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These are hypothetical performance results that have certain inherent limitations. Learn more

Max Stock Trading
(142675722)

Created by: StevenSaliba StevenSaliba
Started: 11/2022
Stocks
Last trade: 291 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 $19.00 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.

-13.0%
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.

(44.3%)
Max Drawdown
63
Num Trades
74.6%
Win Trades
0.6 : 1
Profit Factor
52.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                      (0.1%)(0.8%)(0.9%)
2023+5.7%+7.0%+4.5%+2.6%+0.4%(11.2%)+1.0%+1.7%+7.1%+2.4%(13.6%)(7.5%)(2.8%)
2024(7.3%)(6.2%)(14.2%)+16.5%(2.9%)                                          (15.6%)

Model Account Details

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

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

Trading Record

This strategy has placed 2 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 381 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/14/23 11:27 UNVR UNIVAR SOLUTIONS INC SHORT 286 35.35 8/1 9:30 36.15 0.15%
Trade id #144301221
Max drawdown($163)
Time7/12/23 0:00
Quant open286
Worst price35.92
Drawdown as % of equity-0.15%
($235)
Includes Typical Broker Commissions trade costs of $5.72
2/15/23 10:20 MPC MARATHON PETROLEUM SHORT 79 126.93 6/6 13:07 108.68 0.8%
Trade id #143591603
Max drawdown($940)
Time4/3/23 0:00
Quant open79
Worst price138.83
Drawdown as % of equity-0.80%
$1,440
Includes Typical Broker Commissions trade costs of $1.58
4/3/23 14:49 LSCC LATTICE SEMICONDUCTOR SHORT 105 94.76 6/6 13:06 79.15 0.13%
Trade id #144159383
Max drawdown($148)
Time4/18/23 0:00
Quant open105
Worst price96.17
Drawdown as % of equity-0.13%
$1,637
Includes Typical Broker Commissions trade costs of $2.10
1/9/23 11:11 DOW DOW INC SHORT 178 56.10 5/23 12:45 51.99 0.79%
Trade id #143147470
Max drawdown($849)
Time2/7/23 0:00
Quant open178
Worst price60.88
Drawdown as % of equity-0.79%
$728
Includes Typical Broker Commissions trade costs of $3.56
1/12/23 13:21 VLO VALERO ENERGY SHORT 73 135.58 5/23 12:34 114.48 1.73%
Trade id #143198002
Max drawdown($1,794)
Time1/24/23 0:00
Quant open73
Worst price160.16
Drawdown as % of equity-1.73%
$1,539
Includes Typical Broker Commissions trade costs of $1.46
2/6/23 9:32 ODFL OLD DOMINION FREIGHT LNS SHORT 27 371.64 3/29 14:18 330.00 0.04%
Trade id #143468937
Max drawdown($40)
Time2/6/23 10:08
Quant open27
Worst price373.14
Drawdown as % of equity-0.04%
$1,123
Includes Typical Broker Commissions trade costs of $0.54
1/6/23 13:32 CAT CATERPILLAR SHORT 40 248.28 3/27 9:47 216.22 0.7%
Trade id #143128288
Max drawdown($710)
Time1/27/23 0:00
Quant open40
Worst price266.04
Drawdown as % of equity-0.70%
$1,281
Includes Typical Broker Commissions trade costs of $0.80
2/6/23 9:32 PH PARKER HANNIFIN SHORT 29 348.05 3/17 12:32 304.37 0.44%
Trade id #143468814
Max drawdown($479)
Time3/9/23 0:00
Quant open29
Worst price364.57
Drawdown as % of equity-0.44%
$1,266
Includes Typical Broker Commissions trade costs of $0.58
1/13/23 11:53 NUE NUCOR SHORT 64 155.62 3/17 12:30 144.90 1.61%
Trade id #143213487
Max drawdown($1,731)
Time2/3/23 0:00
Quant open64
Worst price182.68
Drawdown as % of equity-1.61%
$685
Includes Typical Broker Commissions trade costs of $1.28
1/12/23 13:24 MCK MCKESSON SHORT 26 381.87 3/17 12:29 339.79 0.15%
Trade id #143198118
Max drawdown($148)
Time1/27/23 0:00
Quant open26
Worst price387.57
Drawdown as % of equity-0.15%
$1,093
Includes Typical Broker Commissions trade costs of $0.52
1/17/23 9:30 CVX CHEVRON SHORT 56 178.90 3/17 12:29 153.48 0.48%
Trade id #143236574
Max drawdown($498)
Time1/26/23 0:00
Quant open56
Worst price187.81
Drawdown as % of equity-0.48%
$1,423
Includes Typical Broker Commissions trade costs of $1.12
1/9/23 13:53 MET METLIFE SHORT 139 71.82 3/17 12:26 55.49 0.19%
Trade id #143150650
Max drawdown($202)
Time2/1/23 0:00
Quant open139
Worst price73.28
Drawdown as % of equity-0.19%
$2,267
Includes Typical Broker Commissions trade costs of $2.78
1/9/23 14:03 HES HESS SHORT 69 144.91 3/13 10:30 124.92 1.04%
Trade id #143150836
Max drawdown($1,077)
Time1/26/23 0:00
Quant open69
Worst price160.52
Drawdown as % of equity-1.04%
$1,378
Includes Typical Broker Commissions trade costs of $1.38
1/9/23 13:55 AIG AMERICAN INTERNATIONAL SHORT 156 64.04 3/13 10:28 49.97 0.07%
Trade id #143150681
Max drawdown($68)
Time1/13/23 0:00
Quant open156
Worst price64.48
Drawdown as % of equity-0.07%
$2,192
Includes Typical Broker Commissions trade costs of $3.12
12/15/22 15:54 WBA WALGREEN BOOTS ALLIANCE INC. LONG 252 39.50 2/27/23 9:31 35.99 1.31%
Trade id #142895074
Max drawdown($1,310)
Time1/5/23 0:00
Quant open252
Worst price34.30
Drawdown as % of equity-1.31%
($890)
Includes Typical Broker Commissions trade costs of $5.04
12/15/22 15:23 TSLA TESLA INC. LONG 63 157.67 1/26/23 15:28 158.74 3.57%
Trade id #142894645
Max drawdown($3,519)
Time1/6/23 0:00
Quant open63
Worst price101.81
Drawdown as % of equity-3.57%
$66
Includes Typical Broker Commissions trade costs of $1.26
11/25/22 9:33 MRK MERCK SHORT 93 106.89 1/24/23 9:30 103.67 0.81%
Trade id #142676150
Max drawdown($799)
Time1/6/23 0:00
Quant open93
Worst price115.49
Drawdown as % of equity-0.81%
$297
Includes Typical Broker Commissions trade costs of $1.86
1/9/23 13:57 AZO AUTOZONE SHORT 4 2453.54 1/19 15:11 2342.34 0.02%
Trade id #143150725
Max drawdown($21)
Time1/9/23 14:44
Quant open4
Worst price2458.96
Drawdown as % of equity-0.02%
$445
Includes Typical Broker Commissions trade costs of $0.08
1/6/23 13:42 JPM JPMORGAN CHASE SHORT 73 137.76 1/18 13:27 137.27 0.41%
Trade id #143128380
Max drawdown($418)
Time1/13/23 0:00
Quant open73
Worst price143.49
Drawdown as % of equity-0.41%
$35
Includes Typical Broker Commissions trade costs of $1.46
1/6/23 13:37 PG PROCTER & GAMBLE SHORT 65 153.72 1/18 13:15 146.69 0.07%
Trade id #143128329
Max drawdown($70)
Time1/9/23 0:00
Quant open65
Worst price154.80
Drawdown as % of equity-0.07%
$456
Includes Typical Broker Commissions trade costs of $1.30
12/19/22 12:43 AAPL APPLE LONG 75 133.07 1/17/23 15:24 135.68 0.67%
Trade id #142928781
Max drawdown($667)
Time1/3/23 0:00
Quant open75
Worst price124.17
Drawdown as % of equity-0.67%
$195
Includes Typical Broker Commissions trade costs of $1.50
1/6/23 13:38 TRV TRAVELERS COMPANIES SHORT 52 193.31 1/17 9:54 185.42 0.06%
Trade id #143128335
Max drawdown($59)
Time1/6/23 15:54
Quant open52
Worst price194.45
Drawdown as % of equity-0.06%
$409
Includes Typical Broker Commissions trade costs of $1.04
12/15/22 15:20 AMZN AMAZON.COM LONG 113 88.08 1/11/23 9:40 92.61 0.76%
Trade id #142894626
Max drawdown($751)
Time1/6/23 0:00
Quant open113
Worst price81.43
Drawdown as % of equity-0.76%
$510
Includes Typical Broker Commissions trade costs of $2.26
12/5/22 10:00 CRM SALESFORCE INC LONG 71 140.98 1/9/23 9:38 144.23 1.02%
Trade id #142768376
Max drawdown($1,039)
Time12/22/22 0:00
Quant open71
Worst price126.34
Drawdown as % of equity-1.02%
$230
Includes Typical Broker Commissions trade costs of $1.42
12/15/22 15:00 INTC INTEL LONG 365 27.36 1/6/23 13:29 28.37 0.72%
Trade id #142894337
Max drawdown($733)
Time12/22/22 0:00
Quant open365
Worst price25.35
Drawdown as % of equity-0.72%
$362
Includes Typical Broker Commissions trade costs of $7.30
12/15/22 15:02 MMM 3M LONG 81 122.35 1/4/23 12:19 124.91 0.37%
Trade id #142894391
Max drawdown($368)
Time12/23/22 0:00
Quant open81
Worst price117.80
Drawdown as % of equity-0.37%
$205
Includes Typical Broker Commissions trade costs of $1.62
12/15/22 14:58 DIS WALT DISNEY LONG 110 90.53 1/4/23 12:18 92.13 0.73%
Trade id #142894282
Max drawdown($710)
Time12/28/22 0:00
Quant open110
Worst price84.07
Drawdown as % of equity-0.73%
$174
Includes Typical Broker Commissions trade costs of $2.20
12/12/22 13:34 ABBV ABBVIE INC SHORT 61 164.07 12/19 12:49 160.94 0.21%
Trade id #142849311
Max drawdown($209)
Time12/13/22 0:00
Quant open61
Worst price167.50
Drawdown as % of equity-0.21%
$190
Includes Typical Broker Commissions trade costs of $1.22
12/12/22 13:37 PFE PFIZER SHORT 190 52.48 12/19 10:01 50.87 0.46%
Trade id #142849344
Max drawdown($465)
Time12/14/22 0:00
Quant open190
Worst price54.93
Drawdown as % of equity-0.46%
$302
Includes Typical Broker Commissions trade costs of $3.80
12/12/22 14:54 CSCO CISCO SYSTEMS SHORT 204 49.00 12/15 12:24 48.03 0.34%
Trade id #142849985
Max drawdown($348)
Time12/13/22 0:00
Quant open204
Worst price50.71
Drawdown as % of equity-0.34%
$194
Includes Typical Broker Commissions trade costs of $4.08

Statistics

  • Strategy began
    11/25/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    535.98
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    63
  • # Profitable
    47
  • % Profitable
    74.60%
  • Avg trade duration
    126.9 days
  • Max peak-to-valley drawdown
    44.29%
  • drawdown period
    June 07, 2023 - March 24, 2024
  • Annual Return (Compounded)
    -13.0%
  • Avg win
    $666.19
  • Avg loss
    $3,173
  • Model Account Values (Raw)
  • Cash
    $273,067
  • Margin Used
    $223,964
  • Buying Power
    $4,398
  • Ratios
  • W:L ratio
    0.61:1
  • Sharpe Ratio
    -0.41
  • Sortino Ratio
    -0.56
  • Calmar Ratio
    -0.451
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -48.31%
  • Correlation to SP500
    -0.61970
  • Return Percent SP500 (cumu) during strategy life
    31.72%
  • Return Statistics
  • Ann Return (w trading costs)
    -13.0%
  • Slump
  • Current Slump as Pcnt Equity
    53.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.64%
  • 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)
    -0.130%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -12.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.50%
  • Chance of 20% account loss
    6.50%
  • Chance of 30% account loss
    0.50%
  • 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)
    0
  • Popularity (Last 6 weeks)
    609
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    342
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,035
  • Avg Win
    $680
  • Sum Trade PL (losers)
    $48,558.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $31,979.000
  • # Winners
    47
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    -1463
  • Win / Loss
  • # Losers
    16
  • % Winners
    74.6%
  • Frequency
  • Avg Position Time (mins)
    182155.00
  • Avg Position Time (hrs)
    3035.92
  • Avg Trade Length
    126.5 days
  • Last Trade Ago
    287
  • Leverage
  • Daily leverage (average)
    1.30
  • Daily leverage (max)
    1.89
  • Regression
  • Alpha
    0.02
  • Beta
    -1.10
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.50
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -4.880
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.788
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.333
  • Hold-and-Hope Ratio
    -0.349
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25918
  • SD
    0.38476
  • Sharpe ratio (Glass type estimate)
    -0.67360
  • Sharpe ratio (Hedges UMVUE)
    -0.62157
  • df
    10.00000
  • t
    -0.64493
  • p
    0.73325
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.72512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41038
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68672
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44359
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.75564
  • Upside Potential Ratio
    0.91027
  • Upside part of mean
    0.31221
  • Downside part of mean
    -0.57139
  • Upside SD
    0.15013
  • Downside SD
    0.34299
  • N nonnegative terms
    5.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.25968
  • Mean of criterion
    -0.25918
  • SD of predictor
    0.19072
  • SD of criterion
    0.38476
  • Covariance
    -0.05763
  • r
    -0.78536
  • b (slope, estimate of beta)
    -1.58439
  • a (intercept, estimate of alpha)
    0.15225
  • Mean Square Error
    0.06303
  • DF error
    9.00000
  • t(b)
    -3.80603
  • p(b)
    0.99791
  • t(a)
    0.53679
  • p(a)
    0.30221
  • Lowerbound of 95% confidence interval for beta
    -2.52609
  • Upperbound of 95% confidence interval for beta
    -0.64269
  • Lowerbound of 95% confidence interval for alpha
    -0.48938
  • Upperbound of 95% confidence interval for alpha
    0.79389
  • Treynor index (mean / b)
    0.16358
  • Jensen alpha (a)
    0.15225
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.34166
  • SD
    0.43544
  • Sharpe ratio (Glass type estimate)
    -0.78463
  • Sharpe ratio (Hedges UMVUE)
    -0.72402
  • df
    10.00000
  • t
    -0.75123
  • p
    0.76509
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.84094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30917
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.79558
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34754
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.85082
  • Upside Potential Ratio
    0.74909
  • Upside part of mean
    0.30081
  • Downside part of mean
    -0.64247
  • Upside SD
    0.14437
  • Downside SD
    0.40157
  • N nonnegative terms
    5.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.24077
  • Mean of criterion
    -0.34166
  • SD of predictor
    0.18435
  • SD of criterion
    0.43544
  • Covariance
    -0.06212
  • r
    -0.77385
  • b (slope, estimate of beta)
    -1.82786
  • a (intercept, estimate of alpha)
    0.09843
  • Mean Square Error
    0.08451
  • DF error
    9.00000
  • t(b)
    -3.66540
  • p(b)
    0.99740
  • t(a)
    0.30147
  • p(a)
    0.38495
  • Lowerbound of 95% confidence interval for beta
    -2.95596
  • Upperbound of 95% confidence interval for beta
    -0.69977
  • Lowerbound of 95% confidence interval for alpha
    -0.64019
  • Upperbound of 95% confidence interval for alpha
    0.83706
  • Treynor index (mean / b)
    0.18692
  • Jensen alpha (a)
    0.09843
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20961
  • Expected Shortfall on VaR
    0.24925
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11567
  • Expected Shortfall on VaR
    0.22545
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.69686
  • Quartile 1
    0.95267
  • Median
    0.98986
  • Quartile 3
    1.06028
  • Maximum
    1.09096
  • Mean of quarter 1
    0.84663
  • Mean of quarter 2
    0.98344
  • Mean of quarter 3
    1.02789
  • Mean of quarter 4
    1.08068
  • Inter Quartile Range
    0.10761
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.69686
  • 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)
    0.33519
  • VaR(95%) (moments method)
    0.16481
  • Expected Shortfall (moments method)
    0.30412
  • Extreme Value Index (regression method)
    2.31619
  • VaR(95%) (regression method)
    0.36201
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01264
  • Quartile 1
    0.10589
  • Median
    0.19914
  • Quartile 3
    0.29238
  • Maximum
    0.38563
  • Mean of quarter 1
    0.01264
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.38563
  • Inter Quartile Range
    0.18649
  • 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)
    -0.27266
  • Compounded annual return (geometric extrapolation)
    -0.26930
  • Calmar ratio (compounded annual return / max draw down)
    -0.69834
  • Compounded annual return / average of 25% largest draw downs
    -0.69834
  • Compounded annual return / Expected Shortfall lognormal
    -1.08042
  • 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
    -0.18228
  • SD
    0.32191
  • Sharpe ratio (Glass type estimate)
    -0.56626
  • Sharpe ratio (Hedges UMVUE)
    -0.56456
  • df
    250.00000
  • t
    -0.55425
  • p
    0.71005
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.56883
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43731
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.56762
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43850
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.75642
  • Upside Potential Ratio
    5.77541
  • Upside part of mean
    1.39177
  • Downside part of mean
    -1.57405
  • Upside SD
    0.21276
  • Downside SD
    0.24098
  • N nonnegative terms
    121.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    251.00000
  • Mean of predictor
    0.25153
  • Mean of criterion
    -0.18228
  • SD of predictor
    0.17974
  • SD of criterion
    0.32191
  • Covariance
    -0.03758
  • r
    -0.64956
  • b (slope, estimate of beta)
    -1.16335
  • a (intercept, estimate of alpha)
    0.11000
  • Mean Square Error
    0.06014
  • DF error
    249.00000
  • t(b)
    -13.48130
  • p(b)
    1.00000
  • t(a)
    0.43870
  • p(a)
    0.33063
  • Lowerbound of 95% confidence interval for beta
    -1.33331
  • Upperbound of 95% confidence interval for beta
    -0.99339
  • Lowerbound of 95% confidence interval for alpha
    -0.38500
  • Upperbound of 95% confidence interval for alpha
    0.60566
  • Treynor index (mean / b)
    0.15669
  • Jensen alpha (a)
    0.11033
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.23447
  • SD
    0.32449
  • Sharpe ratio (Glass type estimate)
    -0.72258
  • Sharpe ratio (Hedges UMVUE)
    -0.72041
  • df
    250.00000
  • t
    -0.70725
  • p
    0.75996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.72534
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28157
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.72385
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28304
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.93620
  • Upside Potential Ratio
    5.47002
  • Upside part of mean
    1.36997
  • Downside part of mean
    -1.60445
  • Upside SD
    0.20582
  • Downside SD
    0.25045
  • N nonnegative terms
    121.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    251.00000
  • Mean of predictor
    0.23529
  • Mean of criterion
    -0.23447
  • SD of predictor
    0.17987
  • SD of criterion
    0.32449
  • Covariance
    -0.03770
  • r
    -0.64584
  • b (slope, estimate of beta)
    -1.16511
  • a (intercept, estimate of alpha)
    0.03966
  • Mean Square Error
    0.06162
  • DF error
    249.00000
  • t(b)
    -13.34850
  • p(b)
    1.00000
  • t(a)
    0.15588
  • p(a)
    0.43813
  • Lowerbound of 95% confidence interval for beta
    -1.33702
  • Upperbound of 95% confidence interval for beta
    -0.99320
  • Lowerbound of 95% confidence interval for alpha
    -0.46149
  • Upperbound of 95% confidence interval for alpha
    0.54082
  • Treynor index (mean / b)
    0.20125
  • Jensen alpha (a)
    0.03966
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03330
  • Expected Shortfall on VaR
    0.04134
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01393
  • Expected Shortfall on VaR
    0.02934
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    251.00000
  • Minimum
    0.88500
  • Quartile 1
    0.99266
  • Median
    0.99970
  • Quartile 3
    1.00649
  • Maximum
    1.12313
  • Mean of quarter 1
    0.98022
  • Mean of quarter 2
    0.99607
  • Mean of quarter 3
    1.00314
  • Mean of quarter 4
    1.01828
  • Inter Quartile Range
    0.01382
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.03984
  • Mean of outliers low
    0.93785
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.03586
  • Mean of outliers high
    1.05451
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67083
  • VaR(95%) (moments method)
    0.02195
  • Expected Shortfall (moments method)
    0.06699
  • Extreme Value Index (regression method)
    0.62902
  • VaR(95%) (regression method)
    0.01582
  • Expected Shortfall (regression method)
    0.03823
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00186
  • Quartile 1
    0.00665
  • Median
    0.01446
  • Quartile 3
    0.04584
  • Maximum
    0.41410
  • Mean of quarter 1
    0.00391
  • Mean of quarter 2
    0.01097
  • Mean of quarter 3
    0.03793
  • Mean of quarter 4
    0.23229
  • Inter Quartile Range
    0.03919
  • 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
    0.41410
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.05295
  • VaR(95%) (moments method)
    0.23635
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    5.29536
  • VaR(95%) (regression method)
    2.74230
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.18741
  • Compounded annual return (geometric extrapolation)
    -0.18663
  • Calmar ratio (compounded annual return / max draw down)
    -0.45068
  • Compounded annual return / average of 25% largest draw downs
    -0.80343
  • Compounded annual return / Expected Shortfall lognormal
    -4.51440
  • 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
    -0.67906
  • SD
    0.41796
  • Sharpe ratio (Glass type estimate)
    -1.62471
  • Sharpe ratio (Hedges UMVUE)
    -1.61532
  • df
    130.00000
  • t
    -1.14884
  • p
    0.55013
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.40052
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15715
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.39407
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16343
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.10524
  • Upside Potential Ratio
    4.91853
  • Upside part of mean
    1.58651
  • Downside part of mean
    -2.26557
  • Upside SD
    0.26660
  • Downside SD
    0.32256
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.44696
  • Mean of criterion
    -0.67906
  • SD of predictor
    0.19150
  • SD of criterion
    0.41796
  • Covariance
    -0.06423
  • r
    -0.80241
  • b (slope, estimate of beta)
    -1.75127
  • a (intercept, estimate of alpha)
    0.10368
  • Mean Square Error
    0.06270
  • DF error
    129.00000
  • t(b)
    -15.27140
  • p(b)
    0.94887
  • t(a)
    0.28976
  • p(a)
    0.48377
  • Lowerbound of 95% confidence interval for beta
    -1.97816
  • Upperbound of 95% confidence interval for beta
    -1.52438
  • Lowerbound of 95% confidence interval for alpha
    -0.60424
  • Upperbound of 95% confidence interval for alpha
    0.81159
  • Treynor index (mean / b)
    0.38776
  • Jensen alpha (a)
    0.10368
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.76766
  • SD
    0.42168
  • Sharpe ratio (Glass type estimate)
    -1.82050
  • Sharpe ratio (Hedges UMVUE)
    -1.80997
  • df
    130.00000
  • t
    -1.28728
  • p
    0.55610
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.59773
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.96352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.59050
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97055
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.28491
  • Upside Potential Ratio
    4.62120
  • Upside part of mean
    1.55258
  • Downside part of mean
    -2.32024
  • Upside SD
    0.25657
  • Downside SD
    0.33597
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.42830
  • Mean of criterion
    -0.76766
  • SD of predictor
    0.19191
  • SD of criterion
    0.42168
  • Covariance
    -0.06442
  • r
    -0.79601
  • b (slope, estimate of beta)
    -1.74901
  • a (intercept, estimate of alpha)
    -0.01855
  • Mean Square Error
    0.06565
  • DF error
    129.00000
  • t(b)
    -14.93670
  • p(b)
    0.94642
  • t(a)
    -0.05072
  • p(a)
    0.50284
  • VAR (95 Confidence Intrvl)
    0.03300
  • Lowerbound of 95% confidence interval for beta
    -1.98069
  • Upperbound of 95% confidence interval for beta
    -1.51734
  • Lowerbound of 95% confidence interval for alpha
    -0.74231
  • Upperbound of 95% confidence interval for alpha
    0.70520
  • Treynor index (mean / b)
    0.43891
  • Jensen alpha (a)
    -0.01855
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04475
  • Expected Shortfall on VaR
    0.05505
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02169
  • Expected Shortfall on VaR
    0.04385
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88500
  • Quartile 1
    0.99120
  • Median
    0.99843
  • Quartile 3
    1.00603
  • Maximum
    1.12313
  • Mean of quarter 1
    0.97149
  • Mean of quarter 2
    0.99457
  • Mean of quarter 3
    1.00214
  • Mean of quarter 4
    1.02200
  • Inter Quartile Range
    0.01483
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.93785
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.06000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64165
  • VaR(95%) (moments method)
    0.03043
  • Expected Shortfall (moments method)
    0.09082
  • Extreme Value Index (regression method)
    0.57271
  • VaR(95%) (regression method)
    0.02394
  • Expected Shortfall (regression method)
    0.05744
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00064
  • Quartile 1
    0.00758
  • Median
    0.01452
  • Quartile 3
    0.21415
  • Maximum
    0.41379
  • Mean of quarter 1
    0.00064
  • Mean of quarter 2
    0.01452
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.41379
  • Inter Quartile Range
    0.20657
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -358000000
  • Max Equity Drawdown (num days)
    291
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.61836
  • Compounded annual return (geometric extrapolation)
    -0.52277
  • Calmar ratio (compounded annual return / max draw down)
    -1.26338
  • Compounded annual return / average of 25% largest draw downs
    -1.26338
  • Compounded annual return / Expected Shortfall lognormal
    -9.49684

Strategy Description

Summary Statistics

Strategy began
2022-11-25
Suggested Minimum Capital
$15,000
# Trades
63
# Profitable
47
% Profitable
74.6%
Net Dividends
Correlation S&P500
-0.620
Sharpe Ratio
-0.41
Sortino Ratio
-0.56
Beta
-1.10
Alpha
0.02
Leverage
1.30 Average
1.89 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.