Collective2 Collective2
Featured Strategy TechSignal +153.7% Cumul. Return since Jul 3, 2024 Hypothetical

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4Trend only ETF
(22906062)

Created by: Timing Timing
Started: 10/2006
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $50.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
2.5%
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.

(20.3%)
Max Drawdown
2285
Num Trades
35.8%
Win Trades
1.8 : 1
Profit Factor
51.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006                                                               +2.3%+3.6%+1.0%+7.0%
2007+1.3%(0.9%)(0.9%)+3.8%+3.9%(1%)(0.4%)(2.8%)+1.9%+5.5%(6.6%)(1.9%)+1.2%
2008(1.9%)(0.1%)(0.1%)(0.7%)+1.4%(1.6%)(0.8%)(0.1%)+0.2%(0.1%)(0.2%)  -  (3.8%)
2009(0.1%)(0.2%)(0.5%)+3.0%+6.2%(1.8%)+7.4%+1.4%+6.0%(1.9%)+2.4%+0.6%+24.3%
2010(5.4%)(0.4%)+1.3%+1.6%(5.1%)(0.1%)(0.2%)(0.6%)+2.7%+2.2%(1.5%)+4.9%(1.2%)
2011(0.6%)+1.9%(0.6%)+1.1%(1.7%)(0.4%)(0.7%)(0.9%)(0.1%)(0.1%)(1.8%)  -  (3.9%)
2012+1.9%+2.8%(0.5%)(1.3%)(4.6%)+0.6%+0.4%(0.5%)+0.7%(0.2%)(0.6%)+2.8%+1.3%
2013+4.0%(0.4%)+1.9%+3.3%(3.7%)(1.5%)+0.6%(0.7%)+0.7%+1.5%+0.4%+0.5%+6.5%
2014(2%)+1.1%+0.3%+1.0%+1.2%+0.6%(1%)+1.5%(3.6%)(0.4%)+0.2%(0.5%)(1.7%)
2015+1.1%+1.0%(0.5%)+0.2%(0.7%)(2.5%)+0.7%(2.6%)(1%)+0.4%(0.8%)(0.7%)(5.3%)
2016(1.1%)+0.1%+3.5%+0.1%(1.2%)+3.1%+3.6%(0.9%)+1.2%(3.1%)(1.5%)+0.6%+4.1%
2017+3.7%+2.1%+0.9%+1.5%(2.3%)(2.7%)+2.6%+0.9%+1.0%+1.1%+0.3%+0.7%+10.1%
2018+4.8%(4.3%)(0.3%)+0.1%+0.4%(0.6%)+0.6%+1.1%(0.2%)(3.2%)+0.4%(1.3%)(2.6%)
2019+1.0%+0.6%+1.0%+2.4%(3.3%)+3.3%(0.1%)(0.3%)+1.8%+0.3%+0.3%+1.8%+9.0%
2020(0.7%)(3.1%)(4.6%)+0.3%(0.4%)(0.3%)+0.8%+1.4%(1.6%)(1.6%)+5.7%+3.9%(0.6%)
2021(0.9%)+1.5%+1.2%+2.7%+1.0%(0.1%)+0.5%+0.8%(2.6%)+1.3%(1.9%)+1.9%+5.3%
2022(1.4%)(0.1%)+1.4%(2.1%)+0.5%(1.8%)(0.1%)(1%)(1%)+0.6%+1.4%(1.7%)(5.1%)
2023+5.2%(4.7%)+0.5%+1.0%(2.6%)+2.8%+3.1%(4.5%)(2.4%)(1.6%)+2.4%+5.0%+3.5%
2024(1.2%)+2.3%+3.7%(3.6%)+3.7%(1.4%)+2.6%(0.2%)+0.3%(1.9%)+3.0%(3.6%)+3.5%
2025+2.4%+1.4%(1.5%)(4.3%)+0.3%                                          (1.8%)

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.

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

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/10/25 9:30 UNH UNITEDHEALTH GROUP LONG 1 580.24 4/22 9:30 424.64 0.16%
Trade id #151353968
Max drawdown($163)
Time4/22/25 9:30
Quant open1
Worst price417.12
Drawdown as % of equity-0.16%
 ($156)
Includes Typical Broker Commissions trade costs of $0.02
2/6/25 9:30 AMGN AMGEN LONG 1 309.49 4/22 9:30 275.70 0.04%
Trade id #150782492
Max drawdown($42)
Time4/9/25 0:00
Quant open1
Worst price267.40
Drawdown as % of equity-0.04%
 ($34)
Includes Typical Broker Commissions trade costs of $0.02
1/22/25 9:30 EWI ISHARES MSCI ITALY ETF LONG 81 38.10 4/9 9:30 37.59 0.13%
Trade id #150636708
Max drawdown($134)
Time4/8/25 0:00
Quant open71
Worst price36.20
Drawdown as % of equity-0.13%
 ($43)
Includes Typical Broker Commissions trade costs of $1.62
11/30/23 9:30 EMB ISHARES JPMORGAN USD EMERG MAR LONG 107 86.29 4/9/25 9:30 87.34 0.13%
Trade id #146575413
Max drawdown($131)
Time4/9/25 9:30
Quant open87
Worst price84.78
Drawdown as % of equity-0.13%
 $111
Includes Typical Broker Commissions trade costs of $2.14
2/6/25 9:31 ABBV ABBVIE INC LONG 2 191.90 4/9 9:30 168.30 0.05%
Trade id #150782764
Max drawdown($47)
Time4/9/25 9:30
Quant open2
Worst price168.22
Drawdown as % of equity-0.05%
 ($47)
Includes Typical Broker Commissions trade costs of $0.04
9/26/24 11:00 DE DEERE LONG 1 412.63 4/9/25 9:30 407.72 0.02%
Trade id #149514732
Max drawdown($25)
Time11/13/24 0:00
Quant open1
Worst price387.03
Drawdown as % of equity-0.02%
 ($5)
Includes Typical Broker Commissions trade costs of $0.02
2/26/25 9:30 VCIT VANGUARD INTERM-TM CORP BD IDX LONG 54 81.81 4/9 9:30 79.01 0.15%
Trade id #150956694
Max drawdown($151)
Time4/9/25 9:30
Quant open54
Worst price79.01
Drawdown as % of equity-0.15%
 ($152)
Includes Typical Broker Commissions trade costs of $1.08
10/3/24 9:30 ECNS ISHARES MSCI CHINA SMALL CAP I LONG 76 25.17 4/8/25 9:32 25.13 0.11%
Trade id #149567649
Max drawdown($121)
Time1/13/25 0:00
Quant open21
Worst price23.32
Drawdown as % of equity-0.11%
 ($5)
Includes Typical Broker Commissions trade costs of $1.52
1/22/25 9:30 FEZ SPDR EURO STOXX 50 LONG 60 51.87 4/8 9:30 50.84 0.19%
Trade id #150636706
Max drawdown($196)
Time4/7/25 0:00
Quant open52
Worst price48.09
Drawdown as % of equity-0.19%
 ($63)
Includes Typical Broker Commissions trade costs of $1.20
9/4/24 9:30 V VISA LONG 1 278.71 4/8/25 9:30 322.24 0.01%
Trade id #149244567
Max drawdown($10)
Time9/25/24 0:00
Quant open1
Worst price268.23
Drawdown as % of equity-0.01%
 $44
Includes Typical Broker Commissions trade costs of $0.02
2/19/25 9:30 EWW ISHARES MSCI MEXICO ETF LONG 38 53.04 4/8 9:30 49.87 0.17%
Trade id #150901317
Max drawdown($189)
Time3/4/25 0:00
Quant open38
Worst price48.05
Drawdown as % of equity-0.17%
 ($121)
Includes Typical Broker Commissions trade costs of $0.76
1/28/25 9:30 EWL ISHARES MSCI SWITZERLAND ETF LONG 62 49.69 4/8 9:30 49.20 0.17%
Trade id #150688271
Max drawdown($178)
Time4/7/25 0:00
Quant open55
Worst price46.44
Drawdown as % of equity-0.17%
 ($31)
Includes Typical Broker Commissions trade costs of $1.24
1/10/25 9:30 EWH ISHARES MSCI HONG KONG INDEX LONG 248 15.94 4/8 9:30 16.02 0.05%
Trade id #150531222
Max drawdown($54)
Time1/13/25 0:00
Quant open248
Worst price15.72
Drawdown as % of equity-0.05%
 $16
Includes Typical Broker Commissions trade costs of $4.96
4/4/25 9:30 WM WASTE MANAGEMENT LONG 2 235.08 4/8 9:30 225.79 0.04%
Trade id #151282426
Max drawdown($40)
Time4/7/25 0:00
Quant open2
Worst price215.01
Drawdown as % of equity-0.04%
 ($19)
Includes Typical Broker Commissions trade costs of $0.04
11/6/23 9:30 BK BANK OF NEW YORK MELLON LONG 12 45.32 4/7/25 9:31 68.86 0.01%
Trade id #146344318
Max drawdown($12)
Time11/8/23 0:00
Quant open12
Worst price44.32
Drawdown as % of equity-0.01%
 $283
Includes Typical Broker Commissions trade costs of $0.24
1/22/25 9:30 GE GE AEROSPACE LONG 2 188.08 4/7 9:31 163.21 0.05%
Trade id #150636676
Max drawdown($53)
Time4/7/25 9:31
Quant open2
Worst price161.34
Drawdown as % of equity-0.05%
 ($50)
Includes Typical Broker Commissions trade costs of $0.04
12/4/24 9:30 EWS ISHARES MSCI SINGAPORE INDEX LONG 97 22.95 4/7/25 9:31 20.86 0.2%
Trade id #150240708
Max drawdown($205)
Time4/7/25 9:30
Quant open89
Worst price20.64
Drawdown as % of equity-0.20%
 ($204)
Includes Typical Broker Commissions trade costs of $1.94
4/2/24 9:31 MMM 3M LONG 3 93.10 4/7/25 9:31 126.19 0.01%
Trade id #147782473
Max drawdown($10)
Time4/5/24 0:00
Quant open3
Worst price89.54
Drawdown as % of equity-0.01%
 $99
Includes Typical Broker Commissions trade costs of $0.06
1/28/25 9:30 MDT MEDTRONIC PLC LONG 4 92.46 4/7 9:31 81.22 0.04%
Trade id #150688306
Max drawdown($46)
Time4/7/25 9:30
Quant open4
Worst price80.88
Drawdown as % of equity-0.04%
 ($45)
Includes Typical Broker Commissions trade costs of $0.08
2/5/25 9:30 EWD ISHARES MSCI SWEDEN ETF LONG 76 41.63 4/7 9:31 37.71 0.32%
Trade id #150770975
Max drawdown($328)
Time4/7/25 9:30
Quant open65
Worst price36.57
Drawdown as % of equity-0.32%
 ($300)
Includes Typical Broker Commissions trade costs of $1.52
1/10/25 9:30 EEM ISHARES MSCI EMERGING MARKETS LONG 48 41.27 4/7 9:31 38.84 0.12%
Trade id #150531207
Max drawdown($119)
Time4/7/25 9:30
Quant open48
Worst price38.79
Drawdown as % of equity-0.12%
 ($118)
Includes Typical Broker Commissions trade costs of $0.96
11/6/23 9:30 JNK SPDR BLOOMBERG HIGH YIELD BOND LONG 48 90.96 4/7/25 9:30 91.84 0.04%
Trade id #146344333
Max drawdown($35)
Time11/9/23 0:00
Quant open48
Worst price90.22
Drawdown as % of equity-0.04%
 $41
Includes Typical Broker Commissions trade costs of $0.96
8/16/24 9:30 MA MASTERCARD LONG 1 468.00 4/7/25 9:30 478.50 0.01%
Trade id #148936298
Max drawdown($6)
Time8/23/24 0:00
Quant open1
Worst price461.90
Drawdown as % of equity-0.01%
 $11
Includes Typical Broker Commissions trade costs of $0.02
8/16/24 9:30 CSCO CISCO SYSTEMS LONG 11 48.64 4/7/25 9:30 53.38 0.01%
Trade id #148936292
Max drawdown($8)
Time9/11/24 0:00
Quant open11
Worst price47.85
Drawdown as % of equity-0.01%
 $52
Includes Typical Broker Commissions trade costs of $0.22
7/3/24 9:50 CHTR CHARTER COMMUNICATIONS LONG 1 300.48 4/7/25 9:30 332.87 0.01%
Trade id #148563978
Max drawdown($13)
Time7/8/24 0:00
Quant open1
Worst price286.66
Drawdown as % of equity-0.01%
 $32
Includes Typical Broker Commissions trade costs of $0.02
3/18/25 9:30 XOM EXXON MOBIL LONG 5 114.09 4/7 9:30 100.39 0.07%
Trade id #151123598
Max drawdown($71)
Time4/7/25 9:30
Quant open5
Worst price99.77
Drawdown as % of equity-0.07%
 ($69)
Includes Typical Broker Commissions trade costs of $0.10
1/31/25 9:30 SPEU SPDR PORTFOLIO EUROPE ETF LONG 73 42.52 4/7 9:30 39.96 0.2%
Trade id #150722072
Max drawdown($208)
Time4/7/25 9:30
Quant open65
Worst price39.31
Drawdown as % of equity-0.20%
 ($188)
Includes Typical Broker Commissions trade costs of $1.46
3/3/25 9:30 BMY BRISTOL-MYERS SQUIBB LONG 9 59.75 4/7 9:30 53.90 0.05%
Trade id #150994114
Max drawdown($53)
Time4/7/25 9:30
Quant open9
Worst price53.79
Drawdown as % of equity-0.05%
 ($53)
Includes Typical Broker Commissions trade costs of $0.18
12/21/23 12:05 MS MORGAN STANLEY LONG 2 91.70 4/4/25 9:30 101.54 0.02%
Trade id #146777297
Max drawdown($17)
Time2/13/24 0:00
Quant open2
Worst price83.09
Drawdown as % of equity-0.02%
 $20
Includes Typical Broker Commissions trade costs of $0.04
2/19/25 9:30 EWN ISHARES MSCI NETHERLANDS INVST LONG 59 48.39 4/4 9:30 44.35 0.22%
Trade id #150901307
Max drawdown($238)
Time4/4/25 9:30
Quant open59
Worst price44.35
Drawdown as % of equity-0.22%
 ($239)
Includes Typical Broker Commissions trade costs of $1.18
Next

Statistics

  • Strategy began
    10/4/2006
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    6792.02
  • Age
    226 months ago
  • What it trades
    Stocks
  • # Trades
    2285
  • # Profitable
    818
  • % Profitable
    35.80%
  • Avg trade duration
    21.8 days
  • Max peak-to-valley drawdown
    20.29%
  • drawdown period
    Sept 07, 2021 - Nov 23, 2023
  • Annual Return (Compounded)
    2.5%
  • Avg win
    $141.98
  • Avg loss
    $64.27
  • Model Account Values (Raw)
  • Cash
    $84,671
  • Margin Used
    $0
  • Buying Power
    $89,327
  • Ratios
  • W:L ratio
    1.79:1
  • Sharpe Ratio
    0.07
  • Sortino Ratio
    0.1
  • Calmar Ratio
    0.166
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -262.28%
  • Correlation to SP500
    0.30440
  • Return Percent SP500 (cumu) during strategy life
    319.48%
  • Return Statistics
  • Ann Return (w trading costs)
    2.5%
  • Slump
  • Current Slump as Pcnt Equity
    7.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    0.025%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    61.50%
  • Chance of 20% account loss
    39.00%
  • Chance of 30% account loss
    12.50%
  • Chance of 40% account loss
    3.00%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    1.05%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    632
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    362
  • Popularity (7 days, Percentile 1000 scale)
    329
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $64
  • Avg Win
    $143
  • Sum Trade PL (losers)
    $94,285.000
  • Age
  • Num Months filled monthly returns table
    224
  • Win / Loss
  • Sum Trade PL (winners)
    $117,354.000
  • # Winners
    818
  • Num Months Winners
    117
  • Dividends
  • Dividends Received in Model Acct
    26543
  • Win / Loss
  • # Losers
    1467
  • % Winners
    35.8%
  • Frequency
  • Avg Position Time (mins)
    179540.00
  • Avg Position Time (hrs)
    2992.33
  • Avg Trade Length
    124.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.66
  • Daily leverage (max)
    1.97
  • Regression
  • Alpha
    -0.00
  • Beta
    0.13
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    20.36
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    46.59
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.32
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.631
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.133
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.866
  • Hold-and-Hope Ratio
    0.362
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00195
  • SD
    0.07660
  • Sharpe ratio (Glass type estimate)
    0.02551
  • Sharpe ratio (Hedges UMVUE)
    0.02543
  • df
    214.00000
  • t
    0.10800
  • p
    0.45705
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43755
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.48855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43762
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48847
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03604
  • Upside Potential Ratio
    1.72863
  • Upside part of mean
    0.09375
  • Downside part of mean
    -0.09179
  • Upside SD
    0.05385
  • Downside SD
    0.05423
  • N nonnegative terms
    105.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    215.00000
  • Mean of predictor
    0.06424
  • Mean of criterion
    0.00195
  • SD of predictor
    0.17144
  • SD of criterion
    0.07660
  • Covariance
    0.00659
  • r
    0.50195
  • b (slope, estimate of beta)
    0.22427
  • a (intercept, estimate of alpha)
    -0.01245
  • Mean Square Error
    0.00441
  • DF error
    213.00000
  • t(b)
    8.46996
  • p(b)
    -0.00000
  • t(a)
    -0.78913
  • p(a)
    0.78454
  • Lowerbound of 95% confidence interval for beta
    0.17208
  • Upperbound of 95% confidence interval for beta
    0.27646
  • Lowerbound of 95% confidence interval for alpha
    -0.04356
  • Upperbound of 95% confidence interval for alpha
    0.01865
  • Treynor index (mean / b)
    0.00871
  • Jensen alpha (a)
    -0.01245
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00097
  • SD
    0.07661
  • Sharpe ratio (Glass type estimate)
    -0.01260
  • Sharpe ratio (Hedges UMVUE)
    -0.01256
  • df
    214.00000
  • t
    -0.05335
  • p
    0.52125
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47565
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.45044
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45048
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01741
  • Upside Potential Ratio
    1.66093
  • Upside part of mean
    0.09212
  • Downside part of mean
    -0.09309
  • Upside SD
    0.05259
  • Downside SD
    0.05547
  • N nonnegative terms
    105.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    215.00000
  • Mean of predictor
    0.04849
  • Mean of criterion
    -0.00097
  • SD of predictor
    0.17952
  • SD of criterion
    0.07661
  • Covariance
    0.00667
  • r
    0.48508
  • b (slope, estimate of beta)
    0.20701
  • a (intercept, estimate of alpha)
    -0.01100
  • Mean Square Error
    0.00451
  • DF error
    213.00000
  • t(b)
    8.09579
  • p(b)
    -0.00000
  • t(a)
    -0.69148
  • p(a)
    0.75499
  • Lowerbound of 95% confidence interval for beta
    0.15661
  • Upperbound of 95% confidence interval for beta
    0.25741
  • Lowerbound of 95% confidence interval for alpha
    -0.04237
  • Upperbound of 95% confidence interval for alpha
    0.02036
  • Treynor index (mean / b)
    -0.00466
  • Jensen alpha (a)
    -0.01100
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03580
  • Expected Shortfall on VaR
    0.04464
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01788
  • Expected Shortfall on VaR
    0.03487
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    215.00000
  • Minimum
    0.91527
  • Quartile 1
    0.99241
  • Median
    1.00144
  • Quartile 3
    1.01222
  • Maximum
    1.08043
  • Mean of quarter 1
    0.97648
  • Mean of quarter 2
    0.99774
  • Mean of quarter 3
    1.00689
  • Mean of quarter 4
    1.02893
  • Inter Quartile Range
    0.01981
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.03721
  • Mean of outliers low
    0.94515
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.04186
  • Mean of outliers high
    1.05610
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35076
  • VaR(95%) (moments method)
    0.02315
  • Expected Shortfall (moments method)
    0.04230
  • Extreme Value Index (regression method)
    0.11133
  • VaR(95%) (regression method)
    0.02191
  • Expected Shortfall (regression method)
    0.03255
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00044
  • Quartile 1
    0.01334
  • Median
    0.03576
  • Quartile 3
    0.06087
  • Maximum
    0.09886
  • Mean of quarter 1
    0.00663
  • Mean of quarter 2
    0.02260
  • Mean of quarter 3
    0.04622
  • Mean of quarter 4
    0.08481
  • Inter Quartile Range
    0.04753
  • 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)
    -5.25822
  • VaR(95%) (moments method)
    0.08869
  • Expected Shortfall (moments method)
    0.08870
  • Extreme Value Index (regression method)
    -1.90618
  • VaR(95%) (regression method)
    0.10159
  • Expected Shortfall (regression method)
    0.10273
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03463
  • Compounded annual return (geometric extrapolation)
    0.02731
  • Calmar ratio (compounded annual return / max draw down)
    0.27623
  • Compounded annual return / average of 25% largest draw downs
    0.32199
  • Compounded annual return / Expected Shortfall lognormal
    0.61174
  • 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
    0.00932
  • SD
    0.14286
  • Sharpe ratio (Glass type estimate)
    0.06523
  • Sharpe ratio (Hedges UMVUE)
    0.06522
  • df
    4701.00000
  • t
    0.27632
  • p
    0.39116
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39743
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.52788
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39744
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52787
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.09478
  • Upside Potential Ratio
    4.80067
  • Upside part of mean
    0.47199
  • Downside part of mean
    -0.46267
  • Upside SD
    0.10363
  • Downside SD
    0.09832
  • N nonnegative terms
    2350.00000
  • N negative terms
    2352.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4702.00000
  • Mean of predictor
    0.11301
  • Mean of criterion
    0.00932
  • SD of predictor
    0.35863
  • SD of criterion
    0.14286
  • Covariance
    0.01022
  • r
    0.19941
  • b (slope, estimate of beta)
    0.07944
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.01960
  • DF error
    4700.00000
  • t(b)
    13.95130
  • p(b)
    0.00000
  • t(a)
    0.01031
  • p(a)
    0.49589
  • Lowerbound of 95% confidence interval for beta
    0.06827
  • Upperbound of 95% confidence interval for beta
    0.09060
  • Lowerbound of 95% confidence interval for alpha
    -0.06446
  • Upperbound of 95% confidence interval for alpha
    0.06515
  • Treynor index (mean / b)
    0.11731
  • Jensen alpha (a)
    0.00034
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00083
  • SD
    0.14246
  • Sharpe ratio (Glass type estimate)
    -0.00585
  • Sharpe ratio (Hedges UMVUE)
    -0.00585
  • df
    4701.00000
  • t
    -0.02477
  • p
    0.50988
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46850
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.45681
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45681
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00814
  • Upside Potential Ratio
    4.56117
  • Upside part of mean
    0.46689
  • Downside part of mean
    -0.46772
  • Upside SD
    0.09906
  • Downside SD
    0.10236
  • N nonnegative terms
    2350.00000
  • N negative terms
    2352.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4702.00000
  • Mean of predictor
    0.04939
  • Mean of criterion
    -0.00083
  • SD of predictor
    0.35660
  • SD of criterion
    0.14246
  • Covariance
    0.01018
  • r
    0.20037
  • b (slope, estimate of beta)
    0.08005
  • a (intercept, estimate of alpha)
    -0.00479
  • Mean Square Error
    0.01948
  • DF error
    4700.00000
  • t(b)
    14.02110
  • p(b)
    0.00000
  • t(a)
    -0.14525
  • p(a)
    0.55774
  • Lowerbound of 95% confidence interval for beta
    0.06885
  • Upperbound of 95% confidence interval for beta
    0.09124
  • Lowerbound of 95% confidence interval for alpha
    -0.06938
  • Upperbound of 95% confidence interval for alpha
    0.05981
  • Treynor index (mean / b)
    -0.01040
  • Jensen alpha (a)
    -0.00479
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01438
  • Expected Shortfall on VaR
    0.01799
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00392
  • Expected Shortfall on VaR
    0.00894
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4702.00000
  • Minimum
    0.83634
  • Quartile 1
    0.99869
  • Median
    1.00010
  • Quartile 3
    1.00187
  • Maximum
    1.19220
  • Mean of quarter 1
    0.99358
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00089
  • Mean of quarter 4
    1.00653
  • Inter Quartile Range
    0.00318
  • Number outliers low
    340.00000
  • Percentage of outliers low
    0.07231
  • Mean of outliers low
    0.98515
  • Number of outliers high
    282.00000
  • Percentage of outliers high
    0.05997
  • Mean of outliers high
    1.01605
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65489
  • VaR(95%) (moments method)
    0.00564
  • Expected Shortfall (moments method)
    0.01824
  • 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
    58.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00327
  • Median
    0.01301
  • Quartile 3
    0.05342
  • Maximum
    0.16530
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.00746
  • Mean of quarter 3
    0.02690
  • Mean of quarter 4
    0.09112
  • Inter Quartile Range
    0.05015
  • 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
    0.03448
  • Mean of outliers high
    0.16376
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.22002
  • VaR(95%) (moments method)
    0.10301
  • Expected Shortfall (moments method)
    0.14693
  • Extreme Value Index (regression method)
    0.04473
  • VaR(95%) (regression method)
    0.08387
  • Expected Shortfall (regression method)
    0.10151
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03486
  • Compounded annual return (geometric extrapolation)
    0.02744
  • Calmar ratio (compounded annual return / max draw down)
    0.16602
  • Compounded annual return / average of 25% largest draw downs
    0.30120
  • Compounded annual return / Expected Shortfall lognormal
    1.52565
  • 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
    -0.06659
  • SD
    0.07710
  • Sharpe ratio (Glass type estimate)
    -0.86360
  • Sharpe ratio (Hedges UMVUE)
    -0.85861
  • df
    130.00000
  • t
    -0.61066
  • p
    0.52674
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.63583
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91176
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.63238
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91516
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.99729
  • Upside Potential Ratio
    5.32577
  • Upside part of mean
    0.35559
  • Downside part of mean
    -0.42218
  • Upside SD
    0.03819
  • Downside SD
    0.06677
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04089
  • Mean of criterion
    -0.06659
  • SD of predictor
    0.24091
  • SD of criterion
    0.07710
  • Covariance
    0.00711
  • r
    0.38255
  • b (slope, estimate of beta)
    0.12244
  • a (intercept, estimate of alpha)
    -0.06158
  • Mean Square Error
    0.00511
  • DF error
    129.00000
  • t(b)
    4.70268
  • p(b)
    0.26254
  • t(a)
    -0.60885
  • p(a)
    0.53406
  • Lowerbound of 95% confidence interval for beta
    0.07093
  • Upperbound of 95% confidence interval for beta
    0.17395
  • Lowerbound of 95% confidence interval for alpha
    -0.26170
  • Upperbound of 95% confidence interval for alpha
    0.13853
  • Treynor index (mean / b)
    -0.54384
  • Jensen alpha (a)
    -0.06158
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06957
  • SD
    0.07764
  • Sharpe ratio (Glass type estimate)
    -0.89599
  • Sharpe ratio (Hedges UMVUE)
    -0.89081
  • df
    130.00000
  • t
    -0.63356
  • p
    0.52774
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.66825
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87965
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.66473
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88311
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.03132
  • Upside Potential Ratio
    5.26031
  • Upside part of mean
    0.35483
  • Downside part of mean
    -0.42440
  • Upside SD
    0.03809
  • Downside SD
    0.06745
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06943
  • Mean of criterion
    -0.06957
  • SD of predictor
    0.23933
  • SD of criterion
    0.07764
  • Covariance
    0.00726
  • r
    0.39072
  • b (slope, estimate of beta)
    0.12676
  • a (intercept, estimate of alpha)
    -0.06077
  • Mean Square Error
    0.00515
  • DF error
    129.00000
  • t(b)
    4.82091
  • p(b)
    0.25774
  • t(a)
    -0.59879
  • p(a)
    0.53350
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.07473
  • Upperbound of 95% confidence interval for beta
    0.17878
  • Lowerbound of 95% confidence interval for alpha
    -0.26155
  • Upperbound of 95% confidence interval for alpha
    0.14002
  • Treynor index (mean / b)
    -0.54883
  • Jensen alpha (a)
    -0.06077
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00812
  • Expected Shortfall on VaR
    0.01011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00351
  • Expected Shortfall on VaR
    0.00756
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97100
  • Quartile 1
    0.99842
  • Median
    1.00021
  • Quartile 3
    1.00243
  • Maximum
    1.00944
  • Mean of quarter 1
    0.99445
  • Mean of quarter 2
    0.99937
  • Mean of quarter 3
    1.00133
  • Mean of quarter 4
    1.00430
  • Inter Quartile Range
    0.00401
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98134
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.00944
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38986
  • VaR(95%) (moments method)
    0.00505
  • Expected Shortfall (moments method)
    0.00982
  • Extreme Value Index (regression method)
    0.39690
  • VaR(95%) (regression method)
    0.00499
  • Expected Shortfall (regression method)
    0.00971
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00218
  • Quartile 1
    0.00288
  • Median
    0.00896
  • Quartile 3
    0.03485
  • Maximum
    0.07645
  • Mean of quarter 1
    0.00253
  • Mean of quarter 2
    0.00896
  • Mean of quarter 3
    0.03485
  • Mean of quarter 4
    0.07645
  • Inter Quartile Range
    0.03197
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -404099000
  • Max Equity Drawdown (num days)
    807
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04123
  • Compounded annual return (geometric extrapolation)
    -0.04080
  • Calmar ratio (compounded annual return / max draw down)
    -0.53372
  • Compounded annual return / average of 25% largest draw downs
    -0.53372
  • Compounded annual return / Expected Shortfall lognormal
    -4.03727

Strategy Description

4Trend approach is 100% systematic and trend following (long only). Trade only US STOCK and ETF.
The model is characterized by a low number of operations and the ability to discern trend phases versus noise phases.
We constantly check the performance of the model and whether variations can be introduced.
All the order are before the open and at the market.
Do not employ martingale strategies that increase the position in the case of a loss.
Control the risk, therefore the amounts invested on the single instrument are according to the volatility of this and the instruments already in portfolio.

www.4timing.it

Summary Statistics

Strategy began
2006-10-04
Suggested Minimum Capital
$15,000
# Trades
2285
# Profitable
818
% Profitable
35.8%
Net Dividends
$26,543
Correlation S&P500
0.304
Sharpe Ratio
0.07
Sortino Ratio
0.10
Beta
0.13
Alpha
-0.00
Leverage
0.66 Average
1.97 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

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