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

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.
2.8%
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
2112
Num Trades
37.5%
Win Trades
1.9 : 1
Profit Factor
51.4%
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%                                                      +4.9%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/26/24 9:30 JNJ JOHNSON & JOHNSON LONG 3 161.80 3/20 9:30 155.70 0.02%
Trade id #147449199
Max drawdown($19)
Time3/20/24 9:30
Quant open3
Worst price155.28
Drawdown as % of equity-0.02%
($18)
Includes Typical Broker Commissions trade costs of $0.06
5/19/23 13:16 LLY ELI LILLY LONG 1 441.77 3/15/24 9:30 755.38 0.02%
Trade id #144694575
Max drawdown($21)
Time5/25/23 0:00
Quant open1
Worst price419.80
Drawdown as % of equity-0.02%
$314
Includes Typical Broker Commissions trade costs of $0.02
3/5/24 11:30 GOOG ALPHABET INC CLASS C LONG 4 132.42 3/15 9:30 143.41 0%
Trade id #147540044
Max drawdown($1)
Time3/6/24 0:00
Quant open4
Worst price131.95
Drawdown as % of equity-0.00%
$44
Includes Typical Broker Commissions trade costs of $0.08
2/26/24 9:30 MCD MCDONALD'S LONG 2 298.21 3/14 9:30 282.42 0.03%
Trade id #147449183
Max drawdown($34)
Time3/14/24 9:30
Quant open2
Worst price281.10
Drawdown as % of equity-0.03%
($32)
Includes Typical Broker Commissions trade costs of $0.04
5/19/23 13:08 AAPL APPLE LONG 2 175.59 3/6/24 9:30 171.06 0.02%
Trade id #144694385
Max drawdown($19)
Time10/26/23 0:00
Quant open2
Worst price165.67
Drawdown as % of equity-0.02%
($9)
Includes Typical Broker Commissions trade costs of $0.04
12/27/23 9:30 GOOGL ALPHABET INC CLASS A LONG 3 141.59 3/5/24 9:30 131.88 0.03%
Trade id #146817728
Max drawdown($29)
Time3/5/24 9:30
Quant open3
Worst price131.84
Drawdown as % of equity-0.03%
($29)
Includes Typical Broker Commissions trade costs of $0.06
12/27/23 9:30 GOOG ALPHABET INC CLASS C LONG 3 142.83 3/5/24 9:30 132.74 0.03%
Trade id #146817735
Max drawdown($30)
Time3/5/24 9:30
Quant open3
Worst price132.59
Drawdown as % of equity-0.03%
($30)
Includes Typical Broker Commissions trade costs of $0.06
1/29/24 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 7 75.27 2/22 10:20 73.16 0.03%
Trade id #147146992
Max drawdown($30)
Time2/14/24 0:00
Quant open7
Worst price70.97
Drawdown as % of equity-0.03%
($15)
Includes Typical Broker Commissions trade costs of $0.14
5/26/23 9:30 ADBE ADOBE INC LONG 1 396.72 2/21/24 9:30 539.76 n/a $143
Includes Typical Broker Commissions trade costs of $0.02
12/20/23 9:30 DE DEERE LONG 1 394.16 2/16/24 10:00 361.66 0.04%
Trade id #146757275
Max drawdown($35)
Time2/16/24 9:30
Quant open1
Worst price358.26
Drawdown as % of equity-0.04%
($33)
Includes Typical Broker Commissions trade costs of $0.02
12/21/23 12:07 ECH ISHARES MSCI CHILE CAPPED ETF LONG 64 27.53 2/14/24 9:30 24.89 0.19%
Trade id #146777316
Max drawdown($197)
Time2/9/24 0:00
Quant open64
Worst price24.44
Drawdown as % of equity-0.19%
($170)
Includes Typical Broker Commissions trade costs of $1.28
2/2/24 9:30 PEP PEPSICO LONG 3 171.24 2/12 9:30 167.86 0.01%
Trade id #147202218
Max drawdown($12)
Time2/9/24 0:00
Quant open3
Worst price166.97
Drawdown as % of equity-0.01%
($10)
Includes Typical Broker Commissions trade costs of $0.06
1/22/24 9:30 PYPL PAYPAL HOLDINGS CORP LONG 5 68.02 2/9 9:30 56.20 0.06%
Trade id #147083225
Max drawdown($61)
Time2/8/24 0:00
Quant open5
Worst price55.77
Drawdown as % of equity-0.06%
($59)
Includes Typical Broker Commissions trade costs of $0.10
12/21/23 12:03 GILD GILEAD SCIENCES LONG 6 78.74 2/8/24 9:32 74.40 0.03%
Trade id #146777239
Max drawdown($28)
Time2/7/24 0:00
Quant open6
Worst price73.94
Drawdown as % of equity-0.03%
($26)
Includes Typical Broker Commissions trade costs of $0.12
1/26/24 9:30 CMCSA COMCAST LONG 12 45.43 2/8 9:32 42.69 0.03%
Trade id #147133022
Max drawdown($34)
Time2/8/24 9:32
Quant open12
Worst price42.55
Drawdown as % of equity-0.03%
($33)
Includes Typical Broker Commissions trade costs of $0.24
10/12/23 10:39 UNH UNITEDHEALTH GROUP LONG 1 523.00 1/26/24 9:30 493.28 0.04%
Trade id #146110754
Max drawdown($44)
Time1/25/24 0:00
Quant open1
Worst price479.00
Drawdown as % of equity-0.04%
($30)
Includes Typical Broker Commissions trade costs of $0.02
12/6/23 9:30 MMM 3M LONG 3 101.67 1/25/24 9:32 94.06 0.03%
Trade id #146624346
Max drawdown($26)
Time1/24/24 0:00
Quant open3
Worst price92.73
Drawdown as % of equity-0.03%
($23)
Includes Typical Broker Commissions trade costs of $0.06
1/5/24 10:28 LMT LOCKHEED MARTIN LONG 1 456.07 1/24 9:30 439.52 0.02%
Trade id #146916754
Max drawdown($22)
Time1/23/24 0:00
Quant open1
Worst price433.89
Drawdown as % of equity-0.02%
($17)
Includes Typical Broker Commissions trade costs of $0.02
1/3/24 9:30 PM PHILIP MORRIS LONG 5 95.44 1/24 9:30 92.03 0.02%
Trade id #146884426
Max drawdown($24)
Time1/23/24 0:00
Quant open5
Worst price90.52
Drawdown as % of equity-0.02%
($17)
Includes Typical Broker Commissions trade costs of $0.10
12/21/23 12:05 SO SOUTHERN LONG 7 68.76 1/19/24 9:30 68.91 0%
Trade id #146777302
Max drawdown($2)
Time1/18/24 0:00
Quant open7
Worst price68.45
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $0.14
12/27/23 9:30 EWS ISHARES MSCI SINGAPORE INDEX LONG 113 18.24 1/18/24 10:52 17.55 0.09%
Trade id #146817743
Max drawdown($88)
Time1/17/24 0:00
Quant open113
Worst price17.46
Drawdown as % of equity-0.09%
($80)
Includes Typical Broker Commissions trade costs of $2.26
12/29/23 9:30 EEM ISHARES MSCI EMERGING MARKETS LONG 51 40.20 1/17/24 9:30 37.50 0.14%
Trade id #146841665
Max drawdown($138)
Time1/17/24 9:30
Quant open51
Worst price37.48
Drawdown as % of equity-0.14%
($139)
Includes Typical Broker Commissions trade costs of $1.02
12/1/23 9:30 BA BOEING LONG 1 231.77 1/17/24 9:30 202.63 0.03%
Trade id #146587492
Max drawdown($29)
Time1/17/24 9:30
Quant open1
Worst price202.03
Drawdown as % of equity-0.03%
($29)
Includes Typical Broker Commissions trade costs of $0.02
12/29/23 9:30 EWY ISHARES MSCI SOUTH KOREA ETF LONG 53 65.32 1/17/24 9:30 57.20 0.43%
Trade id #146841659
Max drawdown($432)
Time1/17/24 9:30
Quant open53
Worst price57.16
Drawdown as % of equity-0.43%
($431)
Includes Typical Broker Commissions trade costs of $1.06
1/5/24 10:29 NFLX NETFLIX LONG 1 475.33 1/12 9:37 496.00 0%
Trade id #146916764
Max drawdown($3)
Time1/5/24 15:11
Quant open1
Worst price471.80
Drawdown as % of equity-0.00%
$21
Includes Typical Broker Commissions trade costs of $0.02
12/6/23 9:30 NKE NIKE LONG 2 116.00 1/4/24 12:34 103.07 0.03%
Trade id #146624348
Max drawdown($27)
Time1/4/24 9:30
Quant open2
Worst price102.38
Drawdown as % of equity-0.03%
($26)
Includes Typical Broker Commissions trade costs of $0.04
11/3/23 9:30 SBUX STARBUCKS LONG 5 100.62 1/3/24 9:30 93.96 0.03%
Trade id #146324764
Max drawdown($34)
Time1/3/24 9:30
Quant open5
Worst price93.79
Drawdown as % of equity-0.03%
($33)
Includes Typical Broker Commissions trade costs of $0.10
11/16/23 9:30 NFLX NETFLIX LONG 1 463.00 12/28 9:48 490.31 0.02%
Trade id #146457886
Max drawdown($17)
Time12/6/23 0:00
Quant open1
Worst price445.73
Drawdown as % of equity-0.02%
$27
Includes Typical Broker Commissions trade costs of $0.02
12/11/23 9:30 FDX FEDEX LONG 1 271.96 12/28 9:47 251.68 0.03%
Trade id #146657666
Max drawdown($27)
Time12/21/23 0:00
Quant open1
Worst price244.63
Drawdown as % of equity-0.03%
($20)
Includes Typical Broker Commissions trade costs of $0.02
11/16/23 9:30 BLK BLACKROCK LONG 1 709.34 12/13 10:16 756.48 0%
Trade id #146457876
Max drawdown($0)
Time11/16/23 9:42
Quant open1
Worst price708.75
Drawdown as % of equity-0.00%
$47
Includes Typical Broker Commissions trade costs of $0.02

Statistics

  • Strategy began
    10/4/2006
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    6385.24
  • Age
    213 months ago
  • What it trades
    Stocks
  • # Trades
    2112
  • # Profitable
    792
  • % Profitable
    37.50%
  • Avg trade duration
    23.5 days
  • Max peak-to-valley drawdown
    20.29%
  • drawdown period
    Sept 07, 2021 - Nov 23, 2023
  • Annual Return (Compounded)
    2.8%
  • Avg win
    $141.97
  • Avg loss
    $63.77
  • Model Account Values (Raw)
  • Cash
    $48,786
  • Margin Used
    $0
  • Buying Power
    $61,348
  • Ratios
  • W:L ratio
    1.89:1
  • Sharpe Ratio
    0.11
  • Sortino Ratio
    0.15
  • Calmar Ratio
    0.252
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -226.80%
  • Correlation to SP500
    0.30720
  • Return Percent SP500 (cumu) during strategy life
    288.71%
  • Return Statistics
  • Ann Return (w trading costs)
    2.8%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    0.028%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    25.00%
  • Chance of 30% account loss
    12.50%
  • Chance of 40% account loss
    1.00%
  • 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
    1.16%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    384
  • Popularity (Last 6 weeks)
    806
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    310
  • Popularity (7 days, Percentile 1000 scale)
    645
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $64
  • Avg Win
    $142
  • Sum Trade PL (losers)
    $84,173.000
  • Age
  • Num Months filled monthly returns table
    210
  • Win / Loss
  • Sum Trade PL (winners)
    $112,420.000
  • # Winners
    792
  • Num Months Winners
    110
  • Dividends
  • Dividends Received in Model Acct
    23475
  • Win / Loss
  • # Losers
    1320
  • % Winners
    37.5%
  • Frequency
  • Avg Position Time (mins)
    169253.00
  • Avg Position Time (hrs)
    2820.89
  • Avg Trade Length
    117.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.65
  • Daily leverage (max)
    1.97
  • Regression
  • Alpha
    0.00
  • Beta
    0.12
  • Treynor Index
    0.03
  • 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)
    -0.18
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.912
  • 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
    0.128
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.806
  • Hold-and-Hope Ratio
    0.536
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00470
  • SD
    0.08036
  • Sharpe ratio (Glass type estimate)
    0.05850
  • Sharpe ratio (Hedges UMVUE)
    0.05828
  • df
    201.00000
  • t
    0.24002
  • p
    0.48922
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41931
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.53618
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41946
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53602
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08250
  • Upside Potential Ratio
    1.72422
  • Upside part of mean
    0.09825
  • Downside part of mean
    -0.09355
  • Upside SD
    0.05640
  • Downside SD
    0.05698
  • N nonnegative terms
    100.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    202.00000
  • Mean of predictor
    0.06404
  • Mean of criterion
    0.00470
  • SD of predictor
    0.16720
  • SD of criterion
    0.08036
  • Covariance
    0.00770
  • r
    0.57311
  • b (slope, estimate of beta)
    0.27545
  • a (intercept, estimate of alpha)
    -0.01294
  • Mean Square Error
    0.00436
  • DF error
    200.00000
  • t(b)
    9.89037
  • p(b)
    0.21345
  • t(a)
    -0.79925
  • p(a)
    0.52821
  • Lowerbound of 95% confidence interval for beta
    0.22053
  • Upperbound of 95% confidence interval for beta
    0.33036
  • Lowerbound of 95% confidence interval for alpha
    -0.04486
  • Upperbound of 95% confidence interval for alpha
    0.01898
  • Treynor index (mean / b)
    0.01707
  • Jensen alpha (a)
    -0.01294
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00148
  • SD
    0.08046
  • Sharpe ratio (Glass type estimate)
    0.01836
  • Sharpe ratio (Hedges UMVUE)
    0.01830
  • df
    201.00000
  • t
    0.07535
  • p
    0.49662
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45936
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.49606
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45942
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49601
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02529
  • Upside Potential Ratio
    1.65135
  • Upside part of mean
    0.09648
  • Downside part of mean
    -0.09500
  • Upside SD
    0.05503
  • Downside SD
    0.05843
  • N nonnegative terms
    100.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    202.00000
  • Mean of predictor
    0.04963
  • Mean of criterion
    0.00148
  • SD of predictor
    0.16962
  • SD of criterion
    0.08046
  • Covariance
    0.00779
  • r
    0.57066
  • b (slope, estimate of beta)
    0.27070
  • a (intercept, estimate of alpha)
    -0.01196
  • Mean Square Error
    0.00439
  • DF error
    200.00000
  • t(b)
    9.82775
  • p(b)
    0.21467
  • t(a)
    -0.73799
  • p(a)
    0.52606
  • Lowerbound of 95% confidence interval for beta
    0.21639
  • Upperbound of 95% confidence interval for beta
    0.32502
  • Lowerbound of 95% confidence interval for alpha
    -0.04391
  • Upperbound of 95% confidence interval for alpha
    0.01999
  • Treynor index (mean / b)
    0.00546
  • Jensen alpha (a)
    -0.01196
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03737
  • Expected Shortfall on VaR
    0.04663
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01802
  • Expected Shortfall on VaR
    0.03575
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    202.00000
  • Minimum
    0.90450
  • Quartile 1
    0.99283
  • Median
    1.00182
  • Quartile 3
    1.01258
  • Maximum
    1.08919
  • Mean of quarter 1
    0.97565
  • Mean of quarter 2
    0.99806
  • Mean of quarter 3
    1.00701
  • Mean of quarter 4
    1.03016
  • Inter Quartile Range
    0.01975
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.03960
  • Mean of outliers low
    0.94224
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.04951
  • Mean of outliers high
    1.05670
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34386
  • VaR(95%) (moments method)
    0.02263
  • Expected Shortfall (moments method)
    0.04173
  • Extreme Value Index (regression method)
    0.20660
  • VaR(95%) (regression method)
    0.02356
  • Expected Shortfall (regression method)
    0.03858
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00044
  • Quartile 1
    0.01643
  • Median
    0.04571
  • Quartile 3
    0.07774
  • Maximum
    0.10946
  • Mean of quarter 1
    0.00444
  • Mean of quarter 2
    0.03364
  • Mean of quarter 3
    0.06125
  • Mean of quarter 4
    0.09484
  • Inter Quartile Range
    0.06132
  • 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)
    -0.45308
  • VaR(95%) (moments method)
    0.10151
  • Expected Shortfall (moments method)
    0.10741
  • Extreme Value Index (regression method)
    0.35241
  • VaR(95%) (regression method)
    0.10404
  • Expected Shortfall (regression method)
    0.12738
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03801
  • Compounded annual return (geometric extrapolation)
    0.02982
  • Calmar ratio (compounded annual return / max draw down)
    0.27243
  • Compounded annual return / average of 25% largest draw downs
    0.31444
  • Compounded annual return / Expected Shortfall lognormal
    0.63954
  • 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
    0.00921
  • SD
    0.11998
  • Sharpe ratio (Glass type estimate)
    0.07676
  • Sharpe ratio (Hedges UMVUE)
    0.07674
  • df
    4412.00000
  • t
    0.31502
  • p
    0.37638
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40081
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.55432
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55431
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10729
  • Upside Potential Ratio
    5.36129
  • Upside part of mean
    0.46017
  • Downside part of mean
    -0.45096
  • Upside SD
    0.08381
  • Downside SD
    0.08583
  • N nonnegative terms
    2196.00000
  • N negative terms
    2217.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4413.00000
  • Mean of predictor
    0.11275
  • Mean of criterion
    0.00921
  • SD of predictor
    0.35742
  • SD of criterion
    0.11998
  • Covariance
    0.01593
  • r
    0.37157
  • b (slope, estimate of beta)
    0.12473
  • a (intercept, estimate of alpha)
    -0.00500
  • Mean Square Error
    0.01241
  • DF error
    4411.00000
  • t(b)
    26.58100
  • p(b)
    -0.00000
  • t(a)
    -0.17879
  • p(a)
    0.57095
  • Lowerbound of 95% confidence interval for beta
    0.11553
  • Upperbound of 95% confidence interval for beta
    0.13393
  • Lowerbound of 95% confidence interval for alpha
    -0.05808
  • Upperbound of 95% confidence interval for alpha
    0.04837
  • Treynor index (mean / b)
    0.07383
  • Jensen alpha (a)
    -0.00485
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00200
  • SD
    0.12017
  • Sharpe ratio (Glass type estimate)
    0.01664
  • Sharpe ratio (Hedges UMVUE)
    0.01663
  • df
    4412.00000
  • t
    0.06828
  • p
    0.47278
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.49420
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46093
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49420
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02281
  • Upside Potential Ratio
    5.21100
  • Upside part of mean
    0.45669
  • Downside part of mean
    -0.45470
  • Upside SD
    0.08220
  • Downside SD
    0.08764
  • N nonnegative terms
    2196.00000
  • N negative terms
    2217.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4413.00000
  • Mean of predictor
    0.04998
  • Mean of criterion
    0.00200
  • SD of predictor
    0.35358
  • SD of criterion
    0.12017
  • Covariance
    0.01597
  • r
    0.37586
  • b (slope, estimate of beta)
    0.12774
  • a (intercept, estimate of alpha)
    -0.00439
  • Mean Square Error
    0.01240
  • DF error
    4411.00000
  • t(b)
    26.93810
  • p(b)
    -0.00000
  • t(a)
    -0.16159
  • p(a)
    0.56418
  • Lowerbound of 95% confidence interval for beta
    0.11845
  • Upperbound of 95% confidence interval for beta
    0.13704
  • Lowerbound of 95% confidence interval for alpha
    -0.05759
  • Upperbound of 95% confidence interval for alpha
    0.04882
  • Treynor index (mean / b)
    0.01565
  • Jensen alpha (a)
    -0.00439
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01213
  • Expected Shortfall on VaR
    0.01519
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00385
  • Expected Shortfall on VaR
    0.00862
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4413.00000
  • Minimum
    0.89510
  • Quartile 1
    0.99873
  • Median
    1.00009
  • Quartile 3
    1.00183
  • Maximum
    1.09675
  • Mean of quarter 1
    0.99375
  • Mean of quarter 2
    0.99958
  • Mean of quarter 3
    1.00086
  • Mean of quarter 4
    1.00638
  • Inter Quartile Range
    0.00310
  • Number outliers low
    314.00000
  • Percentage of outliers low
    0.07115
  • Mean of outliers low
    0.98540
  • Number of outliers high
    281.00000
  • Percentage of outliers high
    0.06368
  • Mean of outliers high
    1.01497
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66747
  • VaR(95%) (moments method)
    0.00556
  • Expected Shortfall (moments method)
    0.01865
  • 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
    53.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00428
  • Median
    0.01603
  • Quartile 3
    0.05743
  • Maximum
    0.12051
  • Mean of quarter 1
    0.00199
  • Mean of quarter 2
    0.00964
  • Mean of quarter 3
    0.03056
  • Mean of quarter 4
    0.08766
  • Inter Quartile Range
    0.05315
  • 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)
    -0.15567
  • VaR(95%) (moments method)
    0.09368
  • Expected Shortfall (moments method)
    0.11106
  • Extreme Value Index (regression method)
    -0.70277
  • VaR(95%) (regression method)
    0.08287
  • Expected Shortfall (regression method)
    0.08769
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03888
  • Compounded annual return (geometric extrapolation)
    0.03036
  • Calmar ratio (compounded annual return / max draw down)
    0.25192
  • Compounded annual return / average of 25% largest draw downs
    0.34631
  • Compounded annual return / Expected Shortfall lognormal
    1.99902
  • 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
    0.16408
  • SD
    0.08536
  • Sharpe ratio (Glass type estimate)
    1.92209
  • Sharpe ratio (Hedges UMVUE)
    1.91098
  • df
    130.00000
  • t
    1.35912
  • p
    0.44082
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70009
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87055
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69250
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91138
  • Upside Potential Ratio
    8.99624
  • Upside part of mean
    0.50700
  • Downside part of mean
    -0.34292
  • Upside SD
    0.06448
  • Downside SD
    0.05636
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36231
  • Mean of criterion
    0.16408
  • SD of predictor
    0.11712
  • SD of criterion
    0.08536
  • Covariance
    0.00399
  • r
    0.39920
  • b (slope, estimate of beta)
    0.29095
  • a (intercept, estimate of alpha)
    0.05866
  • Mean Square Error
    0.00617
  • DF error
    129.00000
  • t(b)
    4.94513
  • p(b)
    0.25278
  • t(a)
    0.51849
  • p(a)
    0.47098
  • Lowerbound of 95% confidence interval for beta
    0.17454
  • Upperbound of 95% confidence interval for beta
    0.40736
  • Lowerbound of 95% confidence interval for alpha
    -0.16519
  • Upperbound of 95% confidence interval for alpha
    0.28251
  • Treynor index (mean / b)
    0.56394
  • Jensen alpha (a)
    0.05866
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16040
  • SD
    0.08532
  • Sharpe ratio (Glass type estimate)
    1.88004
  • Sharpe ratio (Hedges UMVUE)
    1.86917
  • df
    130.00000
  • t
    1.32939
  • p
    0.44210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90469
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65774
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91193
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65027
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.81909
  • Upside Potential Ratio
    8.87388
  • Upside part of mean
    0.50489
  • Downside part of mean
    -0.34450
  • Upside SD
    0.06391
  • Downside SD
    0.05690
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35523
  • Mean of criterion
    0.16040
  • SD of predictor
    0.11699
  • SD of criterion
    0.08532
  • Covariance
    0.00399
  • r
    0.39996
  • b (slope, estimate of beta)
    0.29168
  • a (intercept, estimate of alpha)
    0.05678
  • Mean Square Error
    0.00616
  • DF error
    129.00000
  • t(b)
    4.95642
  • p(b)
    0.25234
  • t(a)
    0.50265
  • p(a)
    0.47186
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    0.17525
  • Upperbound of 95% confidence interval for beta
    0.40812
  • Lowerbound of 95% confidence interval for alpha
    -0.16672
  • Upperbound of 95% confidence interval for alpha
    0.28028
  • Treynor index (mean / b)
    0.54990
  • Jensen alpha (a)
    0.05678
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00803
  • Expected Shortfall on VaR
    0.01021
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00261
  • Expected Shortfall on VaR
    0.00580
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97104
  • Quartile 1
    0.99877
  • Median
    1.00070
  • Quartile 3
    1.00295
  • Maximum
    1.03116
  • Mean of quarter 1
    0.99537
  • Mean of quarter 2
    0.99975
  • Mean of quarter 3
    1.00171
  • Mean of quarter 4
    1.00614
  • Inter Quartile Range
    0.00418
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98500
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02196
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35825
  • VaR(95%) (moments method)
    0.00403
  • Expected Shortfall (moments method)
    0.00762
  • Extreme Value Index (regression method)
    0.62237
  • VaR(95%) (regression method)
    0.00400
  • Expected Shortfall (regression method)
    0.01118
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00139
  • Median
    0.00324
  • Quartile 3
    0.00708
  • Maximum
    0.02980
  • Mean of quarter 1
    0.00088
  • Mean of quarter 2
    0.00210
  • Mean of quarter 3
    0.00467
  • Mean of quarter 4
    0.02228
  • Inter Quartile Range
    0.00569
  • 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
    0.02961
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -23544.30000
  • VaR(95%) (moments method)
    0.01798
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -6.88029
  • VaR(95%) (regression method)
    0.11075
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.11075
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -388009000
  • Max Equity Drawdown (num days)
    807
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19745
  • Compounded annual return (geometric extrapolation)
    0.20720
  • Calmar ratio (compounded annual return / max draw down)
    6.95384
  • Compounded annual return / average of 25% largest draw downs
    9.29774
  • Compounded annual return / Expected Shortfall lognormal
    20.30250

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
2112
# Profitable
792
% Profitable
37.5%
Net Dividends
Correlation S&P500
0.307
Sharpe Ratio
0.11
Sortino Ratio
0.15
Beta
0.12
Alpha
0.00
Leverage
0.65 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

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.