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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AUTOTRADERKEVINTRADES
(149395150)

Created by: KEVINTRADES KEVINTRADES
Started: 09/2024
Options
Last trade: 8 days ago

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 $25.00 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.

18.4%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(5.6%)
Max Drawdown
99
Num Trades
38.4%
Win Trades
2.2 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                                        +2.5%+8.8%(2.1%)+8.5%+18.4%

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 156 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 29 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/23/24 9:35 TSLA TESLA INC. LONG 100 340.00 12/12 9:31 424.84 1.24%
Trade id #150158616
Max drawdown($1,341)
Time11/27/24 0:00
Quant open100
Worst price326.59
Drawdown as % of equity-1.24%
 $8,482
Includes Typical Broker Commissions trade costs of $2.00
11/23/24 9:35 BA BOEING LONG 100 146.00 12/12 9:31 168.23 n/a $2,221
Includes Typical Broker Commissions trade costs of $2.00
11/19/24 10:14 TSLA2422K340 TSLA Nov22'24 340 call LONG 1 10.65 11/23 9:35 0.00 0.76%
Trade id #150122343
Max drawdown($824)
Time11/22/24 0:00
Quant open1
Worst price2.41
Drawdown as % of equity-0.76%
 ($1,067)
Includes Typical Broker Commissions trade costs of $1.00
11/20/24 15:58 BA2422K146 BA Nov22'24 146 call LONG 1 1.74 11/23 9:35 0.00 0.16%
Trade id #150136691
Max drawdown($170)
Time11/22/24 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-0.16%
 ($175)
Includes Typical Broker Commissions trade costs of $1.00
11/20/24 15:33 AMZN2422K200 AMZN Nov22'24 200 call LONG 1 3.75 11/23 9:35 0.00 0.34%
Trade id #150136226
Max drawdown($373)
Time11/22/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.34%
 ($376)
Includes Typical Broker Commissions trade costs of $1.00
11/20/24 15:59 NVDA2422K150 NVDA Nov22'24 150 call LONG 2 4.49 11/23 9:35 0.00 0.83%
Trade id #150136733
Max drawdown($896)
Time11/22/24 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-0.83%
 ($900)
Includes Typical Broker Commissions trade costs of $2.00
11/18/24 14:33 SPY2421K587 SPY Nov21'24 587 call LONG 4 3.47 11/19 12:00 4.14 0.24%
Trade id #150115628
Max drawdown($258)
Time11/19/24 9:51
Quant open2
Worst price2.39
Drawdown as % of equity-0.24%
 $263
Includes Typical Broker Commissions trade costs of $6.20
11/19/24 10:25 SPY2419K585 SPY Nov19'24 585 call LONG 1 1.66 11/19 11:48 4.00 0.01%
Trade id #150122468
Max drawdown($11)
Time11/19/24 10:28
Quant open1
Worst price1.55
Drawdown as % of equity-0.01%
 $232
Includes Typical Broker Commissions trade costs of $2.00
11/15/24 10:58 AAPL2422K230 AAPL Nov22'24 230 call LONG 5 1.16 11/18 13:37 1.85 0.03%
Trade id #150096796
Max drawdown($37)
Time11/15/24 14:31
Quant open3
Worst price0.64
Drawdown as % of equity-0.03%
 $337
Includes Typical Broker Commissions trade costs of $8.50
11/14/24 11:47 META2415K582.5 META Nov15'24 582.5 call LONG 3 2.76 11/15 10:58 0.02 0.75%
Trade id #150087873
Max drawdown($822)
Time11/15/24 10:55
Quant open3
Worst price0.02
Drawdown as % of equity-0.75%
 ($827)
Includes Typical Broker Commissions trade costs of $5.10
11/14/24 12:20 AMZN2415K212.5 AMZN Nov15'24 212.5 call LONG 9 1.60 11/15 10:58 0.02 1.3%
Trade id #150088222
Max drawdown($1,421)
Time11/15/24 10:31
Quant open9
Worst price0.02
Drawdown as % of equity-1.30%
 ($1,434)
Includes Typical Broker Commissions trade costs of $12.90
11/14/24 12:20 SPY2414K594 SPY Nov14'24 594 call LONG 6 1.51 11/15 8:05 0.00 0.8%
Trade id #150088214
Max drawdown($890)
Time11/14/24 15:58
Quant open6
Worst price0.03
Drawdown as % of equity-0.80%
 ($914)
Includes Typical Broker Commissions trade costs of $5.10
11/14/24 9:49 AMZN2415W212.5 AMZN Nov15'24 212.5 put LONG 1 1.48 11/14 11:47 1.33 0.03%
Trade id #150085595
Max drawdown($35)
Time11/14/24 10:53
Quant open1
Worst price1.13
Drawdown as % of equity-0.03%
 ($17)
Includes Typical Broker Commissions trade costs of $2.00
11/13/24 9:33 AMZN2415K210 AMZN Nov15'24 210 call LONG 6 2.30 11/14 9:41 4.72 0.23%
Trade id #150074480
Max drawdown($255)
Time11/13/24 10:08
Quant open6
Worst price1.87
Drawdown as % of equity-0.23%
 $1,445
Includes Typical Broker Commissions trade costs of $8.40
11/13/24 9:35 SPY2415K597 SPY Nov15'24 597 call LONG 5 2.90 11/14 9:39 1.94 0.53%
Trade id #150074528
Max drawdown($589)
Time11/13/24 10:07
Quant open5
Worst price1.72
Drawdown as % of equity-0.53%
 ($485)
Includes Typical Broker Commissions trade costs of $7.00
11/11/24 11:02 SNAP2415K12 SNAP Nov15'24 12 call LONG 16 0.39 11/11 15:27 0.29 0.17%
Trade id #150055449
Max drawdown($190)
Time11/11/24 14:03
Quant open16
Worst price0.27
Drawdown as % of equity-0.17%
 ($180)
Includes Typical Broker Commissions trade costs of $22.40
11/11/24 12:49 TSLA2415W335 TSLA Nov15'24 335 put LONG 1 12.15 11/11 15:27 9.71 0.26%
Trade id #150057704
Max drawdown($291)
Time11/11/24 14:35
Quant open1
Worst price9.24
Drawdown as % of equity-0.26%
 ($246)
Includes Typical Broker Commissions trade costs of $2.00
11/11/24 11:03 TSLA2415K350 TSLA Nov15'24 350 call LONG 1 15.44 11/11 12:47 10.62 0.43%
Trade id #150055499
Max drawdown($488)
Time11/11/24 12:47
Quant open1
Worst price10.55
Drawdown as % of equity-0.43%
 ($484)
Includes Typical Broker Commissions trade costs of $2.00
11/8/24 10:35 AMZN2415K207.5 AMZN Nov15'24 207.5 call LONG 1 3.35 11/11 12:46 1.86 0.14%
Trade id #150039734
Max drawdown($159)
Time11/11/24 12:24
Quant open1
Worst price1.75
Drawdown as % of equity-0.14%
 ($151)
Includes Typical Broker Commissions trade costs of $2.00
11/8/24 10:32 AMZN2408K207.5 AMZN Nov8'24 207.5 call LONG 3 1.57 11/8 15:12 1.00 0.2%
Trade id #150039697
Max drawdown($220)
Time11/8/24 15:03
Quant open3
Worst price0.83
Drawdown as % of equity-0.20%
 ($175)
Includes Typical Broker Commissions trade costs of $5.10
11/4/24 12:30 ROKU2408K68 ROKU Nov8'24 68 call LONG 1 1.79 11/8 10:32 3.27 0.06%
Trade id #149961572
Max drawdown($66)
Time11/4/24 15:28
Quant open1
Worst price1.12
Drawdown as % of equity-0.06%
 $146
Includes Typical Broker Commissions trade costs of $2.00
11/4/24 12:27 ROKU2408K67 ROKU Nov8'24 67 call LONG 1 2.31 11/8 10:32 4.38 0.07%
Trade id #149961527
Max drawdown($76)
Time11/4/24 15:40
Quant open1
Worst price1.55
Drawdown as % of equity-0.07%
 $205
Includes Typical Broker Commissions trade costs of $2.00
11/1/24 11:10 META2408K570 META Nov8'24 570 call LONG 1 13.41 11/7 11:27 20.85 1%
Trade id #149931192
Max drawdown($1,115)
Time11/6/24 0:00
Quant open1
Worst price2.25
Drawdown as % of equity-1.00%
 $743
Includes Typical Broker Commissions trade costs of $2.00
10/28/24 12:29 AAPL2401K235 AAPL Nov1'24 235 call LONG 2 4.05 11/1 11:23 0.01 0.72%
Trade id #149866593
Max drawdown($807)
Time11/1/24 9:30
Quant open2
Worst price0.01
Drawdown as % of equity-0.72%
 ($811)
Includes Typical Broker Commissions trade costs of $2.80
10/29/24 11:39 AMZN2401K190 AMZN Nov1'24 190 call LONG 1 6.23 11/1 11:09 9.39 0.18%
Trade id #149881165
Max drawdown($198)
Time10/31/24 0:00
Quant open1
Worst price4.24
Drawdown as % of equity-0.18%
 $314
Includes Typical Broker Commissions trade costs of $2.00
10/23/24 12:27 AAPL2425J227.5 AAPL Oct25'24 227.5 call LONG 2 3.26 10/24 12:37 2.73 0.21%
Trade id #149808998
Max drawdown($225)
Time10/24/24 9:48
Quant open2
Worst price2.13
Drawdown as % of equity-0.21%
 ($108)
Includes Typical Broker Commissions trade costs of $3.40
10/21/24 15:41 TSLA2425J222.5 TSLA Oct25'24 222.5 call LONG 1 5.69 10/24 12:37 32.39 0.14%
Trade id #149754395
Max drawdown($154)
Time10/23/24 0:00
Quant open1
Worst price4.15
Drawdown as % of equity-0.14%
 $2,668
Includes Typical Broker Commissions trade costs of $2.00
10/12/24 9:35 AAPL APPLE LONG 200 222.50 10/21 15:40 236.02 n/a $2,700
Includes Typical Broker Commissions trade costs of $4.00
10/8/24 13:57 SPY2411J580 SPY Oct11'24 580 call LONG 3 0.57 10/12 9:35 0.00 0.15%
Trade id #149608687
Max drawdown($168)
Time10/11/24 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.15%
 ($174)
Includes Typical Broker Commissions trade costs of $3.00
10/8/24 13:32 AAPL2411J222.5 AAPL Oct11'24 222.5 call LONG 2 3.70 10/12 9:35 0.00 0.02%
Trade id #149608488
Max drawdown($19)
Time10/8/24 13:44
Quant open2
Worst price3.60
Drawdown as % of equity-0.02%
 ($742)
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    9/14/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    96.82
  • Age
    97 days ago
  • What it trades
    Options
  • # Trades
    99
  • # Profitable
    38
  • % Profitable
    38.40%
  • Avg trade duration
    1.3 days
  • Max peak-to-valley drawdown
    5.56%
  • drawdown period
    Nov 13, 2024 - Nov 27, 2024
  • Cumul. Return
    18.4%
  • Avg win
    $939.37
  • Avg loss
    $271.85
  • Model Account Values (Raw)
  • Cash
    $119,116
  • Margin Used
    $0
  • Buying Power
    $119,116
  • Ratios
  • W:L ratio
    2.15:1
  • Sharpe Ratio
    3.7
  • Sortino Ratio
    8.14
  • Calmar Ratio
    20.508
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    12.27%
  • Correlation to SP500
    0.18580
  • Return Percent SP500 (cumu) during strategy life
    4.28%
  • Return Statistics
  • Ann Return (w trading costs)
    85.6%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.184%
  • Instruments
  • Percent Trades Options
    0.87%
  • Percent Trades Stocks
    0.04%
  • Percent Trades Forex
    0.09%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    92.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    520
  • Popularity (Last 6 weeks)
    995
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    927
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $272
  • Avg Win
    $939
  • Sum Trade PL (losers)
    $16,583.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $35,696.000
  • # Winners
    38
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    4386810
  • Win / Loss
  • # Losers
    61
  • % Winners
    38.4%
  • Frequency
  • Avg Position Time (mins)
    1868.15
  • Avg Position Time (hrs)
    31.14
  • Avg Trade Length
    1.3 days
  • Last Trade Ago
    8
  • Leverage
  • Daily leverage (average)
    5.61
  • Daily leverage (max)
    214.58
  • Regression
  • Alpha
    0.16
  • Beta
    0.21
  • Treynor Index
    0.81
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.94
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    16.616
  • 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
    0.272
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.117
  • Hold-and-Hope Ratio
    0.060
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69895
  • SD
    0.16140
  • Sharpe ratio (Glass type estimate)
    4.33043
  • Sharpe ratio (Hedges UMVUE)
    2.44318
  • df
    2.00000
  • t
    2.16522
  • p
    0.08138
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.69208
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15011
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.03648
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.69895
  • Downside part of mean
    0.00000
  • Upside SD
    0.24099
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.26265
  • Mean of criterion
    0.69895
  • SD of predictor
    0.05928
  • SD of criterion
    0.16140
  • Covariance
    0.00954
  • r
    0.99674
  • b (slope, estimate of beta)
    2.71407
  • a (intercept, estimate of alpha)
    -0.01390
  • Mean Square Error
    0.00034
  • DF error
    1.00000
  • t(b)
    12.35080
  • p(b)
    0.02572
  • t(a)
    -0.20305
  • p(a)
    0.56376
  • Lowerbound of 95% confidence interval for beta
    -0.07811
  • Upperbound of 95% confidence interval for beta
    5.50626
  • Lowerbound of 95% confidence interval for alpha
    -0.88394
  • Upperbound of 95% confidence interval for alpha
    0.85613
  • Treynor index (mean / b)
    0.25753
  • Jensen alpha (a)
    -0.01390
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66996
  • SD
    0.15411
  • Sharpe ratio (Glass type estimate)
    4.34725
  • Sharpe ratio (Hedges UMVUE)
    2.45267
  • df
    2.00000
  • t
    2.17362
  • p
    0.08090
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39100
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.72015
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.14548
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.05082
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.66996
  • Downside part of mean
    0.00000
  • Upside SD
    0.23073
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.25810
  • Mean of criterion
    0.66996
  • SD of predictor
    0.05811
  • SD of criterion
    0.15411
  • Covariance
    0.00893
  • r
    0.99662
  • b (slope, estimate of beta)
    2.64294
  • a (intercept, estimate of alpha)
    -0.01217
  • Mean Square Error
    0.00032
  • DF error
    1.00000
  • t(b)
    12.12840
  • p(b)
    0.02619
  • t(a)
    -0.18252
  • p(a)
    0.55747
  • Lowerbound of 95% confidence interval for beta
    -0.12591
  • Upperbound of 95% confidence interval for beta
    5.41179
  • Lowerbound of 95% confidence interval for alpha
    -0.85942
  • Upperbound of 95% confidence interval for alpha
    0.83508
  • Treynor index (mean / b)
    0.25349
  • Jensen alpha (a)
    -0.01217
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01720
  • Expected Shortfall on VaR
    0.03517
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.00710
  • Quartile 1
    1.04463
  • Median
    1.08217
  • Quartile 3
    1.08731
  • Maximum
    1.09245
  • Mean of quarter 1
    1.00710
  • Mean of quarter 2
    1.08217
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.09245
  • Inter Quartile Range
    0.04268
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.76245
  • Compounded annual return (geometric extrapolation)
    1.00947
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    28.70450
  • 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
    0.64394
  • SD
    0.13202
  • Sharpe ratio (Glass type estimate)
    4.87768
  • Sharpe ratio (Hedges UMVUE)
    4.82369
  • df
    68.00000
  • t
    2.50315
  • p
    0.00736
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.95473
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.76643
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91938
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.72799
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.53390
  • Upside Potential Ratio
    17.21910
  • Upside part of mean
    1.05260
  • Downside part of mean
    -0.40866
  • Upside SD
    0.12256
  • Downside SD
    0.06113
  • N nonnegative terms
    36.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    69.00000
  • Mean of predictor
    0.20072
  • Mean of criterion
    0.64394
  • SD of predictor
    0.12466
  • SD of criterion
    0.13202
  • Covariance
    0.00179
  • r
    0.10903
  • b (slope, estimate of beta)
    0.11546
  • a (intercept, estimate of alpha)
    0.62100
  • Mean Square Error
    0.01748
  • DF error
    67.00000
  • t(b)
    0.89778
  • p(b)
    0.18626
  • t(a)
    2.39761
  • p(a)
    0.00965
  • Lowerbound of 95% confidence interval for beta
    -0.14124
  • Upperbound of 95% confidence interval for beta
    0.37217
  • Lowerbound of 95% confidence interval for alpha
    0.10398
  • Upperbound of 95% confidence interval for alpha
    1.13754
  • Treynor index (mean / b)
    5.57697
  • Jensen alpha (a)
    0.62076
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63457
  • SD
    0.13130
  • Sharpe ratio (Glass type estimate)
    4.83279
  • Sharpe ratio (Hedges UMVUE)
    4.77929
  • df
    68.00000
  • t
    2.48011
  • p
    0.00781
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.91153
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.72020
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87652
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.68205
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.30600
  • Upside Potential Ratio
    16.97310
  • Upside part of mean
    1.04507
  • Downside part of mean
    -0.41051
  • Upside SD
    0.12140
  • Downside SD
    0.06157
  • N nonnegative terms
    36.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    69.00000
  • Mean of predictor
    0.19296
  • Mean of criterion
    0.63457
  • SD of predictor
    0.12481
  • SD of criterion
    0.13130
  • Covariance
    0.00182
  • r
    0.11127
  • b (slope, estimate of beta)
    0.11706
  • a (intercept, estimate of alpha)
    0.61198
  • Mean Square Error
    0.01728
  • DF error
    67.00000
  • t(b)
    0.91650
  • p(b)
    0.18135
  • t(a)
    2.37803
  • p(a)
    0.01013
  • Lowerbound of 95% confidence interval for beta
    -0.13789
  • Upperbound of 95% confidence interval for beta
    0.37201
  • Lowerbound of 95% confidence interval for alpha
    0.09831
  • Upperbound of 95% confidence interval for alpha
    1.12564
  • Treynor index (mean / b)
    5.42064
  • Jensen alpha (a)
    0.61198
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01086
  • Expected Shortfall on VaR
    0.01420
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00344
  • Expected Shortfall on VaR
    0.00726
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    69.00000
  • Minimum
    0.97821
  • Quartile 1
    0.99919
  • Median
    1.00045
  • Quartile 3
    1.00559
  • Maximum
    1.02900
  • Mean of quarter 1
    0.99442
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00306
  • Mean of quarter 4
    1.01343
  • Inter Quartile Range
    0.00640
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02899
  • Mean of outliers low
    0.98325
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.07246
  • Mean of outliers high
    1.02235
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.98664
  • VaR(95%) (moments method)
    0.00305
  • Expected Shortfall (moments method)
    0.00334
  • Extreme Value Index (regression method)
    0.04151
  • VaR(95%) (regression method)
    0.00620
  • Expected Shortfall (regression method)
    0.00975
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00113
  • Median
    0.00385
  • Quartile 3
    0.00642
  • Maximum
    0.04582
  • Mean of quarter 1
    0.00081
  • Mean of quarter 2
    0.00287
  • Mean of quarter 3
    0.00580
  • Mean of quarter 4
    0.02827
  • Inter Quartile Range
    0.00529
  • 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
    0.11111
  • Mean of outliers high
    0.04582
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.28464
  • VaR(95%) (moments method)
    0.02120
  • Expected Shortfall (moments method)
    0.03820
  • Extreme Value Index (regression method)
    2.03011
  • VaR(95%) (regression method)
    0.07518
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.72377
  • Compounded annual return (geometric extrapolation)
    0.93958
  • Calmar ratio (compounded annual return / max draw down)
    20.50780
  • Compounded annual return / average of 25% largest draw downs
    33.24000
  • Compounded annual return / Expected Shortfall lognormal
    66.14750
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01100
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -350990000
  • Max Equity Drawdown (num days)
    14

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-09-14
Suggested Minimum Capital
$35,000
# Trades
99
# Profitable
38
% Profitable
38.4%
Correlation S&P500
0.186
Sharpe Ratio
3.70
Sortino Ratio
8.14
Beta
0.21
Alpha
0.16
Leverage
5.61 Average
214.58 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.