Collective2 Collective2
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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AltData III
(143001897)

Created by: AltData AltData
Started: 12/2022
Stocks
Last trade: 4 days ago
Subscriptions not currently available.

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 $1,999.00 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.

36.7%
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.

(18.0%)
Max Drawdown
199
Num Trades
54.8%
Win Trades
1.4 : 1
Profit Factor
56.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023       +17.4%+18.2%(0.9%)+2.7%(9.1%)(0.2%)+9.7%(1.3%)+1.8%+13.6%(8%)+47.7%
2024(2.1%)+27.5%(1.8%)+0.3%+11.8%+1.8%+2.3%+6.7%(4.9%)(5.3%)+1.0%(9%)+26.3%

Model Account Details

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

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

Trading Record

This strategy has placed 99 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/9/24 10:40 MDB MONGODB INC. CLASS A COMMON STOCK LONG 340 353.83 12/16 11:40 271.43 1.68%
Trade id #150279459
Max drawdown($31,799)
Time12/16/24 9:42
Quant open340
Worst price260.30
Drawdown as % of equity-1.68%
 ($28,023)
Includes Typical Broker Commissions trade costs of $6.80
12/2/24 10:16 ZS ZSCALER INC. COMMON STOCK SHORT 430 211.82 12/16 11:40 202.03 0.11%
Trade id #150221947
Max drawdown($2,097)
Time12/9/24 0:00
Quant open430
Worst price216.70
Drawdown as % of equity-0.11%
 $4,200
Includes Typical Broker Commissions trade costs of $8.60
12/2/24 10:16 S SENTINELONE INC LONG 1,950 27.36 12/16 11:40 23.75 0.44%
Trade id #150221942
Max drawdown($8,440)
Time12/11/24 0:00
Quant open1,950
Worst price23.03
Drawdown as % of equity-0.44%
 ($7,041)
Includes Typical Broker Commissions trade costs of $5.00
12/2/24 10:16 PATH UIPATH INC SHORT 16,550 14.68 12/16 11:40 14.15 1.05%
Trade id #150221939
Max drawdown($20,728)
Time12/9/24 0:00
Quant open16,550
Worst price15.93
Drawdown as % of equity-1.05%
 $8,798
Includes Typical Broker Commissions trade costs of $5.00
12/2/24 10:16 GWRE GUIDEWIRE SOFTWARE LONG 720 202.69 12/16 11:40 173.00 1.21%
Trade id #150221930
Max drawdown($23,307)
Time12/10/24 0:00
Quant open720
Worst price170.32
Drawdown as % of equity-1.21%
 ($21,383)
Includes Typical Broker Commissions trade costs of $5.00
12/2/24 10:16 ASAN ASANA INC SHORT 10,970 15.05 12/16 11:40 26.59 7.12%
Trade id #150221925
Max drawdown($134,637)
Time12/16/24 11:11
Quant open10,970
Worst price27.32
Drawdown as % of equity-7.12%
 ($126,543)
Includes Typical Broker Commissions trade costs of $5.00
11/25/24 12:40 WDAY WORKDAY LONG 900 268.44 12/16 11:40 279.72 1.37%
Trade id #150170431
Max drawdown($28,127)
Time11/27/24 0:00
Quant open900
Worst price237.18
Drawdown as % of equity-1.37%
 $10,147
Includes Typical Broker Commissions trade costs of $11.50
12/2/24 10:16 HCP HASHICORP INC. LONG 3,620 33.58 12/9 10:40 33.72 0.03%
Trade id #150221933
Max drawdown($606)
Time12/4/24 0:00
Quant open3,620
Worst price33.41
Drawdown as % of equity-0.03%
 $524
Includes Typical Broker Commissions trade costs of $5.00
11/25/24 12:40 NTNX NUTANIX INC. CLASS A COMMON STOCK SHORT 2,300 72.14 12/9 10:40 66.94 0.22%
Trade id #150170424
Max drawdown($4,518)
Time11/27/24 0:00
Quant open2,300
Worst price74.10
Drawdown as % of equity-0.22%
 $11,944
Includes Typical Broker Commissions trade costs of $5.00
11/25/24 12:40 ZM ZOOM COMMUNICATIONS INC. CLASS A LONG 2,240 89.17 12/2 10:16 84.40 0.87%
Trade id #150170436
Max drawdown($17,807)
Time11/26/24 0:00
Quant open2,240
Worst price81.22
Drawdown as % of equity-0.87%
 ($10,698)
Includes Typical Broker Commissions trade costs of $5.00
11/18/24 10:40 ESTC ELASTIC NV SHORT 3,480 85.21 12/2 10:16 112.37 5.38%
Trade id #150112196
Max drawdown($114,744)
Time11/22/24 0:00
Quant open3,480
Worst price118.18
Drawdown as % of equity-5.38%
 ($94,531)
Includes Typical Broker Commissions trade costs of $5.00
11/11/24 10:41 ZI ZOOMINFO TECHNOLOGIES INC LONG 13,010 12.37 11/25 12:40 10.65 1.72%
Trade id #150055150
Max drawdown($37,033)
Time11/19/24 0:00
Quant open13,010
Worst price9.52
Drawdown as % of equity-1.72%
 ($22,272)
Includes Typical Broker Commissions trade costs of $5.00
11/11/24 10:41 SONO SONOS INC. COMMON STOCK SHORT 11,090 14.17 11/25 12:40 14.14 0.9%
Trade id #150055147
Max drawdown($19,066)
Time11/14/24 0:00
Quant open11,090
Worst price15.89
Drawdown as % of equity-0.90%
 $371
Includes Typical Broker Commissions trade costs of $5.00
11/11/24 10:41 SE SEA LTD ADS LONG 2,570 97.30 11/25 12:40 112.85 0.03%
Trade id #150055144
Max drawdown($726)
Time11/11/24 14:12
Quant open2,570
Worst price97.02
Drawdown as % of equity-0.03%
 $39,960
Includes Typical Broker Commissions trade costs of $5.00
11/18/24 10:40 SNOW SNOWFLAKE INC SHORT 3,330 126.06 11/19 11:40 127.56 0.44%
Trade id #150112204
Max drawdown($9,421)
Time11/19/24 9:54
Quant open3,330
Worst price128.88
Drawdown as % of equity-0.44%
 ($5,007)
Includes Typical Broker Commissions trade costs of $5.00
11/18/24 10:40 NVDA NVIDIA SHORT 1,690 140.01 11/19 11:40 144.15 0.36%
Trade id #150112199
Max drawdown($7,671)
Time11/19/24 11:01
Quant open1,690
Worst price144.55
Drawdown as % of equity-0.36%
 ($6,993)
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 U UNITY SOFTWARE INC SHORT 12,280 20.20 11/18 10:40 17.83 1.65%
Trade id #149961143
Max drawdown($35,435)
Time11/8/24 0:00
Quant open12,280
Worst price23.09
Drawdown as % of equity-1.65%
 $29,133
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 TRIP TRIPADVISOR LONG 11,900 16.35 11/18 10:40 13.74 1.52%
Trade id #149961140
Max drawdown($32,575)
Time11/18/24 9:53
Quant open11,900
Worst price13.61
Drawdown as % of equity-1.52%
 ($31,017)
Includes Typical Broker Commissions trade costs of $5.00
11/11/24 10:41 CSCO CISCO SYSTEMS SHORT 4,130 58.72 11/18 10:40 57.69 0.11%
Trade id #150055135
Max drawdown($2,303)
Time11/13/24 0:00
Quant open4,130
Worst price59.28
Drawdown as % of equity-0.11%
 $4,263
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 PAYO PAYONEER GLOBAL INC. COMMON STOCK SHORT 18,910 8.56 11/18 10:40 10.58 2.07%
Trade id #149961134
Max drawdown($44,307)
Time11/8/24 0:00
Quant open18,910
Worst price10.90
Drawdown as % of equity-2.07%
 ($38,288)
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 DBX DROPBOX INC. CLASS A COMMON STOCK SHORT 17,240 26.15 11/18 10:40 26.44 1.7%
Trade id #149961125
Max drawdown($36,501)
Time11/13/24 0:00
Quant open17,240
Worst price28.27
Drawdown as % of equity-1.70%
 ($4,877)
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 1,880 136.34 11/18 10:40 132.16 0.44%
Trade id #149961122
Max drawdown($9,461)
Time11/15/24 0:00
Quant open1,880
Worst price131.31
Drawdown as % of equity-0.44%
 ($7,867)
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 RNG RINGCENTRAL INC. LONG 9,660 36.46 11/11 10:41 36.78 0.42%
Trade id #149961137
Max drawdown($8,504)
Time11/5/24 0:00
Quant open9,660
Worst price35.58
Drawdown as % of equity-0.42%
 $3,108
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 MTTR MATTERPORT INC LONG 70,330 4.51 11/11 10:41 4.78 0.12%
Trade id #149961131
Max drawdown($2,444)
Time11/4/24 15:51
Quant open70,330
Worst price4.48
Drawdown as % of equity-0.12%
 $18,519
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 12:12 FRSH FRESHWORKS INC. CLASS A COMMON STOCK LONG 31,870 12.16 11/11 10:41 16.44 0.09%
Trade id #149961128
Max drawdown($1,740)
Time11/4/24 13:07
Quant open31,870
Worst price12.11
Drawdown as % of equity-0.09%
 $136,265
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 TRIP TRIPADVISOR LONG 11,900 16.04 11/4 10:01 16.18 0.03%
Trade id #149957517
Max drawdown($519)
Time11/4/24 9:50
Quant open11,900
Worst price16.00
Drawdown as % of equity-0.03%
 $1,677
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 FRSH FRESHWORKS INC. CLASS A COMMON STOCK LONG 31,870 12.00 11/4 10:01 12.09 0.03%
Trade id #149957492
Max drawdown($590)
Time11/4/24 9:43
Quant open31,870
Worst price11.98
Drawdown as % of equity-0.03%
 $2,949
Includes Typical Broker Commissions trade costs of $5.00
10/28/24 11:40 CFLT CONFLUENT INC. CLASS A COMMON STOCK SHORT 13,940 22.73 11/4 10:01 26.67 3.91%
Trade id #149865211
Max drawdown($86,670)
Time10/31/24 0:00
Quant open13,940
Worst price28.95
Drawdown as % of equity-3.91%
 ($54,835)
Includes Typical Broker Commissions trade costs of $7.50
11/4/24 9:40 U UNITY SOFTWARE INC SHORT 12,280 19.93 11/4 10:01 20.16 0.19%
Trade id #149957522
Max drawdown($3,827)
Time11/4/24 9:45
Quant open12,280
Worst price20.24
Drawdown as % of equity-0.19%
 ($2,809)
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 9:40 RNG RINGCENTRAL INC. LONG 9,660 35.98 11/4 10:01 36.23 0.02%
Trade id #149957509
Max drawdown($430)
Time11/4/24 9:52
Quant open9,660
Worst price35.94
Drawdown as % of equity-0.02%
 $2,398
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    12/27/2022
  • Suggested Minimum Cap
    $1,860,000
  • Strategy Age (days)
    724.36
  • Age
    24 months ago
  • What it trades
    Stocks
  • # Trades
    199
  • # Profitable
    109
  • % Profitable
    54.80%
  • Avg trade duration
    7.5 days
  • Max peak-to-valley drawdown
    18%
  • drawdown period
    Sept 03, 2024 - Dec 19, 2024
  • Annual Return (Compounded)
    36.7%
  • Avg win
    $32,301
  • Avg loss
    $28,789
  • Model Account Values (Raw)
  • Cash
    $1,801,740
  • Margin Used
    $0
  • Buying Power
    $1,769,556
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    1.21
  • Sortino Ratio
    1.96
  • Calmar Ratio
    2.918
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    33.30%
  • Correlation to SP500
    -0.00200
  • Return Percent SP500 (cumu) during strategy life
    53.22%
  • Return Statistics
  • Ann Return (w trading costs)
    36.7%
  • Slump
  • Current Slump as Pcnt Equity
    21.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • 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)
    0.367%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    38.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.50%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    71.43%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    750
  • Popularity (Last 6 weeks)
    937
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    951
  • Popularity (7 days, Percentile 1000 scale)
    811
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $29,020
  • Avg Win
    $32,338
  • Sum Trade PL (losers)
    $2,611,830.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $3,524,810.000
  • # Winners
    109
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    90
  • % Winners
    54.8%
  • Frequency
  • Avg Position Time (mins)
    10812.00
  • Avg Position Time (hrs)
    180.20
  • Avg Trade Length
    7.5 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    0.69
  • Daily leverage (max)
    2.30
  • Regression
  • Alpha
    0.09
  • Beta
    -0.00
  • Treynor Index
    -26.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.49
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    4.871
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.228
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.347
  • Hold-and-Hope Ratio
    0.203
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45203
  • SD
    0.37764
  • Sharpe ratio (Glass type estimate)
    1.19697
  • Sharpe ratio (Hedges UMVUE)
    1.14628
  • df
    18.00000
  • t
    1.50616
  • p
    0.33273
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42385
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78672
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74827
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33737
  • Upside Potential Ratio
    5.15678
  • Upside part of mean
    0.69846
  • Downside part of mean
    -0.24643
  • Upside SD
    0.36578
  • Downside SD
    0.13545
  • N nonnegative terms
    9.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.20444
  • Mean of criterion
    0.45203
  • SD of predictor
    0.10401
  • SD of criterion
    0.37764
  • Covariance
    0.00574
  • r
    0.14626
  • b (slope, estimate of beta)
    0.53107
  • a (intercept, estimate of alpha)
    0.34346
  • Mean Square Error
    0.14777
  • DF error
    17.00000
  • t(b)
    0.60962
  • p(b)
    0.40722
  • t(a)
    0.97125
  • p(a)
    0.35532
  • Lowerbound of 95% confidence interval for beta
    -1.30692
  • Upperbound of 95% confidence interval for beta
    2.36907
  • Lowerbound of 95% confidence interval for alpha
    -0.40262
  • Upperbound of 95% confidence interval for alpha
    1.08954
  • Treynor index (mean / b)
    0.85116
  • Jensen alpha (a)
    0.34346
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38270
  • SD
    0.35256
  • Sharpe ratio (Glass type estimate)
    1.08550
  • Sharpe ratio (Hedges UMVUE)
    1.03952
  • df
    18.00000
  • t
    1.36589
  • p
    0.34677
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52562
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66818
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55468
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63373
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68495
  • Upside Potential Ratio
    4.47861
  • Upside part of mean
    0.63836
  • Downside part of mean
    -0.25566
  • Upside SD
    0.33112
  • Downside SD
    0.14253
  • N nonnegative terms
    9.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.19727
  • Mean of criterion
    0.38270
  • SD of predictor
    0.10270
  • SD of criterion
    0.35256
  • Covariance
    0.00505
  • r
    0.13938
  • b (slope, estimate of beta)
    0.47848
  • a (intercept, estimate of alpha)
    0.28831
  • Mean Square Error
    0.12905
  • DF error
    17.00000
  • t(b)
    0.58034
  • p(b)
    0.41156
  • t(a)
    0.87745
  • p(a)
    0.36845
  • Lowerbound of 95% confidence interval for beta
    -1.26102
  • Upperbound of 95% confidence interval for beta
    2.21798
  • Lowerbound of 95% confidence interval for alpha
    -0.40492
  • Upperbound of 95% confidence interval for alpha
    0.98154
  • Treynor index (mean / b)
    0.79982
  • Jensen alpha (a)
    0.28831
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12673
  • Expected Shortfall on VaR
    0.16250
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04912
  • Expected Shortfall on VaR
    0.09167
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.87114
  • Quartile 1
    0.97669
  • Median
    0.99873
  • Quartile 3
    1.11258
  • Maximum
    1.26279
  • Mean of quarter 1
    0.93678
  • Mean of quarter 2
    0.98984
  • Mean of quarter 3
    1.03599
  • Mean of quarter 4
    1.19658
  • Inter Quartile Range
    0.13589
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32004
  • VaR(95%) (moments method)
    0.06238
  • Expected Shortfall (moments method)
    0.07726
  • Extreme Value Index (regression method)
    0.26235
  • VaR(95%) (regression method)
    0.09155
  • Expected Shortfall (regression method)
    0.15871
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01059
  • Quartile 1
    0.01755
  • Median
    0.06107
  • Quartile 3
    0.08930
  • Maximum
    0.12886
  • Mean of quarter 1
    0.01125
  • Mean of quarter 2
    0.03450
  • Mean of quarter 3
    0.08763
  • Mean of quarter 4
    0.10936
  • Inter Quartile Range
    0.07174
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.57839
  • Compounded annual return (geometric extrapolation)
    0.50773
  • Calmar ratio (compounded annual return / max draw down)
    3.94016
  • Compounded annual return / average of 25% largest draw downs
    4.64294
  • Compounded annual return / Expected Shortfall lognormal
    3.12445
  • 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
    0.41025
  • SD
    0.25100
  • Sharpe ratio (Glass type estimate)
    1.63443
  • Sharpe ratio (Hedges UMVUE)
    1.63148
  • df
    416.00000
  • t
    2.06197
  • p
    0.01992
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07594
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07396
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18900
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.66102
  • Upside Potential Ratio
    7.73312
  • Upside part of mean
    1.19221
  • Downside part of mean
    -0.78196
  • Upside SD
    0.19931
  • Downside SD
    0.15417
  • N nonnegative terms
    176.00000
  • N negative terms
    241.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    417.00000
  • Mean of predictor
    0.20525
  • Mean of criterion
    0.41025
  • SD of predictor
    0.13851
  • SD of criterion
    0.25100
  • Covariance
    -0.00033
  • r
    -0.00944
  • b (slope, estimate of beta)
    -0.01710
  • a (intercept, estimate of alpha)
    0.41400
  • Mean Square Error
    0.06315
  • DF error
    415.00000
  • t(b)
    -0.19224
  • p(b)
    0.57618
  • t(a)
    2.06854
  • p(a)
    0.01960
  • Lowerbound of 95% confidence interval for beta
    -0.19195
  • Upperbound of 95% confidence interval for beta
    0.15775
  • Lowerbound of 95% confidence interval for alpha
    0.02057
  • Upperbound of 95% confidence interval for alpha
    0.80694
  • Treynor index (mean / b)
    -23.99040
  • Jensen alpha (a)
    0.41376
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37867
  • SD
    0.24999
  • Sharpe ratio (Glass type estimate)
    1.51471
  • Sharpe ratio (Hedges UMVUE)
    1.51198
  • df
    416.00000
  • t
    1.91094
  • p
    0.02835
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04499
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.06894
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.39392
  • Upside Potential Ratio
    7.41467
  • Upside part of mean
    1.17284
  • Downside part of mean
    -0.79418
  • Upside SD
    0.19461
  • Downside SD
    0.15818
  • N nonnegative terms
    176.00000
  • N negative terms
    241.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    417.00000
  • Mean of predictor
    0.19556
  • Mean of criterion
    0.37867
  • SD of predictor
    0.13873
  • SD of criterion
    0.24999
  • Covariance
    -0.00034
  • r
    -0.00969
  • b (slope, estimate of beta)
    -0.01746
  • a (intercept, estimate of alpha)
    0.38208
  • Mean Square Error
    0.06264
  • DF error
    415.00000
  • t(b)
    -0.19742
  • p(b)
    0.57820
  • t(a)
    1.91866
  • p(a)
    0.02786
  • Lowerbound of 95% confidence interval for beta
    -0.19133
  • Upperbound of 95% confidence interval for beta
    0.15641
  • Lowerbound of 95% confidence interval for alpha
    -0.00937
  • Upperbound of 95% confidence interval for alpha
    0.77353
  • Treynor index (mean / b)
    -21.68490
  • Jensen alpha (a)
    0.38208
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02367
  • Expected Shortfall on VaR
    0.02994
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00734
  • Expected Shortfall on VaR
    0.01622
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    417.00000
  • Minimum
    0.92365
  • Quartile 1
    0.99914
  • Median
    1.00000
  • Quartile 3
    1.00329
  • Maximum
    1.07307
  • Mean of quarter 1
    0.98848
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    1.01748
  • Inter Quartile Range
    0.00415
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.10791
  • Mean of outliers low
    0.97768
  • Number of outliers high
    50.00000
  • Percentage of outliers high
    0.11990
  • Mean of outliers high
    1.02967
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.62389
  • VaR(95%) (moments method)
    0.00610
  • Expected Shortfall (moments method)
    0.01972
  • Extreme Value Index (regression method)
    0.42719
  • VaR(95%) (regression method)
    0.00928
  • Expected Shortfall (regression method)
    0.02196
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00198
  • Median
    0.01306
  • Quartile 3
    0.05267
  • Maximum
    0.17191
  • Mean of quarter 1
    0.00089
  • Mean of quarter 2
    0.00879
  • Mean of quarter 3
    0.02590
  • Mean of quarter 4
    0.10595
  • Inter Quartile Range
    0.05069
  • 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
    0.08696
  • Mean of outliers high
    0.16512
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.17053
  • VaR(95%) (moments method)
    0.11270
  • Expected Shortfall (moments method)
    0.14038
  • Extreme Value Index (regression method)
    -0.41191
  • VaR(95%) (regression method)
    0.12636
  • Expected Shortfall (regression method)
    0.14738
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.57176
  • Compounded annual return (geometric extrapolation)
    0.50167
  • Calmar ratio (compounded annual return / max draw down)
    2.91813
  • Compounded annual return / average of 25% largest draw downs
    4.73491
  • Compounded annual return / Expected Shortfall lognormal
    16.75630
  • 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
    0.12448
  • SD
    0.21077
  • Sharpe ratio (Glass type estimate)
    0.59059
  • Sharpe ratio (Hedges UMVUE)
    0.58718
  • df
    130.00000
  • t
    0.41761
  • p
    0.48170
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36224
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18555
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35990
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82936
  • Upside Potential Ratio
    6.54142
  • Upside part of mean
    0.98179
  • Downside part of mean
    -0.85732
  • Upside SD
    0.14702
  • Downside SD
    0.15009
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18664
  • Mean of criterion
    0.12448
  • SD of predictor
    0.14219
  • SD of criterion
    0.21077
  • Covariance
    0.00102
  • r
    0.03399
  • b (slope, estimate of beta)
    0.05039
  • a (intercept, estimate of alpha)
    0.11507
  • Mean Square Error
    0.04472
  • DF error
    129.00000
  • t(b)
    0.38632
  • p(b)
    0.47836
  • t(a)
    0.38353
  • p(a)
    0.47852
  • Lowerbound of 95% confidence interval for beta
    -0.20767
  • Upperbound of 95% confidence interval for beta
    0.30845
  • Lowerbound of 95% confidence interval for alpha
    -0.47856
  • Upperbound of 95% confidence interval for alpha
    0.70871
  • Treynor index (mean / b)
    2.47036
  • Jensen alpha (a)
    0.11507
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10231
  • SD
    0.21144
  • Sharpe ratio (Glass type estimate)
    0.48387
  • Sharpe ratio (Hedges UMVUE)
    0.48107
  • df
    130.00000
  • t
    0.34215
  • p
    0.48500
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.28941
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.29135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25350
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66727
  • Upside Potential Ratio
    6.33368
  • Upside part of mean
    0.97112
  • Downside part of mean
    -0.86881
  • Upside SD
    0.14456
  • Downside SD
    0.15333
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17649
  • Mean of criterion
    0.10231
  • SD of predictor
    0.14256
  • SD of criterion
    0.21144
  • Covariance
    0.00109
  • r
    0.03632
  • b (slope, estimate of beta)
    0.05386
  • a (intercept, estimate of alpha)
    0.09280
  • Mean Square Error
    0.04500
  • DF error
    129.00000
  • t(b)
    0.41275
  • p(b)
    0.47689
  • t(a)
    0.30846
  • p(a)
    0.48272
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.20433
  • Upperbound of 95% confidence interval for beta
    0.31206
  • Lowerbound of 95% confidence interval for alpha
    -0.50247
  • Upperbound of 95% confidence interval for alpha
    0.68807
  • Treynor index (mean / b)
    1.89945
  • Jensen alpha (a)
    0.09280
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02088
  • Expected Shortfall on VaR
    0.02619
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00783
  • Expected Shortfall on VaR
    0.01697
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93824
  • Quartile 1
    0.99777
  • Median
    1.00000
  • Quartile 3
    1.00459
  • Maximum
    1.05003
  • Mean of quarter 1
    0.98754
  • Mean of quarter 2
    0.99971
  • Mean of quarter 3
    1.00157
  • Mean of quarter 4
    1.01354
  • Inter Quartile Range
    0.00683
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97001
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.02972
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56715
  • VaR(95%) (moments method)
    0.01001
  • Expected Shortfall (moments method)
    0.02713
  • Extreme Value Index (regression method)
    0.79642
  • VaR(95%) (regression method)
    0.00869
  • Expected Shortfall (regression method)
    0.04359
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00106
  • Quartile 1
    0.00170
  • Median
    0.00663
  • Quartile 3
    0.03025
  • Maximum
    0.17191
  • Mean of quarter 1
    0.00138
  • Mean of quarter 2
    0.00416
  • Mean of quarter 3
    0.01377
  • Mean of quarter 4
    0.10933
  • Inter Quartile Range
    0.02855
  • 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
    0.14286
  • Mean of outliers high
    0.17191
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -392828000
  • Max Equity Drawdown (num days)
    107
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13455
  • Compounded annual return (geometric extrapolation)
    0.13908
  • Calmar ratio (compounded annual return / max draw down)
    0.80899
  • Compounded annual return / average of 25% largest draw downs
    1.27213
  • Compounded annual return / Expected Shortfall lognormal
    5.30954

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-12-27
Suggested Minimum Capital
$1,860,000
Rank at C2 %
Top 4.9%
Rank # 
#36
# Trades
199
# Profitable
109
% Profitable
54.8%
Correlation S&P500
-0.002
Sharpe Ratio
1.21
Sortino Ratio
1.96
Beta
-0.00
Alpha
0.09
Leverage
0.69 Average
2.30 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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