation)
    5.62459
  • Calmar ratio (compounded annual return / max draw down)
    13.96730
  • Compounded annual return / average of 25% largest draw downs
    25.46200
  • Compounded annual return / Expected Shortfall lognormal
    56.24760

Strategy Description

This strategy is very simple but effective. Once a week - on Monday, we open new positions on market open. Every Monday, we can open up to 6 new positions. There is a maximum 24 open position can be held. This open positions are held from one week to several months. The system uses smart position-sizing and money-management. If the market does not have the right growing context, trade management will not allow new positions to be opened.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-01-06
Suggested Minimum Capital
$15,000
# Trades
71
# Profitable
43
% Profitable
60.6%
Net Dividends
$7,849
Correlation S&P500
0.724
Sharpe Ratio
0.79
Sortino Ratio
1.21
Beta
1.25
Alpha
0.03
Leverage
1.50 Average
1.94 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.