Collective2 Collective2
Featured Strategy TechSignal +152.7% Cumul. Return since Jul 3, 2024 Hypothetical

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This is an archived track record. This track record was archived on 1/2/25 11:54 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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OLDDDD
(141141675)

Created by: MikeM5 MikeM5
Started: 07/2022
Stocks
Last trade: 289 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. You can subscribe to this system for free.

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.

15.8%
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.

(30.1%)
Max Drawdown
797
Num Trades
34.6%
Win Trades
1.2 : 1
Profit Factor
35.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +3.5%+9.2%+14.3%(1.6%)(1.3%)+2.0%+27.9%
2023(4.7%)(0.5%)(4.4%)+15.6%+7.3%(4%)+5.0%(3.5%)(13.7%)(12.5%)+13.1%+5.5%(1.4%)
2024(2.3%)+23.3%+6.6%(11.3%)+7.9%(5.8%)(1.6%)  -    -    -    -    -  +13.9%
2025  -    -    -    -                                                  

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 1,505 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
6/26/24 10:33 FDX FEDEX LONG 12 293.62 7/24 15:40 298.53 0.17%
Trade id #148504502
Max drawdown($62)
Time6/27/24 0:00
Quant open12
Worst price288.41
Drawdown as % of equity-0.17%
 $59
Includes Typical Broker Commissions trade costs of $0.24
6/24/24 15:45 ALNY ALNYLAM PHARMACEUTICALS LONG 16 223.70 7/16 15:36 254.54 0.14%
Trade id #148487476
Max drawdown($51)
Time6/25/24 0:00
Quant open16
Worst price220.50
Drawdown as % of equity-0.14%
 $493
Includes Typical Broker Commissions trade costs of $0.32
7/3/24 9:31 GURE GULF RESOURCES LONG 2,500 1.42 7/3 9:53 1.35 0.55%
Trade id #148563539
Max drawdown($201)
Time7/3/24 9:53
Quant open2,500
Worst price1.34
Drawdown as % of equity-0.55%
 ($181)
Includes Typical Broker Commissions trade costs of $5.00
7/2/24 15:47 RDZN ROADZEN INC. LONG 1,236 3.00 7/3 9:48 2.67 1.16%
Trade id #148559553
Max drawdown($420)
Time7/3/24 9:48
Quant open1,236
Worst price2.66
Drawdown as % of equity-1.16%
 ($407)
Includes Typical Broker Commissions trade costs of $5.00
6/18/24 9:32 CMTL COMTECH TELECOMMUNICATIONS LONG 1,152 3.33 7/1 11:04 3.19 1.08%
Trade id #148437123
Max drawdown($395)
Time7/1/24 11:04
Quant open864
Worst price2.87
Drawdown as % of equity-1.08%
 ($163)
Includes Typical Broker Commissions trade costs of $7.88
6/12/24 9:34 ESI ELEMENT SOLUTIONS INC LONG 132 26.20 6/27 15:37 26.88 0.07%
Trade id #148388458
Max drawdown($26)
Time6/12/24 11:34
Quant open132
Worst price25.99
Drawdown as % of equity-0.07%
 $87
Includes Typical Broker Commissions trade costs of $2.64
6/26/24 15:44 DAKT DAKTRONICS LONG 262 13.33 6/27 9:36 12.91 0.35%
Trade id #148508072
Max drawdown($127)
Time6/27/24 9:36
Quant open262
Worst price12.84
Drawdown as % of equity-0.35%
 ($116)
Includes Typical Broker Commissions trade costs of $5.24
6/26/24 15:41 RIVN RIVIAN AUTOMOTIVE INC. CLASS A LONG 240 14.64 6/27 9:30 13.92 0.53%
Trade id #148508042
Max drawdown($196)
Time6/27/24 9:30
Quant open240
Worst price13.82
Drawdown as % of equity-0.53%
 ($177)
Includes Typical Broker Commissions trade costs of $4.80
6/21/24 9:33 SRPT SAREPTA THERAPEUTICS INC. COM LONG 20 164.05 6/25 14:24 157.62 0.36%
Trade id #148467103
Max drawdown($131)
Time6/25/24 14:24
Quant open20
Worst price157.50
Drawdown as % of equity-0.36%
 ($129)
Includes Typical Broker Commissions trade costs of $0.40
6/5/24 9:36 LAKE LAKELAND INDUSTRIES LONG 80 20.84 6/21 14:27 23.25 0.14%
Trade id #148333919
Max drawdown($54)
Time6/5/24 10:20
Quant open80
Worst price20.16
Drawdown as % of equity-0.14%
 $191
Includes Typical Broker Commissions trade costs of $1.60
6/18/24 9:33 LZB LA-Z-BOY LONG 90 39.53 6/21 9:44 37.97 0.42%
Trade id #148437169
Max drawdown($155)
Time6/21/24 9:44
Quant open90
Worst price37.80
Drawdown as % of equity-0.42%
 ($143)
Includes Typical Broker Commissions trade costs of $1.80
6/20/24 9:34 HROW HARROW HEALTH INC. COMMON STOCK LONG 173 20.38 6/20 10:02 19.76 0.37%
Trade id #148454154
Max drawdown($141)
Time6/20/24 10:02
Quant open173
Worst price19.56
Drawdown as % of equity-0.37%
 ($110)
Includes Typical Broker Commissions trade costs of $3.46
6/18/24 9:50 PDCO PATTERSON COMPANIES LONG 140 25.04 6/20 9:44 24.34 0.27%
Trade id #148437539
Max drawdown($103)
Time6/20/24 9:44
Quant open140
Worst price24.30
Drawdown as % of equity-0.27%
 ($101)
Includes Typical Broker Commissions trade costs of $2.80
5/23/24 9:41 NVDA NVIDIA LONG 30 103.28 6/18 15:38 130.63 0.1%
Trade id #148233966
Max drawdown($38)
Time5/23/24 15:16
Quant open30
Worst price102.00
Drawdown as % of equity-0.10%
 $820
Includes Typical Broker Commissions trade costs of $0.60
6/18/24 9:52 MESA MESA AIR GROUP INC. COMMON STOCK LONG 2,333 1.54 6/18 9:58 1.35 1.21%
Trade id #148437590
Max drawdown($464)
Time6/18/24 9:58
Quant open2,333
Worst price1.34
Drawdown as % of equity-1.21%
 ($446)
Includes Typical Broker Commissions trade costs of $5.00
6/7/24 9:31 GERN GERON LONG 764 4.54 6/18 9:34 4.43 0.22%
Trade id #148355978
Max drawdown($84)
Time6/18/24 9:34
Quant open764
Worst price4.43
Drawdown as % of equity-0.22%
 ($85)
Includes Typical Broker Commissions trade costs of $5.00
6/18/24 9:34 PDCO PATTERSON COMPANIES LONG 142 24.66 6/18 9:34 24.40 0.1%
Trade id #148437234
Max drawdown($37)
Time6/18/24 9:34
Quant open142
Worst price24.40
Drawdown as % of equity-0.10%
 ($40)
Includes Typical Broker Commissions trade costs of $2.84
6/18/24 9:31 MESA MESA AIR GROUP INC. COMMON STOCK LONG 2,447 1.47 6/18 9:33 1.42 0.35%
Trade id #148437110
Max drawdown($132)
Time6/18/24 9:33
Quant open2,447
Worst price1.42
Drawdown as % of equity-0.35%
 ($137)
Includes Typical Broker Commissions trade costs of $5.00
6/5/24 9:42 VRNT VERINT SYSTEMS LONG 110 31.86 6/17 15:41 34.96 0.11%
Trade id #148334041
Max drawdown($42)
Time6/5/24 9:50
Quant open110
Worst price31.47
Drawdown as % of equity-0.11%
 $340
Includes Typical Broker Commissions trade costs of $2.20
6/13/24 9:36 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 2 1721.83 6/13 10:18 1677.08 0.23%
Trade id #148398133
Max drawdown($89)
Time6/13/24 10:18
Quant open2
Worst price1677.00
Drawdown as % of equity-0.23%
 ($90)
Includes Typical Broker Commissions trade costs of $0.04
6/13/24 9:31 VANI VIVANI MEDICAL INC. LONG 900 1.90 6/13 10:04 1.75 0.36%
Trade id #148397960
Max drawdown($139)
Time6/13/24 10:04
Quant open900
Worst price1.74
Drawdown as % of equity-0.36%
 ($134)
Includes Typical Broker Commissions trade costs of $5.00
6/6/24 9:40 SMAR SMARTSHEET INC LONG 79 44.47 6/13 10:02 42.70 0.4%
Trade id #148343911
Max drawdown($152)
Time6/13/24 10:02
Quant open79
Worst price42.54
Drawdown as % of equity-0.40%
 ($142)
Includes Typical Broker Commissions trade costs of $1.58
6/13/24 9:32 WLY JOHN WILEY & SONS LONG 81 43.20 6/13 9:45 41.79 0.3%
Trade id #148398004
Max drawdown($116)
Time6/13/24 9:45
Quant open81
Worst price41.77
Drawdown as % of equity-0.30%
 ($117)
Includes Typical Broker Commissions trade costs of $1.62
6/12/24 9:40 MREO MEREO BIOPHARMA GROUP PLC ADS LONG 868 4.05 6/12 10:25 3.81 0.58%
Trade id #148388709
Max drawdown($225)
Time6/12/24 10:25
Quant open868
Worst price3.79
Drawdown as % of equity-0.58%
 ($214)
Includes Typical Broker Commissions trade costs of $5.00
6/12/24 9:41 CODA CODA OCTOPUS GROUP INC. COMMON STOCK LONG 507 6.93 6/12 10:15 6.70 0.3%
Trade id #148388768
Max drawdown($114)
Time6/12/24 10:15
Quant open507
Worst price6.70
Drawdown as % of equity-0.30%
 ($119)
Includes Typical Broker Commissions trade costs of $5.00
5/2/24 9:36 ASPN ASPEN AEROGELS INC LONG 176 20.81 6/11 15:44 28.18 0.35%
Trade id #148072090
Max drawdown($123)
Time5/2/24 10:03
Quant open176
Worst price20.11
Drawdown as % of equity-0.35%
 $1,293
Includes Typical Broker Commissions trade costs of $3.52
5/9/24 9:36 VITL VITAL FARMS INC. COMMON STOCK LONG 102 36.70 6/10 9:39 39.24 0.71%
Trade id #148131074
Max drawdown($258)
Time5/13/24 0:00
Quant open102
Worst price34.16
Drawdown as % of equity-0.71%
 $257
Includes Typical Broker Commissions trade costs of $2.04
6/6/24 9:42 LYFT LYFT INC. CLASS A COMMON STOCK LONG 208 16.93 6/6 10:11 16.72 0.21%
Trade id #148343942
Max drawdown($81)
Time6/6/24 10:11
Quant open208
Worst price16.54
Drawdown as % of equity-0.21%
 ($48)
Includes Typical Broker Commissions trade costs of $4.16
5/23/24 9:38 ELF E.L.F. BEAUTY INC LONG 20 175.76 6/6 9:47 185.12 0.05%
Trade id #148233861
Max drawdown($18)
Time5/23/24 9:41
Quant open20
Worst price174.85
Drawdown as % of equity-0.05%
 $187
Includes Typical Broker Commissions trade costs of $0.40
6/6/24 9:31 SMTC SEMTECH LONG 90 46.59 6/6 9:37 44.00 0.63%
Trade id #148343594
Max drawdown($246)
Time6/6/24 9:37
Quant open75
Worst price43.31
Drawdown as % of equity-0.63%
 ($235)
Includes Typical Broker Commissions trade costs of $1.80
Next

Statistics

  • Strategy began
    7/21/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1013.9
  • Age
    34 months ago
  • What it trades
    Stocks
  • # Trades
    797
  • # Profitable
    276
  • % Profitable
    34.60%
  • Avg trade duration
    12.2 days
  • Max peak-to-valley drawdown
    30.13%
  • drawdown period
    May 18, 2023 - Nov 13, 2023
  • Annual Return (Compounded)
    15.8%
  • Avg win
    $316.41
  • Avg loss
    $141.30
  • Model Account Values (Raw)
  • Cash
    $38,846
  • Margin Used
    $0
  • Buying Power
    $38,846
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    0.52
  • Sortino Ratio
    0.86
  • Calmar Ratio
    0.947
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -3.91%
  • Correlation to SP500
    0.03740
  • Return Percent SP500 (cumu) during strategy life
    41.64%
  • Return Statistics
  • Ann Return (w trading costs)
    15.8%
  • Slump
  • Current Slump as Pcnt Equity
    15.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.40%
  • 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)
    0.158%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    17.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    66.00%
  • Chance of 20% account loss
    31.50%
  • Chance of 30% account loss
    11.00%
  • Chance of 40% account loss
    1.00%
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    442
  • Popularity (Last 6 weeks)
    352
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    372
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $141
  • Avg Win
    $316
  • Sum Trade PL (losers)
    $73,618.000
  • Age
  • Num Months filled monthly returns table
    34
  • Win / Loss
  • Sum Trade PL (winners)
    $87,329.000
  • # Winners
    276
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    126
  • Win / Loss
  • # Losers
    521
  • % Winners
    34.6%
  • Frequency
  • Avg Position Time (mins)
    17537.20
  • Avg Position Time (hrs)
    292.29
  • Avg Trade Length
    12.2 days
  • Last Trade Ago
    280
  • Leverage
  • Daily leverage (average)
    0.85
  • Daily leverage (max)
    2.07
  • Regression
  • Alpha
    0.04
  • Beta
    0.05
  • Treynor Index
    0.68
  • 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)
    -0.39
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    34.146
  • 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
    0.178
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.663
  • Hold-and-Hope Ratio
    0.029
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26410
  • SD
    0.32032
  • Sharpe ratio (Glass type estimate)
    0.82449
  • Sharpe ratio (Hedges UMVUE)
    0.79601
  • df
    22.00000
  • t
    1.14146
  • p
    0.13298
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25176
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63911
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23112
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70412
  • Upside Potential Ratio
    3.68445
  • Upside part of mean
    0.57101
  • Downside part of mean
    -0.30691
  • Upside SD
    0.28274
  • Downside SD
    0.15498
  • N nonnegative terms
    11.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.14572
  • Mean of criterion
    0.26410
  • SD of predictor
    0.13174
  • SD of criterion
    0.32032
  • Covariance
    0.00681
  • r
    0.16126
  • b (slope, estimate of beta)
    0.39209
  • a (intercept, estimate of alpha)
    0.20697
  • Mean Square Error
    0.10470
  • DF error
    21.00000
  • t(b)
    0.74878
  • p(b)
    0.39779
  • t(a)
    0.84182
  • p(a)
    0.38561
  • Lowerbound of 95% confidence interval for beta
    -0.69688
  • Upperbound of 95% confidence interval for beta
    1.48106
  • Lowerbound of 95% confidence interval for alpha
    -0.30432
  • Upperbound of 95% confidence interval for alpha
    0.71826
  • Treynor index (mean / b)
    0.67358
  • Jensen alpha (a)
    0.20697
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21467
  • SD
    0.30882
  • Sharpe ratio (Glass type estimate)
    0.69514
  • Sharpe ratio (Hedges UMVUE)
    0.67112
  • df
    22.00000
  • t
    0.96238
  • p
    0.17316
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74290
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11783
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75841
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10066
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31824
  • Upside Potential Ratio
    3.27716
  • Upside part of mean
    0.53368
  • Downside part of mean
    -0.31900
  • Upside SD
    0.26181
  • Downside SD
    0.16285
  • N nonnegative terms
    11.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.13628
  • Mean of criterion
    0.21467
  • SD of predictor
    0.13178
  • SD of criterion
    0.30882
  • Covariance
    0.00689
  • r
    0.16928
  • b (slope, estimate of beta)
    0.39668
  • a (intercept, estimate of alpha)
    0.16061
  • Mean Square Error
    0.09705
  • DF error
    21.00000
  • t(b)
    0.78709
  • p(b)
    0.39275
  • t(a)
    0.68268
  • p(a)
    0.40654
  • Lowerbound of 95% confidence interval for beta
    -0.65142
  • Upperbound of 95% confidence interval for beta
    1.44478
  • Lowerbound of 95% confidence interval for alpha
    -0.32865
  • Upperbound of 95% confidence interval for alpha
    0.64988
  • Treynor index (mean / b)
    0.54117
  • Jensen alpha (a)
    0.16061
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12080
  • Expected Shortfall on VaR
    0.15249
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06115
  • Expected Shortfall on VaR
    0.10791
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.87240
  • Quartile 1
    0.96556
  • Median
    0.99489
  • Quartile 3
    1.09565
  • Maximum
    1.22871
  • Mean of quarter 1
    0.92390
  • Mean of quarter 2
    0.98272
  • Mean of quarter 3
    1.04486
  • Mean of quarter 4
    1.14929
  • Inter Quartile Range
    0.13009
  • 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)
    -0.66183
  • VaR(95%) (moments method)
    0.08055
  • Expected Shortfall (moments method)
    0.09098
  • Extreme Value Index (regression method)
    -0.39221
  • VaR(95%) (regression method)
    0.10075
  • Expected Shortfall (regression method)
    0.12101
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.08729
  • Quartile 1
    0.09762
  • Median
    0.10795
  • Quartile 3
    0.16626
  • Maximum
    0.22457
  • Mean of quarter 1
    0.08729
  • Mean of quarter 2
    0.10795
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22457
  • Inter Quartile Range
    0.06864
  • 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)
    0.30883
  • Compounded annual return (geometric extrapolation)
    0.27453
  • Calmar ratio (compounded annual return / max draw down)
    1.22245
  • Compounded annual return / average of 25% largest draw downs
    1.22245
  • Compounded annual return / Expected Shortfall lognormal
    1.80028
  • 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
    0.22405
  • SD
    0.24210
  • Sharpe ratio (Glass type estimate)
    0.92544
  • Sharpe ratio (Hedges UMVUE)
    0.92409
  • df
    517.00000
  • t
    1.30125
  • p
    0.09688
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47004
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47095
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31914
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55172
  • Upside Potential Ratio
    9.68771
  • Upside part of mean
    1.39880
  • Downside part of mean
    -1.17475
  • Upside SD
    0.19454
  • Downside SD
    0.14439
  • N nonnegative terms
    234.00000
  • N negative terms
    284.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    518.00000
  • Mean of predictor
    0.18204
  • Mean of criterion
    0.22405
  • SD of predictor
    0.16298
  • SD of criterion
    0.24210
  • Covariance
    0.00144
  • r
    0.03646
  • b (slope, estimate of beta)
    0.05416
  • a (intercept, estimate of alpha)
    0.21300
  • Mean Square Error
    0.05865
  • DF error
    516.00000
  • t(b)
    0.82882
  • p(b)
    0.20380
  • t(a)
    1.24066
  • p(a)
    0.10765
  • Lowerbound of 95% confidence interval for beta
    -0.07422
  • Upperbound of 95% confidence interval for beta
    0.18255
  • Lowerbound of 95% confidence interval for alpha
    -0.12498
  • Upperbound of 95% confidence interval for alpha
    0.55336
  • Treynor index (mean / b)
    4.13663
  • Jensen alpha (a)
    0.21419
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19501
  • SD
    0.24020
  • Sharpe ratio (Glass type estimate)
    0.81187
  • Sharpe ratio (Hedges UMVUE)
    0.81069
  • df
    517.00000
  • t
    1.14157
  • p
    0.12708
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20629
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58409
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20548
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33239
  • Upside Potential Ratio
    9.43044
  • Upside part of mean
    1.38025
  • Downside part of mean
    -1.18524
  • Upside SD
    0.19054
  • Downside SD
    0.14636
  • N nonnegative terms
    234.00000
  • N negative terms
    284.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    518.00000
  • Mean of predictor
    0.16874
  • Mean of criterion
    0.19501
  • SD of predictor
    0.16266
  • SD of criterion
    0.24020
  • Covariance
    0.00138
  • r
    0.03534
  • b (slope, estimate of beta)
    0.05219
  • a (intercept, estimate of alpha)
    0.18620
  • Mean Square Error
    0.05773
  • DF error
    516.00000
  • t(b)
    0.80334
  • p(b)
    0.21107
  • t(a)
    1.08740
  • p(a)
    0.13868
  • Lowerbound of 95% confidence interval for beta
    -0.07544
  • Upperbound of 95% confidence interval for beta
    0.17982
  • Lowerbound of 95% confidence interval for alpha
    -0.15020
  • Upperbound of 95% confidence interval for alpha
    0.52261
  • Treynor index (mean / b)
    3.73647
  • Jensen alpha (a)
    0.18620
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02339
  • Expected Shortfall on VaR
    0.02941
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01096
  • Expected Shortfall on VaR
    0.02086
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    518.00000
  • Minimum
    0.94067
  • Quartile 1
    0.99428
  • Median
    0.99969
  • Quartile 3
    1.00590
  • Maximum
    1.10069
  • Mean of quarter 1
    0.98516
  • Mean of quarter 2
    0.99719
  • Mean of quarter 3
    1.00214
  • Mean of quarter 4
    1.01933
  • Inter Quartile Range
    0.01161
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.04054
  • Mean of outliers low
    0.96835
  • Number of outliers high
    35.00000
  • Percentage of outliers high
    0.06757
  • Mean of outliers high
    1.03826
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10393
  • VaR(95%) (moments method)
    0.01383
  • Expected Shortfall (moments method)
    0.01994
  • Extreme Value Index (regression method)
    0.06721
  • VaR(95%) (regression method)
    0.01291
  • Expected Shortfall (regression method)
    0.01795
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00790
  • Median
    0.02485
  • Quartile 3
    0.07053
  • Maximum
    0.25924
  • Mean of quarter 1
    0.00481
  • Mean of quarter 2
    0.01511
  • Mean of quarter 3
    0.03804
  • Mean of quarter 4
    0.13495
  • Inter Quartile Range
    0.06263
  • 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
    0.05263
  • Mean of outliers high
    0.25924
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.01571
  • VaR(95%) (moments method)
    0.14209
  • Expected Shortfall (moments method)
    0.18811
  • Extreme Value Index (regression method)
    0.44466
  • VaR(95%) (regression method)
    0.15801
  • Expected Shortfall (regression method)
    0.28384
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28013
  • Compounded annual return (geometric extrapolation)
    0.24972
  • Calmar ratio (compounded annual return / max draw down)
    0.96325
  • Compounded annual return / average of 25% largest draw downs
    1.85052
  • Compounded annual return / Expected Shortfall lognormal
    8.49117
  • 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
    0.38164
  • SD
    0.24610
  • Sharpe ratio (Glass type estimate)
    1.55073
  • Sharpe ratio (Hedges UMVUE)
    1.54177
  • df
    130.00000
  • t
    1.09653
  • p
    0.45214
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.23038
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23637
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.31990
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.84810
  • Upside Potential Ratio
    11.42180
  • Upside part of mean
    1.53048
  • Downside part of mean
    -1.14885
  • Upside SD
    0.20665
  • Downside SD
    0.13400
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.42006
  • Mean of criterion
    0.38164
  • SD of predictor
    0.14001
  • SD of criterion
    0.24610
  • Covariance
    0.00615
  • r
    0.17841
  • b (slope, estimate of beta)
    0.31359
  • a (intercept, estimate of alpha)
    0.24991
  • Mean Square Error
    0.05909
  • DF error
    129.00000
  • t(b)
    2.05935
  • p(b)
    0.38703
  • t(a)
    0.71468
  • p(a)
    0.46005
  • Lowerbound of 95% confidence interval for beta
    0.01231
  • Upperbound of 95% confidence interval for beta
    0.61487
  • Lowerbound of 95% confidence interval for alpha
    -0.44194
  • Upperbound of 95% confidence interval for alpha
    0.94176
  • Treynor index (mean / b)
    1.21700
  • Jensen alpha (a)
    0.24991
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35164
  • SD
    0.24398
  • Sharpe ratio (Glass type estimate)
    1.44125
  • Sharpe ratio (Hedges UMVUE)
    1.43292
  • df
    130.00000
  • t
    1.01912
  • p
    0.45549
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33874
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21593
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34435
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.21020
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.59400
  • Upside Potential Ratio
    11.13520
  • Upside part of mean
    1.50948
  • Downside part of mean
    -1.15784
  • Upside SD
    0.20290
  • Downside SD
    0.13556
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.41001
  • Mean of criterion
    0.35164
  • SD of predictor
    0.13948
  • SD of criterion
    0.24398
  • Covariance
    0.00616
  • r
    0.18108
  • b (slope, estimate of beta)
    0.31676
  • a (intercept, estimate of alpha)
    0.22177
  • Mean Square Error
    0.05802
  • DF error
    129.00000
  • t(b)
    2.09124
  • p(b)
    0.38535
  • t(a)
    0.64045
  • p(a)
    0.46418
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.01707
  • Upperbound of 95% confidence interval for beta
    0.61645
  • Lowerbound of 95% confidence interval for alpha
    -0.46333
  • Upperbound of 95% confidence interval for alpha
    0.90687
  • Treynor index (mean / b)
    1.11013
  • Jensen alpha (a)
    0.22177
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02318
  • Expected Shortfall on VaR
    0.02930
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01153
  • Expected Shortfall on VaR
    0.02097
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95797
  • Quartile 1
    0.99334
  • Median
    0.99888
  • Quartile 3
    1.00624
  • Maximum
    1.05351
  • Mean of quarter 1
    0.98627
  • Mean of quarter 2
    0.99665
  • Mean of quarter 3
    1.00190
  • Mean of quarter 4
    1.02144
  • Inter Quartile Range
    0.01291
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96565
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.04104
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35323
  • VaR(95%) (moments method)
    0.01524
  • Expected Shortfall (moments method)
    0.02616
  • Extreme Value Index (regression method)
    0.04211
  • VaR(95%) (regression method)
    0.01309
  • Expected Shortfall (regression method)
    0.01740
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00243
  • Quartile 1
    0.01032
  • Median
    0.02548
  • Quartile 3
    0.03106
  • Maximum
    0.12717
  • Mean of quarter 1
    0.00678
  • Mean of quarter 2
    0.02145
  • Mean of quarter 3
    0.02886
  • Mean of quarter 4
    0.10011
  • Inter Quartile Range
    0.02074
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.10011
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.71556
  • VaR(95%) (moments method)
    0.07147
  • Expected Shortfall (moments method)
    0.07147
  • Extreme Value Index (regression method)
    -0.63422
  • VaR(95%) (regression method)
    0.14735
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.16868
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -364816000
  • Max Equity Drawdown (num days)
    179
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41796
  • Compounded annual return (geometric extrapolation)
    0.46163
  • Calmar ratio (compounded annual return / max draw down)
    3.63009
  • Compounded annual return / average of 25% largest draw downs
    4.61121
  • Compounded annual return / Expected Shortfall lognormal
    15.75700

Strategy Description

Please do not join existing positions!

During the period between October 2022 and Dec 2023, I tried various strategies in parallel with different risk profiles. Apparently, this was a bad idea. I won't mix things again.
Starting with January 2024, we just trade Episodic Pivot and nothing else.

The maximum position size is 10% of the account. The maximum risk is 10% per position, or 1% per account. We will open up to 25 positions.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-07-21
Suggested Minimum Capital
$35,000
# Trades
797
# Profitable
276
% Profitable
34.6%
Net Dividends
$125
Correlation S&P500
0.037
Sharpe Ratio
0.52
Sortino Ratio
0.86
Beta
0.05
Alpha
0.04
Leverage
0.85 Average
2.07 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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