Collective2 Collective2
Featured Strategy Cryptoverse +51.0% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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oneofthebest
(144211599)

Created by: olatunji_akingbe2 olatunji_akingbe2
Started: 04/2023
Stocks
Last trade: 8 days ago
Trading style: Equity Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $249.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
218.1%
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.

(68.2%)
Max Drawdown
876
Num Trades
83.3%
Win Trades
1.5 : 1
Profit Factor
52.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                     (10.7%)+11.6%+22.1%+34.6%+79.3%+128.0%+7.5%+8.7%(5.8%)+636.3%
2024(26.6%)+35.9%(5.3%)+8.1%(5.1%)(2.1%)  -  (1.5%)(8.8%)+11.2%(5.7%)+11.2%(0.6%)

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 897 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 15 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/25/24 10:27 INTU2420L645 INTU Dec20'24 645 call LONG 2 22.80 12/12 9:58 28.90 2.78%
Trade id #150167762
Max drawdown($2,922)
Time12/3/24 0:00
Quant open2
Worst price8.19
Drawdown as % of equity-2.78%
 $1,217
Includes Typical Broker Commissions trade costs of $2.80
11/27/24 11:43 IDXX2420L470 IDXX Dec20'24 470 call LONG 70 0.70 12/9 10:12 1.60 3.79%
Trade id #150195540
Max drawdown($3,850)
Time12/4/24 0:00
Quant open70
Worst price0.15
Drawdown as % of equity-3.79%
 $6,202
Includes Typical Broker Commissions trade costs of $98.00
12/2/24 12:12 PDD2427L120 PDD Dec27'24 120 call LONG 120 0.39 12/9 10:02 2.64 1.41%
Trade id #150224659
Max drawdown($1,430)
Time12/4/24 0:00
Quant open120
Worst price0.27
Drawdown as % of equity-1.41%
 $26,842
Includes Typical Broker Commissions trade costs of $168.00
11/19/24 11:15 TECS DIREXION DAILY TECHNOLOGY BEAR 3X LONG 100 50.19 12/5 10:33 43.98 0.67%
Trade id #150123214
Max drawdown($676)
Time12/4/24 0:00
Quant open100
Worst price43.43
Drawdown as % of equity-0.67%
 ($623)
Includes Typical Broker Commissions trade costs of $2.00
8/26/24 10:29 VAL VALARIS LTD LONG 78 64.47 12/5 10:32 45.50 1.53%
Trade id #149051186
Max drawdown($1,555)
Time12/4/24 0:00
Quant open78
Worst price44.53
Drawdown as % of equity-1.53%
 ($1,482)
Includes Typical Broker Commissions trade costs of $1.56
8/26/24 10:30 OXM OXFORD INDUSTRIES LONG 54 87.17 12/5 10:31 79.74 0.75%
Trade id #149051254
Max drawdown($806)
Time11/5/24 0:00
Quant open54
Worst price72.24
Drawdown as % of equity-0.75%
 ($402)
Includes Typical Broker Commissions trade costs of $1.08
7/17/24 10:56 CELH CELSIUS HOLDINGS INC. COMMON STOCK LONG 100 50.56 12/5 10:30 28.83 2.49%
Trade id #148670839
Max drawdown($2,533)
Time11/18/24 0:00
Quant open100
Worst price25.23
Drawdown as % of equity-2.49%
 ($2,175)
Includes Typical Broker Commissions trade costs of $2.00
8/23/24 11:56 CHRD CHORD ENERGY CORPORATION COMMON STOCK LONG 34 150.35 12/5 10:30 122.42 0.96%
Trade id #149020850
Max drawdown($979)
Time12/4/24 0:00
Quant open34
Worst price121.54
Drawdown as % of equity-0.96%
 ($951)
Includes Typical Broker Commissions trade costs of $0.68
7/17/24 10:46 EL ESTEE LAUDER COS LONG 50 102.22 12/2 12:47 73.89 1.93%
Trade id #148670760
Max drawdown($1,996)
Time11/12/24 0:00
Quant open50
Worst price62.29
Drawdown as % of equity-1.93%
 ($1,418)
Includes Typical Broker Commissions trade costs of $1.00
11/21/24 9:58 AVGO2420L150 AVGO Dec20'24 150 call LONG 3 17.30 12/2 12:45 19.55 1.38%
Trade id #150141968
Max drawdown($1,470)
Time11/27/24 0:00
Quant open3
Worst price12.40
Drawdown as % of equity-1.38%
 $671
Includes Typical Broker Commissions trade costs of $4.20
11/27/24 11:45 CDW2420L180 CDW Dec20'24 180 call LONG 16 2.95 12/2 12:37 3.70 1.13%
Trade id #150196207
Max drawdown($1,120)
Time12/2/24 9:48
Quant open16
Worst price2.25
Drawdown as % of equity-1.13%
 $1,178
Includes Typical Broker Commissions trade costs of $22.40
11/27/24 11:41 QRVO2420L70 QRVO Dec20'24 70 call LONG 30 1.70 11/29 11:25 2.30 0.45%
Trade id #150195501
Max drawdown($450)
Time11/27/24 12:54
Quant open30
Worst price1.55
Drawdown as % of equity-0.45%
 $1,758
Includes Typical Broker Commissions trade costs of $42.00
11/26/24 15:51 AMAT2420L175 AMAT Dec20'24 175 call LONG 12 4.80 11/29 10:21 7.45 1.74%
Trade id #150189238
Max drawdown($1,848)
Time11/27/24 0:00
Quant open12
Worst price3.26
Drawdown as % of equity-1.74%
 $3,163
Includes Typical Broker Commissions trade costs of $16.80
11/25/24 10:17 GOOGL2420L160 GOOGL Dec20'24 160 call LONG 5 9.95 11/28 9:51 10.45 0.58%
Trade id #150167655
Max drawdown($600)
Time11/25/24 12:42
Quant open5
Worst price8.75
Drawdown as % of equity-0.58%
 $243
Includes Typical Broker Commissions trade costs of $7.00
8/26/24 10:06 WFRD WEATHERFORD INTERNATIONAL PLC LONG 50 110.45 11/27 12:26 82.43 1.6%
Trade id #149050649
Max drawdown($1,672)
Time11/1/24 0:00
Quant open50
Worst price77.00
Drawdown as % of equity-1.60%
 ($1,402)
Includes Typical Broker Commissions trade costs of $1.00
11/26/24 15:48 ACLS2420L80 ACLS Dec20'24 80 call LONG 32 1.65 11/27 12:26 1.10 1.67%
Trade id #150189109
Max drawdown($1,760)
Time11/27/24 11:47
Quant open32
Worst price1.10
Drawdown as % of equity-1.67%
 ($1,805)
Includes Typical Broker Commissions trade costs of $44.80
11/26/24 15:58 CROX2420L110 CROX Dec20'24 110 call LONG 26 1.90 11/27 10:59 2.70 n/a $2,044
Includes Typical Broker Commissions trade costs of $36.40
11/22/24 15:42 LLY2420L800 LLY Dec20'24 800 call LONG 4 13.10 11/26 10:31 22.00 0.08%
Trade id #150156735
Max drawdown($84)
Time11/22/24 15:52
Quant open4
Worst price12.89
Drawdown as % of equity-0.08%
 $3,554
Includes Typical Broker Commissions trade costs of $5.60
11/21/24 10:00 AMZN2420L190 AMZN Dec20'24 190 call LONG 3 13.80 11/26 10:31 17.50 0.89%
Trade id #150141993
Max drawdown($936)
Time11/21/24 12:08
Quant open3
Worst price10.68
Drawdown as % of equity-0.89%
 $1,106
Includes Typical Broker Commissions trade costs of $4.20
11/18/24 11:40 INTC2420L18 INTC Dec20'24 18 call LONG 10 6.60 11/25 9:59 7.05 n/a $436
Includes Typical Broker Commissions trade costs of $14.00
11/18/24 11:45 GFS2420L40 GFS Dec20'24 40 call LONG 20 3.40 11/25 9:59 4.10 1.64%
Trade id #150113166
Max drawdown($1,620)
Time11/20/24 0:00
Quant open20
Worst price2.59
Drawdown as % of equity-1.64%
 $1,372
Includes Typical Broker Commissions trade costs of $28.00
11/22/24 15:39 BG2420L90 BG Dec20'24 90 call LONG 36 1.35 11/25 9:58 1.50 n/a $490
Includes Typical Broker Commissions trade costs of $50.40
11/22/24 14:41 AMZN2420L195 AMZN Dec20'24 195 call LONG 6 7.80 11/25 9:58 9.15 0.14%
Trade id #150156254
Max drawdown($150)
Time11/22/24 15:10
Quant open6
Worst price7.55
Drawdown as % of equity-0.14%
 $802
Includes Typical Broker Commissions trade costs of $8.40
11/18/24 11:43 ELF2420L115 ELF Dec20'24 115 call LONG 5 13.50 11/22 14:35 15.30 3.81%
Trade id #150113028
Max drawdown($3,750)
Time11/20/24 0:00
Quant open5
Worst price6.00
Drawdown as % of equity-3.81%
 $893
Includes Typical Broker Commissions trade costs of $7.00
11/21/24 10:01 SLV2420L28 SLV Dec20'24 28 call LONG 50 0.99 11/22 14:34 1.23 0.38%
Trade id #150142010
Max drawdown($400)
Time11/21/24 12:05
Quant open50
Worst price0.91
Drawdown as % of equity-0.38%
 $1,130
Includes Typical Broker Commissions trade costs of $70.00
11/20/24 15:22 GPC2420L125 GPC Dec20'24 125 call LONG 46 1.10 11/21 13:11 1.25 n/a $626
Includes Typical Broker Commissions trade costs of $64.40
11/20/24 15:57 LNW2420L100 LNW Dec20'24 100 call LONG 58 0.85 11/21 13:10 1.05 n/a $1,079
Includes Typical Broker Commissions trade costs of $81.20
11/18/24 11:53 ADBE2420L500 ADBE Dec20'24 500 call LONG 2 25.10 11/21 13:09 29.90 0.26%
Trade id #150113934
Max drawdown($274)
Time11/21/24 9:45
Quant open2
Worst price23.73
Drawdown as % of equity-0.26%
 $957
Includes Typical Broker Commissions trade costs of $2.80
11/18/24 11:41 MARA2420L15 MARA Dec20'24 15 call LONG 10 6.55 11/20 14:20 8.25 2.68%
Trade id #150113004
Max drawdown($2,620)
Time11/18/24 14:33
Quant open10
Worst price3.93
Drawdown as % of equity-2.68%
 $1,686
Includes Typical Broker Commissions trade costs of $14.00
11/18/24 11:51 VRNT2420L25 VRNT Dec20'24 25 call LONG 50 1.10 11/20 14:19 1.50 n/a $1,930
Includes Typical Broker Commissions trade costs of $70.00
Next

Statistics

  • Strategy began
    4/6/2023
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    624.16
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    876
  • # Profitable
    730
  • % Profitable
    83.30%
  • Avg trade duration
    11.6 days
  • Max peak-to-valley drawdown
    68.2%
  • drawdown period
    June 27, 2023 - July 06, 2023
  • Annual Return (Compounded)
    218.1%
  • Avg win
    $420.60
  • Avg loss
    $1,384
  • Model Account Values (Raw)
  • Cash
    $118,722
  • Margin Used
    $23,316
  • Buying Power
    $70,513
  • Ratios
  • W:L ratio
    1.52:1
  • Sharpe Ratio
    1.38
  • Sortino Ratio
    2.4
  • Calmar Ratio
    6.276
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    586.25%
  • Correlation to SP500
    -0.06990
  • Return Percent SP500 (cumu) during strategy life
    42.92%
  • Return Statistics
  • Ann Return (w trading costs)
    218.1%
  • Slump
  • Current Slump as Pcnt Equity
    38.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.71%
  • 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)
    2.181%
  • Instruments
  • Percent Trades Options
    0.09%
  • Percent Trades Stocks
    0.91%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    236.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    93.50%
  • Chance of 20% account loss
    81.00%
  • Chance of 30% account loss
    76.00%
  • Chance of 40% account loss
    67.00%
  • Chance of 60% account loss (Monte Carlo)
    57.50%
  • Chance of 70% account loss (Monte Carlo)
    30.00%
  • Chance of 80% account loss (Monte Carlo)
    28.50%
  • Chance of 90% account loss (Monte Carlo)
    9.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    60.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    895
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    491
  • Popularity (7 days, Percentile 1000 scale)
    657
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,385
  • Avg Win
    $421
  • Sum Trade PL (losers)
    $202,174.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $307,035.000
  • # Winners
    730
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    -180
  • AUM
  • AUM (AutoTrader live capital)
    85845
  • Win / Loss
  • # Losers
    146
  • % Winners
    83.3%
  • Frequency
  • Avg Position Time (mins)
    16742.30
  • Avg Position Time (hrs)
    279.04
  • Avg Trade Length
    11.6 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    4.92
  • Daily leverage (max)
    105.36
  • Regression
  • Alpha
    0.47
  • Beta
    -0.55
  • Treynor Index
    -0.80
  • 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)
    2.35
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    11.371
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    1.029
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.802
  • Hold-and-Hope Ratio
    0.091
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.72269
  • SD
    1.14105
  • Sharpe ratio (Glass type estimate)
    1.50974
  • Sharpe ratio (Hedges UMVUE)
    1.44921
  • df
    19.00000
  • t
    1.94906
  • p
    0.24754
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09951
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08306
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13735
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03578
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.64420
  • Upside Potential Ratio
    14.46740
  • Upside part of mean
    1.97108
  • Downside part of mean
    -0.24840
  • Upside SD
    1.21063
  • Downside SD
    0.13624
  • N nonnegative terms
    12.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.19231
  • Mean of criterion
    1.72269
  • SD of predictor
    0.08688
  • SD of criterion
    1.14105
  • Covariance
    -0.04827
  • r
    -0.48688
  • b (slope, estimate of beta)
    -6.39432
  • a (intercept, estimate of alpha)
    2.95240
  • Mean Square Error
    1.04854
  • DF error
    18.00000
  • t(b)
    -2.36490
  • p(b)
    0.74344
  • t(a)
    3.11295
  • p(a)
    0.20421
  • Lowerbound of 95% confidence interval for beta
    -12.07490
  • Upperbound of 95% confidence interval for beta
    -0.71375
  • Lowerbound of 95% confidence interval for alpha
    0.95983
  • Upperbound of 95% confidence interval for alpha
    4.94497
  • Treynor index (mean / b)
    -0.26941
  • Jensen alpha (a)
    2.95240
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.25189
  • SD
    0.80698
  • Sharpe ratio (Glass type estimate)
    1.55132
  • Sharpe ratio (Hedges UMVUE)
    1.48913
  • df
    19.00000
  • t
    2.00274
  • p
    0.24215
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06232
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12823
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10117
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07942
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.80745
  • Upside Potential Ratio
    10.61990
  • Upside part of mean
    1.50951
  • Downside part of mean
    -0.25762
  • Upside SD
    0.85385
  • Downside SD
    0.14214
  • N nonnegative terms
    12.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.18690
  • Mean of criterion
    1.25189
  • SD of predictor
    0.08517
  • SD of criterion
    0.80698
  • Covariance
    -0.03464
  • r
    -0.50406
  • b (slope, estimate of beta)
    -4.77618
  • a (intercept, estimate of alpha)
    2.14456
  • Mean Square Error
    0.51275
  • DF error
    18.00000
  • t(b)
    -2.47612
  • p(b)
    0.75203
  • t(a)
    3.24183
  • p(a)
    0.19642
  • Lowerbound of 95% confidence interval for beta
    -8.82864
  • Upperbound of 95% confidence interval for beta
    -0.72372
  • Lowerbound of 95% confidence interval for alpha
    0.75474
  • Upperbound of 95% confidence interval for alpha
    3.53437
  • Treynor index (mean / b)
    -0.26211
  • Jensen alpha (a)
    2.14456
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24335
  • Expected Shortfall on VaR
    0.31106
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04173
  • Expected Shortfall on VaR
    0.08104
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.89244
  • Quartile 1
    0.96358
  • Median
    1.03717
  • Quartile 3
    1.16803
  • Maximum
    2.25724
  • Mean of quarter 1
    0.92920
  • Mean of quarter 2
    0.99962
  • Mean of quarter 3
    1.07153
  • Mean of quarter 4
    1.58319
  • Inter Quartile Range
    0.20446
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    1.82356
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21763
  • VaR(95%) (moments method)
    0.07744
  • Expected Shortfall (moments method)
    0.09354
  • Extreme Value Index (regression method)
    0.29909
  • VaR(95%) (regression method)
    0.08412
  • Expected Shortfall (regression method)
    0.12807
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.10756
  • Quartile 1
    0.11529
  • Median
    0.12301
  • Quartile 3
    0.13074
  • Maximum
    0.13847
  • Mean of quarter 1
    0.10756
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13847
  • Inter Quartile Range
    0.01545
  • 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)
    4.46404
  • Compounded annual return (geometric extrapolation)
    2.59590
  • Calmar ratio (compounded annual return / max draw down)
    18.74740
  • Compounded annual return / average of 25% largest draw downs
    18.74740
  • Compounded annual return / Expected Shortfall lognormal
    8.34529
  • 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
    1.59847
  • SD
    0.88876
  • Sharpe ratio (Glass type estimate)
    1.79853
  • Sharpe ratio (Hedges UMVUE)
    1.79544
  • df
    437.00000
  • t
    2.32544
  • p
    0.01025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27697
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31807
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27491
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31598
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14673
  • Upside Potential Ratio
    9.12110
  • Upside part of mean
    4.63332
  • Downside part of mean
    -3.03485
  • Upside SD
    0.73472
  • Downside SD
    0.50798
  • N nonnegative terms
    227.00000
  • N negative terms
    211.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    438.00000
  • Mean of predictor
    0.19343
  • Mean of criterion
    1.59847
  • SD of predictor
    0.12348
  • SD of criterion
    0.88876
  • Covariance
    -0.00811
  • r
    -0.07387
  • b (slope, estimate of beta)
    -0.53168
  • a (intercept, estimate of alpha)
    1.70100
  • Mean Square Error
    0.78739
  • DF error
    436.00000
  • t(b)
    -1.54658
  • p(b)
    0.93866
  • t(a)
    2.46743
  • p(a)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    -1.20734
  • Upperbound of 95% confidence interval for beta
    0.14399
  • Lowerbound of 95% confidence interval for alpha
    0.34614
  • Upperbound of 95% confidence interval for alpha
    3.05648
  • Treynor index (mean / b)
    -3.00648
  • Jensen alpha (a)
    1.70131
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.21896
  • SD
    0.86173
  • Sharpe ratio (Glass type estimate)
    1.41455
  • Sharpe ratio (Hedges UMVUE)
    1.41212
  • df
    437.00000
  • t
    1.82896
  • p
    0.03404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10501
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.93252
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10663
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93088
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18721
  • Upside Potential Ratio
    7.89376
  • Upside part of mean
    4.39927
  • Downside part of mean
    -3.18032
  • Upside SD
    0.66027
  • Downside SD
    0.55731
  • N nonnegative terms
    227.00000
  • N negative terms
    211.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    438.00000
  • Mean of predictor
    0.18573
  • Mean of criterion
    1.21896
  • SD of predictor
    0.12353
  • SD of criterion
    0.86173
  • Covariance
    -0.00657
  • r
    -0.06168
  • b (slope, estimate of beta)
    -0.43026
  • a (intercept, estimate of alpha)
    1.29887
  • Mean Square Error
    0.74144
  • DF error
    436.00000
  • t(b)
    -1.29037
  • p(b)
    0.90120
  • t(a)
    1.94197
  • p(a)
    0.02639
  • Lowerbound of 95% confidence interval for beta
    -1.08561
  • Upperbound of 95% confidence interval for beta
    0.22509
  • Lowerbound of 95% confidence interval for alpha
    -0.01568
  • Upperbound of 95% confidence interval for alpha
    2.61342
  • Treynor index (mean / b)
    -2.83308
  • Jensen alpha (a)
    1.29887
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07957
  • Expected Shortfall on VaR
    0.09965
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02541
  • Expected Shortfall on VaR
    0.05549
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    438.00000
  • Minimum
    0.70520
  • Quartile 1
    0.98946
  • Median
    1.00103
  • Quartile 3
    1.01823
  • Maximum
    1.49306
  • Mean of quarter 1
    0.95832
  • Mean of quarter 2
    0.99577
  • Mean of quarter 3
    1.00774
  • Mean of quarter 4
    1.06292
  • Inter Quartile Range
    0.02877
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.05251
  • Mean of outliers low
    0.88746
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.07763
  • Mean of outliers high
    1.12461
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59727
  • VaR(95%) (moments method)
    0.03983
  • Expected Shortfall (moments method)
    0.11022
  • Extreme Value Index (regression method)
    0.54737
  • VaR(95%) (regression method)
    0.03294
  • Expected Shortfall (regression method)
    0.07909
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00068
  • Quartile 1
    0.01096
  • Median
    0.03826
  • Quartile 3
    0.23336
  • Maximum
    0.39505
  • Mean of quarter 1
    0.00623
  • Mean of quarter 2
    0.02477
  • Mean of quarter 3
    0.12406
  • Mean of quarter 4
    0.32339
  • Inter Quartile Range
    0.22240
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.32169
  • VaR(95%) (moments method)
    0.34160
  • Expected Shortfall (moments method)
    0.34163
  • Extreme Value Index (regression method)
    -0.66401
  • VaR(95%) (regression method)
    0.31839
  • Expected Shortfall (regression method)
    0.33179
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.21124
  • Compounded annual return (geometric extrapolation)
    2.47941
  • Calmar ratio (compounded annual return / max draw down)
    6.27624
  • Compounded annual return / average of 25% largest draw downs
    7.66687
  • Compounded annual return / Expected Shortfall lognormal
    24.88210
  • 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
    0.22786
  • SD
    0.57676
  • Sharpe ratio (Glass type estimate)
    0.39506
  • Sharpe ratio (Hedges UMVUE)
    0.39278
  • df
    130.00000
  • t
    0.27935
  • p
    0.48775
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16656
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37944
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16499
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02824
  • Upside Potential Ratio
    9.94800
  • Upside part of mean
    2.20447
  • Downside part of mean
    -1.97661
  • Upside SD
    0.53029
  • Downside SD
    0.22160
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11593
  • Mean of criterion
    0.22786
  • SD of predictor
    0.14078
  • SD of criterion
    0.57676
  • Covariance
    0.00029
  • r
    0.00361
  • b (slope, estimate of beta)
    0.01478
  • a (intercept, estimate of alpha)
    0.22614
  • Mean Square Error
    0.33523
  • DF error
    129.00000
  • t(b)
    0.04098
  • p(b)
    0.49770
  • t(a)
    0.27582
  • p(a)
    0.48455
  • Lowerbound of 95% confidence interval for beta
    -0.69891
  • Upperbound of 95% confidence interval for beta
    0.72848
  • Lowerbound of 95% confidence interval for alpha
    -1.39602
  • Upperbound of 95% confidence interval for alpha
    1.84831
  • Treynor index (mean / b)
    15.41390
  • Jensen alpha (a)
    0.22614
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08495
  • SD
    0.51843
  • Sharpe ratio (Glass type estimate)
    0.16385
  • Sharpe ratio (Hedges UMVUE)
    0.16290
  • df
    130.00000
  • t
    0.11586
  • p
    0.49492
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.60827
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.93549
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.60897
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93478
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.37671
  • Upside Potential Ratio
    9.25293
  • Upside part of mean
    2.08647
  • Downside part of mean
    -2.00153
  • Upside SD
    0.46465
  • Downside SD
    0.22549
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10603
  • Mean of criterion
    0.08495
  • SD of predictor
    0.14113
  • SD of criterion
    0.51843
  • Covariance
    0.00102
  • r
    0.01387
  • b (slope, estimate of beta)
    0.05097
  • a (intercept, estimate of alpha)
    0.07954
  • Mean Square Error
    0.27080
  • DF error
    129.00000
  • t(b)
    0.15760
  • p(b)
    0.49117
  • t(a)
    0.10797
  • p(a)
    0.49395
  • VAR (95 Confidence Intrvl)
    0.08000
  • Lowerbound of 95% confidence interval for beta
    -0.58888
  • Upperbound of 95% confidence interval for beta
    0.69081
  • Lowerbound of 95% confidence interval for alpha
    -1.37811
  • Upperbound of 95% confidence interval for alpha
    1.53719
  • Treynor index (mean / b)
    1.66671
  • Jensen alpha (a)
    0.07954
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05101
  • Expected Shortfall on VaR
    0.06356
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01826
  • Expected Shortfall on VaR
    0.03297
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93996
  • Quartile 1
    0.98779
  • Median
    0.99864
  • Quartile 3
    1.00813
  • Maximum
    1.34818
  • Mean of quarter 1
    0.97601
  • Mean of quarter 2
    0.99438
  • Mean of quarter 3
    1.00299
  • Mean of quarter 4
    1.03058
  • Inter Quartile Range
    0.02034
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.94619
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.10939
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.20220
  • VaR(95%) (moments method)
    0.02456
  • Expected Shortfall (moments method)
    0.02991
  • Extreme Value Index (regression method)
    0.10763
  • VaR(95%) (regression method)
    0.02449
  • Expected Shortfall (regression method)
    0.03356
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.08012
  • Quartile 1
    0.08224
  • Median
    0.12387
  • Quartile 3
    0.12968
  • Maximum
    0.13389
  • Mean of quarter 1
    0.08118
  • Mean of quarter 2
    0.12387
  • Mean of quarter 3
    0.12968
  • Mean of quarter 4
    0.13389
  • Inter Quartile Range
    0.04743
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -422596000
  • Max Equity Drawdown (num days)
    9
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11610
  • Compounded annual return (geometric extrapolation)
    0.11947
  • Calmar ratio (compounded annual return / max draw down)
    0.89226
  • Compounded annual return / average of 25% largest draw downs
    0.89226
  • Compounded annual return / Expected Shortfall lognormal
    1.87955

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-04-06
Suggested Minimum Capital
$100,000
# Trades
876
# Profitable
730
% Profitable
83.3%
Net Dividends
($179)
Correlation S&P500
-0.070
Sharpe Ratio
1.38
Sortino Ratio
2.40
Beta
-0.55
Alpha
0.47
Leverage
4.92 Average
105.36 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.