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

Alpha Capital Circadian
(137387923)

Created by: AlphaCapital AlphaCapital
Started: 09/2021
Futures
Last trade: 251 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 $500.00 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.

65.7%
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.

(67.1%)
Max Drawdown
1177
Num Trades
37.2%
Win Trades
1.1 : 1
Profit Factor
40.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                        +40.5%+17.8%(7.6%)(0.7%)+51.8%
2022(17.1%)(23.7%)(3.3%)+88.2%+131.2%+6.9%+10.8%+18.6%+7.0%+18.2%(1.2%)+8.7%+407.4%
2023(6.8%)(9.5%)+5.4%+10.1%+15.6%(5.8%)(30.6%)(34.2%)  -    -    -    -  (51.4%)
2024  -    -    -    -                                                  0.0

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

This strategy has placed 1,007 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 272 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/16/23 12:10 @ESU3 E-MINI S&P 500 LONG 2 4446.75 8/16 13:07 4436.75 3.09%
Trade id #145545876
Max drawdown($1,000)
Time8/16/23 13:07
Quant open2
Worst price4436.75
Drawdown as % of equity-3.09%
($1,016)
Includes Typical Broker Commissions trade costs of $16.00
8/16/23 4:00 QGCZ3 Gold 100 oz LONG 1 1935.5 8/16 9:15 1930.1 1.76%
Trade id #145539881
Max drawdown($570)
Time8/16/23 9:15
Quant open1
Worst price1929.8
Drawdown as % of equity-1.76%
($548)
Includes Typical Broker Commissions trade costs of $8.00
8/15/23 9:31 @NQU3 E-MINI NASDAQ 100 STK IDX SHORT 1 15215.75 8/15 16:00 15106.75 2.81%
Trade id #145530870
Max drawdown($870)
Time8/15/23 9:39
Quant open1
Worst price15259.20
Drawdown as % of equity-2.81%
$2,172
Includes Typical Broker Commissions trade costs of $8.00
8/15/23 9:30 @RTYU3 Russell 2000 CME SHORT 2 1913.70 8/15 16:00 1902.80 0.81%
Trade id #145530771
Max drawdown($250)
Time8/15/23 9:33
Quant open2
Worst price1916.20
Drawdown as % of equity-0.81%
$1,074
Includes Typical Broker Commissions trade costs of $16.00
8/15/23 7:30 QGCZ3 Gold 100 oz SHORT 4 1934.5 8/15 10:47 1939.1 4.69%
Trade id #145529903
Max drawdown($1,450)
Time8/15/23 10:38
Quant open2
Worst price1941.8
Drawdown as % of equity-4.69%
($1,852)
Includes Typical Broker Commissions trade costs of $32.00
8/14/23 19:07 @RTYU3 Russell 2000 CME LONG 2 1931.10 8/14 19:07 1930.80 0.09%
Trade id #145527563
Max drawdown($30)
Time8/14/23 19:07
Quant open2
Worst price1930.80
Drawdown as % of equity-0.09%
($46)
Includes Typical Broker Commissions trade costs of $16.00
8/14/23 19:07 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 1 15304.25 8/14 19:07 15303.50 0.05%
Trade id #145527559
Max drawdown($15)
Time8/14/23 19:07
Quant open1
Worst price15303.50
Drawdown as % of equity-0.05%
($23)
Includes Typical Broker Commissions trade costs of $8.00
8/14/23 19:07 QGCZ3 Gold 100 oz SHORT 2 1938.6 8/14 19:07 1944.3 3.52%
Trade id #145527557
Max drawdown($1,140)
Time8/14/23 19:07
Quant open2
Worst price1944.3
Drawdown as % of equity-3.52%
($1,156)
Includes Typical Broker Commissions trade costs of $16.00
8/14/23 9:30 @RTYU3 Russell 2000 CME SHORT 2 1919.60 8/14 16:00 1928.60 2.71%
Trade id #145519085
Max drawdown($920)
Time8/14/23 15:59
Quant open2
Worst price1928.80
Drawdown as % of equity-2.71%
($916)
Includes Typical Broker Commissions trade costs of $16.00
8/14/23 10:52 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 1 15238.00 8/14 12:24 15182.75 3.87%
Trade id #145521486
Max drawdown($1,315)
Time8/14/23 12:24
Quant open1
Worst price15172.20
Drawdown as % of equity-3.87%
($1,113)
Includes Typical Broker Commissions trade costs of $8.00
8/14/23 10:10 QGCZ3 Gold 100 oz SHORT 2 1937.4 8/14 12:05 1944.1 4.07%
Trade id #145520554
Max drawdown($1,380)
Time8/14/23 12:05
Quant open2
Worst price1944.3
Drawdown as % of equity-4.07%
($1,356)
Includes Typical Broker Commissions trade costs of $16.00
8/14/23 9:33 @ESU3 E-MINI S&P 500 LONG 2 4473.00 8/14 10:09 4482.25 1.12%
Trade id #145519403
Max drawdown($400)
Time8/14/23 9:48
Quant open2
Worst price4469.00
Drawdown as % of equity-1.12%
$909
Includes Typical Broker Commissions trade costs of $16.00
8/10/23 11:20 @ESU3 E-MINI S&P 500 LONG 2 4507.75 8/10 11:51 4502.25 1.4%
Trade id #145495205
Max drawdown($575)
Time8/10/23 11:51
Quant open1
Worst price4496.25
Drawdown as % of equity-1.40%
($566)
Includes Typical Broker Commissions trade costs of $16.00
8/10/23 11:03 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 1 15294.25 8/10 11:46 15254.25 2.32%
Trade id #145494907
Max drawdown($955)
Time8/10/23 11:46
Quant open1
Worst price15246.50
Drawdown as % of equity-2.32%
($808)
Includes Typical Broker Commissions trade costs of $8.00
8/10/23 9:32 @ESU3 E-MINI S&P 500 LONG 11 4520.75 8/10 11:05 4515.18 8.01%
Trade id #145491948
Max drawdown($3,300)
Time8/10/23 11:02
Quant open8
Worst price4512.50
Drawdown as % of equity-8.01%
($3,151)
Includes Typical Broker Commissions trade costs of $88.00
8/10/23 9:32 QGCZ3 Gold 100 oz SHORT 6 1954.3 8/10 9:32 1952.5 n/a $1,052
Includes Typical Broker Commissions trade costs of $48.00
8/10/23 9:32 QGCZ3 Gold 100 oz SHORT 6 1955.2 8/10 9:32 1957.5 3.43%
Trade id #145491883
Max drawdown($1,380)
Time8/10/23 9:32
Quant open6
Worst price1957.5
Drawdown as % of equity-3.43%
($1,428)
Includes Typical Broker Commissions trade costs of $48.00
8/9/23 13:41 QGCZ3 Gold 100 oz SHORT 4 1949.8 8/9 15:30 1949.3 0.3%
Trade id #145484918
Max drawdown($120)
Time8/9/23 13:44
Quant open4
Worst price1950.1
Drawdown as % of equity-0.30%
$168
Includes Typical Broker Commissions trade costs of $32.00
8/9/23 9:35 @RTYU3 Russell 2000 CME SHORT 5 1944.20 8/9 13:40 1943.00 4.33%
Trade id #145480450
Max drawdown($1,700)
Time8/9/23 10:02
Quant open5
Worst price1951.00
Drawdown as % of equity-4.33%
$260
Includes Typical Broker Commissions trade costs of $40.00
8/8/23 14:57 @NQU3 E-MINI NASDAQ 100 STK IDX SHORT 1 15339.50 8/8 16:00 15350.25 1.48%
Trade id #145474779
Max drawdown($610)
Time8/8/23 15:50
Quant open1
Worst price15370.00
Drawdown as % of equity-1.48%
($223)
Includes Typical Broker Commissions trade costs of $8.00
8/8/23 9:30 @ESU3 E-MINI S&P 500 SHORT 2 4508.25 8/8 16:00 4517.88 2.37%
Trade id #145469259
Max drawdown($975)
Time8/8/23 15:29
Quant open2
Worst price4518.00
Drawdown as % of equity-2.37%
($979)
Includes Typical Broker Commissions trade costs of $16.00
8/8/23 9:30 @NQU3 E-MINI NASDAQ 100 STK IDX SHORT 1 15368.50 8/8 14:57 15335.50 0.29%
Trade id #145469255
Max drawdown($125)
Time8/8/23 9:35
Quant open1
Worst price15374.80
Drawdown as % of equity-0.29%
$652
Includes Typical Broker Commissions trade costs of $8.00
8/7/23 10:30 @ESU3 E-MINI S&P 500 LONG 4 4527.00 8/7 11:06 4518.00 4.78%
Trade id #145459346
Max drawdown($2,050)
Time8/7/23 11:06
Quant open4
Worst price4516.75
Drawdown as % of equity-4.78%
($1,832)
Includes Typical Broker Commissions trade costs of $32.00
8/7/23 10:30 @ESU3 E-MINI S&P 500 LONG 3 4527.00 8/7 10:30 4526.75 0.09%
Trade id #145459340
Max drawdown($38)
Time8/7/23 10:30
Quant open3
Worst price4526.75
Drawdown as % of equity-0.09%
($62)
Includes Typical Broker Commissions trade costs of $24.00
8/7/23 9:35 @ESU3 E-MINI S&P 500 LONG 3 4524.75 8/7 9:45 4516.25 3.94%
Trade id #145457861
Max drawdown($1,687)
Time8/7/23 9:44
Quant open3
Worst price4513.50
Drawdown as % of equity-3.94%
($1,299)
Includes Typical Broker Commissions trade costs of $24.00
8/6/23 19:00 @ESU3 E-MINI S&P 500 LONG 1 4506.75 8/7 7:04 4510.00 0.71%
Trade id #145454726
Max drawdown($312)
Time8/7/23 0:00
Quant open1
Worst price4500.50
Drawdown as % of equity-0.71%
$155
Includes Typical Broker Commissions trade costs of $8.00
8/6/23 19:00 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 1 15396.25 8/7 7:04 15420.50 1.76%
Trade id #145454724
Max drawdown($770)
Time8/7/23 0:00
Quant open1
Worst price15357.80
Drawdown as % of equity-1.76%
$477
Includes Typical Broker Commissions trade costs of $8.00
8/4/23 9:35 @ESU3 E-MINI S&P 500 LONG 4 4547.00 8/4 9:56 4537.00 3.94%
Trade id #145430104
Max drawdown($1,800)
Time8/4/23 9:51
Quant open4
Worst price4538.00
Drawdown as % of equity-3.94%
($2,032)
Includes Typical Broker Commissions trade costs of $32.00
8/4/23 9:35 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 1 15554.00 8/4 9:43 15514.75 2.09%
Trade id #145430109
Max drawdown($955)
Time8/4/23 9:43
Quant open1
Worst price15506.20
Drawdown as % of equity-2.09%
($793)
Includes Typical Broker Commissions trade costs of $8.00
8/3/23 9:34 @ESU3 E-MINI S&P 500 LONG 2 4511.25 8/3 10:01 4520.25 0.61%
Trade id #145416029
Max drawdown($275)
Time8/3/23 9:46
Quant open2
Worst price4508.50
Drawdown as % of equity-0.61%
$884
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    9/15/2021
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    951.01
  • Age
    32 months ago
  • What it trades
    Futures
  • # Trades
    1177
  • # Profitable
    438
  • % Profitable
    37.20%
  • Avg trade duration
    4.2 hours
  • Max peak-to-valley drawdown
    67.13%
  • drawdown period
    June 03, 2023 - Aug 15, 2023
  • Annual Return (Compounded)
    65.7%
  • Avg win
    $699.51
  • Avg loss
    $365.80
  • Model Account Values (Raw)
  • Cash
    $44,326
  • Margin Used
    $0
  • Buying Power
    $44,326
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.93
  • Sortino Ratio
    1.93
  • Calmar Ratio
    2.348
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    261.57%
  • Correlation to SP500
    -0.05610
  • Return Percent SP500 (cumu) during strategy life
    13.10%
  • Return Statistics
  • Ann Return (w trading costs)
    65.7%
  • Slump
  • Current Slump as Pcnt Equity
    197.10%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.34%
  • 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)
    0.657%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    90.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    63.50%
  • Chance of 20% account loss
    38.00%
  • Chance of 30% account loss
    17.50%
  • Chance of 40% account loss
    6.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
    99.93%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    663
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $366
  • Avg Win
    $700
  • Sum Trade PL (losers)
    $270,323.000
  • Age
  • Num Months filled monthly returns table
    32
  • Win / Loss
  • Sum Trade PL (winners)
    $306,385.000
  • # Winners
    438
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    739
  • % Winners
    37.2%
  • Frequency
  • Avg Position Time (mins)
    250.92
  • Avg Position Time (hrs)
    4.18
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    251
  • Leverage
  • Daily leverage (average)
    9.09
  • Daily leverage (max)
    61.68
  • Regression
  • Alpha
    0.18
  • Beta
    -0.18
  • Treynor Index
    -0.99
  • 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)
    -0.23
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -4.467
  • 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
    0.167
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.642
  • Hold-and-Hope Ratio
    -0.224
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.51951
  • SD
    1.75974
  • Sharpe ratio (Glass type estimate)
    0.86349
  • Sharpe ratio (Hedges UMVUE)
    0.83617
  • df
    24.00000
  • t
    1.24633
  • p
    0.11234
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52463
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23432
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54218
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21452
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.45799
  • Upside Potential Ratio
    6.05311
  • Upside part of mean
    2.06320
  • Downside part of mean
    -0.54370
  • Upside SD
    1.74615
  • Downside SD
    0.34085
  • N nonnegative terms
    15.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.06176
  • Mean of criterion
    1.51951
  • SD of predictor
    0.22771
  • SD of criterion
    1.75974
  • Covariance
    -0.13878
  • r
    -0.34633
  • b (slope, estimate of beta)
    -2.67645
  • a (intercept, estimate of alpha)
    1.68481
  • Mean Square Error
    2.84373
  • DF error
    23.00000
  • t(b)
    -1.77052
  • p(b)
    0.95505
  • t(a)
    1.43749
  • p(a)
    0.08202
  • Lowerbound of 95% confidence interval for beta
    -5.80360
  • Upperbound of 95% confidence interval for beta
    0.45070
  • Lowerbound of 95% confidence interval for alpha
    -0.73977
  • Upperbound of 95% confidence interval for alpha
    4.10939
  • Treynor index (mean / b)
    -0.56773
  • Jensen alpha (a)
    1.68481
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77916
  • SD
    1.02232
  • Sharpe ratio (Glass type estimate)
    0.76215
  • Sharpe ratio (Hedges UMVUE)
    0.73804
  • df
    24.00000
  • t
    1.10006
  • p
    0.14111
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62027
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12918
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63582
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11190
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99405
  • Upside Potential Ratio
    3.56024
  • Upside part of mean
    1.39113
  • Downside part of mean
    -0.61197
  • Upside SD
    0.94934
  • Downside SD
    0.39074
  • N nonnegative terms
    15.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.03771
  • Mean of criterion
    0.77916
  • SD of predictor
    0.22085
  • SD of criterion
    1.02232
  • Covariance
    -0.07012
  • r
    -0.31057
  • b (slope, estimate of beta)
    -1.43764
  • a (intercept, estimate of alpha)
    0.83337
  • Mean Square Error
    0.98538
  • DF error
    23.00000
  • t(b)
    -1.56692
  • p(b)
    0.93461
  • t(a)
    1.21023
  • p(a)
    0.11924
  • Lowerbound of 95% confidence interval for beta
    -3.33562
  • Upperbound of 95% confidence interval for beta
    0.46034
  • Lowerbound of 95% confidence interval for alpha
    -0.59112
  • Upperbound of 95% confidence interval for alpha
    2.25787
  • Treynor index (mean / b)
    -0.54197
  • Jensen alpha (a)
    0.83337
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.34328
  • Expected Shortfall on VaR
    0.41615
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08954
  • Expected Shortfall on VaR
    0.18641
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.69346
  • Quartile 1
    0.98121
  • Median
    1.03632
  • Quartile 3
    1.10905
  • Maximum
    3.41963
  • Mean of quarter 1
    0.84266
  • Mean of quarter 2
    1.01013
  • Mean of quarter 3
    1.06892
  • Mean of quarter 4
    1.64183
  • Inter Quartile Range
    0.12784
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.08000
  • Mean of outliers low
    0.72807
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08000
  • Mean of outliers high
    2.46104
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.60360
  • VaR(95%) (moments method)
    0.06740
  • Expected Shortfall (moments method)
    0.06743
  • Extreme Value Index (regression method)
    -0.84101
  • VaR(95%) (regression method)
    0.26100
  • Expected Shortfall (regression method)
    0.29646
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01879
  • Quartile 1
    0.04885
  • Median
    0.22195
  • Quartile 3
    0.40655
  • Maximum
    0.47111
  • Mean of quarter 1
    0.01879
  • Mean of quarter 2
    0.05887
  • Mean of quarter 3
    0.38502
  • Mean of quarter 4
    0.47111
  • Inter Quartile Range
    0.35770
  • 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)
    2.09903
  • Compounded annual return (geometric extrapolation)
    1.24132
  • Calmar ratio (compounded annual return / max draw down)
    2.63486
  • Compounded annual return / average of 25% largest draw downs
    2.63486
  • Compounded annual return / Expected Shortfall lognormal
    2.98287
  • 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
    0.90411
  • SD
    0.55038
  • Sharpe ratio (Glass type estimate)
    1.64270
  • Sharpe ratio (Hedges UMVUE)
    1.64049
  • df
    557.00000
  • t
    2.39732
  • p
    0.00842
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29554
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98844
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29402
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98696
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.58556
  • Upside Potential Ratio
    11.47380
  • Upside part of mean
    2.89315
  • Downside part of mean
    -1.98904
  • Upside SD
    0.49185
  • Downside SD
    0.25215
  • N nonnegative terms
    210.00000
  • N negative terms
    348.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    558.00000
  • Mean of predictor
    0.05128
  • Mean of criterion
    0.90411
  • SD of predictor
    0.20496
  • SD of criterion
    0.55038
  • Covariance
    -0.00650
  • r
    -0.05760
  • b (slope, estimate of beta)
    -0.15468
  • a (intercept, estimate of alpha)
    0.91200
  • Mean Square Error
    0.30246
  • DF error
    556.00000
  • t(b)
    -1.36048
  • p(b)
    0.91289
  • t(a)
    2.41990
  • p(a)
    0.00792
  • Lowerbound of 95% confidence interval for beta
    -0.37800
  • Upperbound of 95% confidence interval for beta
    0.06864
  • Lowerbound of 95% confidence interval for alpha
    0.17174
  • Upperbound of 95% confidence interval for alpha
    1.65235
  • Treynor index (mean / b)
    -5.84509
  • Jensen alpha (a)
    0.91204
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76156
  • SD
    0.52358
  • Sharpe ratio (Glass type estimate)
    1.45452
  • Sharpe ratio (Hedges UMVUE)
    1.45256
  • df
    557.00000
  • t
    2.12269
  • p
    0.01711
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10817
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79829
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.94000
  • Upside Potential Ratio
    10.74500
  • Upside part of mean
    2.78333
  • Downside part of mean
    -2.02177
  • Upside SD
    0.45690
  • Downside SD
    0.25903
  • N nonnegative terms
    210.00000
  • N negative terms
    348.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    558.00000
  • Mean of predictor
    0.03033
  • Mean of criterion
    0.76156
  • SD of predictor
    0.20477
  • SD of criterion
    0.52358
  • Covariance
    -0.00538
  • r
    -0.05022
  • b (slope, estimate of beta)
    -0.12842
  • a (intercept, estimate of alpha)
    0.76545
  • Mean Square Error
    0.27394
  • DF error
    556.00000
  • t(b)
    -1.18575
  • p(b)
    0.88189
  • t(a)
    2.13424
  • p(a)
    0.01663
  • Lowerbound of 95% confidence interval for beta
    -0.34115
  • Upperbound of 95% confidence interval for beta
    0.08431
  • Lowerbound of 95% confidence interval for alpha
    0.06097
  • Upperbound of 95% confidence interval for alpha
    1.46994
  • Treynor index (mean / b)
    -5.93017
  • Jensen alpha (a)
    0.76545
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04906
  • Expected Shortfall on VaR
    0.06175
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02001
  • Expected Shortfall on VaR
    0.03811
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    558.00000
  • Minimum
    0.87855
  • Quartile 1
    0.98957
  • Median
    1.00000
  • Quartile 3
    1.00928
  • Maximum
    1.35031
  • Mean of quarter 1
    0.97467
  • Mean of quarter 2
    0.99530
  • Mean of quarter 3
    1.00225
  • Mean of quarter 4
    1.04194
  • Inter Quartile Range
    0.01971
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.03405
  • Mean of outliers low
    0.93978
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.08602
  • Mean of outliers high
    1.08289
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23917
  • VaR(95%) (moments method)
    0.02547
  • Expected Shortfall (moments method)
    0.04029
  • Extreme Value Index (regression method)
    0.07068
  • VaR(95%) (regression method)
    0.02410
  • Expected Shortfall (regression method)
    0.03377
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00192
  • Quartile 1
    0.01326
  • Median
    0.03321
  • Quartile 3
    0.08769
  • Maximum
    0.51200
  • Mean of quarter 1
    0.00706
  • Mean of quarter 2
    0.02121
  • Mean of quarter 3
    0.06149
  • Mean of quarter 4
    0.21323
  • Inter Quartile Range
    0.07443
  • 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
    0.06897
  • Mean of outliers high
    0.46363
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.65660
  • VaR(95%) (moments method)
    0.24447
  • Expected Shortfall (moments method)
    0.70973
  • Extreme Value Index (regression method)
    1.03200
  • VaR(95%) (regression method)
    0.20431
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.05326
  • Compounded annual return (geometric extrapolation)
    1.20222
  • Calmar ratio (compounded annual return / max draw down)
    2.34809
  • Compounded annual return / average of 25% largest draw downs
    5.63815
  • Compounded annual return / Expected Shortfall lognormal
    19.46770
  • 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
    -1.04139
  • SD
    0.33438
  • Sharpe ratio (Glass type estimate)
    -3.11437
  • Sharpe ratio (Hedges UMVUE)
    -3.09636
  • df
    130.00000
  • t
    -2.20219
  • p
    0.59482
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.90606
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.31110
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.89361
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29912
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.60192
  • Upside Potential Ratio
    3.23485
  • Upside part of mean
    0.93527
  • Downside part of mean
    -1.97666
  • Upside SD
    0.17750
  • Downside SD
    0.28912
  • N nonnegative terms
    23.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.39554
  • Mean of criterion
    -1.04139
  • SD of predictor
    0.18053
  • SD of criterion
    0.33438
  • Covariance
    0.00748
  • r
    0.12384
  • b (slope, estimate of beta)
    0.22938
  • a (intercept, estimate of alpha)
    -1.13212
  • Mean Square Error
    0.11095
  • DF error
    129.00000
  • t(b)
    1.41750
  • p(b)
    0.42136
  • t(a)
    -2.38144
  • p(a)
    0.62972
  • Lowerbound of 95% confidence interval for beta
    -0.09079
  • Upperbound of 95% confidence interval for beta
    0.54955
  • Lowerbound of 95% confidence interval for alpha
    -2.07270
  • Upperbound of 95% confidence interval for alpha
    -0.19154
  • Treynor index (mean / b)
    -4.53998
  • Jensen alpha (a)
    -1.13212
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.10051
  • SD
    0.34138
  • Sharpe ratio (Glass type estimate)
    -3.22368
  • Sharpe ratio (Hedges UMVUE)
    -3.20504
  • df
    130.00000
  • t
    -2.27948
  • p
    0.59802
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.01695
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.41834
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.00409
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40599
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.66667
  • Upside Potential Ratio
    3.06476
  • Upside part of mean
    0.91985
  • Downside part of mean
    -2.02037
  • Upside SD
    0.17376
  • Downside SD
    0.30014
  • N nonnegative terms
    23.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.37923
  • Mean of criterion
    -1.10051
  • SD of predictor
    0.17899
  • SD of criterion
    0.34138
  • Covariance
    0.00739
  • r
    0.12091
  • b (slope, estimate of beta)
    0.23060
  • a (intercept, estimate of alpha)
    -1.18796
  • Mean Square Error
    0.11573
  • DF error
    129.00000
  • t(b)
    1.38339
  • p(b)
    0.42322
  • t(a)
    -2.44821
  • p(a)
    0.63314
  • VAR (95 Confidence Intrvl)
    0.04900
  • Lowerbound of 95% confidence interval for beta
    -0.09920
  • Upperbound of 95% confidence interval for beta
    0.56040
  • Lowerbound of 95% confidence interval for alpha
    -2.14802
  • Upperbound of 95% confidence interval for alpha
    -0.22791
  • Treynor index (mean / b)
    -4.77238
  • Jensen alpha (a)
    -1.18796
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03815
  • Expected Shortfall on VaR
    0.04656
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02340
  • Expected Shortfall on VaR
    0.04600
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87855
  • Quartile 1
    0.99158
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06867
  • Mean of quarter 1
    0.97224
  • Mean of quarter 2
    0.99816
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01424
  • Inter Quartile Range
    0.00842
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.95732
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.02892
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00419
  • VaR(95%) (moments method)
    0.02259
  • Expected Shortfall (moments method)
    0.03131
  • Extreme Value Index (regression method)
    0.29182
  • VaR(95%) (regression method)
    0.02155
  • Expected Shortfall (regression method)
    0.03550
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00886
  • Quartile 1
    0.02280
  • Median
    0.03784
  • Quartile 3
    0.16417
  • Maximum
    0.51200
  • Mean of quarter 1
    0.00886
  • Mean of quarter 2
    0.02744
  • Mean of quarter 3
    0.04823
  • Mean of quarter 4
    0.51200
  • Inter Quartile Range
    0.14137
  • 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
    0.25000
  • Mean of outliers high
    0.51200
  • 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?
    -376539000
  • Max Equity Drawdown (num days)
    73
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.83019
  • Compounded annual return (geometric extrapolation)
    -0.65788
  • Calmar ratio (compounded annual return / max draw down)
    -1.28493
  • Compounded annual return / average of 25% largest draw downs
    -1.28493
  • Compounded annual return / Expected Shortfall lognormal
    -14.13120

Strategy Description

Update: 6/4/2023
-Rescaled system down.
-I trade this system with my real money account so position sizing will be large in reference to this rescaled account size
-Please contact me before signing up so you can figure out the position size % for your account size

Summary Statistics

Strategy began
2021-09-15
Suggested Minimum Capital
$25,000
# Trades
1177
# Profitable
438
% Profitable
37.2%
Correlation S&P500
-0.056
Sharpe Ratio
0.93
Sortino Ratio
1.93
Beta
-0.18
Alpha
0.18
Leverage
9.09 Average
61.68 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

#PERSONNAME#
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.