Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $153,000 Hypothetical

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Long/Short Stock Trader
(119579511)

Created by: JonathanKinlay3 JonathanKinlay3
Started: 08/2018
Stocks
Last trade: 1,901 days ago
Trading style: Equity Hedged Equity

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 $99.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
-1.9%
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.

(13.9%)
Max Drawdown
141
Num Trades
54.6%
Win Trades
0.7 : 1
Profit Factor
2.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                 (0.3%)+2.0%(7.2%)+7.2%(0.4%)+0.9%
2019(9.6%)(1.7%)  -    -    -    -    -    -    -    -    -    -  (11.1%)
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 283 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/8/19 15:57 BA BOEING SHORT 23 340.45 2/13 9:38 411.37 1.88%
Trade id #121855992
Max drawdown($1,714)
Time2/6/19 8:23
Quant open-23
Worst price415.00
Drawdown as % of equity-1.88%
 ($1,631)
Includes Typical Broker Commissions trade costs of $0.46
1/4/19 15:58 HON HONEYWELL INTERNATIONAL SHORT 60 134.43 2/13 9:38 151.01 1.09%
Trade id #121799424
Max drawdown($995)
Time2/13/19 9:38
Quant open0
Worst price151.01
Drawdown as % of equity-1.09%
 ($996)
Includes Typical Broker Commissions trade costs of $1.20
1/2/19 10:28 NKE NIKE SHORT 120 73.91 2/13 9:38 85.50 1.53%
Trade id #121744759
Max drawdown($1,395)
Time2/13/19 9:37
Quant open-120
Worst price85.54
Drawdown as % of equity-1.53%
 ($1,392)
Includes Typical Broker Commissions trade costs of $2.40
1/7/19 15:57 AXP AMERICAN EXPRESS SHORT 81 98.20 2/13 9:36 108.12 0.88%
Trade id #121830966
Max drawdown($803)
Time2/13/19 9:36
Quant open0
Worst price108.12
Drawdown as % of equity-0.88%
 ($805)
Includes Typical Broker Commissions trade costs of $1.62
1/4/19 15:59 TD TORONTO-DOMINION BANK SHORT 158 50.74 2/11 15:40 55.67 1.06%
Trade id #121799459
Max drawdown($977)
Time2/1/19 10:42
Quant open-158
Worst price56.93
Drawdown as % of equity-1.06%
 ($782)
Includes Typical Broker Commissions trade costs of $3.16
1/4/19 15:57 C CITIGROUP SHORT 145 55.23 2/7 15:44 62.75 1.49%
Trade id #121799410
Max drawdown($1,378)
Time1/30/19 14:58
Quant open-145
Worst price64.74
Drawdown as % of equity-1.49%
 ($1,093)
Includes Typical Broker Commissions trade costs of $2.90
1/7/19 15:57 GD GENERAL DYNAMICS SHORT 50 158.55 2/1 15:55 168.50 1.26%
Trade id #121830971
Max drawdown($1,172)
Time1/30/19 8:41
Quant open-50
Worst price182.00
Drawdown as % of equity-1.26%
 ($498)
Includes Typical Broker Commissions trade costs of $1.00
1/7/19 15:57 NOC NORTHROP GRUMMAN SHORT 32 249.81 2/1 15:55 272.96 1.26%
Trade id #121830973
Max drawdown($1,158)
Time1/30/19 19:46
Quant open-32
Worst price286.00
Drawdown as % of equity-1.26%
 ($742)
Includes Typical Broker Commissions trade costs of $0.64
1/8/19 15:57 RTN RAYTHEON COMPANY SHORT 51 157.05 1/31 15:52 165.41 0.93%
Trade id #121855999
Max drawdown($864)
Time1/30/19 8:50
Quant open-51
Worst price174.00
Drawdown as % of equity-0.93%
 ($428)
Includes Typical Broker Commissions trade costs of $1.02
1/4/19 15:58 JPM JPMORGAN CHASE SHORT 79 100.69 1/31 15:52 103.26 0.39%
Trade id #121799444
Max drawdown($359)
Time1/30/19 14:24
Quant open-79
Worst price105.24
Drawdown as % of equity-0.39%
 ($205)
Includes Typical Broker Commissions trade costs of $1.58
1/4/19 15:58 MA MASTERCARD SHORT 42 189.56 1/29 15:58 198.92 0.64%
Trade id #121799449
Max drawdown($601)
Time1/25/19 10:46
Quant open-42
Worst price203.89
Drawdown as % of equity-0.64%
 ($394)
Includes Typical Broker Commissions trade costs of $0.84
1/4/19 15:57 ADBE ADOBE INC SHORT 35 226.40 1/28 15:57 241.62 0.93%
Trade id #121799399
Max drawdown($849)
Time1/18/19 11:45
Quant open-35
Worst price250.68
Drawdown as % of equity-0.93%
 ($534)
Includes Typical Broker Commissions trade costs of $0.70
1/4/19 15:58 FB META PLATFORMS INC SHORT 58 137.98 1/24 9:34 144.72 0.91%
Trade id #121799447
Max drawdown($837)
Time1/18/19 11:06
Quant open-58
Worst price152.43
Drawdown as % of equity-0.91%
 ($392)
Includes Typical Broker Commissions trade costs of $1.16
1/4/19 15:58 NFLX NETFLIX SHORT 27 297.55 1/22 15:55 323.68 1.92%
Trade id #121799453
Max drawdown($1,804)
Time1/17/19 16:01
Quant open-27
Worst price364.38
Drawdown as % of equity-1.92%
 ($706)
Includes Typical Broker Commissions trade costs of $0.54
1/8/19 15:57 ITW ILLINOIS TOOL WORKS SHORT 62 129.83 1/22 15:55 131.40 0.52%
Trade id #121855997
Max drawdown($475)
Time1/18/19 13:03
Quant open-62
Worst price137.50
Drawdown as % of equity-0.52%
 ($98)
Includes Typical Broker Commissions trade costs of $1.24
1/2/19 15:56 DWDP DOWDUPONT SHORT 160 54.48 1/22 15:55 56.04 0.71%
Trade id #121753001
Max drawdown($647)
Time1/18/19 13:05
Quant open-160
Worst price58.53
Drawdown as % of equity-0.71%
 ($252)
Includes Typical Broker Commissions trade costs of $3.20
1/4/19 15:58 IBM INTERNATIONAL BUSINESS MACHINES SHORT 68 117.31 1/22 15:55 121.92 0.55%
Trade id #121799432
Max drawdown($503)
Time1/18/19 11:45
Quant open-68
Worst price124.72
Drawdown as % of equity-0.55%
 ($314)
Includes Typical Broker Commissions trade costs of $1.36
1/7/19 9:30 V VISA SHORT 60 134.42 1/22 15:55 137.51 0.33%
Trade id #121814888
Max drawdown($306)
Time1/22/19 10:36
Quant open-60
Worst price139.52
Drawdown as % of equity-0.33%
 ($186)
Includes Typical Broker Commissions trade costs of $1.20
1/4/19 15:57 AMZN AMAZON.COM SHORT 5 1573.51 1/22 15:55 1627.51 0.78%
Trade id #121799407
Max drawdown($713)
Time1/18/19 12:44
Quant open-5
Worst price1716.20
Drawdown as % of equity-0.78%
 ($270)
Includes Typical Broker Commissions trade costs of $0.10
1/4/19 15:59 XOM EXXON MOBIL SHORT 122 71.14 1/22 15:55 71.84 0.29%
Trade id #121799494
Max drawdown($267)
Time1/18/19 9:29
Quant open-122
Worst price73.33
Drawdown as % of equity-0.29%
 ($87)
Includes Typical Broker Commissions trade costs of $2.44
1/4/19 15:57 GILD GILEAD SCIENCES SHORT 117 68.16 1/17 15:52 68.40 0.12%
Trade id #121799414
Max drawdown($116)
Time1/8/19 9:31
Quant open-117
Worst price69.15
Drawdown as % of equity-0.12%
 ($31)
Includes Typical Broker Commissions trade costs of $2.34
1/4/19 15:58 HD HOME DEPOT SHORT 46 173.50 1/17 15:52 174.41 0.36%
Trade id #121799417
Max drawdown($357)
Time1/9/19 13:27
Quant open-46
Worst price181.27
Drawdown as % of equity-0.36%
 ($43)
Includes Typical Broker Commissions trade costs of $0.92
1/7/19 9:31 WFC WELLS FARGO SHORT 167 47.89 1/15 15:54 47.55 0.13%
Trade id #121815017
Max drawdown($130)
Time1/14/19 16:14
Quant open-167
Worst price48.67
Drawdown as % of equity-0.13%
 $54
Includes Typical Broker Commissions trade costs of $3.34
1/8/19 15:57 GOOGL ALPHABET INC CLASS A SHORT 7 1084.85 1/14 15:56 1052.12 0.05%
Trade id #121855995
Max drawdown($47)
Time1/9/19 9:38
Quant open-7
Worst price1091.64
Drawdown as % of equity-0.05%
 $229
Includes Typical Broker Commissions trade costs of $0.14
12/18/18 15:57 MO ALTRIA LONG 162 50.97 1/7/19 9:30 49.67 0.79%
Trade id #121560442
Max drawdown($725)
Time12/26/18 10:17
Quant open162
Worst price46.49
Drawdown as % of equity-0.79%
 ($213)
Includes Typical Broker Commissions trade costs of $3.24
12/18/18 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 191 42.99 1/7/19 9:30 40.66 0.87%
Trade id #121548651
Max drawdown($803)
Time12/26/18 11:00
Quant open191
Worst price38.78
Drawdown as % of equity-0.87%
 ($449)
Includes Typical Broker Commissions trade costs of $3.82
12/20/18 15:51 XOM EXXON MOBIL LONG 120 68.34 1/2/19 15:56 69.62 0.48%
Trade id #121605489
Max drawdown($442)
Time12/26/18 10:16
Quant open120
Worst price64.65
Drawdown as % of equity-0.48%
 $152
Includes Typical Broker Commissions trade costs of $2.40
12/18/18 15:57 TD TORONTO-DOMINION BANK LONG 162 50.87 1/2/19 15:56 50.26 0.55%
Trade id #121560433
Max drawdown($508)
Time12/26/18 10:56
Quant open162
Worst price47.73
Drawdown as % of equity-0.55%
 ($102)
Includes Typical Broker Commissions trade costs of $3.24
12/20/18 15:51 NVDA NVIDIA LONG 61 135.07 1/2/19 15:56 136.19 0.7%
Trade id #121605483
Max drawdown($647)
Time12/26/18 11:00
Quant open61
Worst price124.46
Drawdown as % of equity-0.70%
 $67
Includes Typical Broker Commissions trade costs of $1.22
12/18/18 15:55 C CITIGROUP LONG 152 54.14 1/2/19 10:01 51.93 0.94%
Trade id #121560395
Max drawdown($869)
Time12/26/18 11:00
Quant open152
Worst price48.42
Drawdown as % of equity-0.94%
 ($339)
Includes Typical Broker Commissions trade costs of $3.04
Next

Statistics

  • Strategy began
    8/24/2018
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2073.13
  • Age
    69 months ago
  • What it trades
    Stocks
  • # Trades
    141
  • # Profitable
    77
  • % Profitable
    54.60%
  • Avg trade duration
    12.4 days
  • Max peak-to-valley drawdown
    13.89%
  • drawdown period
    Dec 19, 2018 - Feb 28, 2019
  • Annual Return (Compounded)
    -1.9%
  • Avg win
    $246.29
  • Avg loss
    $458.67
  • Model Account Values (Raw)
  • Cash
    $90,657
  • Margin Used
    $0
  • Buying Power
    $90,657
  • Ratios
  • W:L ratio
    0.68:1
  • Sharpe Ratio
    -0.64
  • Sortino Ratio
    -0.88
  • Calmar Ratio
    -0.429
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -87.78%
  • Correlation to SP500
    0.08210
  • Return Percent SP500 (cumu) during strategy life
    77.41%
  • Return Statistics
  • Ann Return (w trading costs)
    -1.9%
  • Slump
  • Current Slump as Pcnt Equity
    16.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.019%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    88.00%
  • Chance of 20% account loss
    12.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $459
  • Avg Win
    $246
  • Sum Trade PL (losers)
    $29,355.000
  • Age
  • Num Months filled monthly returns table
    69
  • Win / Loss
  • Sum Trade PL (winners)
    $18,964.000
  • # Winners
    77
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    1054
  • Win / Loss
  • # Losers
    64
  • % Winners
    54.6%
  • Frequency
  • Avg Position Time (mins)
    17906.90
  • Avg Position Time (hrs)
    298.45
  • Avg Trade Length
    12.4 days
  • Last Trade Ago
    1900
  • Leverage
  • Daily leverage (average)
    0.99
  • Daily leverage (max)
    1.96
  • Regression
  • Alpha
    -0.01
  • Beta
    0.02
  • Treynor Index
    -0.50
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    36.58
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    94.69
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -7.82
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -18.648
  • 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
    0.860
  • Avg(MAE) / Avg(PL) - Losing trades
    -6.272
  • Hold-and-Hope Ratio
    -0.054
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08469
  • SD
    0.06828
  • Sharpe ratio (Glass type estimate)
    -1.24043
  • Sharpe ratio (Hedges UMVUE)
    -1.19070
  • df
    19.00000
  • t
    -1.60138
  • p
    0.71510
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.79314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.34265
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.75537
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37397
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.31384
  • Upside Potential Ratio
    0.43673
  • Upside part of mean
    0.02815
  • Downside part of mean
    -0.11285
  • Upside SD
    0.02951
  • Downside SD
    0.06446
  • N nonnegative terms
    2.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.38575
  • Mean of criterion
    -0.08469
  • SD of predictor
    0.41128
  • SD of criterion
    0.06828
  • Covariance
    0.00371
  • r
    0.13195
  • b (slope, estimate of beta)
    0.02191
  • a (intercept, estimate of alpha)
    -0.09314
  • Mean Square Error
    0.00484
  • DF error
    18.00000
  • t(b)
    0.56476
  • p(b)
    0.43402
  • t(a)
    -1.66621
  • p(a)
    0.68278
  • Lowerbound of 95% confidence interval for beta
    -0.05958
  • Upperbound of 95% confidence interval for beta
    0.10339
  • Lowerbound of 95% confidence interval for alpha
    -0.21059
  • Upperbound of 95% confidence interval for alpha
    0.02430
  • Treynor index (mean / b)
    -3.86633
  • Jensen alpha (a)
    -0.09314
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08706
  • SD
    0.06927
  • Sharpe ratio (Glass type estimate)
    -1.25674
  • Sharpe ratio (Hedges UMVUE)
    -1.20636
  • df
    19.00000
  • t
    -1.62245
  • p
    0.71749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.81058
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.32783
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.77224
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35952
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.31959
  • Upside Potential Ratio
    0.41930
  • Upside part of mean
    0.02766
  • Downside part of mean
    -0.11472
  • Upside SD
    0.02895
  • Downside SD
    0.06597
  • N nonnegative terms
    2.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.30552
  • Mean of criterion
    -0.08706
  • SD of predictor
    0.39160
  • SD of criterion
    0.06927
  • Covariance
    0.00369
  • r
    0.13598
  • b (slope, estimate of beta)
    0.02405
  • a (intercept, estimate of alpha)
    -0.09441
  • Mean Square Error
    0.00497
  • DF error
    18.00000
  • t(b)
    0.58230
  • p(b)
    0.43201
  • t(a)
    -1.68416
  • p(a)
    0.68448
  • Lowerbound of 95% confidence interval for beta
    -0.06273
  • Upperbound of 95% confidence interval for beta
    0.11084
  • Lowerbound of 95% confidence interval for alpha
    -0.21218
  • Upperbound of 95% confidence interval for alpha
    0.02336
  • Treynor index (mean / b)
    -3.61927
  • Jensen alpha (a)
    -0.09441
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03935
  • Expected Shortfall on VaR
    0.04732
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03046
  • Expected Shortfall on VaR
    0.05476
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.93846
  • Quartile 1
    0.99987
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03904
  • Mean of quarter 1
    0.97077
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01032
  • Inter Quartile Range
    0.00013
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.97077
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.02579
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -69.63510
  • VaR(95%) (moments method)
    0.00277
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.08433
  • VaR(95%) (regression method)
    0.01881
  • Expected Shortfall (regression method)
    0.02891
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.10511
  • Quartile 1
    0.10511
  • Median
    0.10511
  • Quartile 3
    0.10511
  • Maximum
    0.10511
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.05633
  • Compounded annual return (geometric extrapolation)
    -0.05744
  • Calmar ratio (compounded annual return / max draw down)
    -0.54647
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.21379
  • 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
    -0.08335
  • SD
    0.08557
  • Sharpe ratio (Glass type estimate)
    -0.97406
  • Sharpe ratio (Hedges UMVUE)
    -0.97239
  • df
    436.00000
  • t
    -1.25799
  • p
    0.89547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49254
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.54542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.49136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54658
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.28777
  • Upside Potential Ratio
    3.33216
  • Upside part of mean
    0.21566
  • Downside part of mean
    -0.29901
  • Upside SD
    0.05606
  • Downside SD
    0.06472
  • N nonnegative terms
    53.00000
  • N negative terms
    384.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    437.00000
  • Mean of predictor
    0.36796
  • Mean of criterion
    -0.08335
  • SD of predictor
    0.35068
  • SD of criterion
    0.08557
  • Covariance
    0.00241
  • r
    0.08041
  • b (slope, estimate of beta)
    0.01962
  • a (intercept, estimate of alpha)
    -0.09100
  • Mean Square Error
    0.00729
  • DF error
    435.00000
  • t(b)
    1.68263
  • p(b)
    0.04658
  • t(a)
    -1.36696
  • p(a)
    0.91383
  • Lowerbound of 95% confidence interval for beta
    -0.00330
  • Upperbound of 95% confidence interval for beta
    0.04254
  • Lowerbound of 95% confidence interval for alpha
    -0.22079
  • Upperbound of 95% confidence interval for alpha
    0.03965
  • Treynor index (mean / b)
    -4.24781
  • Jensen alpha (a)
    -0.09057
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08701
  • SD
    0.08574
  • Sharpe ratio (Glass type estimate)
    -1.01483
  • Sharpe ratio (Hedges UMVUE)
    -1.01308
  • df
    436.00000
  • t
    -1.31064
  • p
    0.90467
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.53335
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.50485
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53217
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50601
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.32961
  • Upside Potential Ratio
    3.27136
  • Upside part of mean
    0.21409
  • Downside part of mean
    -0.30111
  • Upside SD
    0.05551
  • Downside SD
    0.06544
  • N nonnegative terms
    53.00000
  • N negative terms
    384.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    437.00000
  • Mean of predictor
    0.30527
  • Mean of criterion
    -0.08701
  • SD of predictor
    0.35562
  • SD of criterion
    0.08574
  • Covariance
    0.00245
  • r
    0.08028
  • b (slope, estimate of beta)
    0.01936
  • a (intercept, estimate of alpha)
    -0.09292
  • Mean Square Error
    0.00732
  • DF error
    435.00000
  • t(b)
    1.67984
  • p(b)
    0.04685
  • t(a)
    -1.40059
  • p(a)
    0.91897
  • Lowerbound of 95% confidence interval for beta
    -0.00329
  • Upperbound of 95% confidence interval for beta
    0.04200
  • Lowerbound of 95% confidence interval for alpha
    -0.22332
  • Upperbound of 95% confidence interval for alpha
    0.03748
  • Treynor index (mean / b)
    -4.49532
  • Jensen alpha (a)
    -0.09292
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00900
  • Expected Shortfall on VaR
    0.01119
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00367
  • Expected Shortfall on VaR
    0.00788
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    437.00000
  • Minimum
    0.96251
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02812
  • Mean of quarter 1
    0.99584
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00335
  • Inter Quartile Range
    0.00000
  • Number outliers low
    70.00000
  • Percentage of outliers low
    0.16018
  • Mean of outliers low
    0.99346
  • Number of outliers high
    56.00000
  • Percentage of outliers high
    0.12815
  • Mean of outliers high
    1.00653
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44380
  • VaR(95%) (moments method)
    0.00290
  • Expected Shortfall (moments method)
    0.00739
  • Extreme Value Index (regression method)
    -0.05727
  • VaR(95%) (regression method)
    0.00517
  • Expected Shortfall (regression method)
    0.00915
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00106
  • Quartile 1
    0.00267
  • Median
    0.00494
  • Quartile 3
    0.02909
  • Maximum
    0.13390
  • Mean of quarter 1
    0.00118
  • Mean of quarter 2
    0.00343
  • Mean of quarter 3
    0.00755
  • Mean of quarter 4
    0.11169
  • Inter Quartile Range
    0.02642
  • 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
    0.25000
  • Mean of outliers high
    0.11169
  • 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)
    -0.05629
  • Compounded annual return (geometric extrapolation)
    -0.05739
  • Calmar ratio (compounded annual return / max draw down)
    -0.42865
  • Compounded annual return / average of 25% largest draw downs
    -0.51386
  • Compounded annual return / Expected Shortfall lognormal
    -5.12740
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.83862
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42295
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.74847
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42355
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6825740000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    137581000000000016223745978925056.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -352298000
  • Max Equity Drawdown (num days)
    71
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

The Long-Short Stock trader strategy uses a quantitative model to introduce market orders, both entry and exits. The model looks for divergencies between stock price and its current volatility, closing the position when the Price-volatility gap is closed.
The strategy is designed to obtain a better return on risk than S&P500 index and the risk management is focused on obtaining a lower drawdown and volatility than index.
The model trades only Large Cap stocks, with high liquidity and without scalability problems. Thanks to the high liquidity, market orders are filled without market impact and at the best market prices.
For more information go to:
https://www.subscribepage.com/L-S_Stock_Trader
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-08-24
Suggested Minimum Capital
$15,000
# Trades
141
# Profitable
77
% Profitable
54.6%
Net Dividends
$1,054
Correlation S&P500
0.082
Sharpe Ratio
-0.64
Sortino Ratio
-0.88
Beta
0.02
Alpha
-0.01
Leverage
0.99 Average
1.96 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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