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

Meerkat Sectors
(102110837)

Created by: James James
Started: 04/2016
Stocks
Last trade: Yesterday
Trading style: Equity Sector Rotation

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 $40.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
12.2%
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.

(29.9%)
Max Drawdown
224
Num Trades
63.4%
Win Trades
2.4 : 1
Profit Factor
70.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                     (0.2%)+0.6%+2.4%+1.3%(1.3%)+0.6%(3.2%)+4.6%+2.2%+7.0%
2017+2.5%+3.4%+1.1%(0.3%)+2.4%+0.5%+3.1%+0.8%+2.5%+5.6%+4.3%+0.4%+29.5%
2018+5.0%(4.3%)(3.2%)(0.9%)+5.1%(0.8%)+6.3%+3.6%+1.4%(10.6%)+5.7%(14%)(8.9%)
2019+8.1%+1.0%+2.4%(1.1%)(2.8%)+5.2%+1.5%                              +14.8%

Model Account Details

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

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

Trading Record

This strategy has placed 952 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/21/19 15:55 ITA I SHARES US AEROSPACE & DEFENSE LONG 74 205.72 7/5 15:58 209.32 0.21%
Trade id #123758933
Max drawdown($71)
Time5/21/19 15:55
Quant open28
Worst price200.93
Drawdown as % of equity-0.21%
$266
Includes Typical Broker Commissions trade costs of $1.48
7/1/19 15:55 HYMB SPDR NUVEEN S&P HIGH YIELD MUN LONG 14 58.21 7/5 9:36 58.28 0%
Trade id #124295841
Max drawdown($0)
Time7/1/19 15:55
Quant open14
Worst price58.19
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $0.28
6/6/19 13:06 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 62 74.22 6/17 15:55 76.22 0.01%
Trade id #123966081
Max drawdown($3)
Time6/6/19 13:11
Quant open62
Worst price74.17
Drawdown as % of equity-0.01%
$123
Includes Typical Broker Commissions trade costs of $1.24
5/31/19 15:55 XLI INDUSTRIAL SELECT SECTOR SPDR LONG 43 72.05 6/14 13:03 75.27 0.02%
Trade id #123894338
Max drawdown($8)
Time6/3/19 7:54
Quant open43
Worst price71.85
Drawdown as % of equity-0.02%
$137
Includes Typical Broker Commissions trade costs of $0.86
5/16/19 15:55 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 62 75.93 6/3 15:55 70.53 0.99%
Trade id #123700438
Max drawdown($358)
Time6/3/19 15:33
Quant open62
Worst price70.14
Drawdown as % of equity-0.99%
($336)
Includes Typical Broker Commissions trade costs of $1.24
2/27/19 15:55 XLU UTILITIES SELECT SECTOR SPDR LONG 159 56.95 5/31 15:55 58.17 0.11%
Trade id #122723097
Max drawdown($38)
Time5/9/19 11:40
Quant open132
Worst price56.66
Drawdown as % of equity-0.11%
$191
Includes Typical Broker Commissions trade costs of $3.18
5/22/19 15:55 XLV HEALTH CARE SELECT SECTOR SPDR LONG 37 89.83 5/23 15:55 89.31 0.12%
Trade id #123784937
Max drawdown($42)
Time5/23/19 11:59
Quant open37
Worst price88.68
Drawdown as % of equity-0.12%
($20)
Includes Typical Broker Commissions trade costs of $0.74
5/17/19 15:55 XLI INDUSTRIAL SELECT SECTOR SPDR LONG 44 74.91 5/20 15:55 74.62 0.11%
Trade id #123721078
Max drawdown($39)
Time5/20/19 9:30
Quant open44
Worst price74.02
Drawdown as % of equity-0.11%
($14)
Includes Typical Broker Commissions trade costs of $0.88
5/9/19 15:55 SOXX ISHARES PHLX SEMICONDUCTOR ETF LONG 19 200.76 5/20 13:01 190.86 0.51%
Trade id #123597947
Max drawdown($188)
Time5/20/19 13:01
Quant open9
Worst price184.54
Drawdown as % of equity-0.51%
($188)
Includes Typical Broker Commissions trade costs of $0.38
5/14/19 15:55 ITA I SHARES US AEROSPACE & DEFENSE LONG 28 204.16 5/17 15:55 206.93 0.08%
Trade id #123670407
Max drawdown($29)
Time5/15/19 10:07
Quant open9
Worst price200.89
Drawdown as % of equity-0.08%
$77
Includes Typical Broker Commissions trade costs of $0.56
5/8/19 15:50 XLI INDUSTRIAL SELECT SECTOR SPDR LONG 82 76.09 5/13 15:55 75.22 0.28%
Trade id #123579027
Max drawdown($102)
Time5/9/19 11:29
Quant open82
Worst price74.83
Drawdown as % of equity-0.28%
($73)
Includes Typical Broker Commissions trade costs of $1.64
4/22/19 9:30 HYS PIMCO 0-5 YEAR HI YLD CORP BON LONG 153 100.39 5/7 15:55 99.85 0.24%
Trade id #123383985
Max drawdown($89)
Time5/2/19 11:47
Quant open153
Worst price99.81
Drawdown as % of equity-0.24%
($85)
Includes Typical Broker Commissions trade costs of $3.06
5/6/19 15:57 HYMB SPDR NUVEEN S&P HIGH YIELD MUN LONG 51 57.64 5/7 15:55 57.60 0.01%
Trade id #123547802
Max drawdown($3)
Time5/7/19 14:46
Quant open51
Worst price57.58
Drawdown as % of equity-0.01%
($3)
Includes Typical Broker Commissions trade costs of $1.02
3/22/19 13:58 IBB ISHARES NASDAQ BIOTECHNOLOGY E LONG 66 110.37 4/25 13:09 108.70 0.61%
Trade id #123039156
Max drawdown($223)
Time4/17/19 12:12
Quant open44
Worst price105.30
Drawdown as % of equity-0.61%
($111)
Includes Typical Broker Commissions trade costs of $1.32
3/22/19 15:55 IHE ISHARES DOW JONES US PHARMACEU LONG 42 152.70 4/23 15:55 147.61 1.11%
Trade id #123041263
Max drawdown($402)
Time4/18/19 10:41
Quant open42
Worst price143.12
Drawdown as % of equity-1.11%
($215)
Includes Typical Broker Commissions trade costs of $0.84
3/22/19 15:55 XLV HEALTH CARE SELECT SECTOR SPDR LONG 74 90.47 4/22 9:34 85.90 1.19%
Trade id #123041272
Max drawdown($430)
Time4/18/19 10:41
Quant open74
Worst price84.65
Drawdown as % of equity-1.19%
($339)
Includes Typical Broker Commissions trade costs of $1.48
4/1/19 15:55 HYS PIMCO 0-5 YEAR HI YLD CORP BON LONG 139 99.95 4/18 15:55 100.29 0.01%
Trade id #123158534
Max drawdown($4)
Time4/2/19 13:05
Quant open25
Worst price99.72
Drawdown as % of equity-0.01%
$44
Includes Typical Broker Commissions trade costs of $2.78
3/27/19 15:55 XLI INDUSTRIAL SELECT SECTOR SPDR LONG 41 73.72 4/8 13:01 76.26 0.01%
Trade id #123103687
Max drawdown($2)
Time3/27/19 16:01
Quant open41
Worst price73.66
Drawdown as % of equity-0.01%
$103
Includes Typical Broker Commissions trade costs of $0.82
3/28/19 15:00 XLC COMMUNICATION SERVICES SELECT SPDR FUND LONG 117 46.66 4/3 15:55 47.30 0.08%
Trade id #123117830
Max drawdown($30)
Time3/29/19 10:56
Quant open117
Worst price46.40
Drawdown as % of equity-0.08%
$73
Includes Typical Broker Commissions trade costs of $2.34
3/12/19 15:55 IHF ISHARES DOW JONES US HEALTHCAR LONG 38 171.32 4/2 15:55 168.01 0.88%
Trade id #122884298
Max drawdown($326)
Time3/27/19 12:03
Quant open38
Worst price162.73
Drawdown as % of equity-0.88%
($127)
Includes Typical Broker Commissions trade costs of $0.76
3/20/19 15:55 ITA I SHARES US AEROSPACE & DEFENSE LONG 29 198.38 3/28 15:55 197.56 0.34%
Trade id #123002137
Max drawdown($127)
Time3/22/19 12:48
Quant open29
Worst price193.98
Drawdown as % of equity-0.34%
($25)
Includes Typical Broker Commissions trade costs of $0.58
3/20/19 15:55 XLF FINANCIAL SELECT SECTOR SPDR LONG 247 26.08 3/27 14:30 25.52 0.67%
Trade id #123002135
Max drawdown($248)
Time3/25/19 14:28
Quant open247
Worst price25.08
Drawdown as % of equity-0.67%
($144)
Includes Typical Broker Commissions trade costs of $4.94
3/20/19 13:01 HYS PIMCO 0-5 YEAR HI YLD CORP BON LONG 234 99.39 3/22 15:55 99.72 0.01%
Trade id #122996745
Max drawdown($4)
Time3/20/19 13:06
Quant open234
Worst price99.37
Drawdown as % of equity-0.01%
$73
Includes Typical Broker Commissions trade costs of $4.68
12/31/18 15:55 MBB ISHARES BARCLAYS MBS BOND LONG 768 104.99 3/19/19 15:55 105.08 0.5%
Trade id #121727227
Max drawdown($179)
Time3/1/19 15:48
Quant open453
Worst price104.59
Drawdown as % of equity-0.50%
$58
Includes Typical Broker Commissions trade costs of $15.36
3/11/19 15:55 XLV HEALTH CARE SELECT SECTOR SPDR LONG 72 90.76 3/18 15:55 91.79 0.02%
Trade id #122868976
Max drawdown($5)
Time3/11/19 16:10
Quant open32
Worst price90.21
Drawdown as % of equity-0.02%
$73
Includes Typical Broker Commissions trade costs of $1.44
3/6/19 15:55 VNQ VANGUARD REAL ESTATE ETF LONG 90 83.86 3/18 15:55 85.26 0.1%
Trade id #122809495
Max drawdown($37)
Time3/8/19 9:12
Quant open90
Worst price83.45
Drawdown as % of equity-0.10%
$124
Includes Typical Broker Commissions trade costs of $1.80
3/5/19 13:00 XLP SPDR CONSUMER STAPLES SELECT LONG 152 54.06 3/14 15:55 54.75 0.24%
Trade id #122792483
Max drawdown($86)
Time3/8/19 14:06
Quant open143
Worst price53.45
Drawdown as % of equity-0.24%
$102
Includes Typical Broker Commissions trade costs of $3.04
3/7/19 15:55 XLY SPDR CONSUMER DISCRET SELECT LONG 60 109.58 3/13 15:55 110.40 0.09%
Trade id #122826214
Max drawdown($34)
Time3/8/19 10:08
Quant open24
Worst price107.66
Drawdown as % of equity-0.09%
$48
Includes Typical Broker Commissions trade costs of $1.20
3/6/19 15:55 XLV HEALTH CARE SELECT SECTOR SPDR LONG 42 90.34 3/11 13:01 90.03 0.2%
Trade id #122809519
Max drawdown($72)
Time3/8/19 13:10
Quant open42
Worst price88.63
Drawdown as % of equity-0.20%
($14)
Includes Typical Broker Commissions trade costs of $0.84
3/5/19 15:55 XLV HEALTH CARE SELECT SECTOR SPDR LONG 29 91.74 3/6 15:55 90.35 0.14%
Trade id #122795316
Max drawdown($49)
Time3/6/19 13:29
Quant open29
Worst price90.05
Drawdown as % of equity-0.14%
($41)
Includes Typical Broker Commissions trade costs of $0.58

Statistics

  • Strategy began
    4/29/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1176.55
  • Age
    39 months ago
  • What it trades
    Stocks
  • # Trades
    224
  • # Profitable
    142
  • % Profitable
    63.40%
  • Avg trade duration
    39.3 days
  • Max peak-to-valley drawdown
    29.86%
  • drawdown period
    Oct 03, 2018 - Dec 21, 2018
  • Annual Return (Compounded)
    12.2%
  • Avg win
    $153.88
  • Avg loss
    $143.29
  • Model Account Values (Raw)
  • Cash
    $18,615
  • Margin Used
    $0
  • Buying Power
    $20,289
  • Ratios
  • W:L ratio
    2.38:1
  • Sharpe Ratio
    0.74
  • Sortino Ratio
    1
  • Calmar Ratio
    0.642
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.65220
  • Return Statistics
  • Ann Return (w trading costs)
    12.2%
  • Ann Return (Compnd, No Fees)
    14.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    706
  • C2 Score
    62.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $143
  • Avg Win
    $156
  • # Winners
    142
  • # Losers
    82
  • % Winners
    63.4%
  • Frequency
  • Avg Position Time (mins)
    56523.10
  • Avg Position Time (hrs)
    942.05
  • Avg Trade Length
    39.3 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.20
  • Daily leverage (max)
    1.79
  • Unknown
  • Alpha
    0.01
  • Beta
    0.62
  • Treynor Index
    0.05
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11587
  • SD
    0.11028
  • Sharpe ratio (Glass type estimate)
    1.05070
  • Sharpe ratio (Hedges UMVUE)
    1.02923
  • df
    37.00000
  • t
    1.86973
  • p
    0.03473
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08298
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15532
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71368
  • Upside Potential Ratio
    3.26814
  • Upside part of mean
    0.22098
  • Downside part of mean
    -0.10511
  • Upside SD
    0.09159
  • Downside SD
    0.06762
  • N nonnegative terms
    24.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.09272
  • Mean of criterion
    0.11587
  • SD of predictor
    0.08877
  • SD of criterion
    0.11028
  • Covariance
    0.00827
  • r
    0.84464
  • b (slope, estimate of beta)
    1.04931
  • a (intercept, estimate of alpha)
    0.01858
  • Mean Square Error
    0.00358
  • DF error
    36.00000
  • t(b)
    9.46652
  • p(b)
    0.00000
  • t(a)
    0.52825
  • p(a)
    0.30028
  • Lowerbound of 95% confidence interval for beta
    0.82451
  • Upperbound of 95% confidence interval for beta
    1.27411
  • Lowerbound of 95% confidence interval for alpha
    -0.05275
  • Upperbound of 95% confidence interval for alpha
    0.08991
  • Treynor index (mean / b)
    0.11043
  • Jensen alpha (a)
    0.01858
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10919
  • SD
    0.11012
  • Sharpe ratio (Glass type estimate)
    0.99158
  • Sharpe ratio (Hedges UMVUE)
    0.97132
  • df
    37.00000
  • t
    1.76452
  • p
    0.04295
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13898
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10937
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15210
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09473
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57799
  • Upside Potential Ratio
    3.12749
  • Upside part of mean
    0.21641
  • Downside part of mean
    -0.10722
  • Upside SD
    0.08951
  • Downside SD
    0.06919
  • N nonnegative terms
    24.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.08834
  • Mean of criterion
    0.10919
  • SD of predictor
    0.08873
  • SD of criterion
    0.11012
  • Covariance
    0.00825
  • r
    0.84393
  • b (slope, estimate of beta)
    1.04736
  • a (intercept, estimate of alpha)
    0.01666
  • Mean Square Error
    0.00359
  • DF error
    36.00000
  • t(b)
    9.43889
  • p(b)
    0.00000
  • t(a)
    0.47530
  • p(a)
    0.31872
  • Lowerbound of 95% confidence interval for beta
    0.82232
  • Upperbound of 95% confidence interval for beta
    1.27240
  • Lowerbound of 95% confidence interval for alpha
    -0.05443
  • Upperbound of 95% confidence interval for alpha
    0.08775
  • Treynor index (mean / b)
    0.10425
  • Jensen alpha (a)
    0.01666
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04227
  • Expected Shortfall on VaR
    0.05484
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01628
  • Expected Shortfall on VaR
    0.03477
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.94103
  • Quartile 1
    0.99651
  • Median
    1.01702
  • Quartile 3
    1.03653
  • Maximum
    1.06071
  • Mean of quarter 1
    0.96997
  • Mean of quarter 2
    1.00462
  • Mean of quarter 3
    1.02757
  • Mean of quarter 4
    1.04661
  • Inter Quartile Range
    0.04002
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08194
  • VaR(95%) (moments method)
    0.01532
  • Expected Shortfall (moments method)
    0.02401
  • Extreme Value Index (regression method)
    -0.65839
  • VaR(95%) (regression method)
    0.02562
  • Expected Shortfall (regression method)
    0.03012
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00290
  • Quartile 1
    0.00369
  • Median
    0.03840
  • Quartile 3
    0.06430
  • Maximum
    0.13049
  • Mean of quarter 1
    0.00329
  • Mean of quarter 2
    0.03840
  • Mean of quarter 3
    0.06430
  • Mean of quarter 4
    0.13049
  • Inter Quartile Range
    0.06062
  • 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)
    0.17167
  • Compounded annual return (geometric extrapolation)
    0.14694
  • Calmar ratio (compounded annual return / max draw down)
    1.12608
  • Compounded annual return / average of 25% largest draw downs
    1.12608
  • Compounded annual return / Expected Shortfall lognormal
    2.67941
  • 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
    0.11538
  • SD
    0.11599
  • Sharpe ratio (Glass type estimate)
    0.99479
  • Sharpe ratio (Hedges UMVUE)
    0.99389
  • df
    831.00000
  • t
    1.77272
  • p
    0.03832
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10638
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10701
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09478
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34097
  • Upside Potential Ratio
    7.88392
  • Upside part of mean
    0.67837
  • Downside part of mean
    -0.56298
  • Upside SD
    0.07800
  • Downside SD
    0.08604
  • N nonnegative terms
    478.00000
  • N negative terms
    354.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    832.00000
  • Mean of predictor
    0.09503
  • Mean of criterion
    0.11538
  • SD of predictor
    0.12495
  • SD of criterion
    0.11599
  • Covariance
    0.00953
  • r
    0.65776
  • b (slope, estimate of beta)
    0.61060
  • a (intercept, estimate of alpha)
    0.05700
  • Mean Square Error
    0.00764
  • DF error
    830.00000
  • t(b)
    25.15840
  • p(b)
    0.00000
  • t(a)
    1.16789
  • p(a)
    0.12159
  • Lowerbound of 95% confidence interval for beta
    0.56296
  • Upperbound of 95% confidence interval for beta
    0.65824
  • Lowerbound of 95% confidence interval for alpha
    -0.03904
  • Upperbound of 95% confidence interval for alpha
    0.15375
  • Treynor index (mean / b)
    0.18897
  • Jensen alpha (a)
    0.05735
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10860
  • SD
    0.11635
  • Sharpe ratio (Glass type estimate)
    0.93337
  • Sharpe ratio (Hedges UMVUE)
    0.93253
  • df
    831.00000
  • t
    1.66327
  • p
    0.04832
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03330
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24883
  • Upside Potential Ratio
    7.76522
  • Upside part of mean
    0.67528
  • Downside part of mean
    -0.56668
  • Upside SD
    0.07749
  • Downside SD
    0.08696
  • N nonnegative terms
    478.00000
  • N negative terms
    354.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    832.00000
  • Mean of predictor
    0.08719
  • Mean of criterion
    0.10860
  • SD of predictor
    0.12519
  • SD of criterion
    0.11635
  • Covariance
    0.00959
  • r
    0.65826
  • b (slope, estimate of beta)
    0.61178
  • a (intercept, estimate of alpha)
    0.05526
  • Mean Square Error
    0.00768
  • DF error
    830.00000
  • t(b)
    25.19170
  • p(b)
    0.00000
  • t(a)
    1.12249
  • p(a)
    0.13099
  • Lowerbound of 95% confidence interval for beta
    0.56411
  • Upperbound of 95% confidence interval for beta
    0.65945
  • Lowerbound of 95% confidence interval for alpha
    -0.04137
  • Upperbound of 95% confidence interval for alpha
    0.15188
  • Treynor index (mean / b)
    0.17752
  • Jensen alpha (a)
    0.05526
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01134
  • Expected Shortfall on VaR
    0.01431
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00436
  • Expected Shortfall on VaR
    0.00945
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    832.00000
  • Minimum
    0.95798
  • Quartile 1
    0.99804
  • Median
    1.00066
  • Quartile 3
    1.00382
  • Maximum
    1.02529
  • Mean of quarter 1
    0.99216
  • Mean of quarter 2
    0.99953
  • Mean of quarter 3
    1.00214
  • Mean of quarter 4
    1.00835
  • Inter Quartile Range
    0.00578
  • Number outliers low
    51.00000
  • Percentage of outliers low
    0.06130
  • Mean of outliers low
    0.98222
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.03365
  • Mean of outliers high
    1.01755
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50572
  • VaR(95%) (moments method)
    0.00727
  • Expected Shortfall (moments method)
    0.01703
  • Extreme Value Index (regression method)
    0.25607
  • VaR(95%) (regression method)
    0.00676
  • Expected Shortfall (regression method)
    0.01165
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    61.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00140
  • Median
    0.00467
  • Quartile 3
    0.01026
  • Maximum
    0.22772
  • Mean of quarter 1
    0.00065
  • Mean of quarter 2
    0.00237
  • Mean of quarter 3
    0.00734
  • Mean of quarter 4
    0.04440
  • Inter Quartile Range
    0.00886
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.13115
  • Mean of outliers high
    0.06996
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.79232
  • VaR(95%) (moments method)
    0.04382
  • Expected Shortfall (moments method)
    0.22241
  • Extreme Value Index (regression method)
    1.19156
  • VaR(95%) (regression method)
    0.03805
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17088
  • Compounded annual return (geometric extrapolation)
    0.14626
  • Calmar ratio (compounded annual return / max draw down)
    0.64229
  • Compounded annual return / average of 25% largest draw downs
    3.29407
  • Compounded annual return / Expected Shortfall lognormal
    10.22390
  • 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
    0.18673
  • SD
    0.08027
  • Sharpe ratio (Glass type estimate)
    2.32629
  • Sharpe ratio (Hedges UMVUE)
    2.31285
  • df
    130.00000
  • t
    1.64494
  • p
    0.42860
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46427
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.10812
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.09887
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.55063
  • Upside Potential Ratio
    10.74610
  • Upside part of mean
    0.56515
  • Downside part of mean
    -0.37842
  • Upside SD
    0.06133
  • Downside SD
    0.05259
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24079
  • Mean of criterion
    0.18673
  • SD of predictor
    0.10922
  • SD of criterion
    0.08027
  • Covariance
    0.00523
  • r
    0.59600
  • b (slope, estimate of beta)
    0.43801
  • a (intercept, estimate of alpha)
    0.08126
  • Mean Square Error
    0.00419
  • DF error
    129.00000
  • t(b)
    8.43019
  • p(b)
    0.14442
  • t(a)
    0.87989
  • p(a)
    0.45088
  • Lowerbound of 95% confidence interval for beta
    0.33521
  • Upperbound of 95% confidence interval for beta
    0.54080
  • Lowerbound of 95% confidence interval for alpha
    -0.10147
  • Upperbound of 95% confidence interval for alpha
    0.26399
  • Treynor index (mean / b)
    0.42632
  • Jensen alpha (a)
    0.08126
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18345
  • SD
    0.08027
  • Sharpe ratio (Glass type estimate)
    2.28546
  • Sharpe ratio (Hedges UMVUE)
    2.27225
  • df
    130.00000
  • t
    1.61606
  • p
    0.42983
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50448
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.06679
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51328
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.05778
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.46964
  • Upside Potential Ratio
    10.65230
  • Upside part of mean
    0.56322
  • Downside part of mean
    -0.37977
  • Upside SD
    0.06105
  • Downside SD
    0.05287
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23473
  • Mean of criterion
    0.18345
  • SD of predictor
    0.10928
  • SD of criterion
    0.08027
  • Covariance
    0.00522
  • r
    0.59550
  • b (slope, estimate of beta)
    0.43741
  • a (intercept, estimate of alpha)
    0.08077
  • Mean Square Error
    0.00419
  • DF error
    129.00000
  • t(b)
    8.41926
  • p(b)
    0.14467
  • t(a)
    0.87460
  • p(a)
    0.45117
  • Lowerbound of 95% confidence interval for beta
    0.33462
  • Upperbound of 95% confidence interval for beta
    0.54021
  • Lowerbound of 95% confidence interval for alpha
    -0.10195
  • Upperbound of 95% confidence interval for alpha
    0.26350
  • Treynor index (mean / b)
    0.41940
  • Jensen alpha (a)
    0.08077
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00743
  • Expected Shortfall on VaR
    0.00948
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00290
  • Expected Shortfall on VaR
    0.00610
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98233
  • Quartile 1
    0.99846
  • Median
    1.00075
  • Quartile 3
    1.00342
  • Maximum
    1.01556
  • Mean of quarter 1
    0.99488
  • Mean of quarter 2
    0.99972
  • Mean of quarter 3
    1.00200
  • Mean of quarter 4
    1.00671
  • Inter Quartile Range
    0.00496
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98619
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01382
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16390
  • VaR(95%) (moments method)
    0.00443
  • Expected Shortfall (moments method)
    0.00687
  • Extreme Value Index (regression method)
    0.17894
  • VaR(95%) (regression method)
    0.00465
  • Expected Shortfall (regression method)
    0.00732
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00211
  • Median
    0.00350
  • Quartile 3
    0.00543
  • Maximum
    0.04037
  • Mean of quarter 1
    0.00068
  • Mean of quarter 2
    0.00240
  • Mean of quarter 3
    0.00470
  • Mean of quarter 4
    0.02026
  • Inter Quartile Range
    0.00331
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.18750
  • Mean of outliers high
    0.02468
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.53895
  • VaR(95%) (moments method)
    0.01857
  • Expected Shortfall (moments method)
    0.01962
  • Extreme Value Index (regression method)
    0.09681
  • VaR(95%) (regression method)
    0.03409
  • Expected Shortfall (regression method)
    0.05496
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22293
  • Compounded annual return (geometric extrapolation)
    0.23535
  • Calmar ratio (compounded annual return / max draw down)
    5.83031
  • Compounded annual return / average of 25% largest draw downs
    11.61730
  • Compounded annual return / Expected Shortfall lognormal
    24.82150

Strategy Description

This dual momentum sector rotation strategy seeks to optimise risk/return performance during both bull and bear markets.

Strategy employs a rotational discipline providing subscribers with focused exposure to about half a dozen sectors experiencing the most favourable relative strength and stability, while avoiding exposure to those under prolonged duress. Positions are re-evaluated daily to keep losses to a minimum and take advantage of developing trends. Using Sector SPDR and iShares ETFs for exposure to long-only US equity markets eliminates the risk of single company failure while still retaining better return prospects.

While all sectors are positively correlated the S&P 500 Index (i.e. systematic risk), the correlation of their returns can vary widely. This systematic risk is addressed by liquidating under performing sectors during market rotations, shifting from high-beta to low-beta sectors on market down turns, and rotating to bond ETFs during bear markets. Related sector risk is addressed by avoiding highly correlated sectors and forcing diversity when the market is experiencing higher than normal levels of correlation, which can indicate market topping. While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose money, these strategies together make an effort to control risk while always staying in the market.

Use this coupon to receive 50% off the first month: UGUW44772

Summary Statistics

Strategy began
2016-04-29
Suggested Minimum Capital
$15,000
# Trades
224
# Profitable
142
% Profitable
63.4%
Net Dividends
Correlation S&P500
0.652
Sharpe Ratio
0.74
Sortino Ratio
1.00
Beta
0.62
Alpha
0.01
Leverage
1.20 Average
1.79 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.