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

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AlgoTrade 2021
(133631204)

Created by: IvaViz IvaViz
Started: 01/2021
Stocks
Last trade: 561 days ago
Trading style: Equity Momentum Short-term Reversal

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 $99.00 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).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
18.2%
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.

(32.0%)
Max Drawdown
4796
Num Trades
67.6%
Win Trades
1.3 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021+0.9%+3.3%+5.3%+9.9%+1.1%(10.8%)+19.9%(3.3%)+10.1%(3.8%)+7.7%+1.5%+46.2%
2022+12.8%+1.1%+1.3%+7.7%+2.0%+3.7%(4.9%)(1.1%)+9.3%(5.5%)(1%)(2.8%)+23.0%
2023+3.5%+5.9%+4.1%(13.4%)+19.5%(3.4%)(5.2%)+10.1%+6.1%+8.5%(6.2%)(7%)+19.6%
2024(1.1%)(5.1%)(0.8%)+8.9%+1.0%+1.2%+0.7%(1.1%)+0.2%+0.9%(14.8%)+0.3%(10.8%)

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 275 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
6/5/23 10:41 NFE NEW FORTRESS ENERGY LLC SHORT 20 29.74 6/9 14:36 29.35 0.07%
Trade id #144833650
Max drawdown($36)
Time6/7/23 0:00
Quant open20
Worst price31.57
Drawdown as % of equity-0.07%
 $8
Includes Typical Broker Commissions trade costs of $0.40
6/2/23 10:01 CC CHEMOURS CO SHORT 16 32.20 6/9 14:36 31.83 0.11%
Trade id #144813416
Max drawdown($58)
Time6/5/23 0:00
Quant open16
Worst price35.85
Drawdown as % of equity-0.11%
 $6
Includes Typical Broker Commissions trade costs of $0.32
6/1/23 15:54 NET CLOUDFLARE INC SHORT 10 69.67 6/9 14:35 63.66 0.04%
Trade id #144806946
Max drawdown($23)
Time6/2/23 0:00
Quant open10
Worst price72.00
Drawdown as % of equity-0.04%
 $60
Includes Typical Broker Commissions trade costs of $0.20
6/2/23 13:48 NNOX NANO-X IMAGING LTD ORDINARY SHARES SHORT 25 20.60 6/9 14:35 18.89 0.1%
Trade id #144817213
Max drawdown($52)
Time6/5/23 0:00
Quant open25
Worst price22.69
Drawdown as % of equity-0.10%
 $43
Includes Typical Broker Commissions trade costs of $0.50
6/2/23 13:55 GRPN GROUPON INC SHORT 90 5.80 6/9 14:35 5.29 0.09%
Trade id #144817245
Max drawdown($47)
Time6/7/23 0:00
Quant open90
Worst price6.33
Drawdown as % of equity-0.09%
 $44
Includes Typical Broker Commissions trade costs of $1.80
6/2/23 10:02 TTD THE TRADE DESK INC. CLASS A SHORT 8 76.42 6/8 15:21 74.14 0.02%
Trade id #144813448
Max drawdown($9)
Time6/2/23 11:05
Quant open8
Worst price77.55
Drawdown as % of equity-0.02%
 $18
Includes Typical Broker Commissions trade costs of $0.16
6/1/23 15:53 CRDO CREDO TECHNOLOGY GROUP HOLDING LTD SHORT 40 16.66 6/8 15:21 16.04 0.03%
Trade id #144806933
Max drawdown($16)
Time6/2/23 0:00
Quant open40
Worst price17.06
Drawdown as % of equity-0.03%
 $24
Includes Typical Broker Commissions trade costs of $0.80
6/1/23 15:54 RNG RINGCENTRAL INC. SHORT 15 35.57 6/8 15:20 33.76 0.03%
Trade id #144806959
Max drawdown($15)
Time6/2/23 0:00
Quant open15
Worst price36.61
Drawdown as % of equity-0.03%
 $27
Includes Typical Broker Commissions trade costs of $0.30
6/6/23 11:00 HQY HEALTHEQUITY INC. COMMON STOC SHORT 10 66.69 6/8 15:20 63.52 0.01%
Trade id #144846665
Max drawdown($4)
Time6/6/23 12:00
Quant open10
Worst price67.18
Drawdown as % of equity-0.01%
 $32
Includes Typical Broker Commissions trade costs of $0.20
5/19/23 10:24 SMAR SMARTSHEET INC SHORT 12 47.42 6/8 15:20 40.27 0.13%
Trade id #144675284
Max drawdown($64)
Time6/7/23 0:00
Quant open12
Worst price52.81
Drawdown as % of equity-0.13%
 $86
Includes Typical Broker Commissions trade costs of $0.24
6/1/23 15:56 JFIN JIAYIN GROUP INC SHORT 90 6.30 6/8 15:19 5.39 0.32%
Trade id #144807161
Max drawdown($170)
Time6/5/23 0:00
Quant open90
Worst price8.19
Drawdown as % of equity-0.32%
 $80
Includes Typical Broker Commissions trade costs of $1.80
5/24/23 15:20 IEP ICAHN ENTERPRISES LONG 22 23.94 6/7 12:25 26.92 0.24%
Trade id #144735424
Max drawdown($130)
Time5/25/23 0:00
Quant open22
Worst price18.03
Drawdown as % of equity-0.24%
 $66
Includes Typical Broker Commissions trade costs of $0.44
5/22/23 15:23 ADSE ADS-TEC ENERGY PLC ORDINARY SHARES SHORT 85 6.15 6/6 15:26 6.05 0.06%
Trade id #144712973
Max drawdown($33)
Time5/23/23 0:00
Quant open85
Worst price6.54
Drawdown as % of equity-0.06%
 $7
Includes Typical Broker Commissions trade costs of $1.70
5/26/23 11:00 MBLY MOBILEYE GLOBAL INC. CLASS A SHORT 12 45.15 6/6 15:25 42.15 0.05%
Trade id #144757510
Max drawdown($27)
Time5/30/23 0:00
Quant open12
Worst price47.41
Drawdown as % of equity-0.05%
 $36
Includes Typical Broker Commissions trade costs of $0.24
5/17/23 15:28 BHC BAUSCH HEALTH COMPANIES INC SHORT 70 7.48 6/6 15:23 7.05 0.2%
Trade id #144655148
Max drawdown($103)
Time5/23/23 0:00
Quant open70
Worst price8.96
Drawdown as % of equity-0.20%
 $29
Includes Typical Broker Commissions trade costs of $1.40
6/1/23 15:55 PDSB PDS BIOTECHNOLOGY CORPORATION SHORT 50 9.92 6/6 15:22 6.09 0.03%
Trade id #144807038
Max drawdown($15)
Time6/2/23 0:00
Quant open50
Worst price10.22
Drawdown as % of equity-0.03%
 $191
Includes Typical Broker Commissions trade costs of $1.00
5/24/23 15:28 WOOF PETCO HEALTH AND WELLNESS COMPANY INC. CLASS A LONG 65 8.35 6/2 9:45 7.82 0.11%
Trade id #144735562
Max drawdown($58)
Time6/1/23 0:00
Quant open65
Worst price7.45
Drawdown as % of equity-0.11%
 ($35)
Includes Typical Broker Commissions trade costs of $1.30
5/30/23 15:41 GCO GENESCO LONG 30 18.52 6/2 9:44 18.52 0.06%
Trade id #144783686
Max drawdown($30)
Time6/1/23 0:00
Quant open30
Worst price17.52
Drawdown as % of equity-0.06%
 ($1)
Includes Typical Broker Commissions trade costs of $0.60
5/30/23 15:36 KLXE KLX ENERGY SERVICES HOLDINGS INC. LONG 60 8.27 6/2 9:44 8.53 0.06%
Trade id #144783519
Max drawdown($34)
Time6/1/23 0:00
Quant open60
Worst price7.70
Drawdown as % of equity-0.06%
 $14
Includes Typical Broker Commissions trade costs of $1.20
5/30/23 15:42 BIG BIG LOTS LONG 100 5.38 6/2 9:44 5.97 0.11%
Trade id #144783697
Max drawdown($60)
Time5/31/23 0:00
Quant open100
Worst price4.78
Drawdown as % of equity-0.11%
 $57
Includes Typical Broker Commissions trade costs of $2.00
5/24/23 15:27 PLCE CHILDRENS PLACE INC. LONG 25 19.10 6/2 9:43 15.85 0.23%
Trade id #144735534
Max drawdown($120)
Time6/1/23 0:00
Quant open25
Worst price14.27
Drawdown as % of equity-0.23%
 ($82)
Includes Typical Broker Commissions trade costs of $0.50
5/24/23 15:25 SCVL SHOE CARNIVAL LONG 25 20.17 6/2 9:43 20.27 0.04%
Trade id #144735512
Max drawdown($23)
Time6/1/23 0:00
Quant open25
Worst price19.24
Drawdown as % of equity-0.04%
 $3
Includes Typical Broker Commissions trade costs of $0.50
5/24/23 15:12 PSFE PAYSAFE LTD LONG 50 10.51 6/2 9:43 9.75 0.11%
Trade id #144735291
Max drawdown($58)
Time5/31/23 0:00
Quant open50
Worst price9.34
Drawdown as % of equity-0.11%
 ($39)
Includes Typical Broker Commissions trade costs of $1.00
5/24/23 15:21 SRRK SCHOLAR ROCK HC LONG 165 6.27 6/2 9:42 5.89 0.22%
Trade id #144735430
Max drawdown($116)
Time5/31/23 0:00
Quant open165
Worst price5.56
Drawdown as % of equity-0.22%
 ($65)
Includes Typical Broker Commissions trade costs of $3.30
5/26/23 10:59 S SENTINELONE INC SHORT 25 20.89 6/2 9:36 13.96 0.05%
Trade id #144757477
Max drawdown($26)
Time5/30/23 0:00
Quant open25
Worst price21.95
Drawdown as % of equity-0.05%
 $173
Includes Typical Broker Commissions trade costs of $0.50
5/30/23 15:36 WB WEIBO CORPORATION AMERICAN DEP LONG 40 14.00 6/1 15:36 14.11 0.06%
Trade id #144783540
Max drawdown($32)
Time5/31/23 0:00
Quant open40
Worst price13.20
Drawdown as % of equity-0.06%
 $3
Includes Typical Broker Commissions trade costs of $0.80
5/24/23 15:27 PTCT PTC THERAPEUTICS INC. COMMON LONG 11 46.61 6/1 15:27 43.60 0.12%
Trade id #144735553
Max drawdown($62)
Time5/31/23 0:00
Quant open11
Worst price40.90
Drawdown as % of equity-0.12%
 ($33)
Includes Typical Broker Commissions trade costs of $0.22
5/24/23 15:24 DADA DADA NEXUS LIMITED LONG 100 5.27 6/1 15:27 4.98 0.14%
Trade id #144735496
Max drawdown($74)
Time5/31/23 0:00
Quant open100
Worst price4.53
Drawdown as % of equity-0.14%
 ($31)
Includes Typical Broker Commissions trade costs of $2.00
5/30/23 15:43 TITN TITAN MACHINERY LONG 20 25.64 6/1 15:26 26.41 0.03%
Trade id #144783707
Max drawdown($14)
Time5/31/23 0:00
Quant open20
Worst price24.90
Drawdown as % of equity-0.03%
 $15
Includes Typical Broker Commissions trade costs of $0.40
5/30/23 15:42 THRX THESEUS PHARMACEUTICALS INC. LONG 70 7.43 6/1 15:26 8.48 0.08%
Trade id #144783702
Max drawdown($42)
Time5/31/23 0:00
Quant open70
Worst price6.83
Drawdown as % of equity-0.08%
 $73
Includes Typical Broker Commissions trade costs of $1.40
Next

Statistics

  • Strategy began
    1/27/2021
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1418.28
  • Age
    47 months ago
  • What it trades
    Stocks
  • # Trades
    4796
  • # Profitable
    3240
  • % Profitable
    67.60%
  • Avg trade duration
    10.4 days
  • Max peak-to-valley drawdown
    31.95%
  • drawdown period
    July 13, 2022 - Aug 16, 2022
  • Annual Return (Compounded)
    18.2%
  • Avg win
    $38.98
  • Avg loss
    $62.08
  • Model Account Values (Raw)
  • Cash
    $98,980
  • Margin Used
    $53,555
  • Buying Power
    $33,224
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    0.56
  • Sortino Ratio
    0.85
  • Calmar Ratio
    1.523
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    30.33%
  • Correlation to SP500
    -0.30010
  • Return Percent SP500 (cumu) during strategy life
    58.12%
  • Return Statistics
  • Ann Return (w trading costs)
    18.2%
  • Slump
  • Current Slump as Pcnt Equity
    28.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.28%
  • 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)
    0.182%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    61.50%
  • Chance of 20% account loss
    32.50%
  • Chance of 30% account loss
    17.00%
  • Chance of 40% account loss
    2.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $62
  • Avg Win
    $39
  • Sum Trade PL (losers)
    $96,601.000
  • Age
  • Num Months filled monthly returns table
    48
  • Win / Loss
  • Sum Trade PL (winners)
    $126,300.000
  • # Winners
    3240
  • Num Months Winners
    30
  • Dividends
  • Dividends Received in Model Acct
    -927
  • Win / Loss
  • # Losers
    1556
  • % Winners
    67.6%
  • Frequency
  • Avg Position Time (mins)
    27492.10
  • Avg Position Time (hrs)
    458.20
  • Avg Trade Length
    19.1 days
  • Last Trade Ago
    555
  • Leverage
  • Daily leverage (average)
    0.94
  • Daily leverage (max)
    2.03
  • Regression
  • Alpha
    0.07
  • Beta
    -0.50
  • Treynor Index
    -0.10
  • 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)
    0.38
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    10.808
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.725
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.218
  • Hold-and-Hope Ratio
    0.128
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30346
  • SD
    0.18698
  • Sharpe ratio (Glass type estimate)
    1.62296
  • Sharpe ratio (Hedges UMVUE)
    1.58198
  • df
    30.00000
  • t
    2.60854
  • p
    0.00702
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89701
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29853
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86543
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.60021
  • Upside Potential Ratio
    5.09041
  • Upside part of mean
    0.42907
  • Downside part of mean
    -0.12561
  • Upside SD
    0.18548
  • Downside SD
    0.08429
  • N nonnegative terms
    22.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.11940
  • Mean of criterion
    0.30346
  • SD of predictor
    0.18890
  • SD of criterion
    0.18698
  • Covariance
    -0.01298
  • r
    -0.36755
  • b (slope, estimate of beta)
    -0.36382
  • a (intercept, estimate of alpha)
    0.34690
  • Mean Square Error
    0.03128
  • DF error
    29.00000
  • t(b)
    -2.12827
  • p(b)
    0.97903
  • t(a)
    3.09960
  • p(a)
    0.00214
  • Lowerbound of 95% confidence interval for beta
    -0.71344
  • Upperbound of 95% confidence interval for beta
    -0.01420
  • Lowerbound of 95% confidence interval for alpha
    0.11800
  • Upperbound of 95% confidence interval for alpha
    0.57580
  • Treynor index (mean / b)
    -0.83410
  • Jensen alpha (a)
    0.34690
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28304
  • SD
    0.18151
  • Sharpe ratio (Glass type estimate)
    1.55937
  • Sharpe ratio (Hedges UMVUE)
    1.52001
  • df
    30.00000
  • t
    2.50634
  • p
    0.00893
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82878
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79865
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.24558
  • Upside Potential Ratio
    4.72513
  • Upside part of mean
    0.41208
  • Downside part of mean
    -0.12903
  • Upside SD
    0.17594
  • Downside SD
    0.08721
  • N nonnegative terms
    22.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.10180
  • Mean of criterion
    0.28304
  • SD of predictor
    0.18568
  • SD of criterion
    0.18151
  • Covariance
    -0.01269
  • r
    -0.37640
  • b (slope, estimate of beta)
    -0.36794
  • a (intercept, estimate of alpha)
    0.32050
  • Mean Square Error
    0.02925
  • DF error
    29.00000
  • t(b)
    -2.18786
  • p(b)
    0.98156
  • t(a)
    2.97357
  • p(a)
    0.00294
  • Lowerbound of 95% confidence interval for beta
    -0.71189
  • Upperbound of 95% confidence interval for beta
    -0.02399
  • Lowerbound of 95% confidence interval for alpha
    0.10006
  • Upperbound of 95% confidence interval for alpha
    0.54094
  • Treynor index (mean / b)
    -0.76928
  • Jensen alpha (a)
    0.32050
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06068
  • Expected Shortfall on VaR
    0.08085
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01618
  • Expected Shortfall on VaR
    0.03683
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.90806
  • Quartile 1
    0.99506
  • Median
    1.02917
  • Quartile 3
    1.06747
  • Maximum
    1.17900
  • Mean of quarter 1
    0.96228
  • Mean of quarter 2
    1.01385
  • Mean of quarter 3
    1.04464
  • Mean of quarter 4
    1.09182
  • Inter Quartile Range
    0.07241
  • 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
    0.03226
  • Mean of outliers high
    1.17900
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36743
  • VaR(95%) (moments method)
    0.02654
  • Expected Shortfall (moments method)
    0.03324
  • Extreme Value Index (regression method)
    -0.36687
  • VaR(95%) (regression method)
    0.05100
  • Expected Shortfall (regression method)
    0.06532
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01812
  • Quartile 1
    0.03259
  • Median
    0.05376
  • Quartile 3
    0.05803
  • Maximum
    0.09194
  • Mean of quarter 1
    0.02193
  • Mean of quarter 2
    0.05312
  • Mean of quarter 3
    0.05440
  • Mean of quarter 4
    0.07559
  • Inter Quartile Range
    0.02544
  • 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)
    0.47724
  • Compounded annual return (geometric extrapolation)
    0.36472
  • Calmar ratio (compounded annual return / max draw down)
    3.96678
  • Compounded annual return / average of 25% largest draw downs
    4.82512
  • Compounded annual return / Expected Shortfall lognormal
    4.51106
  • 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
    0.30715
  • SD
    0.30208
  • Sharpe ratio (Glass type estimate)
    1.01679
  • Sharpe ratio (Hedges UMVUE)
    1.01568
  • df
    689.00000
  • t
    1.65008
  • p
    0.04969
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19251
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22536
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19325
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22462
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.54343
  • Upside Potential Ratio
    8.95344
  • Upside part of mean
    1.78181
  • Downside part of mean
    -1.47465
  • Upside SD
    0.22777
  • Downside SD
    0.19901
  • N nonnegative terms
    352.00000
  • N negative terms
    338.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    690.00000
  • Mean of predictor
    0.16998
  • Mean of criterion
    0.30715
  • SD of predictor
    0.20139
  • SD of criterion
    0.30208
  • Covariance
    -0.02013
  • r
    -0.33092
  • b (slope, estimate of beta)
    -0.49638
  • a (intercept, estimate of alpha)
    0.39200
  • Mean Square Error
    0.08138
  • DF error
    688.00000
  • t(b)
    -9.19824
  • p(b)
    1.00000
  • t(a)
    2.22428
  • p(a)
    0.01323
  • Lowerbound of 95% confidence interval for beta
    -0.60233
  • Upperbound of 95% confidence interval for beta
    -0.39042
  • Lowerbound of 95% confidence interval for alpha
    0.04592
  • Upperbound of 95% confidence interval for alpha
    0.73713
  • Treynor index (mean / b)
    -0.61879
  • Jensen alpha (a)
    0.39153
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26150
  • SD
    0.30178
  • Sharpe ratio (Glass type estimate)
    0.86651
  • Sharpe ratio (Hedges UMVUE)
    0.86557
  • df
    689.00000
  • t
    1.40620
  • p
    0.08006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34237
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07484
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07417
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27955
  • Upside Potential Ratio
    8.59488
  • Upside part of mean
    1.75650
  • Downside part of mean
    -1.49501
  • Upside SD
    0.22234
  • Downside SD
    0.20437
  • N nonnegative terms
    352.00000
  • N negative terms
    338.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    690.00000
  • Mean of predictor
    0.14968
  • Mean of criterion
    0.26150
  • SD of predictor
    0.20127
  • SD of criterion
    0.30178
  • Covariance
    -0.02003
  • r
    -0.32980
  • b (slope, estimate of beta)
    -0.49449
  • a (intercept, estimate of alpha)
    0.33551
  • Mean Square Error
    0.08128
  • DF error
    688.00000
  • t(b)
    -9.16328
  • p(b)
    1.00000
  • t(a)
    1.90774
  • p(a)
    0.02842
  • Lowerbound of 95% confidence interval for beta
    -0.60045
  • Upperbound of 95% confidence interval for beta
    -0.38854
  • Lowerbound of 95% confidence interval for alpha
    -0.00979
  • Upperbound of 95% confidence interval for alpha
    0.68082
  • Treynor index (mean / b)
    -0.52882
  • Jensen alpha (a)
    0.33551
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02923
  • Expected Shortfall on VaR
    0.03674
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01272
  • Expected Shortfall on VaR
    0.02574
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    690.00000
  • Minimum
    0.87295
  • Quartile 1
    0.99286
  • Median
    1.00036
  • Quartile 3
    1.00950
  • Maximum
    1.10111
  • Mean of quarter 1
    0.98089
  • Mean of quarter 2
    0.99686
  • Mean of quarter 3
    1.00467
  • Mean of quarter 4
    1.02269
  • Inter Quartile Range
    0.01664
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.03188
  • Mean of outliers low
    0.95122
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.03623
  • Mean of outliers high
    1.05440
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27587
  • VaR(95%) (moments method)
    0.01875
  • Expected Shortfall (moments method)
    0.03111
  • Extreme Value Index (regression method)
    0.22951
  • VaR(95%) (regression method)
    0.01752
  • Expected Shortfall (regression method)
    0.02751
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    49.00000
  • Minimum
    0.00102
  • Quartile 1
    0.00461
  • Median
    0.01944
  • Quartile 3
    0.05853
  • Maximum
    0.22036
  • Mean of quarter 1
    0.00299
  • Mean of quarter 2
    0.01387
  • Mean of quarter 3
    0.03631
  • Mean of quarter 4
    0.13094
  • Inter Quartile Range
    0.05391
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.10204
  • Mean of outliers high
    0.18545
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.69944
  • VaR(95%) (moments method)
    0.12848
  • Expected Shortfall (moments method)
    0.14260
  • Extreme Value Index (regression method)
    -0.41651
  • VaR(95%) (regression method)
    0.11633
  • Expected Shortfall (regression method)
    0.13355
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43398
  • Compounded annual return (geometric extrapolation)
    0.33563
  • Calmar ratio (compounded annual return / max draw down)
    1.52310
  • Compounded annual return / average of 25% largest draw downs
    2.56327
  • Compounded annual return / Expected Shortfall lognormal
    9.13442
  • 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
    -0.07208
  • SD
    0.40135
  • Sharpe ratio (Glass type estimate)
    -0.17958
  • Sharpe ratio (Hedges UMVUE)
    -0.17855
  • df
    130.00000
  • t
    -0.12698
  • p
    0.50557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.95124
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.95044
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59335
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.25314
  • Upside Potential Ratio
    6.69720
  • Upside part of mean
    1.90688
  • Downside part of mean
    -1.97896
  • Upside SD
    0.28072
  • Downside SD
    0.28473
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.83927
  • Mean of criterion
    -0.07208
  • SD of predictor
    0.23523
  • SD of criterion
    0.40135
  • Covariance
    -0.05839
  • r
    -0.61850
  • b (slope, estimate of beta)
    -1.05528
  • a (intercept, estimate of alpha)
    0.81359
  • Mean Square Error
    0.10023
  • DF error
    129.00000
  • t(b)
    -8.93998
  • p(b)
    0.86696
  • t(a)
    1.77422
  • p(a)
    0.40214
  • Lowerbound of 95% confidence interval for beta
    -1.28882
  • Upperbound of 95% confidence interval for beta
    -0.82173
  • Lowerbound of 95% confidence interval for alpha
    -0.09369
  • Upperbound of 95% confidence interval for alpha
    1.72086
  • Treynor index (mean / b)
    0.06830
  • Jensen alpha (a)
    0.81359
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15266
  • SD
    0.40397
  • Sharpe ratio (Glass type estimate)
    -0.37789
  • Sharpe ratio (Hedges UMVUE)
    -0.37570
  • df
    130.00000
  • t
    -0.26721
  • p
    0.51172
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.14935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39502
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.14789
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39648
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.51424
  • Upside Potential Ratio
    6.29569
  • Upside part of mean
    1.86893
  • Downside part of mean
    -2.02159
  • Upside SD
    0.27187
  • Downside SD
    0.29686
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.81058
  • Mean of criterion
    -0.15266
  • SD of predictor
    0.23440
  • SD of criterion
    0.40397
  • Covariance
    -0.05790
  • r
    -0.61151
  • b (slope, estimate of beta)
    -1.05387
  • a (intercept, estimate of alpha)
    0.70159
  • Mean Square Error
    0.10296
  • DF error
    129.00000
  • t(b)
    -8.77783
  • p(b)
    0.86345
  • t(a)
    1.51171
  • p(a)
    0.41625
  • VAR (95 Confidence Intrvl)
    0.02900
  • Lowerbound of 95% confidence interval for beta
    -1.29142
  • Upperbound of 95% confidence interval for beta
    -0.81633
  • Lowerbound of 95% confidence interval for alpha
    -0.21665
  • Upperbound of 95% confidence interval for alpha
    1.61983
  • Treynor index (mean / b)
    0.14485
  • Jensen alpha (a)
    0.70159
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04078
  • Expected Shortfall on VaR
    0.05069
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01861
  • Expected Shortfall on VaR
    0.03792
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87295
  • Quartile 1
    0.99233
  • Median
    0.99818
  • Quartile 3
    1.00702
  • Maximum
    1.10111
  • Mean of quarter 1
    0.97534
  • Mean of quarter 2
    0.99507
  • Mean of quarter 3
    1.00280
  • Mean of quarter 4
    1.02621
  • Inter Quartile Range
    0.01470
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.93828
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.05534
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49075
  • VaR(95%) (moments method)
    0.02460
  • Expected Shortfall (moments method)
    0.05451
  • Extreme Value Index (regression method)
    0.68508
  • VaR(95%) (regression method)
    0.02161
  • Expected Shortfall (regression method)
    0.06653
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00376
  • Quartile 1
    0.00570
  • Median
    0.02630
  • Quartile 3
    0.10926
  • Maximum
    0.20481
  • Mean of quarter 1
    0.00419
  • Mean of quarter 2
    0.01249
  • Mean of quarter 3
    0.06509
  • Mean of quarter 4
    0.17618
  • Inter Quartile Range
    0.10357
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -384228000
  • Max Equity Drawdown (num days)
    34
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12094
  • Compounded annual return (geometric extrapolation)
    -0.11728
  • Calmar ratio (compounded annual return / max draw down)
    -0.57265
  • Compounded annual return / average of 25% largest draw downs
    -0.66569
  • Compounded annual return / Expected Shortfall lognormal
    -2.31370

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-01-27
Suggested Minimum Capital
$15,000
# Trades
4796
# Profitable
3240
% Profitable
67.6%
Net Dividends
($927)
Correlation S&P500
-0.300
Sharpe Ratio
0.56
Sortino Ratio
0.85
Beta
-0.50
Alpha
0.07
Leverage
0.94 Average
2.03 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.