Collective2 Collective2
Featured Strategy MT3 Algotrading +79.6% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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POWER BEHIND THE THRONE
(140330667)

Created by: GREY_EMINENCE GREY_EMINENCE
Started: 05/2022
Stocks
Last trade: 345 days ago
Trading style: Equity Momentum Short-term Reversal

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 $150.00 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).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
12.8%
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.

(48.3%)
Max Drawdown
485
Num Trades
95.1%
Win Trades
1.3 : 1
Profit Factor
46.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +15.6%+29.1%(20.9%)+12.7%+7.9%+10.1%+5.3%+0.1%+66.4%
2023+4.8%+1.5%(5.3%)+29.0%(16.7%)(22.6%)(14.1%)+5.0%+14.7%+4.1%+1.2%(10.4%)(18.2%)
2024+1.2%  -    -    -    -    -    -    -    -    -    -    -  +1.2%

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 543 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 376 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/3/24 14:39 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 1,000 64.25 1/16 12:09 57.88 8.89%
Trade id #146895966
Max drawdown($6,352)
Time1/16/24 12:08
Quant open800
Worst price56.31
Drawdown as % of equity-8.89%
 ($6,381)
Includes Typical Broker Commissions trade costs of $7.00
11/2/23 15:55 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 100 45.85 12/14 14:06 64.10 5.42%
Trade id #146320359
Max drawdown($4,142)
Time11/6/23 0:00
Quant open100
Worst price4.43
Drawdown as % of equity-5.42%
 $1,823
Includes Typical Broker Commissions trade costs of $2.00
11/2/23 15:54 CVX CHEVRON LONG 200 147.88 12/14 14:04 148.78 1.88%
Trade id #146320277
Max drawdown($1,432)
Time11/22/23 0:00
Quant open200
Worst price140.72
Drawdown as % of equity-1.88%
 $176
Includes Typical Broker Commissions trade costs of $4.00
11/2/23 15:52 KO COCA-COLA LONG 200 57.04 11/14 14:51 57.10 0.26%
Trade id #146320212
Max drawdown($197)
Time11/10/23 0:00
Quant open200
Worst price56.05
Drawdown as % of equity-0.26%
 $8
Includes Typical Broker Commissions trade costs of $4.00
11/6/23 14:36 AMT AMERICAN TOWER LONG 100 186.25 11/14 14:46 193.71 0.93%
Trade id #146349997
Max drawdown($693)
Time11/10/23 0:00
Quant open100
Worst price179.31
Drawdown as % of equity-0.93%
 $744
Includes Typical Broker Commissions trade costs of $2.00
11/6/23 14:35 EBAY EBAY LONG 200 40.17 11/14 14:45 40.26 0.79%
Trade id #146349982
Max drawdown($599)
Time11/8/23 0:00
Quant open200
Worst price37.17
Drawdown as % of equity-0.79%
 $14
Includes Typical Broker Commissions trade costs of $4.00
11/6/23 15:00 YUM YUM BRANDS LONG 80 126.60 11/14 14:18 127.26 0.32%
Trade id #146350351
Max drawdown($240)
Time11/10/23 0:00
Quant open80
Worst price123.59
Drawdown as % of equity-0.32%
 $51
Includes Typical Broker Commissions trade costs of $1.60
11/6/23 14:39 LLY ELI LILLY LONG 100 594.61 11/6 14:54 595.02 0.05%
Trade id #146350036
Max drawdown($35)
Time11/6/23 14:48
Quant open100
Worst price594.26
Drawdown as % of equity-0.05%
 $39
Includes Typical Broker Commissions trade costs of $2.00
11/2/23 15:52 FMC FMC LONG 100 54.90 11/3 14:55 55.96 0.05%
Trade id #146320181
Max drawdown($40)
Time11/3/23 9:45
Quant open100
Worst price54.50
Drawdown as % of equity-0.05%
 $104
Includes Typical Broker Commissions trade costs of $2.00
11/2/23 15:53 DVN DEVON ENERGY LONG 100 47.20 11/3 11:42 47.65 0%
Trade id #146320266
Max drawdown($0)
Time11/2/23 15:57
Quant open100
Worst price47.19
Drawdown as % of equity-0.00%
 $44
Includes Typical Broker Commissions trade costs of $2.00
11/2/23 15:49 POST POST HOLDINGS LONG 100 82.53 11/3 11:42 83.72 0.02%
Trade id #146320090
Max drawdown($12)
Time11/2/23 15:57
Quant open100
Worst price82.40
Drawdown as % of equity-0.02%
 $118
Includes Typical Broker Commissions trade costs of $2.00
11/2/23 15:51 DTE DTE ENERGY HOLDING LONG 100 99.23 11/3 11:27 100.80 0.06%
Trade id #146320152
Max drawdown($47)
Time11/2/23 15:59
Quant open100
Worst price98.76
Drawdown as % of equity-0.06%
 $155
Includes Typical Broker Commissions trade costs of $2.00
11/2/23 15:48 DIS WALT DISNEY LONG 100 83.28 11/3 11:27 85.11 0.01%
Trade id #146320076
Max drawdown($10)
Time11/2/23 15:58
Quant open100
Worst price83.17
Drawdown as % of equity-0.01%
 $181
Includes Typical Broker Commissions trade costs of $2.00
11/2/23 15:53 NKE NIKE LONG 100 105.00 11/3 11:27 107.53 n/a $250
Includes Typical Broker Commissions trade costs of $2.00
11/2/23 15:51 AWK AMERICAN WATER WORKS LONG 100 124.72 11/3 11:27 131.00 0.05%
Trade id #146320099
Max drawdown($37)
Time11/2/23 15:58
Quant open100
Worst price124.35
Drawdown as % of equity-0.05%
 $626
Includes Typical Broker Commissions trade costs of $2.00
5/12/23 15:50 UPRO PROSHARES ULTRAPRO S&P 500 SHORT 1,100 38.29 5/24 10:55 38.18 2.58%
Trade id #144602550
Max drawdown($2,558)
Time5/19/23 0:00
Quant open964
Worst price40.94
Drawdown as % of equity-2.58%
 $115
Includes Typical Broker Commissions trade costs of $7.36
1/18/23 15:43 HLF HERBALIFE SHORT 1,962 15.33 5/17 13:25 15.42 3.07%
Trade id #143258353
Max drawdown($2,492)
Time2/15/23 0:00
Quant open500
Worst price21.33
Drawdown as % of equity-3.07%
 ($227)
Includes Typical Broker Commissions trade costs of $39.24
4/24/23 10:30 AFL AFLAC LONG 700 66.19 5/17 13:25 66.13 0.2%
Trade id #144404115
Max drawdown($208)
Time4/25/23 0:00
Quant open200
Worst price65.28
Drawdown as % of equity-0.20%
 ($59)
Includes Typical Broker Commissions trade costs of $14.00
5/12/23 14:28 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 1,500 28.74 5/12 15:41 28.49 0.15%
Trade id #144601816
Max drawdown($164)
Time5/12/23 14:31
Quant open1,400
Worst price28.86
Drawdown as % of equity-0.15%
 $370
Includes Typical Broker Commissions trade costs of $10.00
5/11/23 11:26 UPRO PROSHARES ULTRAPRO S&P 500 SHORT 1,000 38.42 5/12 12:17 38.17 0.56%
Trade id #144589285
Max drawdown($617)
Time5/12/23 9:43
Quant open1,000
Worst price39.03
Drawdown as % of equity-0.56%
 $238
Includes Typical Broker Commissions trade costs of $12.50
5/11/23 10:23 NFLX NETFLIX SHORT 200 336.23 5/11 10:44 335.48 0.36%
Trade id #144588322
Max drawdown($394)
Time5/11/23 10:27
Quant open200
Worst price338.20
Drawdown as % of equity-0.36%
 $146
Includes Typical Broker Commissions trade costs of $4.00
5/11/23 10:24 GOOG ALPHABET INC CLASS C SHORT 200 117.96 5/11 10:42 116.92 n/a $204
Includes Typical Broker Commissions trade costs of $4.00
5/5/23 9:57 UPRO PROSHARES ULTRAPRO S&P 500 SHORT 1,500 38.24 5/11 10:08 38.10 1.47%
Trade id #144537613
Max drawdown($1,642)
Time5/10/23 0:00
Quant open1,500
Worst price39.34
Drawdown as % of equity-1.47%
 $198
Includes Typical Broker Commissions trade costs of $17.50
5/4/23 10:41 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,000 36.59 5/4 12:30 36.89 0.15%
Trade id #144525963
Max drawdown($168)
Time5/4/23 12:08
Quant open1,000
Worst price36.42
Drawdown as % of equity-0.15%
 $284
Includes Typical Broker Commissions trade costs of $12.50
5/4/23 12:15 UDOW PROSHARES ULTRAPRO DOW30 LONG 1,000 53.41 5/4 12:30 53.89 n/a $478
Includes Typical Broker Commissions trade costs of $5.00
5/4/23 10:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 26.48 5/4 12:30 26.73 n/a $234
Includes Typical Broker Commissions trade costs of $12.50
5/3/23 14:46 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,000 29.43 5/3 15:22 30.15 0.19%
Trade id #144516704
Max drawdown($208)
Time5/3/23 15:05
Quant open1,000
Worst price29.22
Drawdown as % of equity-0.19%
 $718
Includes Typical Broker Commissions trade costs of $5.00
5/3/23 14:46 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,000 27.85 5/3 15:22 27.12 0.12%
Trade id #144516660
Max drawdown($128)
Time5/3/23 15:05
Quant open1,000
Worst price27.98
Drawdown as % of equity-0.12%
 $731
Includes Typical Broker Commissions trade costs of $5.00
5/3/23 14:46 UPRO PROSHARES ULTRAPRO S&P 500 SHORT 1,000 38.89 5/3 15:21 38.02 0.15%
Trade id #144516677
Max drawdown($167)
Time5/3/23 15:05
Quant open1,000
Worst price39.06
Drawdown as % of equity-0.15%
 $868
Includes Typical Broker Commissions trade costs of $5.00
5/2/23 9:34 UPRO PROSHARES ULTRAPRO S&P 500 LONG 2,000 39.07 5/3 14:41 39.08 2.82%
Trade id #144499495
Max drawdown($2,965)
Time5/2/23 11:33
Quant open2,000
Worst price37.59
Drawdown as % of equity-2.82%
 ($8)
Includes Typical Broker Commissions trade costs of $22.50
Next

Statistics

  • Strategy began
    5/2/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    965.75
  • Age
    32 months ago
  • What it trades
    Stocks
  • # Trades
    485
  • # Profitable
    461
  • % Profitable
    95.10%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    48.3%
  • drawdown period
    May 04, 2023 - July 19, 2023
  • Annual Return (Compounded)
    12.8%
  • Avg win
    $239.57
  • Avg loss
    $3,482
  • Model Account Values (Raw)
  • Cash
    $75,698
  • Margin Used
    $64
  • Buying Power
    $34,429
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    0.38
  • Sortino Ratio
    0.57
  • Calmar Ratio
    0.525
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -5.00%
  • Correlation to SP500
    -0.14370
  • Return Percent SP500 (cumu) during strategy life
    45.35%
  • Return Statistics
  • Ann Return (w trading costs)
    12.8%
  • Slump
  • Current Slump as Pcnt Equity
    63.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.62%
  • 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)
    0.128%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    75.50%
  • Chance of 20% account loss
    49.00%
  • Chance of 30% account loss
    22.00%
  • Chance of 40% account loss
    12.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    2.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    341
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    396
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,482
  • Avg Win
    $240
  • Sum Trade PL (losers)
    $83,576.000
  • Age
  • Num Months filled monthly returns table
    32
  • Win / Loss
  • Sum Trade PL (winners)
    $110,443.000
  • # Winners
    461
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    -1240
  • Win / Loss
  • # Losers
    24
  • % Winners
    95.0%
  • Frequency
  • Avg Position Time (mins)
    5967.42
  • Avg Position Time (hrs)
    99.46
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    342
  • Leverage
  • Daily leverage (average)
    2.29
  • Daily leverage (max)
    5.50
  • Regression
  • Alpha
    0.06
  • Beta
    -0.31
  • Treynor Index
    -0.15
  • 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)
    2.10
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    5.783
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    2.050
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.628
  • Hold-and-Hope Ratio
    0.039
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28617
  • SD
    0.42977
  • Sharpe ratio (Glass type estimate)
    0.66587
  • Sharpe ratio (Hedges UMVUE)
    0.64175
  • df
    21.00000
  • t
    0.90159
  • p
    0.37787
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80313
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11946
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81873
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10224
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03601
  • Upside Potential Ratio
    2.52688
  • Upside part of mean
    0.69798
  • Downside part of mean
    -0.41181
  • Upside SD
    0.32685
  • Downside SD
    0.27622
  • N nonnegative terms
    12.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.13576
  • Mean of criterion
    0.28617
  • SD of predictor
    0.17769
  • SD of criterion
    0.42977
  • Covariance
    -0.03902
  • r
    -0.51100
  • b (slope, estimate of beta)
    -1.23596
  • a (intercept, estimate of alpha)
    0.45396
  • Mean Square Error
    0.14330
  • DF error
    20.00000
  • t(b)
    -2.65860
  • p(b)
    0.75550
  • t(a)
    1.58391
  • p(a)
    0.33307
  • Lowerbound of 95% confidence interval for beta
    -2.20571
  • Upperbound of 95% confidence interval for beta
    -0.26622
  • Lowerbound of 95% confidence interval for alpha
    -0.14389
  • Upperbound of 95% confidence interval for alpha
    1.05182
  • Treynor index (mean / b)
    -0.23154
  • Jensen alpha (a)
    0.45396
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19383
  • SD
    0.43708
  • Sharpe ratio (Glass type estimate)
    0.44346
  • Sharpe ratio (Hedges UMVUE)
    0.42740
  • df
    21.00000
  • t
    0.60045
  • p
    0.41752
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02589
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88069
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62229
  • Upside Potential Ratio
    2.08480
  • Upside part of mean
    0.64936
  • Downside part of mean
    -0.45554
  • Upside SD
    0.29744
  • Downside SD
    0.31148
  • N nonnegative terms
    12.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.11981
  • Mean of criterion
    0.19383
  • SD of predictor
    0.17715
  • SD of criterion
    0.43708
  • Covariance
    -0.03858
  • r
    -0.49824
  • b (slope, estimate of beta)
    -1.22930
  • a (intercept, estimate of alpha)
    0.34111
  • Mean Square Error
    0.15080
  • DF error
    20.00000
  • t(b)
    -2.56991
  • p(b)
    0.74912
  • t(a)
    1.16633
  • p(a)
    0.37382
  • Lowerbound of 95% confidence interval for beta
    -2.22710
  • Upperbound of 95% confidence interval for beta
    -0.23149
  • Lowerbound of 95% confidence interval for alpha
    -0.26896
  • Upperbound of 95% confidence interval for alpha
    0.95119
  • Treynor index (mean / b)
    -0.15767
  • Jensen alpha (a)
    0.34111
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17419
  • Expected Shortfall on VaR
    0.21576
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07338
  • Expected Shortfall on VaR
    0.15389
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.73273
  • Quartile 1
    0.99797
  • Median
    1.03660
  • Quartile 3
    1.08616
  • Maximum
    1.30318
  • Mean of quarter 1
    0.87839
  • Mean of quarter 2
    1.00562
  • Mean of quarter 3
    1.07082
  • Mean of quarter 4
    1.15389
  • Inter Quartile Range
    0.08819
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.13636
  • Mean of outliers low
    0.80064
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.30318
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -16.89030
  • VaR(95%) (moments method)
    0.01208
  • Expected Shortfall (moments method)
    0.01208
  • Extreme Value Index (regression method)
    -0.60848
  • VaR(95%) (regression method)
    0.23190
  • Expected Shortfall (regression method)
    0.28203
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00232
  • Quartile 1
    0.09720
  • Median
    0.19209
  • Quartile 3
    0.28071
  • Maximum
    0.36934
  • Mean of quarter 1
    0.00232
  • Mean of quarter 2
    0.19209
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.36934
  • Inter Quartile Range
    0.18351
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27359
  • Compounded annual return (geometric extrapolation)
    0.24824
  • Calmar ratio (compounded annual return / max draw down)
    0.67212
  • Compounded annual return / average of 25% largest draw downs
    0.67212
  • Compounded annual return / Expected Shortfall lognormal
    1.15056
  • 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
    0.25821
  • SD
    0.38332
  • Sharpe ratio (Glass type estimate)
    0.67361
  • Sharpe ratio (Hedges UMVUE)
    0.67259
  • df
    499.00000
  • t
    0.93055
  • p
    0.17627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74610
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09268
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74680
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09198
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99451
  • Upside Potential Ratio
    8.48611
  • Upside part of mean
    2.20326
  • Downside part of mean
    -1.94506
  • Upside SD
    0.28193
  • Downside SD
    0.25963
  • N nonnegative terms
    220.00000
  • N negative terms
    280.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    500.00000
  • Mean of predictor
    0.17770
  • Mean of criterion
    0.25821
  • SD of predictor
    0.19567
  • SD of criterion
    0.38332
  • Covariance
    -0.01297
  • r
    -0.17291
  • b (slope, estimate of beta)
    -0.33872
  • a (intercept, estimate of alpha)
    0.31800
  • Mean Square Error
    0.14283
  • DF error
    498.00000
  • t(b)
    -3.91760
  • p(b)
    0.99995
  • t(a)
    1.16202
  • p(a)
    0.12289
  • Lowerbound of 95% confidence interval for beta
    -0.50860
  • Upperbound of 95% confidence interval for beta
    -0.16885
  • Lowerbound of 95% confidence interval for alpha
    -0.21995
  • Upperbound of 95% confidence interval for alpha
    0.85674
  • Treynor index (mean / b)
    -0.76229
  • Jensen alpha (a)
    0.31840
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18504
  • SD
    0.38239
  • Sharpe ratio (Glass type estimate)
    0.48392
  • Sharpe ratio (Hedges UMVUE)
    0.48319
  • df
    499.00000
  • t
    0.66851
  • p
    0.25206
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93536
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90282
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90228
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69554
  • Upside Potential Ratio
    8.13671
  • Upside part of mean
    2.16471
  • Downside part of mean
    -1.97966
  • Upside SD
    0.27437
  • Downside SD
    0.26604
  • N nonnegative terms
    220.00000
  • N negative terms
    280.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    500.00000
  • Mean of predictor
    0.15851
  • Mean of criterion
    0.18504
  • SD of predictor
    0.19579
  • SD of criterion
    0.38239
  • Covariance
    -0.01311
  • r
    -0.17515
  • b (slope, estimate of beta)
    -0.34206
  • a (intercept, estimate of alpha)
    0.23927
  • Mean Square Error
    0.14202
  • DF error
    498.00000
  • t(b)
    -3.96995
  • p(b)
    0.99996
  • t(a)
    0.87599
  • p(a)
    0.19073
  • Lowerbound of 95% confidence interval for beta
    -0.51135
  • Upperbound of 95% confidence interval for beta
    -0.17278
  • Lowerbound of 95% confidence interval for alpha
    -0.29738
  • Upperbound of 95% confidence interval for alpha
    0.77591
  • Treynor index (mean / b)
    -0.54096
  • Jensen alpha (a)
    0.23927
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03743
  • Expected Shortfall on VaR
    0.04685
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01828
  • Expected Shortfall on VaR
    0.03616
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    500.00000
  • Minimum
    0.91262
  • Quartile 1
    0.99075
  • Median
    1.00000
  • Quartile 3
    1.01262
  • Maximum
    1.13399
  • Mean of quarter 1
    0.97297
  • Mean of quarter 2
    0.99757
  • Mean of quarter 3
    1.00426
  • Mean of quarter 4
    1.02957
  • Inter Quartile Range
    0.02186
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.04400
  • Mean of outliers low
    0.94238
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.03200
  • Mean of outliers high
    1.06496
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08306
  • VaR(95%) (moments method)
    0.02418
  • Expected Shortfall (moments method)
    0.03472
  • Extreme Value Index (regression method)
    0.04477
  • VaR(95%) (regression method)
    0.02444
  • Expected Shortfall (regression method)
    0.03440
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00088
  • Quartile 1
    0.01090
  • Median
    0.05063
  • Quartile 3
    0.08676
  • Maximum
    0.45243
  • Mean of quarter 1
    0.00561
  • Mean of quarter 2
    0.02753
  • Mean of quarter 3
    0.06910
  • Mean of quarter 4
    0.27241
  • Inter Quartile Range
    0.07586
  • 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
    0.13333
  • Mean of outliers high
    0.41330
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.98535
  • VaR(95%) (moments method)
    0.25150
  • Expected Shortfall (moments method)
    0.25857
  • Extreme Value Index (regression method)
    -1.08567
  • VaR(95%) (regression method)
    0.43817
  • Expected Shortfall (regression method)
    0.47581
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26273
  • Compounded annual return (geometric extrapolation)
    0.23732
  • Calmar ratio (compounded annual return / max draw down)
    0.52455
  • Compounded annual return / average of 25% largest draw downs
    0.87120
  • Compounded annual return / Expected Shortfall lognormal
    5.06544
  • 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
    0.05117
  • SD
    0.16869
  • Sharpe ratio (Glass type estimate)
    0.30333
  • Sharpe ratio (Hedges UMVUE)
    0.30158
  • df
    130.00000
  • t
    0.21449
  • p
    0.49060
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.46921
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07490
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.47047
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07362
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51590
  • Upside Potential Ratio
    7.40117
  • Upside part of mean
    0.73406
  • Downside part of mean
    -0.68289
  • Upside SD
    0.13569
  • Downside SD
    0.09918
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.59659
  • Mean of criterion
    0.05117
  • SD of predictor
    0.17074
  • SD of criterion
    0.16869
  • Covariance
    -0.00479
  • r
    -0.16622
  • b (slope, estimate of beta)
    -0.16423
  • a (intercept, estimate of alpha)
    0.14914
  • Mean Square Error
    0.02788
  • DF error
    129.00000
  • t(b)
    -1.91452
  • p(b)
    0.60533
  • t(a)
    0.61723
  • p(a)
    0.46547
  • Lowerbound of 95% confidence interval for beta
    -0.33394
  • Upperbound of 95% confidence interval for beta
    0.00549
  • Lowerbound of 95% confidence interval for alpha
    -0.32894
  • Upperbound of 95% confidence interval for alpha
    0.62723
  • Treynor index (mean / b)
    -0.31157
  • Jensen alpha (a)
    0.14914
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03718
  • SD
    0.16744
  • Sharpe ratio (Glass type estimate)
    0.22206
  • Sharpe ratio (Hedges UMVUE)
    0.22078
  • df
    130.00000
  • t
    0.15702
  • p
    0.49312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99364
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.55116
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99271
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.37180
  • Upside Potential Ratio
    7.24941
  • Upside part of mean
    0.72498
  • Downside part of mean
    -0.68779
  • Upside SD
    0.13351
  • Downside SD
    0.10000
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58144
  • Mean of criterion
    0.03718
  • SD of predictor
    0.17047
  • SD of criterion
    0.16744
  • Covariance
    -0.00474
  • r
    -0.16607
  • b (slope, estimate of beta)
    -0.16312
  • a (intercept, estimate of alpha)
    0.13203
  • Mean Square Error
    0.02747
  • DF error
    129.00000
  • t(b)
    -1.91271
  • p(b)
    0.60523
  • t(a)
    0.55103
  • p(a)
    0.46916
  • VAR (95 Confidence Intrvl)
    0.03700
  • Lowerbound of 95% confidence interval for beta
    -0.33185
  • Upperbound of 95% confidence interval for beta
    0.00561
  • Lowerbound of 95% confidence interval for alpha
    -0.34202
  • Upperbound of 95% confidence interval for alpha
    0.60607
  • Treynor index (mean / b)
    -0.22794
  • Jensen alpha (a)
    0.13203
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01673
  • Expected Shortfall on VaR
    0.02097
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00777
  • Expected Shortfall on VaR
    0.01534
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97689
  • Quartile 1
    0.99991
  • Median
    0.99999
  • Quartile 3
    1.00006
  • Maximum
    1.04971
  • Mean of quarter 1
    0.98999
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.01122
  • Inter Quartile Range
    0.00015
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.22137
  • Mean of outliers low
    0.98863
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.21374
  • Mean of outliers high
    1.01321
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.20632
  • VaR(95%) (moments method)
    0.00199
  • Expected Shortfall (moments method)
    0.00199
  • Extreme Value Index (regression method)
    -0.76123
  • VaR(95%) (regression method)
    0.01091
  • Expected Shortfall (regression method)
    0.01308
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00028
  • Quartile 1
    0.01546
  • Median
    0.01708
  • Quartile 3
    0.01879
  • Maximum
    0.13182
  • Mean of quarter 1
    0.00787
  • Mean of quarter 2
    0.01708
  • Mean of quarter 3
    0.01879
  • Mean of quarter 4
    0.13182
  • Inter Quartile Range
    0.00332
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.00028
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.13182
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -357444000
  • Max Equity Drawdown (num days)
    76
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06616
  • Compounded annual return (geometric extrapolation)
    0.06725
  • Calmar ratio (compounded annual return / max draw down)
    0.51019
  • Compounded annual return / average of 25% largest draw downs
    0.51019
  • Compounded annual return / Expected Shortfall lognormal
    3.20783

Strategy Description

My system consists of 4 different types of analysis, price action, spread, volume, volume delta. Many years of experience allows me to analyze and predict price movements on any time periods. The system was developed by me personally 8 years ago and is constantly being improved. The type of system is pattern. I don't chase big profits with low odds. Game theory has taught me to take highly probable small profits. My systems are fully automated, but in order to demonstrate the possibilities of my system, I conduct public trading in person, without the use of robots, anyone can join. I am also open for cooperation, ready to consider your suggestions, feel free to write to me.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-05-02
Suggested Minimum Capital
$15,000
# Trades
485
# Profitable
461
% Profitable
95.1%
Net Dividends
($1,239)
Correlation S&P500
-0.144
Sharpe Ratio
0.38
Sortino Ratio
0.57
Beta
-0.31
Alpha
0.06
Leverage
2.29 Average
5.50 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.