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Featured Strategy Nvidia System V28/10 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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oneofthebest
(144211599)

Created by: olatunji_akingbe2 olatunji_akingbe2
Started: 04/2023
Stocks
Last trade: 7 days ago
Trading style: Equity Momentum

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 $249.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
236.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(68.2%)
Max Drawdown
826
Num Trades
83.5%
Win Trades
1.7 : 1
Profit Factor
52.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                     (10.7%)+11.6%+22.1%+34.6%+79.3%+128.0%+7.5%+8.7%(5.8%)+636.3%
2024(26.6%)+35.9%(5.3%)+8.1%(5.1%)(2.1%)  -  (1.5%)(8.8%)+7.8%            (8.1%)

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 860 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
10/14/24 12:35 CACC CREDIT ACCEPTANCE LONG 12 466.28 10/22 10:06 474.39 0.19%
Trade id #149654740
Max drawdown($186)
Time10/14/24 14:36
Quant open12
Worst price450.70
Drawdown as % of equity-0.19%
 $97
Includes Typical Broker Commissions trade costs of $0.24
10/14/24 12:34 CABO CABLE ONE INC LONG 14 346.60 10/22 10:06 356.47 0.1%
Trade id #149654735
Max drawdown($101)
Time10/22/24 9:30
Quant open14
Worst price339.35
Drawdown as % of equity-0.10%
 $138
Includes Typical Broker Commissions trade costs of $0.28
7/17/24 10:46 LULU LULULEMON ATHLETICA LONG 18 291.59 10/21 15:54 298.07 1.17%
Trade id #148670735
Max drawdown($1,180)
Time8/5/24 0:00
Quant open18
Worst price226.01
Drawdown as % of equity-1.17%
 $117
Includes Typical Broker Commissions trade costs of $0.36
10/14/24 12:34 COIN COINBASE GLOBAL INC. CLASS A LONG 26 189.82 10/17 12:23 207.78 0.04%
Trade id #149654718
Max drawdown($39)
Time10/15/24 0:00
Quant open26
Worst price188.31
Drawdown as % of equity-0.04%
 $466
Includes Typical Broker Commissions trade costs of $0.52
8/23/24 12:13 UAN CVR PARTNERS LONG 70 71.11 10/17 12:22 72.92 0.5%
Trade id #149021160
Max drawdown($462)
Time9/11/24 0:00
Quant open70
Worst price64.50
Drawdown as % of equity-0.50%
 $126
Includes Typical Broker Commissions trade costs of $1.40
8/23/24 11:00 GRVY GRAVITY CO LONG 78 64.47 10/17 12:22 67.56 0.55%
Trade id #149019099
Max drawdown($553)
Time10/15/24 0:00
Quant open78
Worst price57.37
Drawdown as % of equity-0.55%
 $239
Includes Typical Broker Commissions trade costs of $1.56
7/26/24 10:12 KRRO KORRO BIO INC. LONG 100 53.94 10/17 9:49 79.64 2.53%
Trade id #148749289
Max drawdown($2,322)
Time10/4/24 0:00
Quant open100
Worst price30.72
Drawdown as % of equity-2.53%
 $2,568
Includes Typical Broker Commissions trade costs of $2.00
7/26/24 10:10 IBTA IBOTTA INC LONG 74 68.96 10/14 10:16 70.43 1.97%
Trade id #148749225
Max drawdown($2,004)
Time8/15/24 0:00
Quant open74
Worst price41.87
Drawdown as % of equity-1.97%
 $108
Includes Typical Broker Commissions trade costs of $1.48
10/8/24 15:00 TECL DIREXION DAILY TECHNOLOGY BULL LONG 56 89.25 10/11 14:25 92.80 0.02%
Trade id #149609227
Max drawdown($17)
Time10/9/24 0:00
Quant open56
Worst price88.94
Drawdown as % of equity-0.02%
 $198
Includes Typical Broker Commissions trade costs of $1.12
10/8/24 14:59 ANF ABERCROMBIE & FITCH LONG 36 143.37 10/11 14:25 149.01 0.19%
Trade id #149609213
Max drawdown($188)
Time10/10/24 0:00
Quant open36
Worst price138.12
Drawdown as % of equity-0.19%
 $202
Includes Typical Broker Commissions trade costs of $0.72
10/8/24 14:59 ARM ARM HOLDINGS PLC ADS LONG 36 143.16 10/11 14:24 150.89 0.04%
Trade id #149609209
Max drawdown($36)
Time10/9/24 0:00
Quant open36
Worst price142.15
Drawdown as % of equity-0.04%
 $277
Includes Typical Broker Commissions trade costs of $0.72
10/8/24 14:59 DELL DELL TECHNOLOGIES INC LONG 40 121.71 10/11 14:24 127.54 0.05%
Trade id #149609204
Max drawdown($48)
Time10/9/24 0:00
Quant open40
Worst price120.50
Drawdown as % of equity-0.05%
 $232
Includes Typical Broker Commissions trade costs of $0.80
8/1/24 9:46 TEAM ATLASSIAN CORPORATION PLC CLASS A LONG 28 178.29 10/10 10:44 182.79 1.19%
Trade id #148794634
Max drawdown($1,204)
Time8/5/24 0:00
Quant open28
Worst price135.29
Drawdown as % of equity-1.19%
 $125
Includes Typical Broker Commissions trade costs of $0.56
9/24/24 14:23 KOLD PROSHARES ULTRASHORT BLOOM NAT LONG 330 60.79 10/9 9:54 64.63 3.1%
Trade id #149496485
Max drawdown($2,885)
Time10/3/24 0:00
Quant open330
Worst price52.05
Drawdown as % of equity-3.10%
 $1,259
Includes Typical Broker Commissions trade costs of $6.60
9/25/24 9:58 CYTK CYTOKINETICS INCORPORATED COM LONG 100 53.12 10/4 10:17 56.33 0.16%
Trade id #149502350
Max drawdown($152)
Time10/2/24 0:00
Quant open100
Worst price51.60
Drawdown as % of equity-0.16%
 $319
Includes Typical Broker Commissions trade costs of $2.00
8/23/24 12:03 ETSY ETSY INC. COMMON STOCK LONG 90 55.04 9/30 9:51 55.91 0.43%
Trade id #149020984
Max drawdown($396)
Time9/11/24 0:00
Quant open90
Worst price50.63
Drawdown as % of equity-0.43%
 $76
Includes Typical Broker Commissions trade costs of $1.80
8/23/24 11:02 HY HYSTER-YALE MATERIALS LONG 80 61.80 9/30 9:50 63.19 0.53%
Trade id #149019114
Max drawdown($490)
Time9/11/24 0:00
Quant open80
Worst price55.67
Drawdown as % of equity-0.53%
 $109
Includes Typical Broker Commissions trade costs of $1.60
8/21/24 10:10 AMR ALPHA METALLURGICAL RESOURCES INC LONG 22 237.58 9/30 9:49 243.60 1.25%
Trade id #148981803
Max drawdown($1,156)
Time9/11/24 0:00
Quant open22
Worst price185.00
Drawdown as % of equity-1.25%
 $132
Includes Typical Broker Commissions trade costs of $0.44
8/23/24 11:03 QLYS QUALYS LONG 40 124.29 9/30 9:49 130.22 0.2%
Trade id #149019135
Max drawdown($198)
Time9/4/24 0:00
Quant open40
Worst price119.32
Drawdown as % of equity-0.20%
 $236
Includes Typical Broker Commissions trade costs of $0.80
8/23/24 12:11 TNK TEEKAY TANKERS LONG 90 56.02 9/26 9:40 57.46 0.38%
Trade id #149021148
Max drawdown($350)
Time9/10/24 0:00
Quant open90
Worst price52.13
Drawdown as % of equity-0.38%
 $128
Includes Typical Broker Commissions trade costs of $1.80
8/29/24 10:02 CRM SALESFORCE INC LONG 24 261.72 9/24 9:43 269.06 0.51%
Trade id #149095421
Max drawdown($486)
Time9/6/24 0:00
Quant open24
Worst price241.44
Drawdown as % of equity-0.51%
 $176
Includes Typical Broker Commissions trade costs of $0.48
8/26/24 10:29 BIDU BAIDU LONG 54 86.73 9/24 9:43 93.03 0.34%
Trade id #149051200
Max drawdown($319)
Time9/10/24 0:00
Quant open54
Worst price80.81
Drawdown as % of equity-0.34%
 $339
Includes Typical Broker Commissions trade costs of $1.08
7/23/24 10:20 ALGN ALIGN TECHNOLOGY LONG 20 250.64 9/17 11:59 255.91 1.08%
Trade id #148718725
Max drawdown($1,091)
Time8/5/24 0:00
Quant open20
Worst price196.09
Drawdown as % of equity-1.08%
 $105
Includes Typical Broker Commissions trade costs of $0.40
8/23/24 11:04 KRUS KURA SUSHI USA INC. CLASS A LONG 80 67.29 9/12 9:58 74.54 0.63%
Trade id #149019157
Max drawdown($582)
Time9/10/24 0:00
Quant open80
Worst price60.01
Drawdown as % of equity-0.63%
 $578
Includes Typical Broker Commissions trade costs of $1.60
8/7/24 11:06 HELE HELEN OF TROY LONG 188 54.15 9/9 13:41 57.31 0.64%
Trade id #148856434
Max drawdown($659)
Time8/14/24 0:00
Quant open90
Worst price48.05
Drawdown as % of equity-0.64%
 $591
Includes Typical Broker Commissions trade costs of $3.76
7/26/24 10:11 KROS KEROS THERAPEUTICS INC. LONG 100 51.83 9/5 10:30 52.63 0.94%
Trade id #148749278
Max drawdown($899)
Time8/8/24 0:00
Quant open100
Worst price42.83
Drawdown as % of equity-0.94%
 $79
Includes Typical Broker Commissions trade costs of $2.00
8/23/24 12:06 INSW INTERNATIONAL SEAWAYS INC LONG 100 50.68 8/30 12:23 52.52 0.09%
Trade id #149021077
Max drawdown($91)
Time8/28/24 0:00
Quant open100
Worst price49.77
Drawdown as % of equity-0.09%
 $182
Includes Typical Broker Commissions trade costs of $2.00
8/23/24 11:54 ARCH ARCH RESOURCES INC LONG 40 122.40 8/28 12:21 126.99 0.03%
Trade id #149020822
Max drawdown($36)
Time8/27/24 0:00
Quant open40
Worst price121.48
Drawdown as % of equity-0.03%
 $183
Includes Typical Broker Commissions trade costs of $0.80
8/21/24 9:51 ROG ROGERS LONG 50 105.02 8/23 11:24 107.54 0.09%
Trade id #148981199
Max drawdown($94)
Time8/22/24 0:00
Quant open50
Worst price103.12
Drawdown as % of equity-0.09%
 $125
Includes Typical Broker Commissions trade costs of $1.00
8/21/24 9:52 TNC TENNANT LONG 52 93.29 8/23 11:24 96.07 0.04%
Trade id #148981262
Max drawdown($44)
Time8/21/24 10:50
Quant open52
Worst price92.44
Drawdown as % of equity-0.04%
 $144
Includes Typical Broker Commissions trade costs of $1.04
Next

Statistics

  • Strategy began
    4/6/2023
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    572.36
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    826
  • # Profitable
    690
  • % Profitable
    83.50%
  • Avg trade duration
    10.7 days
  • Max peak-to-valley drawdown
    68.2%
  • drawdown period
    June 27, 2023 - July 06, 2023
  • Annual Return (Compounded)
    236.2%
  • Avg win
    $324.08
  • Avg loss
    $949.55
  • Model Account Values (Raw)
  • Cash
    $84,625
  • Margin Used
    $23,316
  • Buying Power
    $30,626
  • Ratios
  • W:L ratio
    1.74:1
  • Sharpe Ratio
    1.44
  • Sortino Ratio
    2.42
  • Calmar Ratio
    6.678
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    534.73%
  • Correlation to SP500
    -0.05900
  • Return Percent SP500 (cumu) during strategy life
    42.09%
  • Return Statistics
  • Ann Return (w trading costs)
    236.2%
  • Slump
  • Current Slump as Pcnt Equity
    49.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.69%
  • 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)
    2.362%
  • Instruments
  • Percent Trades Options
    0.05%
  • Percent Trades Stocks
    0.95%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    253.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    93.00%
  • Chance of 20% account loss
    84.50%
  • Chance of 30% account loss
    75.00%
  • Chance of 40% account loss
    69.00%
  • Chance of 60% account loss (Monte Carlo)
    52.00%
  • Chance of 70% account loss (Monte Carlo)
    39.00%
  • Chance of 80% account loss (Monte Carlo)
    27.50%
  • Chance of 90% account loss (Monte Carlo)
    13.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    63.50%
  • Popularity
  • Popularity (Today)
    394
  • Popularity (Last 6 weeks)
    880
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    481
  • Popularity (7 days, Percentile 1000 scale)
    726
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $950
  • Avg Win
    $324
  • Sum Trade PL (losers)
    $129,139.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $223,614.000
  • # Winners
    690
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    -240
  • AUM
  • AUM (AutoTrader live capital)
    56894
  • Win / Loss
  • # Losers
    136
  • % Winners
    83.5%
  • Frequency
  • Avg Position Time (mins)
    15478.30
  • Avg Position Time (hrs)
    257.97
  • Avg Trade Length
    10.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.50
  • Daily leverage (max)
    11.54
  • Regression
  • Alpha
    0.48
  • Beta
    -0.46
  • Treynor Index
    -0.97
  • 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)
    2.41
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    10.473
  • 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
    1.222
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.753
  • Hold-and-Hope Ratio
    0.097
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.81707
  • SD
    1.19939
  • Sharpe ratio (Glass type estimate)
    1.51499
  • Sharpe ratio (Hedges UMVUE)
    1.44699
  • df
    17.00000
  • t
    1.85548
  • p
    0.24627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18331
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17307
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22559
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11957
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.66010
  • Upside Potential Ratio
    14.55480
  • Upside part of mean
    2.08900
  • Downside part of mean
    -0.27194
  • Upside SD
    1.27010
  • Downside SD
    0.14353
  • N nonnegative terms
    11.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.21340
  • Mean of criterion
    1.81707
  • SD of predictor
    0.08965
  • SD of criterion
    1.19939
  • Covariance
    -0.05545
  • r
    -0.51569
  • b (slope, estimate of beta)
    -6.89919
  • a (intercept, estimate of alpha)
    3.28935
  • Mean Square Error
    1.12198
  • DF error
    16.00000
  • t(b)
    -2.40757
  • p(b)
    0.75784
  • t(a)
    3.10545
  • p(a)
    0.19338
  • Lowerbound of 95% confidence interval for beta
    -12.97400
  • Upperbound of 95% confidence interval for beta
    -0.82434
  • Lowerbound of 95% confidence interval for alpha
    1.04391
  • Upperbound of 95% confidence interval for alpha
    5.53479
  • Treynor index (mean / b)
    -0.26337
  • Jensen alpha (a)
    3.28935
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.30113
  • SD
    0.84739
  • Sharpe ratio (Glass type estimate)
    1.53545
  • Sharpe ratio (Hedges UMVUE)
    1.46653
  • df
    17.00000
  • t
    1.88054
  • p
    0.24361
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16517
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19540
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20797
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14103
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.68894
  • Upside Potential Ratio
    10.57340
  • Upside part of mean
    1.58332
  • Downside part of mean
    -0.28219
  • Upside SD
    0.89266
  • Downside SD
    0.14975
  • N nonnegative terms
    11.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.20739
  • Mean of criterion
    1.30113
  • SD of predictor
    0.08791
  • SD of criterion
    0.84739
  • Covariance
    -0.03937
  • r
    -0.52851
  • b (slope, estimate of beta)
    -5.09425
  • a (intercept, estimate of alpha)
    2.35762
  • Mean Square Error
    0.54984
  • DF error
    16.00000
  • t(b)
    -2.49026
  • p(b)
    0.76426
  • t(a)
    3.18904
  • p(a)
    0.18831
  • Lowerbound of 95% confidence interval for beta
    -9.43087
  • Upperbound of 95% confidence interval for beta
    -0.75763
  • Lowerbound of 95% confidence interval for alpha
    0.79040
  • Upperbound of 95% confidence interval for alpha
    3.92484
  • Treynor index (mean / b)
    -0.25541
  • Jensen alpha (a)
    2.35762
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.25468
  • Expected Shortfall on VaR
    0.32443
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04514
  • Expected Shortfall on VaR
    0.08593
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.89244
  • Quartile 1
    0.95739
  • Median
    1.03717
  • Quartile 3
    1.17523
  • Maximum
    2.25724
  • Mean of quarter 1
    0.92920
  • Mean of quarter 2
    1.00046
  • Mean of quarter 3
    1.05092
  • Mean of quarter 4
    1.58319
  • Inter Quartile Range
    0.21784
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.82356
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21763
  • VaR(95%) (moments method)
    0.07948
  • Expected Shortfall (moments method)
    0.09522
  • Extreme Value Index (regression method)
    0.29909
  • VaR(95%) (regression method)
    0.08725
  • Expected Shortfall (regression method)
    0.13253
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.10756
  • Quartile 1
    0.11529
  • Median
    0.12301
  • Quartile 3
    0.13074
  • Maximum
    0.13847
  • Mean of quarter 1
    0.10756
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13847
  • Inter Quartile Range
    0.01545
  • 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)
    4.22773
  • Compounded annual return (geometric extrapolation)
    2.77741
  • Calmar ratio (compounded annual return / max draw down)
    20.05830
  • Compounded annual return / average of 25% largest draw downs
    20.05830
  • Compounded annual return / Expected Shortfall lognormal
    8.56085
  • 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
    1.63560
  • SD
    0.87379
  • Sharpe ratio (Glass type estimate)
    1.87185
  • Sharpe ratio (Hedges UMVUE)
    1.86835
  • df
    401.00000
  • t
    2.31864
  • p
    0.01046
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.45829
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28078
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.45591
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14447
  • Upside Potential Ratio
    8.87920
  • Upside part of mean
    4.61853
  • Downside part of mean
    -2.98293
  • Upside SD
    0.70800
  • Downside SD
    0.52015
  • N nonnegative terms
    212.00000
  • N negative terms
    190.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    402.00000
  • Mean of predictor
    0.20855
  • Mean of criterion
    1.63560
  • SD of predictor
    0.12178
  • SD of criterion
    0.87379
  • Covariance
    -0.00666
  • r
    -0.06257
  • b (slope, estimate of beta)
    -0.44896
  • a (intercept, estimate of alpha)
    1.72900
  • Mean Square Error
    0.76242
  • DF error
    400.00000
  • t(b)
    -1.25389
  • p(b)
    0.89469
  • t(a)
    2.43947
  • p(a)
    0.00757
  • Lowerbound of 95% confidence interval for beta
    -1.15286
  • Upperbound of 95% confidence interval for beta
    0.25494
  • Lowerbound of 95% confidence interval for alpha
    0.33569
  • Upperbound of 95% confidence interval for alpha
    3.12279
  • Treynor index (mean / b)
    -3.64311
  • Jensen alpha (a)
    1.72924
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.26359
  • SD
    0.85579
  • Sharpe ratio (Glass type estimate)
    1.47652
  • Sharpe ratio (Hedges UMVUE)
    1.47375
  • df
    401.00000
  • t
    1.82895
  • p
    0.03408
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10994
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06124
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11182
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05933
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.20847
  • Upside Potential Ratio
    7.68949
  • Upside part of mean
    4.39960
  • Downside part of mean
    -3.13601
  • Upside SD
    0.63976
  • Downside SD
    0.57216
  • N nonnegative terms
    212.00000
  • N negative terms
    190.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    402.00000
  • Mean of predictor
    0.20105
  • Mean of criterion
    1.26359
  • SD of predictor
    0.12180
  • SD of criterion
    0.85579
  • Covariance
    -0.00519
  • r
    -0.04980
  • b (slope, estimate of beta)
    -0.34994
  • a (intercept, estimate of alpha)
    1.33395
  • Mean Square Error
    0.73239
  • DF error
    400.00000
  • t(b)
    -0.99732
  • p(b)
    0.84039
  • t(a)
    1.92078
  • p(a)
    0.02773
  • Lowerbound of 95% confidence interval for beta
    -1.03975
  • Upperbound of 95% confidence interval for beta
    0.33986
  • Lowerbound of 95% confidence interval for alpha
    -0.03134
  • Upperbound of 95% confidence interval for alpha
    2.69924
  • Treynor index (mean / b)
    -3.61085
  • Jensen alpha (a)
    1.33395
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07886
  • Expected Shortfall on VaR
    0.09881
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02458
  • Expected Shortfall on VaR
    0.05437
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    402.00000
  • Minimum
    0.70520
  • Quartile 1
    0.99084
  • Median
    1.00194
  • Quartile 3
    1.01940
  • Maximum
    1.49306
  • Mean of quarter 1
    0.95845
  • Mean of quarter 2
    0.99651
  • Mean of quarter 3
    1.00816
  • Mean of quarter 4
    1.06220
  • Inter Quartile Range
    0.02855
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.05473
  • Mean of outliers low
    0.88515
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.07960
  • Mean of outliers high
    1.11959
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70025
  • VaR(95%) (moments method)
    0.03958
  • Expected Shortfall (moments method)
    0.14447
  • Extreme Value Index (regression method)
    0.64677
  • VaR(95%) (regression method)
    0.03186
  • Expected Shortfall (regression method)
    0.09571
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00068
  • Quartile 1
    0.01046
  • Median
    0.03580
  • Quartile 3
    0.25084
  • Maximum
    0.39505
  • Mean of quarter 1
    0.00623
  • Mean of quarter 2
    0.02477
  • Mean of quarter 3
    0.15435
  • Mean of quarter 4
    0.34153
  • Inter Quartile Range
    0.24038
  • 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)
    -5.32169
  • VaR(95%) (moments method)
    0.34161
  • Expected Shortfall (moments method)
    0.34163
  • Extreme Value Index (regression method)
    -0.66401
  • VaR(95%) (regression method)
    0.31958
  • Expected Shortfall (regression method)
    0.33250
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.07627
  • Compounded annual return (geometric extrapolation)
    2.63824
  • Calmar ratio (compounded annual return / max draw down)
    6.67829
  • Compounded annual return / average of 25% largest draw downs
    7.72472
  • Compounded annual return / Expected Shortfall lognormal
    26.69900
  • 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
    -0.09680
  • SD
    0.19689
  • Sharpe ratio (Glass type estimate)
    -0.49167
  • Sharpe ratio (Hedges UMVUE)
    -0.48883
  • df
    130.00000
  • t
    -0.34766
  • p
    0.51524
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.26328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.26127
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28361
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67232
  • Upside Potential Ratio
    8.08788
  • Upside part of mean
    1.16453
  • Downside part of mean
    -1.26133
  • Upside SD
    0.13331
  • Downside SD
    0.14398
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24286
  • Mean of criterion
    -0.09680
  • SD of predictor
    0.13007
  • SD of criterion
    0.19689
  • Covariance
    0.00456
  • r
    0.17806
  • b (slope, estimate of beta)
    0.26952
  • a (intercept, estimate of alpha)
    -0.16226
  • Mean Square Error
    0.03783
  • DF error
    129.00000
  • t(b)
    2.05519
  • p(b)
    0.38725
  • t(a)
    -0.58601
  • p(a)
    0.53279
  • Lowerbound of 95% confidence interval for beta
    0.01005
  • Upperbound of 95% confidence interval for beta
    0.52899
  • Lowerbound of 95% confidence interval for alpha
    -0.71009
  • Upperbound of 95% confidence interval for alpha
    0.38557
  • Treynor index (mean / b)
    -0.35917
  • Jensen alpha (a)
    -0.16226
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11607
  • SD
    0.19703
  • Sharpe ratio (Glass type estimate)
    -0.58908
  • Sharpe ratio (Hedges UMVUE)
    -0.58568
  • df
    130.00000
  • t
    -0.41654
  • p
    0.51825
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.36073
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18474
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.35840
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18704
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.79785
  • Upside Potential Ratio
    7.94396
  • Upside part of mean
    1.15564
  • Downside part of mean
    -1.27170
  • Upside SD
    0.13196
  • Downside SD
    0.14547
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23432
  • Mean of criterion
    -0.11607
  • SD of predictor
    0.13032
  • SD of criterion
    0.19703
  • Covariance
    0.00461
  • r
    0.17944
  • b (slope, estimate of beta)
    0.27129
  • a (intercept, estimate of alpha)
    -0.17963
  • Mean Square Error
    0.03786
  • DF error
    129.00000
  • t(b)
    2.07165
  • p(b)
    0.38638
  • t(a)
    -0.64876
  • p(a)
    0.53629
  • VAR (95 Confidence Intrvl)
    0.07900
  • Lowerbound of 95% confidence interval for beta
    0.01219
  • Upperbound of 95% confidence interval for beta
    0.53038
  • Lowerbound of 95% confidence interval for alpha
    -0.72746
  • Upperbound of 95% confidence interval for alpha
    0.36819
  • Treynor index (mean / b)
    -0.42784
  • Jensen alpha (a)
    -0.17963
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02026
  • Expected Shortfall on VaR
    0.02522
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01124
  • Expected Shortfall on VaR
    0.02071
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96773
  • Quartile 1
    0.99278
  • Median
    0.99989
  • Quartile 3
    1.00713
  • Maximum
    1.03586
  • Mean of quarter 1
    0.98400
  • Mean of quarter 2
    0.99710
  • Mean of quarter 3
    1.00330
  • Mean of quarter 4
    1.01466
  • Inter Quartile Range
    0.01435
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96936
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03274
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32664
  • VaR(95%) (moments method)
    0.01599
  • Expected Shortfall (moments method)
    0.01911
  • Extreme Value Index (regression method)
    -0.43143
  • VaR(95%) (regression method)
    0.01530
  • Expected Shortfall (regression method)
    0.01768
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.16278
  • Quartile 1
    0.16278
  • Median
    0.16278
  • Quartile 3
    0.16278
  • Maximum
    0.16278
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -377914000
  • Max Equity Drawdown (num days)
    9
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08624
  • Compounded annual return (geometric extrapolation)
    -0.08439
  • Calmar ratio (compounded annual return / max draw down)
    -0.51839
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -3.34625

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-04-06
Suggested Minimum Capital
$100,000
# Trades
826
# Profitable
690
% Profitable
83.5%
Net Dividends
($240)
Correlation S&P500
-0.059
Sharpe Ratio
1.44
Sortino Ratio
2.42
Beta
-0.46
Alpha
0.48
Leverage
2.50 Average
11.54 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.