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

Insights G1
(142479394)

Created by: EyeForSee EyeForSee
Started: 11/2022
Stocks
Last trade: 154 days ago
Trading style: Equity Non-hedged Equity Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $60.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-7.6%
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.

(32.7%)
Max Drawdown
63
Num Trades
47.6%
Win Trades
0.9 : 1
Profit Factor
35.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                      (4.7%)(3.4%)(7.9%)
2023+17.4%(1.2%)+3.0%+3.5%(16.3%)+1.8%+1.4%(1.6%)(9.4%)+2.1%  -    -  (2.7%)
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.

Trading Record

This strategy has placed 31 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 241 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/25/23 9:33 DNN DENISON MINES LONG 12,300 1.63 10/27 9:30 1.56 6.09%
Trade id #145922600
Max drawdown($2,583)
Time10/12/23 0:00
Quant open12,300
Worst price1.42
Drawdown as % of equity-6.09%
($866)
Includes Typical Broker Commissions trade costs of $5.00
9/25/23 9:33 LWAY LIFEWAY FOODS LONG 1,600 11.85 10/27 9:30 11.66 9.05%
Trade id #145922591
Max drawdown($3,920)
Time9/25/23 15:32
Quant open1,600
Worst price9.40
Drawdown as % of equity-9.05%
($309)
Includes Typical Broker Commissions trade costs of $5.00
9/5/23 9:30 BB BLACKBERRY LIMITED COMMON STOC LONG 4,000 5.57 9/11 9:30 4.65 9.36%
Trade id #145735139
Max drawdown($4,319)
Time9/8/23 0:00
Quant open4,000
Worst price4.49
Drawdown as % of equity-9.36%
($3,685)
Includes Typical Broker Commissions trade costs of $5.00
8/21/23 9:33 DNN DENISON MINES LONG 17,200 1.37 9/5 9:30 1.45 1.44%
Trade id #145588676
Max drawdown($688)
Time8/24/23 0:00
Quant open17,200
Worst price1.33
Drawdown as % of equity-1.44%
$1,371
Includes Typical Broker Commissions trade costs of $5.00
8/21/23 9:33 ROVR ROVER GROUP INC. CLASS A COMMON STOCK LONG 3,800 6.20 9/5 9:30 6.92 n/a $2,731
Includes Typical Broker Commissions trade costs of $5.00
8/14/23 9:31 SUZ SUZANO SA LONG 2,400 10.18 8/21 9:33 10.06 1.11%
Trade id #145519158
Max drawdown($528)
Time8/16/23 0:00
Quant open2,400
Worst price9.96
Drawdown as % of equity-1.11%
($293)
Includes Typical Broker Commissions trade costs of $5.00
8/14/23 9:31 LSEA LANDSEA HOMES CORP LONG 2,100 11.83 8/21 9:33 10.53 7.16%
Trade id #145519153
Max drawdown($3,276)
Time8/18/23 0:00
Quant open2,100
Worst price10.27
Drawdown as % of equity-7.16%
($2,735)
Includes Typical Broker Commissions trade costs of $5.00
8/7/23 9:31 VBNK VERSABANK COMMON SHARES LONG 2,900 8.56 8/14 9:31 7.99 3.36%
Trade id #145457627
Max drawdown($1,653)
Time8/14/23 9:30
Quant open2,900
Worst price7.99
Drawdown as % of equity-3.36%
($1,658)
Includes Typical Broker Commissions trade costs of $5.00
8/7/23 9:31 BWMX BETTERWARE DE MEXICO SA DE CV LONG 1,700 14.85 8/14 9:31 15.22 1.7%
Trade id #145457621
Max drawdown($850)
Time8/8/23 0:00
Quant open1,700
Worst price14.35
Drawdown as % of equity-1.70%
$624
Includes Typical Broker Commissions trade costs of $5.00
7/31/23 9:30 EPM EVOLUTION PETROLEUM LONG 2,700 9.33 8/7 9:31 9.59 1.65%
Trade id #145372854
Max drawdown($810)
Time8/1/23 0:00
Quant open2,700
Worst price9.03
Drawdown as % of equity-1.65%
$697
Includes Typical Broker Commissions trade costs of $5.00
7/24/23 9:30 AVDX AVIDXCHANGE HOLDINGS INC. COMMON STOCK LONG 4,100 12.00 7/31 9:30 12.35 2.36%
Trade id #145301582
Max drawdown($1,107)
Time7/24/23 11:09
Quant open4,100
Worst price11.73
Drawdown as % of equity-2.36%
$1,430
Includes Typical Broker Commissions trade costs of $5.00
7/18/23 10:35 QUIK QUICKLOGIC LONG 3,700 9.00 7/24 9:30 8.80 6.02%
Trade id #145246836
Max drawdown($2,954)
Time7/19/23 0:00
Quant open3,700
Worst price8.20
Drawdown as % of equity-6.02%
($739)
Includes Typical Broker Commissions trade costs of $5.00
7/10/23 9:30 UNCRY UNICREDITO SPA UADR (IT) LONG 1,400 11.65 7/18 9:30 12.28 0.15%
Trade id #145160213
Max drawdown($70)
Time7/10/23 10:36
Quant open1,400
Worst price11.60
Drawdown as % of equity-0.15%
$877
Includes Typical Broker Commissions trade costs of $5.00
7/10/23 9:30 TACT TRANSACT TECHNOLOGIES LONG 1,900 8.99 7/18 9:30 8.64 2.28%
Trade id #145160185
Max drawdown($1,121)
Time7/14/23 0:00
Quant open1,900
Worst price8.40
Drawdown as % of equity-2.28%
($670)
Includes Typical Broker Commissions trade costs of $5.00
7/10/23 9:30 NETI ENETI INC LONG 1,200 12.54 7/18 9:30 13.36 0.05%
Trade id #145160108
Max drawdown($24)
Time7/10/23 9:36
Quant open1,200
Worst price12.52
Drawdown as % of equity-0.05%
$979
Includes Typical Broker Commissions trade costs of $5.00
7/3/23 9:30 PCRFY PANASONIC HLDG CORP SADR LONG 1,300 12.30 7/10 9:30 12.00 1.25%
Trade id #145098758
Max drawdown($598)
Time7/10/23 9:30
Quant open1,300
Worst price11.84
Drawdown as % of equity-1.25%
($395)
Includes Typical Broker Commissions trade costs of $5.00
7/3/23 9:30 MMMB MAMAMANCINIS HOLDINGS INC. LONG 1,200 2.99 7/10 9:30 3.79 n/a $955
Includes Typical Broker Commissions trade costs of $5.00
7/3/23 9:30 CRD.A CRAWFORD & COMPANY LONG 1,400 11.18 7/10 9:30 10.21 2.97%
Trade id #145098702
Max drawdown($1,427)
Time7/6/23 0:00
Quant open1,400
Worst price10.16
Drawdown as % of equity-2.97%
($1,363)
Includes Typical Broker Commissions trade costs of $5.00
6/26/23 9:50 HNNMY HENNES & MAURITZ AB LONG 7,900 2.87 7/3 9:33 3.34 0.27%
Trade id #145030351
Max drawdown($118)
Time6/26/23 15:45
Quant open7,900
Worst price2.85
Drawdown as % of equity-0.27%
$3,787
Includes Typical Broker Commissions trade costs of $5.00
6/26/23 9:30 COTY COTY INC LONG 1,800 12.20 7/3 9:30 12.32 0.35%
Trade id #145029575
Max drawdown($153)
Time6/28/23 0:00
Quant open1,800
Worst price12.12
Drawdown as % of equity-0.35%
$211
Includes Typical Broker Commissions trade costs of $5.00
6/20/23 9:30 CRD.A CRAWFORD & COMPANY LONG 2,100 10.85 6/26 9:30 10.21 5.16%
Trade id #144967477
Max drawdown($2,268)
Time6/23/23 0:00
Quant open2,100
Worst price9.77
Drawdown as % of equity-5.16%
($1,349)
Includes Typical Broker Commissions trade costs of $5.00
6/20/23 9:30 MMMB MAMAMANCINIS HOLDINGS INC. LONG 1,900 3.00 6/26 9:30 2.94 1.31%
Trade id #144967518
Max drawdown($589)
Time6/22/23 0:00
Quant open1,900
Worst price2.69
Drawdown as % of equity-1.31%
($119)
Includes Typical Broker Commissions trade costs of $5.00
6/12/23 9:30 EPM EVOLUTION PETROLEUM LONG 5,900 8.34 6/20 9:30 8.21 6.34%
Trade id #144895824
Max drawdown($2,950)
Time6/14/23 0:00
Quant open5,900
Worst price7.84
Drawdown as % of equity-6.34%
($772)
Includes Typical Broker Commissions trade costs of $5.00
6/5/23 9:30 CRD.B CRD.B IS CRAWFORD & COMPANY CL B LONG 5,500 9.00 6/12 9:30 8.34 17.16%
Trade id #144831391
Max drawdown($8,195)
Time6/12/23 9:30
Quant open5,500
Worst price7.51
Drawdown as % of equity-17.16%
($3,635)
Includes Typical Broker Commissions trade costs of $5.00
5/30/23 9:30 HRZN HORIZON TECH LONG 4,200 13.04 6/5 9:30 12.09 13.4%
Trade id #144777758
Max drawdown($6,384)
Time6/1/23 0:00
Quant open4,200
Worst price11.52
Drawdown as % of equity-13.40%
($3,995)
Includes Typical Broker Commissions trade costs of $5.00
5/23/23 9:30 TACT TRANSACT TECHNOLOGIES LONG 5,300 7.68 5/30 9:30 7.13 5.66%
Trade id #144717971
Max drawdown($3,047)
Time5/26/23 0:00
Quant open5,300
Worst price7.11
Drawdown as % of equity-5.66%
($2,920)
Includes Typical Broker Commissions trade costs of $5.00
5/1/23 9:32 TGS TRANSPORTADORA DE GAS LONG 2,500 11.60 5/22 9:32 12.39 4.44%
Trade id #144485019
Max drawdown($2,487)
Time5/4/23 0:00
Quant open2,500
Worst price10.61
Drawdown as % of equity-4.44%
$1,970
Includes Typical Broker Commissions trade costs of $5.00
5/16/23 9:30 OCUP OCUPHIRE PHARMA INC. COMMON STOCK LONG 5,100 4.90 5/22 9:30 4.23 7.03%
Trade id #144623372
Max drawdown($4,029)
Time5/22/23 9:30
Quant open5,100
Worst price4.11
Drawdown as % of equity-7.03%
($3,422)
Includes Typical Broker Commissions trade costs of $5.00
5/16/23 9:30 CRD.A CRAWFORD & COMPANY LONG 3,100 9.88 5/22 9:30 9.82 5.07%
Trade id #144623392
Max drawdown($2,945)
Time5/16/23 10:06
Quant open3,100
Worst price8.93
Drawdown as % of equity-5.07%
($191)
Includes Typical Broker Commissions trade costs of $5.00
5/8/23 9:31 ARCO ARCOS DORADOS HOLDINGS LONG 5,900 8.35 5/16 9:30 8.40 0.71%
Trade id #144555483
Max drawdown($413)
Time5/9/23 0:00
Quant open5,900
Worst price8.28
Drawdown as % of equity-0.71%
$290
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    11/8/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    506.63
  • Age
    17 months ago
  • What it trades
    Stocks
  • # Trades
    63
  • # Profitable
    30
  • % Profitable
    47.60%
  • Avg trade duration
    9.0 days
  • Max peak-to-valley drawdown
    32.67%
  • drawdown period
    May 12, 2023 - Oct 11, 2023
  • Annual Return (Compounded)
    -7.6%
  • Avg win
    $995.23
  • Avg loss
    $1,041
  • Model Account Values (Raw)
  • Cash
    $46,189
  • Margin Used
    $0
  • Buying Power
    $46,189
  • Ratios
  • W:L ratio
    0.89:1
  • Sharpe Ratio
    -0.31
  • Sortino Ratio
    -0.41
  • Calmar Ratio
    -0.197
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -47.73%
  • Correlation to SP500
    0.15370
  • Return Percent SP500 (cumu) during strategy life
    37.26%
  • Return Statistics
  • Ann Return (w trading costs)
    -7.6%
  • Slump
  • Current Slump as Pcnt Equity
    39.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.63%
  • 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)
    -0.076%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -5.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    96.00%
  • Chance of 20% account loss
    57.50%
  • Chance of 30% account loss
    10.50%
  • Chance of 40% account loss
    2.00%
  • 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
    97.62%
  • 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
    $1,042
  • Avg Win
    $995
  • Sum Trade PL (losers)
    $34,375.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $29,857.000
  • # Winners
    30
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    708
  • Win / Loss
  • # Losers
    33
  • % Winners
    47.6%
  • Frequency
  • Avg Position Time (mins)
    12937.10
  • Avg Position Time (hrs)
    215.62
  • Avg Trade Length
    9.0 days
  • Last Trade Ago
    154
  • Leverage
  • Daily leverage (average)
    0.89
  • Daily leverage (max)
    2.19
  • Regression
  • Alpha
    -0.03
  • Beta
    0.22
  • Treynor Index
    -0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.17
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -8.270
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    0.514
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.883
  • Hold-and-Hope Ratio
    -0.121
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06169
  • SD
    0.24778
  • Sharpe ratio (Glass type estimate)
    -0.24898
  • Sharpe ratio (Hedges UMVUE)
    -0.23536
  • df
    14.00000
  • t
    -0.27837
  • p
    0.53710
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.00005
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51084
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.99057
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51985
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.31457
  • Upside Potential Ratio
    1.18582
  • Upside part of mean
    0.23256
  • Downside part of mean
    -0.29425
  • Upside SD
    0.13841
  • Downside SD
    0.19612
  • N nonnegative terms
    6.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.21495
  • Mean of criterion
    -0.06169
  • SD of predictor
    0.12725
  • SD of criterion
    0.24778
  • Covariance
    -0.00459
  • r
    -0.14570
  • b (slope, estimate of beta)
    -0.28371
  • a (intercept, estimate of alpha)
    -0.00071
  • Mean Square Error
    0.06471
  • DF error
    13.00000
  • t(b)
    -0.53100
  • p(b)
    0.59243
  • t(a)
    -0.00278
  • p(a)
    0.50049
  • Lowerbound of 95% confidence interval for beta
    -1.43799
  • Upperbound of 95% confidence interval for beta
    0.87057
  • Lowerbound of 95% confidence interval for alpha
    -0.55133
  • Upperbound of 95% confidence interval for alpha
    0.54991
  • Treynor index (mean / b)
    0.21744
  • Jensen alpha (a)
    -0.00071
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09220
  • SD
    0.25954
  • Sharpe ratio (Glass type estimate)
    -0.35525
  • Sharpe ratio (Hedges UMVUE)
    -0.33582
  • df
    14.00000
  • t
    -0.39718
  • p
    0.55278
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.10690
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40883
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42164
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.42948
  • Upside Potential Ratio
    1.03881
  • Upside part of mean
    0.22302
  • Downside part of mean
    -0.31522
  • Upside SD
    0.13225
  • Downside SD
    0.21468
  • N nonnegative terms
    6.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.20530
  • Mean of criterion
    -0.09220
  • SD of predictor
    0.12471
  • SD of criterion
    0.25954
  • Covariance
    -0.00480
  • r
    -0.14819
  • b (slope, estimate of beta)
    -0.30841
  • a (intercept, estimate of alpha)
    -0.02889
  • Mean Square Error
    0.07095
  • DF error
    13.00000
  • t(b)
    -0.54026
  • p(b)
    0.59399
  • t(a)
    -0.10880
  • p(a)
    0.51920
  • Lowerbound of 95% confidence interval for beta
    -1.54167
  • Upperbound of 95% confidence interval for beta
    0.92485
  • Lowerbound of 95% confidence interval for alpha
    -0.60249
  • Upperbound of 95% confidence interval for alpha
    0.54471
  • Treynor index (mean / b)
    0.29897
  • Jensen alpha (a)
    -0.02889
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12271
  • Expected Shortfall on VaR
    0.14943
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06280
  • Expected Shortfall on VaR
    0.12655
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.80648
  • Quartile 1
    0.98730
  • Median
    1.00000
  • Quartile 3
    1.01718
  • Maximum
    1.10545
  • Mean of quarter 1
    0.91394
  • Mean of quarter 2
    0.99888
  • Mean of quarter 3
    1.00388
  • Mean of quarter 4
    1.07372
  • Inter Quartile Range
    0.02989
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.89223
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.08907
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.08472
  • VaR(95%) (moments method)
    0.06457
  • Expected Shortfall (moments method)
    0.06630
  • Extreme Value Index (regression method)
    0.31111
  • VaR(95%) (regression method)
    0.13521
  • Expected Shortfall (regression method)
    0.26626
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07105
  • Quartile 1
    0.11320
  • Median
    0.15534
  • Quartile 3
    0.19749
  • Maximum
    0.23963
  • Mean of quarter 1
    0.07105
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23963
  • Inter Quartile Range
    0.08429
  • 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)
    -0.06178
  • Compounded annual return (geometric extrapolation)
    -0.06227
  • Calmar ratio (compounded annual return / max draw down)
    -0.25987
  • Compounded annual return / average of 25% largest draw downs
    -0.25987
  • Compounded annual return / Expected Shortfall lognormal
    -0.41674
  • 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
    -0.06776
  • SD
    0.20807
  • Sharpe ratio (Glass type estimate)
    -0.32568
  • Sharpe ratio (Hedges UMVUE)
    -0.32497
  • df
    341.00000
  • t
    -0.37210
  • p
    0.64497
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04115
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39020
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39069
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43012
  • Upside Potential Ratio
    5.73285
  • Upside part of mean
    0.90318
  • Downside part of mean
    -0.97094
  • Upside SD
    0.13551
  • Downside SD
    0.15754
  • N nonnegative terms
    122.00000
  • N negative terms
    220.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    342.00000
  • Mean of predictor
    0.22593
  • Mean of criterion
    -0.06776
  • SD of predictor
    0.14980
  • SD of criterion
    0.20807
  • Covariance
    0.00494
  • r
    0.15857
  • b (slope, estimate of beta)
    0.22026
  • a (intercept, estimate of alpha)
    -0.11800
  • Mean Square Error
    0.04233
  • DF error
    340.00000
  • t(b)
    2.96146
  • p(b)
    0.00164
  • t(a)
    -0.64984
  • p(a)
    0.74188
  • Lowerbound of 95% confidence interval for beta
    0.07397
  • Upperbound of 95% confidence interval for beta
    0.36655
  • Lowerbound of 95% confidence interval for alpha
    -0.47326
  • Upperbound of 95% confidence interval for alpha
    0.23821
  • Treynor index (mean / b)
    -0.30766
  • Jensen alpha (a)
    -0.11753
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08948
  • SD
    0.20902
  • Sharpe ratio (Glass type estimate)
    -0.42808
  • Sharpe ratio (Hedges UMVUE)
    -0.42714
  • df
    341.00000
  • t
    -0.48909
  • p
    0.68746
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.14359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28797
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.14292
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28864
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55622
  • Upside Potential Ratio
    5.55813
  • Upside part of mean
    0.89412
  • Downside part of mean
    -0.98360
  • Upside SD
    0.13309
  • Downside SD
    0.16087
  • N nonnegative terms
    122.00000
  • N negative terms
    220.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    342.00000
  • Mean of predictor
    0.21470
  • Mean of criterion
    -0.08948
  • SD of predictor
    0.14909
  • SD of criterion
    0.20902
  • Covariance
    0.00491
  • r
    0.15741
  • b (slope, estimate of beta)
    0.22069
  • a (intercept, estimate of alpha)
    -0.13686
  • Mean Square Error
    0.04273
  • DF error
    340.00000
  • t(b)
    2.93922
  • p(b)
    0.00176
  • t(a)
    -0.75343
  • p(a)
    0.77414
  • Lowerbound of 95% confidence interval for beta
    0.07300
  • Upperbound of 95% confidence interval for beta
    0.36837
  • Lowerbound of 95% confidence interval for alpha
    -0.49415
  • Upperbound of 95% confidence interval for alpha
    0.22043
  • Treynor index (mean / b)
    -0.40545
  • Jensen alpha (a)
    -0.13686
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02135
  • Expected Shortfall on VaR
    0.02661
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00986
  • Expected Shortfall on VaR
    0.02056
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    342.00000
  • Minimum
    0.91797
  • Quartile 1
    0.99772
  • Median
    1.00000
  • Quartile 3
    1.00479
  • Maximum
    1.07076
  • Mean of quarter 1
    0.98572
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00109
  • Mean of quarter 4
    1.01279
  • Inter Quartile Range
    0.00707
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.09649
  • Mean of outliers low
    0.97369
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.02734
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19992
  • VaR(95%) (moments method)
    0.00885
  • Expected Shortfall (moments method)
    0.01483
  • Extreme Value Index (regression method)
    0.02036
  • VaR(95%) (regression method)
    0.01450
  • Expected Shortfall (regression method)
    0.02237
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00024
  • Quartile 1
    0.01261
  • Median
    0.02139
  • Quartile 3
    0.03098
  • Maximum
    0.30300
  • Mean of quarter 1
    0.00514
  • Mean of quarter 2
    0.01595
  • Mean of quarter 3
    0.02712
  • Mean of quarter 4
    0.14838
  • Inter Quartile Range
    0.01837
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.20684
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.85710
  • VaR(95%) (moments method)
    0.10092
  • Expected Shortfall (moments method)
    0.10119
  • Extreme Value Index (regression method)
    0.27945
  • VaR(95%) (regression method)
    0.33852
  • Expected Shortfall (regression method)
    0.65394
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05916
  • Compounded annual return (geometric extrapolation)
    -0.05971
  • Calmar ratio (compounded annual return / max draw down)
    -0.19708
  • Compounded annual return / average of 25% largest draw downs
    -0.40243
  • Compounded annual return / Expected Shortfall lognormal
    -2.24436
  • 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
    -0.13842
  • SD
    0.14628
  • Sharpe ratio (Glass type estimate)
    -0.94627
  • Sharpe ratio (Hedges UMVUE)
    -0.94081
  • df
    130.00000
  • t
    -0.66912
  • p
    0.52929
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.71866
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82973
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.71497
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83336
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.14440
  • Upside Potential Ratio
    3.35054
  • Upside part of mean
    0.40526
  • Downside part of mean
    -0.54368
  • Upside SD
    0.08171
  • Downside SD
    0.12095
  • N nonnegative terms
    20.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28461
  • Mean of criterion
    -0.13842
  • SD of predictor
    0.13501
  • SD of criterion
    0.14628
  • Covariance
    0.00221
  • r
    0.11183
  • b (slope, estimate of beta)
    0.12116
  • a (intercept, estimate of alpha)
    -0.17290
  • Mean Square Error
    0.02129
  • DF error
    129.00000
  • t(b)
    1.27813
  • p(b)
    0.42896
  • t(a)
    -0.83078
  • p(a)
    0.54640
  • Lowerbound of 95% confidence interval for beta
    -0.06639
  • Upperbound of 95% confidence interval for beta
    0.30872
  • Lowerbound of 95% confidence interval for alpha
    -0.58468
  • Upperbound of 95% confidence interval for alpha
    0.23887
  • Treynor index (mean / b)
    -1.14244
  • Jensen alpha (a)
    -0.17290
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14918
  • SD
    0.14753
  • Sharpe ratio (Glass type estimate)
    -1.01119
  • Sharpe ratio (Hedges UMVUE)
    -1.00535
  • df
    130.00000
  • t
    -0.71502
  • p
    0.53129
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.78379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76527
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.77985
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76915
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.21180
  • Upside Potential Ratio
    3.26486
  • Upside part of mean
    0.40193
  • Downside part of mean
    -0.55111
  • Upside SD
    0.08080
  • Downside SD
    0.12311
  • N nonnegative terms
    20.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27545
  • Mean of criterion
    -0.14918
  • SD of predictor
    0.13431
  • SD of criterion
    0.14753
  • Covariance
    0.00220
  • r
    0.11122
  • b (slope, estimate of beta)
    0.12217
  • a (intercept, estimate of alpha)
    -0.18283
  • Mean Square Error
    0.02166
  • DF error
    129.00000
  • t(b)
    1.27114
  • p(b)
    0.42934
  • t(a)
    -0.87136
  • p(a)
    0.54865
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    -0.06799
  • Upperbound of 95% confidence interval for beta
    0.31232
  • Lowerbound of 95% confidence interval for alpha
    -0.59798
  • Upperbound of 95% confidence interval for alpha
    0.23231
  • Treynor index (mean / b)
    -1.22112
  • Jensen alpha (a)
    -0.18283
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01544
  • Expected Shortfall on VaR
    0.01918
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00652
  • Expected Shortfall on VaR
    0.01411
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95078
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03590
  • Mean of quarter 1
    0.99212
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00621
  • Inter Quartile Range
    0.00000
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.98142
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.00975
  • 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)
    -0.18629
  • VaR(95%) (regression method)
    0.01213
  • Expected Shortfall (regression method)
    0.02365
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.14463
  • Quartile 1
    0.14463
  • Median
    0.14463
  • Quartile 3
    0.14463
  • Maximum
    0.14463
  • 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?
    -101114000
  • Max Equity Drawdown (num days)
    152
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.11767
  • Compounded annual return (geometric extrapolation)
    -0.11421
  • Calmar ratio (compounded annual return / max draw down)
    -0.78967
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -5.95526

Strategy Description

The Insights G1 strategy delivers a selection of long-only aggressive technical opportunities on US exchanges on a weekly basis. Positions are taken every Monday morning, and reviewed on a weekly basis, with some cash held back if the market breadth is bearish. Available cash is allocated to new positions equally. The system will not have more than 3 positions. Average trade duration will range between 7 to 12 days. The positions taken by the Insights G1 strategy can be volatile; no stops protection is in place, so periodic drawdowns are to be expected.

Summary Statistics

Strategy began
2022-11-08
Suggested Minimum Capital
$15,000
# Trades
63
# Profitable
30
% Profitable
47.6%
Net Dividends
Correlation S&P500
0.154
Sharpe Ratio
-0.31
Sortino Ratio
-0.41
Beta
0.22
Alpha
-0.03
Leverage
0.89 Average
2.19 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.