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

AltData III
(143001897)

Created by: AltData AltData
Started: 12/2022
Stocks
Last trade: 25 days ago
Subscriptions not currently available.

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 $1,999.00 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.

59.8%
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.

(17.6%)
Max Drawdown
123
Num Trades
56.9%
Win Trades
1.7 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023       +17.4%+18.2%(0.9%)+2.7%(9.1%)(0.2%)+9.7%(1.3%)+1.8%+13.6%(8%)+47.7%
2024(2.1%)+27.5%(1.8%)+0.3%+11.8%+1.8%  -                                +40.0%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/10/24 13:40 ADBE ADOBE INC SHORT 1,070 457.91 6/17 15:40 521.47 3.83%
Trade id #148373746
Max drawdown($81,897)
Time6/14/24 0:00
Quant open1,070
Worst price534.45
Drawdown as % of equity-3.83%
($68,014)
Includes Typical Broker Commissions trade costs of $5.00
6/3/24 10:40 DOCU DOCUSIGN INC. COMMON STOCK SHORT 10,220 53.94 6/17 15:40 51.13 0.41%
Trade id #148315354
Max drawdown($8,380)
Time6/6/24 0:00
Quant open10,220
Worst price54.76
Drawdown as % of equity-0.41%
$28,713
Includes Typical Broker Commissions trade costs of $5.00
6/3/24 10:40 BASE COUCHBASE INC. COMMON STOCK SHORT 14,120 22.73 6/10 13:40 18.12 0.08%
Trade id #148315351
Max drawdown($1,694)
Time6/3/24 10:47
Quant open14,120
Worst price22.85
Drawdown as % of equity-0.08%
$65,088
Includes Typical Broker Commissions trade costs of $5.00
5/28/24 13:40 OKTA OKTA INC. CL A COMMON STOCK SHORT 3,330 97.41 6/10 13:40 89.05 0.7%
Trade id #148272811
Max drawdown($13,619)
Time5/30/24 0:00
Quant open3,330
Worst price101.50
Drawdown as % of equity-0.70%
$27,834
Includes Typical Broker Commissions trade costs of $5.00
5/28/24 13:40 MDB MONGODB INC. CLASS A COMMON STOCK SHORT 930 334.73 6/3 10:40 242.91 0.21%
Trade id #148272808
Max drawdown($4,110)
Time5/29/24 0:00
Quant open930
Worst price339.15
Drawdown as % of equity-0.21%
$85,388
Includes Typical Broker Commissions trade costs of $5.00
5/28/24 13:40 ESTC ELASTIC NV SHORT 3,770 100.29 6/3 10:40 102.08 1.26%
Trade id #148272805
Max drawdown($25,296)
Time5/31/24 0:00
Quant open3,770
Worst price107.00
Drawdown as % of equity-1.26%
($6,753)
Includes Typical Broker Commissions trade costs of $5.00
5/21/24 10:40 NVDA NVIDIA LONG 370 945.00 6/3 10:40 1136.50 0.25%
Trade id #148216504
Max drawdown($4,628)
Time5/22/24 0:00
Quant open370
Worst price932.49
Drawdown as % of equity-0.25%
$70,848
Includes Typical Broker Commissions trade costs of $7.40
5/21/24 10:40 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A LONG 5,300 64.80 5/28 13:40 62.27 0.85%
Trade id #148216513
Max drawdown($16,430)
Time5/28/24 9:40
Quant open5,300
Worst price61.70
Drawdown as % of equity-0.85%
($13,414)
Includes Typical Broker Commissions trade costs of $5.00
5/21/24 10:40 WDAY WORKDAY SHORT 1,320 259.49 5/28 13:40 215.48 0.3%
Trade id #148216510
Max drawdown($5,504)
Time5/23/24 0:00
Quant open1,320
Worst price263.66
Drawdown as % of equity-0.30%
$58,088
Includes Typical Broker Commissions trade costs of $5.00
5/21/24 10:40 SNOW SNOWFLAKE INC LONG 2,100 164.03 5/28 13:40 151.24 1.43%
Trade id #148216507
Max drawdown($27,741)
Time5/28/24 13:18
Quant open2,100
Worst price150.82
Drawdown as % of equity-1.43%
($26,864)
Includes Typical Broker Commissions trade costs of $5.00
5/16/24 12:40 WIX WIX.COM LTD. ORDINARY SHARES LONG 3,480 136.45 5/28 13:40 165.63 0.34%
Trade id #148186369
Max drawdown($5,956)
Time5/17/24 0:00
Quant open3,480
Worst price134.74
Drawdown as % of equity-0.34%
$101,541
Includes Typical Broker Commissions trade costs of $5.00
5/13/24 10:40 CSCO CISCO SYSTEMS LONG 8,490 48.70 5/21 10:40 47.66 0.51%
Trade id #148154257
Max drawdown($9,400)
Time5/21/24 10:30
Quant open5,000
Worst price46.82
Drawdown as % of equity-0.51%
($8,823)
Includes Typical Broker Commissions trade costs of $7.50
5/6/24 10:40 U UNITY SOFTWARE INC LONG 16,490 25.36 5/13 10:40 22.96 3.55%
Trade id #148100098
Max drawdown($61,923)
Time5/13/24 9:32
Quant open16,490
Worst price21.60
Drawdown as % of equity-3.55%
($39,581)
Includes Typical Broker Commissions trade costs of $5.00
5/6/24 10:40 TWLO TWILIO INC SHORT 4,390 63.23 5/13 10:40 61.06 0.16%
Trade id #148100095
Max drawdown($2,985)
Time5/7/24 0:00
Quant open4,390
Worst price63.91
Drawdown as % of equity-0.16%
$9,521
Includes Typical Broker Commissions trade costs of $5.00
5/6/24 10:40 DOCN DIGITAL OCEAN HOLDINGS INC SHORT 11,920 34.47 5/13 10:40 35.81 1.47%
Trade id #148100081
Max drawdown($25,628)
Time5/13/24 9:30
Quant open11,920
Worst price36.62
Drawdown as % of equity-1.47%
($15,978)
Includes Typical Broker Commissions trade costs of $5.00
5/6/24 10:40 DDOG DATADOG INC. LONG 4,380 125.11 5/13 10:40 118.32 3.52%
Trade id #148100078
Max drawdown($64,683)
Time5/7/24 0:00
Quant open4,380
Worst price110.34
Drawdown as % of equity-3.52%
($29,745)
Includes Typical Broker Commissions trade costs of $5.00
5/6/24 10:40 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 10,550 38.66 5/6 13:40 38.29 0.22%
Trade id #148100092
Max drawdown($4,114)
Time5/6/24 13:28
Quant open10,550
Worst price38.27
Drawdown as % of equity-0.22%
($3,909)
Includes Typical Broker Commissions trade costs of $5.00
4/29/24 10:40 ZG ZILLOW GROUP INC. CLASS A COMMON STOCK SHORT 3,150 43.48 5/6 10:40 40.49 0.02%
Trade id #148038523
Max drawdown($315)
Time4/29/24 10:43
Quant open3,150
Worst price43.58
Drawdown as % of equity-0.02%
$9,414
Includes Typical Broker Commissions trade costs of $5.00
4/29/24 10:40 GDDY GODADDY INC LONG 4,350 125.15 5/6 10:40 127.14 1.09%
Trade id #148038516
Max drawdown($19,836)
Time5/2/24 0:00
Quant open4,350
Worst price120.59
Drawdown as % of equity-1.09%
$8,652
Includes Typical Broker Commissions trade costs of $5.00
4/29/24 10:40 FTNT FORTINET LONG 7,420 64.09 5/6 10:40 59.75 2.09%
Trade id #148038513
Max drawdown($39,303)
Time5/3/24 0:00
Quant open7,420
Worst price58.79
Drawdown as % of equity-2.09%
($32,208)
Includes Typical Broker Commissions trade costs of $5.00
4/29/24 10:40 ETSY ETSY INC. COMMON STOCK SHORT 2,020 68.46 5/6 10:40 62.34 0.36%
Trade id #148038510
Max drawdown($6,585)
Time5/1/24 0:00
Quant open2,020
Worst price71.72
Drawdown as % of equity-0.36%
$12,357
Includes Typical Broker Commissions trade costs of $5.00
4/29/24 10:40 EBAY EBAY SHORT 5,230 52.58 5/6 10:40 49.65 0.09%
Trade id #148038507
Max drawdown($1,569)
Time4/29/24 14:22
Quant open5,230
Worst price52.88
Drawdown as % of equity-0.09%
$15,319
Includes Typical Broker Commissions trade costs of $5.00
4/22/24 11:40 SAP SAP AE LONG 2,710 177.07 4/29 10:40 184.04 0.01%
Trade id #147975902
Max drawdown($216)
Time4/22/24 11:45
Quant open2,710
Worst price176.99
Drawdown as % of equity-0.01%
$18,884
Includes Typical Broker Commissions trade costs of $5.00
4/22/24 11:40 NOW SERVICENOW SHORT 290 714.59 4/29 10:40 720.06 0.68%
Trade id #147975899
Max drawdown($12,371)
Time4/24/24 0:00
Quant open290
Worst price757.25
Drawdown as % of equity-0.68%
($1,592)
Includes Typical Broker Commissions trade costs of $5.80
3/11/24 11:40 ASAN ASANA INC LONG 21,860 18.85 3/18 10:40 15.96 3.92%
Trade id #147592718
Max drawdown($71,045)
Time3/18/24 9:59
Quant open21,860
Worst price15.60
Drawdown as % of equity-3.92%
($63,180)
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 10:40 SEMR SEMRUSH HOLDINGS INC LONG 10,830 12.40 3/11 11:40 11.15 1.63%
Trade id #147528446
Max drawdown($29,890)
Time3/5/24 0:00
Quant open10,830
Worst price9.64
Drawdown as % of equity-1.63%
($13,543)
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 10:40 HCP HASHICORP INC. SHORT 10,510 25.33 3/11 11:40 26.19 1.06%
Trade id #147528443
Max drawdown($20,284)
Time3/6/24 0:00
Quant open10,510
Worst price27.26
Drawdown as % of equity-1.06%
($9,044)
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 10:40 GWRE GUIDEWIRE SOFTWARE LONG 2,910 118.02 3/11 11:40 116.16 0.69%
Trade id #147528440
Max drawdown($12,687)
Time3/5/24 0:00
Quant open2,910
Worst price113.66
Drawdown as % of equity-0.69%
($5,418)
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 10:40 GTLB GITLAB INC. CLASS A COMMON STOCK SHORT 5,570 73.22 3/11 11:40 56.70 0.54%
Trade id #147528437
Max drawdown($9,914)
Time3/4/24 16:00
Quant open5,570
Worst price75.00
Drawdown as % of equity-0.54%
$92,011
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 10:40 DOCU DOCUSIGN INC. COMMON STOCK SHORT 6,230 54.13 3/11 11:40 57.63 1.6%
Trade id #147528434
Max drawdown($30,090)
Time3/8/24 0:00
Quant open6,230
Worst price58.96
Drawdown as % of equity-1.60%
($21,810)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    12/27/2022
  • Suggested Minimum Cap
    $2,060,000
  • Strategy Age (days)
    562.31
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    123
  • # Profitable
    70
  • % Profitable
    56.90%
  • Avg trade duration
    6.5 days
  • Max peak-to-valley drawdown
    17.63%
  • drawdown period
    May 25, 2023 - June 07, 2023
  • Annual Return (Compounded)
    59.8%
  • Avg win
    $37,788
  • Avg loss
    $29,058
  • Model Account Values (Raw)
  • Cash
    $2,105,090
  • Margin Used
    $0
  • Buying Power
    $2,105,090
  • Ratios
  • W:L ratio
    1.72:1
  • Sharpe Ratio
    1.76
  • Sortino Ratio
    3.05
  • Calmar Ratio
    5.37
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    59.66%
  • Correlation to SP500
    -0.01850
  • Return Percent SP500 (cumu) during strategy life
    45.84%
  • Return Statistics
  • Ann Return (w trading costs)
    59.8%
  • Slump
  • Current Slump as Pcnt Equity
    3.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.06%
  • 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)
    0.598%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    61.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    25.00%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    71.43%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    801
  • Popularity (Last 6 weeks)
    961
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    997
  • Popularity (7 days, Percentile 1000 scale)
    939
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $29,059
  • Avg Win
    $37,789
  • Sum Trade PL (losers)
    $1,540,120.000
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $2,645,210.000
  • # Winners
    70
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    53
  • % Winners
    56.9%
  • Frequency
  • Avg Position Time (mins)
    9423.03
  • Avg Position Time (hrs)
    157.05
  • Avg Trade Length
    6.5 days
  • Last Trade Ago
    24
  • Leverage
  • Daily leverage (average)
    0.63
  • Daily leverage (max)
    2.30
  • Regression
  • Alpha
    0.15
  • Beta
    -0.04
  • Treynor Index
    -3.89
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.59
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    2.331
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.191
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.326
  • Hold-and-Hope Ratio
    0.429
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75043
  • SD
    0.39903
  • Sharpe ratio (Glass type estimate)
    1.88062
  • Sharpe ratio (Hedges UMVUE)
    1.76963
  • df
    13.00000
  • t
    2.03130
  • p
    0.20056
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70750
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.87639
  • Upside Potential Ratio
    9.92254
  • Upside part of mean
    0.94538
  • Downside part of mean
    -0.19495
  • Upside SD
    0.43094
  • Downside SD
    0.09528
  • N nonnegative terms
    7.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.24504
  • Mean of criterion
    0.75043
  • SD of predictor
    0.08791
  • SD of criterion
    0.39903
  • Covariance
    0.00320
  • r
    0.09113
  • b (slope, estimate of beta)
    0.41363
  • a (intercept, estimate of alpha)
    0.64908
  • Mean Square Error
    0.17106
  • DF error
    12.00000
  • t(b)
    0.31699
  • p(b)
    0.45444
  • t(a)
    1.30114
  • p(a)
    0.32419
  • Lowerbound of 95% confidence interval for beta
    -2.42939
  • Upperbound of 95% confidence interval for beta
    3.25664
  • Lowerbound of 95% confidence interval for alpha
    -0.43783
  • Upperbound of 95% confidence interval for alpha
    1.73599
  • Treynor index (mean / b)
    1.81427
  • Jensen alpha (a)
    0.64908
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66429
  • SD
    0.36748
  • Sharpe ratio (Glass type estimate)
    1.80768
  • Sharpe ratio (Hedges UMVUE)
    1.70099
  • df
    13.00000
  • t
    1.95251
  • p
    0.20873
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16294
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.71820
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22778
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62976
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.77437
  • Upside Potential Ratio
    8.81055
  • Upside part of mean
    0.86395
  • Downside part of mean
    -0.19967
  • Upside SD
    0.39058
  • Downside SD
    0.09806
  • N nonnegative terms
    7.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.23909
  • Mean of criterion
    0.66429
  • SD of predictor
    0.08667
  • SD of criterion
    0.36748
  • Covariance
    0.00215
  • r
    0.06760
  • b (slope, estimate of beta)
    0.28662
  • a (intercept, estimate of alpha)
    0.59576
  • Mean Square Error
    0.14563
  • DF error
    12.00000
  • t(b)
    0.23472
  • p(b)
    0.46620
  • t(a)
    1.29984
  • p(a)
    0.32434
  • Lowerbound of 95% confidence interval for beta
    -2.37400
  • Upperbound of 95% confidence interval for beta
    2.94725
  • Lowerbound of 95% confidence interval for alpha
    -0.40286
  • Upperbound of 95% confidence interval for alpha
    1.59438
  • Treynor index (mean / b)
    2.31764
  • Jensen alpha (a)
    0.59576
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11231
  • Expected Shortfall on VaR
    0.15015
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03797
  • Expected Shortfall on VaR
    0.06569
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.93108
  • Quartile 1
    0.97509
  • Median
    1.00699
  • Quartile 3
    1.14171
  • Maximum
    1.26279
  • Mean of quarter 1
    0.95319
  • Mean of quarter 2
    0.98660
  • Mean of quarter 3
    1.08245
  • Mean of quarter 4
    1.21390
  • Inter Quartile Range
    0.16662
  • 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)
    -1.10709
  • VaR(95%) (moments method)
    0.05312
  • Expected Shortfall (moments method)
    0.05661
  • Extreme Value Index (regression method)
    -0.79086
  • VaR(95%) (regression method)
    0.06493
  • Expected Shortfall (regression method)
    0.07108
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01190
  • Quartile 1
    0.02885
  • Median
    0.06107
  • Quartile 3
    0.08818
  • Maximum
    0.08985
  • Mean of quarter 1
    0.01190
  • Mean of quarter 2
    0.03450
  • Mean of quarter 3
    0.08763
  • Mean of quarter 4
    0.08985
  • Inter Quartile Range
    0.05933
  • 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)
    1.00337
  • Compounded annual return (geometric extrapolation)
    0.94310
  • Calmar ratio (compounded annual return / max draw down)
    10.49640
  • Compounded annual return / average of 25% largest draw downs
    10.49640
  • Compounded annual return / Expected Shortfall lognormal
    6.28097
  • 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
    0.65031
  • SD
    0.26346
  • Sharpe ratio (Glass type estimate)
    2.46837
  • Sharpe ratio (Hedges UMVUE)
    2.46251
  • df
    316.00000
  • t
    2.71512
  • p
    0.00349
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.67426
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.25867
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.25466
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.33770
  • Upside Potential Ratio
    8.99752
  • Upside part of mean
    1.34892
  • Downside part of mean
    -0.69861
  • Upside SD
    0.21984
  • Downside SD
    0.14992
  • N nonnegative terms
    221.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    317.00000
  • Mean of predictor
    0.26939
  • Mean of criterion
    0.65031
  • SD of predictor
    0.13290
  • SD of criterion
    0.26346
  • Covariance
    -0.00074
  • r
    -0.02101
  • b (slope, estimate of beta)
    -0.04165
  • a (intercept, estimate of alpha)
    0.66200
  • Mean Square Error
    0.06960
  • DF error
    315.00000
  • t(b)
    -0.37296
  • p(b)
    0.64528
  • t(a)
    2.73675
  • p(a)
    0.00328
  • Lowerbound of 95% confidence interval for beta
    -0.26136
  • Upperbound of 95% confidence interval for beta
    0.17807
  • Lowerbound of 95% confidence interval for alpha
    0.18594
  • Upperbound of 95% confidence interval for alpha
    1.13713
  • Treynor index (mean / b)
    -15.61440
  • Jensen alpha (a)
    0.66153
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61527
  • SD
    0.26177
  • Sharpe ratio (Glass type estimate)
    2.35043
  • Sharpe ratio (Hedges UMVUE)
    2.34485
  • df
    316.00000
  • t
    2.58540
  • p
    0.00509
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55739
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.13987
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55366
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13604
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.99397
  • Upside Potential Ratio
    8.60451
  • Upside part of mean
    1.32553
  • Downside part of mean
    -0.71026
  • Upside SD
    0.21452
  • Downside SD
    0.15405
  • N nonnegative terms
    221.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    317.00000
  • Mean of predictor
    0.26044
  • Mean of criterion
    0.61527
  • SD of predictor
    0.13303
  • SD of criterion
    0.26177
  • Covariance
    -0.00077
  • r
    -0.02223
  • b (slope, estimate of beta)
    -0.04374
  • a (intercept, estimate of alpha)
    0.62667
  • Mean Square Error
    0.06871
  • DF error
    315.00000
  • t(b)
    -0.39461
  • p(b)
    0.65330
  • t(a)
    2.61066
  • p(a)
    0.00473
  • Lowerbound of 95% confidence interval for beta
    -0.26183
  • Upperbound of 95% confidence interval for beta
    0.17435
  • Lowerbound of 95% confidence interval for alpha
    0.15438
  • Upperbound of 95% confidence interval for alpha
    1.09895
  • Treynor index (mean / b)
    -14.06650
  • Jensen alpha (a)
    0.62667
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02396
  • Expected Shortfall on VaR
    0.03052
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00406
  • Expected Shortfall on VaR
    0.01010
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    317.00000
  • Minimum
    0.92365
  • Quartile 1
    0.99948
  • Median
    1.00000
  • Quartile 3
    1.00329
  • Maximum
    1.07307
  • Mean of quarter 1
    0.98948
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00088
  • Mean of quarter 4
    1.01978
  • Inter Quartile Range
    0.00381
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.10095
  • Mean of outliers low
    0.97783
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.14196
  • Mean of outliers high
    1.03002
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78614
  • VaR(95%) (moments method)
    0.00619
  • Expected Shortfall (moments method)
    0.03420
  • Extreme Value Index (regression method)
    0.38714
  • VaR(95%) (regression method)
    0.00909
  • Expected Shortfall (regression method)
    0.02090
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00201
  • Median
    0.01247
  • Quartile 3
    0.04195
  • Maximum
    0.15833
  • Mean of quarter 1
    0.00073
  • Mean of quarter 2
    0.00793
  • Mean of quarter 3
    0.02258
  • Mean of quarter 4
    0.09276
  • Inter Quartile Range
    0.03994
  • 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
    0.10000
  • Mean of outliers high
    0.13175
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.08679
  • VaR(95%) (moments method)
    0.09931
  • Expected Shortfall (moments method)
    0.12474
  • Extreme Value Index (regression method)
    0.57994
  • VaR(95%) (regression method)
    0.11551
  • Expected Shortfall (regression method)
    0.24747
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.91349
  • Compounded annual return (geometric extrapolation)
    0.85016
  • Calmar ratio (compounded annual return / max draw down)
    5.36951
  • Compounded annual return / average of 25% largest draw downs
    9.16538
  • Compounded annual return / Expected Shortfall lognormal
    27.85870
  • 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
    0.68983
  • SD
    0.18765
  • Sharpe ratio (Glass type estimate)
    3.67622
  • Sharpe ratio (Hedges UMVUE)
    3.65497
  • df
    130.00000
  • t
    2.59948
  • p
    0.38886
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.86190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.47697
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84778
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.46215
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.16409
  • Upside Potential Ratio
    13.59600
  • Upside part of mean
    1.14880
  • Downside part of mean
    -0.45897
  • Upside SD
    0.17210
  • Downside SD
    0.08450
  • N nonnegative terms
    96.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.41078
  • Mean of criterion
    0.68983
  • SD of predictor
    0.11777
  • SD of criterion
    0.18765
  • Covariance
    0.00136
  • r
    0.06174
  • b (slope, estimate of beta)
    0.09837
  • a (intercept, estimate of alpha)
    0.64942
  • Mean Square Error
    0.03535
  • DF error
    129.00000
  • t(b)
    0.70260
  • p(b)
    0.46072
  • t(a)
    2.38722
  • p(a)
    0.36998
  • Lowerbound of 95% confidence interval for beta
    -0.17865
  • Upperbound of 95% confidence interval for beta
    0.37539
  • Lowerbound of 95% confidence interval for alpha
    0.11118
  • Upperbound of 95% confidence interval for alpha
    1.18766
  • Treynor index (mean / b)
    7.01243
  • Jensen alpha (a)
    0.64942
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67174
  • SD
    0.18557
  • Sharpe ratio (Glass type estimate)
    3.61995
  • Sharpe ratio (Hedges UMVUE)
    3.59903
  • df
    130.00000
  • t
    2.55969
  • p
    0.39048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.80672
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.41962
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79291
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.40514
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.86616
  • Upside Potential Ratio
    13.28320
  • Upside part of mean
    1.13433
  • Downside part of mean
    -0.46259
  • Upside SD
    0.16912
  • Downside SD
    0.08540
  • N nonnegative terms
    96.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40360
  • Mean of criterion
    0.67174
  • SD of predictor
    0.11765
  • SD of criterion
    0.18557
  • Covariance
    0.00132
  • r
    0.06065
  • b (slope, estimate of beta)
    0.09566
  • a (intercept, estimate of alpha)
    0.63313
  • Mean Square Error
    0.03457
  • DF error
    129.00000
  • t(b)
    0.69012
  • p(b)
    0.46141
  • t(a)
    2.35501
  • p(a)
    0.37164
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.17859
  • Upperbound of 95% confidence interval for beta
    0.36990
  • Lowerbound of 95% confidence interval for alpha
    0.10122
  • Upperbound of 95% confidence interval for alpha
    1.16505
  • Treynor index (mean / b)
    7.02234
  • Jensen alpha (a)
    0.63313
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01616
  • Expected Shortfall on VaR
    0.02085
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00244
  • Expected Shortfall on VaR
    0.00608
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97278
  • Quartile 1
    0.99969
  • Median
    1.00000
  • Quartile 3
    1.00326
  • Maximum
    1.05512
  • Mean of quarter 1
    0.99305
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00063
  • Mean of quarter 4
    1.01679
  • Inter Quartile Range
    0.00357
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98405
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    1.02331
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68210
  • VaR(95%) (moments method)
    0.00498
  • Expected Shortfall (moments method)
    0.01863
  • Extreme Value Index (regression method)
    0.05778
  • VaR(95%) (regression method)
    0.00762
  • Expected Shortfall (regression method)
    0.01258
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00106
  • Quartile 1
    0.00707
  • Median
    0.01306
  • Quartile 3
    0.02772
  • Maximum
    0.06888
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.01247
  • Mean of quarter 3
    0.02460
  • Mean of quarter 4
    0.04986
  • Inter Quartile Range
    0.02065
  • 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
    0.14286
  • Mean of outliers high
    0.06888
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -386428000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.79832
  • Compounded annual return (geometric extrapolation)
    0.95764
  • Calmar ratio (compounded annual return / max draw down)
    13.90410
  • Compounded annual return / average of 25% largest draw downs
    19.20770
  • Compounded annual return / Expected Shortfall lognormal
    45.92100

Strategy Description

Summary Statistics

Strategy began
2022-12-27
Suggested Minimum Capital
$2,060,000
Rank at C2 %
Top 0.3%
Rank # 
#2
# Trades
123
# Profitable
70
% Profitable
56.9%
Correlation S&P500
-0.018
Sharpe Ratio
1.76
Sortino Ratio
3.05
Beta
-0.04
Alpha
0.15
Leverage
0.63 Average
2.30 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.