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Featured Strategy Quant AI pro +16.7% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Quantex Mega Caps
(106187009)

Created by: GonzaloLoayza2 GonzaloLoayza2
Started: 10/2016
Stocks
Last trade: 18 days ago
Trading style: Equity Hedged 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 $79.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
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.
18.0%
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.

(51.5%)
Max Drawdown
368
Num Trades
56.5%
Win Trades
1.7 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +0.9%+9.6%+8.9%+20.5%
2017+7.0%(1.3%)+2.8%(0.1%)+7.0%(1.3%)+7.6%+0.6%+1.1%+13.2%(2.1%)(7.6%)+28.5%
2018+10.2%+2.4%(4.2%)+0.1%+3.2%+1.5%(3.7%)+6.9%+3.0%(13.1%)+1.2%(6.9%)(1.6%)
2019+5.1%+3.9%+0.8%+2.6%(0.9%)+6.4%+1.2%+7.7%(10.3%)+1.7%+3.1%+1.7%+24.2%
2020+7.9%(6.2%)+22.4%+8.3%+1.2%+4.0%+12.3%+0.2%(3.3%)(7.4%)+8.2%+2.3%+57.5%
2021(4.2%)(7.8%)(3.4%)+8.5%(0.7%)+6.5%+6.2%+4.3%(10.4%)+12.8%+2.5%+2.4%+15.2%
2022(11%)(6.8%)(6.7%)(23.4%)(2.3%)(11.6%)+7.4%(1.5%)(3.3%)(3.8%)+0.6%(0.7%)(49.6%)
2023+0.6%+1.9%+5.5%+3.5%+14.0%+5.1%+6.1%+0.1%(6.3%)+0.4%+10.2%+5.8%+56.2%
2024+10.2%+15.3%+2.2%(6.4%)+7.0%+3.8%(6.4%)+1.8%+2.2%  -  +10.0%+0.1%+44.7%

Model Account Details

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

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

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

Trading Record

This strategy has placed 53 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1268 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/4/24 10:29 TSLA TESLA INC. LONG 6 246.51 12/2 12:48 357.80 0.21%
Trade id #149958622
Max drawdown($27)
Time11/4/24 15:36
Quant open6
Worst price241.89
Drawdown as % of equity-0.21%
 $668
Includes Typical Broker Commissions trade costs of $0.12
11/4/24 10:32 NOW SERVICENOW LONG 2 951.37 12/2 12:48 1048.81 0.03%
Trade id #149958679
Max drawdown($4)
Time11/4/24 12:07
Quant open2
Worst price949.10
Drawdown as % of equity-0.03%
 $195
Includes Typical Broker Commissions trade costs of $0.04
11/4/24 10:32 MS MORGAN STANLEY LONG 12 116.79 12/2 12:48 131.31 0.08%
Trade id #149958685
Max drawdown($10)
Time11/4/24 12:09
Quant open12
Worst price115.94
Drawdown as % of equity-0.08%
 $174
Includes Typical Broker Commissions trade costs of $0.24
11/4/24 10:35 IBIT ISHARES BITCOIN TRUST LONG 11 38.84 12/2 12:48 54.34 0.06%
Trade id #149958703
Max drawdown($7)
Time11/4/24 12:20
Quant open11
Worst price38.17
Drawdown as % of equity-0.06%
 $171
Includes Typical Broker Commissions trade costs of $0.22
11/4/24 10:31 WMT WALMART INC LONG 17 82.60 12/2 12:48 92.00 0.07%
Trade id #149958674
Max drawdown($9)
Time11/6/24 0:00
Quant open17
Worst price82.06
Drawdown as % of equity-0.07%
 $160
Includes Typical Broker Commissions trade costs of $0.34
11/4/24 10:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 6 223.56 12/2 12:48 244.95 0.01%
Trade id #149958643
Max drawdown($1)
Time11/4/24 11:58
Quant open6
Worst price223.34
Drawdown as % of equity-0.01%
 $128
Includes Typical Broker Commissions trade costs of $0.12
11/4/24 10:25 ORCL ORACLE CORP LONG 9 169.52 12/2 12:48 182.02 0.05%
Trade id #149958564
Max drawdown($7)
Time11/4/24 10:42
Quant open9
Worst price168.73
Drawdown as % of equity-0.05%
 $113
Includes Typical Broker Commissions trade costs of $0.18
11/4/24 10:27 NVDA NVIDIA LONG 10 137.74 12/2 12:47 139.08 0.41%
Trade id #149958589
Max drawdown($59)
Time11/27/24 0:00
Quant open10
Worst price131.80
Drawdown as % of equity-0.41%
 $13
Includes Typical Broker Commissions trade costs of $0.20
11/4/24 10:28 PM PHILIP MORRIS LONG 11 130.37 12/2 12:47 131.01 0.52%
Trade id #149958598
Max drawdown($74)
Time11/8/24 0:00
Quant open11
Worst price123.56
Drawdown as % of equity-0.52%
 $7
Includes Typical Broker Commissions trade costs of $0.22
11/4/24 10:35 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 8 171.68 12/2 12:47 167.87 0.77%
Trade id #149958695
Max drawdown($113)
Time11/27/24 0:00
Quant open8
Worst price157.54
Drawdown as % of equity-0.77%
 ($30)
Includes Typical Broker Commissions trade costs of $0.16
11/4/24 10:34 ABBV ABBVIE INC LONG 7 201.73 12/2 12:47 180.72 1.85%
Trade id #149958689
Max drawdown($265)
Time11/19/24 0:00
Quant open7
Worst price163.81
Drawdown as % of equity-1.85%
 ($147)
Includes Typical Broker Commissions trade costs of $0.14
10/2/24 12:08 TMUS T-MOBILE US INC. COMMON STOCK LONG 7 207.67 11/1 14:55 223.23 0.08%
Trade id #149562065
Max drawdown($10)
Time10/4/24 0:00
Quant open7
Worst price206.18
Drawdown as % of equity-0.08%
 $109
Includes Typical Broker Commissions trade costs of $0.14
10/2/24 12:07 AAPL APPLE LONG 6 226.86 11/1 14:55 222.52 0.3%
Trade id #149562055
Max drawdown($39)
Time11/1/24 9:30
Quant open6
Worst price220.27
Drawdown as % of equity-0.30%
 ($26)
Includes Typical Broker Commissions trade costs of $0.12
10/2/24 12:06 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 8 172.49 11/1 14:55 168.69 0.3%
Trade id #149562028
Max drawdown($40)
Time10/31/24 0:00
Quant open8
Worst price167.38
Drawdown as % of equity-0.30%
 ($30)
Includes Typical Broker Commissions trade costs of $0.16
10/2/24 12:05 GE GE AEROSPACE LONG 8 187.28 11/1 14:55 172.50 0.99%
Trade id #149561993
Max drawdown($134)
Time10/31/24 0:00
Quant open8
Worst price170.43
Drawdown as % of equity-0.99%
 ($118)
Includes Typical Broker Commissions trade costs of $0.16
10/2/24 12:04 NVDA NVIDIA LONG 12 119.08 11/1 14:55 135.61 0.12%
Trade id #149561983
Max drawdown($15)
Time10/2/24 13:35
Quant open12
Worst price117.76
Drawdown as % of equity-0.12%
 $198
Includes Typical Broker Commissions trade costs of $0.24
10/2/24 12:04 IBM INTERNATIONAL BUSINESS MACHINES LONG 7 219.15 11/1 14:55 208.42 0.81%
Trade id #149561971
Max drawdown($109)
Time10/31/24 0:00
Quant open7
Worst price203.51
Drawdown as % of equity-0.81%
 ($75)
Includes Typical Broker Commissions trade costs of $0.14
10/2/24 12:03 PM PHILIP MORRIS LONG 12 119.54 11/1 14:55 131.30 0.18%
Trade id #149561953
Max drawdown($24)
Time10/4/24 0:00
Quant open12
Worst price117.53
Drawdown as % of equity-0.18%
 $141
Includes Typical Broker Commissions trade costs of $0.24
10/2/24 12:02 WMT WALMART INC LONG 18 80.56 11/1 14:55 82.32 0.21%
Trade id #149561933
Max drawdown($28)
Time10/7/24 0:00
Quant open18
Worst price78.98
Drawdown as % of equity-0.21%
 $32
Includes Typical Broker Commissions trade costs of $0.36
10/2/24 12:01 TSLA TESLA INC. LONG 6 250.52 11/1 14:55 247.70 1.69%
Trade id #149561929
Max drawdown($230)
Time10/23/24 0:00
Quant open6
Worst price212.11
Drawdown as % of equity-1.69%
 ($17)
Includes Typical Broker Commissions trade costs of $0.12
10/2/24 12:01 ORCL ORACLE CORP LONG 9 168.80 11/1 14:55 170.41 0.17%
Trade id #149561925
Max drawdown($23)
Time10/3/24 0:00
Quant open9
Worst price166.24
Drawdown as % of equity-0.17%
 $14
Includes Typical Broker Commissions trade costs of $0.18
9/3/24 12:02 ORCL ORACLE CORP LONG 10 140.73 10/2 12:00 168.63 0.22%
Trade id #149216516
Max drawdown($27)
Time9/4/24 0:00
Quant open10
Worst price137.95
Drawdown as % of equity-0.22%
 $279
Includes Typical Broker Commissions trade costs of $0.20
9/3/24 11:54 GE GE AEROSPACE LONG 9 167.21 10/2 12:00 187.09 0.47%
Trade id #149216391
Max drawdown($59)
Time9/6/24 0:00
Quant open9
Worst price160.59
Drawdown as % of equity-0.47%
 $179
Includes Typical Broker Commissions trade costs of $0.18
9/3/24 11:57 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 9 154.47 10/2 12:00 172.24 1.43%
Trade id #149216434
Max drawdown($176)
Time9/9/24 0:00
Quant open9
Worst price134.90
Drawdown as % of equity-1.43%
 $160
Includes Typical Broker Commissions trade costs of $0.18
9/3/24 11:51 NVDA NVIDIA LONG 13 110.66 10/2 12:00 118.86 1.01%
Trade id #149216338
Max drawdown($126)
Time9/6/24 0:00
Quant open13
Worst price100.95
Drawdown as % of equity-1.01%
 $107
Includes Typical Broker Commissions trade costs of $0.26
9/3/24 11:53 WMT WALMART INC LONG 18 77.65 10/2 12:00 80.60 0.19%
Trade id #149216360
Max drawdown($24)
Time9/6/24 0:00
Quant open18
Worst price76.30
Drawdown as % of equity-0.19%
 $53
Includes Typical Broker Commissions trade costs of $0.36
9/3/24 11:56 AAPL APPLE LONG 6 223.44 10/2 11:59 226.80 0.43%
Trade id #149216418
Max drawdown($57)
Time9/16/24 0:00
Quant open6
Worst price213.92
Drawdown as % of equity-0.43%
 $20
Includes Typical Broker Commissions trade costs of $0.12
9/3/24 12:00 TXN TEXAS INSTRUMENTS LONG 7 205.10 10/2 11:59 205.07 0.57%
Trade id #149216490
Max drawdown($73)
Time9/12/24 0:00
Quant open7
Worst price194.67
Drawdown as % of equity-0.57%
 $0
Includes Typical Broker Commissions trade costs of $0.14
9/3/24 11:52 PM PHILIP MORRIS LONG 11 124.98 10/2 11:59 119.65 0.48%
Trade id #149216343
Max drawdown($64)
Time9/20/24 0:00
Quant open11
Worst price119.16
Drawdown as % of equity-0.48%
 ($59)
Includes Typical Broker Commissions trade costs of $0.22
9/3/24 11:55 LLY ELI LILLY LONG 1 965.30 10/2 11:59 889.10 0.81%
Trade id #149216408
Max drawdown($106)
Time9/30/24 0:00
Quant open1
Worst price858.81
Drawdown as % of equity-0.81%
 ($76)
Includes Typical Broker Commissions trade costs of $0.02
Next

Statistics

  • Strategy began
    10/3/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    3000.06
  • Age
    100 months ago
  • What it trades
    Stocks
  • # Trades
    368
  • # Profitable
    208
  • % Profitable
    56.50%
  • Avg trade duration
    39.8 days
  • Max peak-to-valley drawdown
    51.48%
  • drawdown period
    Dec 28, 2021 - Dec 16, 2022
  • Annual Return (Compounded)
    18.0%
  • Avg win
    $153.10
  • Avg loss
    $117.78
  • Model Account Values (Raw)
  • Cash
    $9,150
  • Margin Used
    $0
  • Buying Power
    $9,205
  • Ratios
  • W:L ratio
    1.73:1
  • Sharpe Ratio
    0.7
  • Sortino Ratio
    0.99
  • Calmar Ratio
    0.452
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    119.43%
  • Correlation to SP500
    0.40200
  • Return Percent SP500 (cumu) during strategy life
    171.47%
  • Return Statistics
  • Ann Return (w trading costs)
    18.0%
  • Slump
  • Current Slump as Pcnt Equity
    5.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.180%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    20.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.00%
  • Chance of 20% account loss
    11.50%
  • Chance of 30% account loss
    5.00%
  • Chance of 40% account loss
    1.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    387
  • Popularity (Last 6 weeks)
    900
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    966
  • Popularity (7 days, Percentile 1000 scale)
    628
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $118
  • Avg Win
    $153
  • Sum Trade PL (losers)
    $18,878.000
  • Age
  • Num Months filled monthly returns table
    99
  • Win / Loss
  • Sum Trade PL (winners)
    $31,804.000
  • # Winners
    208
  • Num Months Winners
    65
  • Dividends
  • Dividends Received in Model Acct
    370
  • AUM
  • AUM (AutoTrader live capital)
    16978
  • Win / Loss
  • # Losers
    160
  • % Winners
    56.5%
  • Frequency
  • Avg Position Time (mins)
    57310.90
  • Avg Position Time (hrs)
    955.18
  • Avg Trade Length
    39.8 days
  • Last Trade Ago
    18
  • Leverage
  • Daily leverage (average)
    1.38
  • Daily leverage (max)
    4.01
  • Regression
  • Alpha
    0.03
  • Beta
    0.43
  • Treynor Index
    0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    17.25
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    71.61
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.03
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.937
  • 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
    0.108
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.443
  • Hold-and-Hope Ratio
    1.058
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22230
  • SD
    0.23181
  • Sharpe ratio (Glass type estimate)
    0.95898
  • Sharpe ratio (Hedges UMVUE)
    0.95139
  • df
    95.00000
  • t
    2.71240
  • p
    0.00397
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25035
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66278
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24536
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65742
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.54713
  • Upside Potential Ratio
    2.98047
  • Upside part of mean
    0.42825
  • Downside part of mean
    -0.20595
  • Upside SD
    0.19144
  • Downside SD
    0.14369
  • N nonnegative terms
    63.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    96.00000
  • Mean of predictor
    0.15189
  • Mean of criterion
    0.22230
  • SD of predictor
    0.20012
  • SD of criterion
    0.23181
  • Covariance
    0.02004
  • r
    0.43201
  • b (slope, estimate of beta)
    0.50040
  • a (intercept, estimate of alpha)
    0.14629
  • Mean Square Error
    0.04417
  • DF error
    94.00000
  • t(b)
    4.64420
  • p(b)
    0.00001
  • t(a)
    1.92268
  • p(a)
    0.02877
  • Lowerbound of 95% confidence interval for beta
    0.28647
  • Upperbound of 95% confidence interval for beta
    0.71434
  • Lowerbound of 95% confidence interval for alpha
    -0.00478
  • Upperbound of 95% confidence interval for alpha
    0.29736
  • Treynor index (mean / b)
    0.44424
  • Jensen alpha (a)
    0.14629
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19372
  • SD
    0.23394
  • Sharpe ratio (Glass type estimate)
    0.82804
  • Sharpe ratio (Hedges UMVUE)
    0.82149
  • df
    95.00000
  • t
    2.34206
  • p
    0.01063
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12309
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52880
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11876
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52422
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24577
  • Upside Potential Ratio
    2.64392
  • Upside part of mean
    0.41113
  • Downside part of mean
    -0.21741
  • Upside SD
    0.18195
  • Downside SD
    0.15550
  • N nonnegative terms
    63.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    96.00000
  • Mean of predictor
    0.12950
  • Mean of criterion
    0.19372
  • SD of predictor
    0.21451
  • SD of criterion
    0.23394
  • Covariance
    0.02018
  • r
    0.40211
  • b (slope, estimate of beta)
    0.43854
  • a (intercept, estimate of alpha)
    0.13692
  • Mean Square Error
    0.04637
  • DF error
    94.00000
  • t(b)
    4.25803
  • p(b)
    0.00002
  • t(a)
    1.77152
  • p(a)
    0.03986
  • Lowerbound of 95% confidence interval for beta
    0.23405
  • Upperbound of 95% confidence interval for beta
    0.64303
  • Lowerbound of 95% confidence interval for alpha
    -0.01654
  • Upperbound of 95% confidence interval for alpha
    0.29039
  • Treynor index (mean / b)
    0.44173
  • Jensen alpha (a)
    0.13692
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09057
  • Expected Shortfall on VaR
    0.11560
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02998
  • Expected Shortfall on VaR
    0.06685
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    96.00000
  • Minimum
    0.77495
  • Quartile 1
    0.98424
  • Median
    1.02366
  • Quartile 3
    1.05422
  • Maximum
    1.18271
  • Mean of quarter 1
    0.93455
  • Mean of quarter 2
    1.00359
  • Mean of quarter 3
    1.03732
  • Mean of quarter 4
    1.09864
  • Inter Quartile Range
    0.06998
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.83818
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01042
  • Mean of outliers high
    1.18271
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22544
  • VaR(95%) (moments method)
    0.05523
  • Expected Shortfall (moments method)
    0.09137
  • Extreme Value Index (regression method)
    0.18189
  • VaR(95%) (regression method)
    0.06744
  • Expected Shortfall (regression method)
    0.11075
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.01492
  • Quartile 1
    0.04636
  • Median
    0.09019
  • Quartile 3
    0.12544
  • Maximum
    0.44525
  • Mean of quarter 1
    0.02426
  • Mean of quarter 2
    0.07701
  • Mean of quarter 3
    0.10247
  • Mean of quarter 4
    0.24774
  • Inter Quartile Range
    0.07908
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.44525
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40948
  • VaR(95%) (moments method)
    0.29164
  • Expected Shortfall (moments method)
    0.54544
  • Extreme Value Index (regression method)
    3.24169
  • VaR(95%) (regression method)
    0.60522
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46377
  • Compounded annual return (geometric extrapolation)
    0.21375
  • Calmar ratio (compounded annual return / max draw down)
    0.48007
  • Compounded annual return / average of 25% largest draw downs
    0.86280
  • Compounded annual return / Expected Shortfall lognormal
    1.84902
  • 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
    0.20431
  • SD
    0.18085
  • Sharpe ratio (Glass type estimate)
    1.12974
  • Sharpe ratio (Hedges UMVUE)
    1.12934
  • df
    2105.00000
  • t
    3.20300
  • p
    0.00069
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43748
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82177
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82148
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61387
  • Upside Potential Ratio
    9.10455
  • Upside part of mean
    1.15260
  • Downside part of mean
    -0.94829
  • Upside SD
    0.12970
  • Downside SD
    0.12660
  • N nonnegative terms
    1218.00000
  • N negative terms
    888.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2106.00000
  • Mean of predictor
    0.14168
  • Mean of criterion
    0.20431
  • SD of predictor
    0.18618
  • SD of criterion
    0.18085
  • Covariance
    0.01351
  • r
    0.40133
  • b (slope, estimate of beta)
    0.38982
  • a (intercept, estimate of alpha)
    0.14900
  • Mean Square Error
    0.02745
  • DF error
    2104.00000
  • t(b)
    20.09840
  • p(b)
    0.00000
  • t(a)
    2.54822
  • p(a)
    0.00545
  • Lowerbound of 95% confidence interval for beta
    0.35179
  • Upperbound of 95% confidence interval for beta
    0.42786
  • Lowerbound of 95% confidence interval for alpha
    0.03435
  • Upperbound of 95% confidence interval for alpha
    0.26381
  • Treynor index (mean / b)
    0.52411
  • Jensen alpha (a)
    0.14908
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18787
  • SD
    0.18105
  • Sharpe ratio (Glass type estimate)
    1.03768
  • Sharpe ratio (Hedges UMVUE)
    1.03731
  • df
    2105.00000
  • t
    2.94200
  • p
    0.00165
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34555
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72958
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34530
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72933
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46491
  • Upside Potential Ratio
    8.92276
  • Upside part of mean
    1.14431
  • Downside part of mean
    -0.95644
  • Upside SD
    0.12826
  • Downside SD
    0.12825
  • N nonnegative terms
    1218.00000
  • N negative terms
    888.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2106.00000
  • Mean of predictor
    0.12424
  • Mean of criterion
    0.18787
  • SD of predictor
    0.18689
  • SD of criterion
    0.18105
  • Covariance
    0.01354
  • r
    0.40025
  • b (slope, estimate of beta)
    0.38773
  • a (intercept, estimate of alpha)
    0.13970
  • Mean Square Error
    0.02754
  • DF error
    2104.00000
  • t(b)
    20.03380
  • p(b)
    0.00000
  • t(a)
    2.38459
  • p(a)
    0.00859
  • Lowerbound of 95% confidence interval for beta
    0.34978
  • Upperbound of 95% confidence interval for beta
    0.42569
  • Lowerbound of 95% confidence interval for alpha
    0.02481
  • Upperbound of 95% confidence interval for alpha
    0.25458
  • Treynor index (mean / b)
    0.48453
  • Jensen alpha (a)
    0.13970
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01753
  • Expected Shortfall on VaR
    0.02210
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00742
  • Expected Shortfall on VaR
    0.01528
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2106.00000
  • Minimum
    0.93258
  • Quartile 1
    0.99531
  • Median
    1.00110
  • Quartile 3
    1.00671
  • Maximum
    1.06966
  • Mean of quarter 1
    0.98707
  • Mean of quarter 2
    0.99862
  • Mean of quarter 3
    1.00376
  • Mean of quarter 4
    1.01368
  • Inter Quartile Range
    0.01140
  • Number outliers low
    73.00000
  • Percentage of outliers low
    0.03466
  • Mean of outliers low
    0.96996
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.01852
  • Mean of outliers high
    1.03214
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19508
  • VaR(95%) (moments method)
    0.01221
  • Expected Shortfall (moments method)
    0.01896
  • Extreme Value Index (regression method)
    0.06052
  • VaR(95%) (regression method)
    0.01211
  • Expected Shortfall (regression method)
    0.01725
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    64.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00711
  • Median
    0.01638
  • Quartile 3
    0.06051
  • Maximum
    0.45775
  • Mean of quarter 1
    0.00337
  • Mean of quarter 2
    0.01057
  • Mean of quarter 3
    0.03749
  • Mean of quarter 4
    0.14423
  • Inter Quartile Range
    0.05339
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.09375
  • Mean of outliers high
    0.22031
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.18788
  • VaR(95%) (moments method)
    0.13680
  • Expected Shortfall (moments method)
    0.17227
  • Extreme Value Index (regression method)
    -0.89214
  • VaR(95%) (regression method)
    0.14541
  • Expected Shortfall (regression method)
    0.15802
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43882
  • Compounded annual return (geometric extrapolation)
    0.20668
  • Calmar ratio (compounded annual return / max draw down)
    0.45150
  • Compounded annual return / average of 25% largest draw downs
    1.43292
  • Compounded annual return / Expected Shortfall lognormal
    9.35261
  • 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
    0.16808
  • SD
    0.18262
  • Sharpe ratio (Glass type estimate)
    0.92042
  • Sharpe ratio (Hedges UMVUE)
    0.91510
  • df
    130.00000
  • t
    0.65084
  • p
    0.47151
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.85534
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.69279
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85894
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.68914
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24710
  • Upside Potential Ratio
    8.53493
  • Upside part of mean
    1.15033
  • Downside part of mean
    -0.98225
  • Upside SD
    0.12262
  • Downside SD
    0.13478
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14889
  • Mean of criterion
    0.16808
  • SD of predictor
    0.14071
  • SD of criterion
    0.18262
  • Covariance
    0.01673
  • r
    0.65126
  • b (slope, estimate of beta)
    0.84522
  • a (intercept, estimate of alpha)
    0.04224
  • Mean Square Error
    0.01935
  • DF error
    129.00000
  • t(b)
    9.74757
  • p(b)
    0.11693
  • t(a)
    0.21422
  • p(a)
    0.48800
  • Lowerbound of 95% confidence interval for beta
    0.67366
  • Upperbound of 95% confidence interval for beta
    1.01678
  • Lowerbound of 95% confidence interval for alpha
    -0.34785
  • Upperbound of 95% confidence interval for alpha
    0.43232
  • Treynor index (mean / b)
    0.19886
  • Jensen alpha (a)
    0.04224
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15142
  • SD
    0.18321
  • Sharpe ratio (Glass type estimate)
    0.82649
  • Sharpe ratio (Hedges UMVUE)
    0.82171
  • df
    130.00000
  • t
    0.58442
  • p
    0.47441
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94870
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.59855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95189
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59532
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10926
  • Upside Potential Ratio
    8.37268
  • Upside part of mean
    1.14291
  • Downside part of mean
    -0.99149
  • Upside SD
    0.12150
  • Downside SD
    0.13650
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13900
  • Mean of criterion
    0.15142
  • SD of predictor
    0.14106
  • SD of criterion
    0.18321
  • Covariance
    0.01685
  • r
    0.65213
  • b (slope, estimate of beta)
    0.84695
  • a (intercept, estimate of alpha)
    0.03369
  • Mean Square Error
    0.01944
  • DF error
    129.00000
  • t(b)
    9.77013
  • p(b)
    0.11651
  • t(a)
    0.17056
  • p(a)
    0.49044
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.67543
  • Upperbound of 95% confidence interval for beta
    1.01846
  • Lowerbound of 95% confidence interval for alpha
    -0.35716
  • Upperbound of 95% confidence interval for alpha
    0.42455
  • Treynor index (mean / b)
    0.17878
  • Jensen alpha (a)
    0.03369
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01788
  • Expected Shortfall on VaR
    0.02250
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00754
  • Expected Shortfall on VaR
    0.01577
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96435
  • Quartile 1
    0.99616
  • Median
    1.00143
  • Quartile 3
    1.00707
  • Maximum
    1.03311
  • Mean of quarter 1
    0.98645
  • Mean of quarter 2
    0.99898
  • Mean of quarter 3
    1.00438
  • Mean of quarter 4
    1.01286
  • Inter Quartile Range
    0.01091
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.97095
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03187
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25797
  • VaR(95%) (moments method)
    0.01198
  • Expected Shortfall (moments method)
    0.02030
  • Extreme Value Index (regression method)
    -0.08742
  • VaR(95%) (regression method)
    0.01489
  • Expected Shortfall (regression method)
    0.02072
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01365
  • Quartile 1
    0.01871
  • Median
    0.02091
  • Quartile 3
    0.04031
  • Maximum
    0.17296
  • Mean of quarter 1
    0.01618
  • Mean of quarter 2
    0.02091
  • Mean of quarter 3
    0.04031
  • Mean of quarter 4
    0.17296
  • Inter Quartile Range
    0.02161
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.17296
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -377235000
  • Max Equity Drawdown (num days)
    353
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15730
  • Compounded annual return (geometric extrapolation)
    0.16348
  • Calmar ratio (compounded annual return / max draw down)
    0.94520
  • Compounded annual return / average of 25% largest draw downs
    0.94520
  • Compounded annual return / Expected Shortfall lognormal
    7.26496

Strategy Description

As of December 1, 2022, we are incorporating some improvements to the Original strategy (Dual QM-18 Strategy), especially related to risk management. These mechanisms have been developed and implemented by Quantex Capital, a company dedicated to the development of investment strategies. Therefore, the performance of this new strategy is visualized from January 2023.

Quantex Mega Caps is a Dual Momentum Strategy. (DMS)

*Dual Momentum Strategy (DMS) is based on the Nobel Prize winning portfolio theory of Markowitz (1952).
*DM was created by Gary Antonacci, who published a book called: "Dual Momentum Investing: An Innovative Strategy for Higher Returns With Lower Risk."
* In this book, Gary Antonacci clearly explains the structure and operation of his strategy, which earned him the award for best personal finance book in 2014.
*Antonacci has written numerous academic papers on this strategy and has documented it with abundant empirical evidence.

Quantex Mega Caps takes as a universe, the 45 largest companies on the NY Stock Exchange, measured by their Market Cap. and invest in the 5 that meet the criteria established by the "Dual Momentum".

The system has been backtested since 2014 and in this testing has produced consistently profitable results.

Backtesting data is hypothetical and it has not been verified by C2.
Our system generates around 50 trades a year. This is not a high frequency system, we would expect 4 trades per month on average. This is a purely mechanical system with no discretionary elements. If you wish to receive the results of the Back Testing applied to this strategy, feel free to request them.

I invite you to see an additional strategy that has been recording similar results: https://collective2.com/details/106187009
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-10-03
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 3.4%
Rank # 
#25
# Trades
368
# Profitable
208
% Profitable
56.5%
Net Dividends
$370
Correlation S&P500
0.402
Sharpe Ratio
0.70
Sortino Ratio
0.99
Beta
0.43
Alpha
0.03
Leverage
1.38 Average
4.01 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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